FN Thomson Reuters Web of Science™ VR 1.0 PT B AU Kocherlakota, NR AF Kocherlakota, Narayana R. BE Blundell, R Newey, WK Persson, T TI Advances in dynamic optimal taxation SO Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress, Vol I SE Econometric Society Monographs LA English DT Proceedings Paper CT 9th World Congress of the Econometric-Society CY AUG 19-24, 2005 CL Univ Coll London, London, ENGLAND SP Econometr Soc HO Univ Coll London ID TAXES C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. RI Blundell, Richard/C-1552-2008 OI Blundell, Richard/0000-0003-1588-2299 NR 22 TC 1 Z9 1 U1 0 U2 2 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-69208-3 J9 ECON SOC MONOGR PY 2006 IS 41 BP 269 EP 297 DI 10.1017/CCOL0521871522.007 PG 29 WC Economics SC Business & Economics GA BFY42 UT WOS:000245433300007 ER PT S AU Burke, MA Heiland, F AF Burke, Mary A. Heiland, Frank BE Billari, FC Fent, T Prskawetz, A Scheffran, J TI The Strength of Social Interactions and Obesity among Women SO AGENT-BASED COMPUTATIONAL MODELLING: APPLICATIONS IN DEMOGRAPHY, SOCIAL, ECONOMIC AND ENVIRONMENTAL SCIENCES SE Contributions to Economics LA English DT Article; Book Chapter ID BODY-WEIGHT; UNITED-STATES; OVERWEIGHT AB In order to explain the differences in obesity rates among women in the United States by education, we model a social process in which body weight norms are determined endogenously in relation to the weight distribution of the peer group. The model features biologically grounded variation in metabolism, and enables us to describe a complete distribution of weights in equilibrium. We assume that individuals compare themselves to others with the same level of education, and that the importance of conforming to the group weight norm increases with education status. Consistent with observed body weights among women in the United States, the model predicts lower average weights and less dispersion of weight among more educated women. C1 [Burke, Mary A.] Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. [Heiland, Frank] Florida State Univ, Dept Econ, Sch Computat Sci, Tallahassee, FL 32301 USA. [Heiland, Frank] Florida State Univ, Ctr Demog & Populat Hlth, Tallahassee, FL 32301 USA. RP Burke, MA (reprint author), Fed Reserve Bank Boston, Res Dept, Box 55882, Boston, MA 02210 USA. EM Mary.Burke@bos.frb.org; fheiland@fsu.edu NR 40 TC 3 Z9 3 U1 0 U2 1 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013, UNITED STATES SN 1431-1933 BN 978-3-7908-1721-8 J9 CONTRIB ECON PY 2006 BP 117 EP 137 DI 10.1007/3-7908-1721-X_6 D2 10.1007/3-7908-1721-X PG 21 WC Computer Science, Interdisciplinary Applications; Economics; Multidisciplinary Sciences SC Computer Science; Business & Economics; Science & Technology - Other Topics GA BLF83 UT WOS:000270082200007 ER PT J AU Aaronson, S Fallick, B Figura, A Pingle, J Wascher, W AF Aaronson, Stephanie Fallick, Bruce Figura, Andrew Pingle, Jonathan Wascher, William TI The recent decline in the labor force participation rate and its implications for potential labor supply SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article; Proceedings Paper CT 81st Conference on Economic Activity CY MAR 30-31, 2006 CL Washington, DC ID MARKET PARTICIPATION; DISABILITY TRANSFERS; OLDER MEN; EDUCATION; FAMILY; EARNINGS; HEALTH; WAGES; WORK C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Aaronson, S (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 66 TC 12 Z9 12 U1 1 U2 3 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. PY 2006 IS 1 BP 69 EP 154 PG 86 WC Economics SC Business & Economics GA 080UN UT WOS:000240274100003 ER PT J AU Gale, WG Pence, KM AF Gale, William G. Pence, Karen M. TI Are successive generations getting wealthier, and if so, why? Evidence from the 1990s SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article; Proceedings Paper CT 81st Conference on Economic Activity CY MAR 30-31, 2006 CL Washington, DC ID QUANTILE REGRESSION; HOUSEHOLD WEALTH; UNITED-STATES; POPULATION; HEALTH; FAMILY; ACCUMULATION; CONSUMPTION; EDUCATION; RETURNS C1 Brookings Inst, Washington, DC 20036 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Gale, WG (reprint author), Brookings Inst, Washington, DC 20036 USA. NR 104 TC 12 Z9 12 U1 1 U2 6 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. PY 2006 IS 1 BP 155 EP 234 PG 80 WC Economics SC Business & Economics GA 080UN UT WOS:000240274100004 ER PT J AU Wilcox, DW AF Wilcox, David W. TI Reforming the defined-benefit pension system SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article; Proceedings Paper CT 81st Conference on Economic Activity CY MAR 30-31, 2006 CL Washington, DC ID INSURANCE; RISK C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Wilcox, DW (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 81 TC 6 Z9 6 U1 2 U2 3 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. PY 2006 IS 1 BP 235 EP 304 PG 70 WC Economics SC Business & Economics GA 080UN UT WOS:000240274100005 ER PT J AU Boldrin, M AF Boldrin, Michele BE Artis, M Banerjee, A Marcellino, M TI Regional policies after the EU enlargement SO CENTRAL AND EASTERN EUROPEAN COUNTRIES AND THE EUROPEAN UNION LA English DT Article; Book Chapter C1 [Boldrin, Michele] Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. [Boldrin, Michele] Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN USA. RP Boldrin, M (reprint author), Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. NR 17 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-52184-954-8 PY 2006 BP 365 EP 386 DI 10.1017/CBO9780511493515.014 D2 10.2277/ 0521849543 PG 22 WC Economics SC Business & Economics GA BXT05 UT WOS:000297006900014 ER PT J AU Santomero, AM AF Santomero, Anthony M. BE Balling, M Lierman, F Mullineux, A TI The changing pattern of payments in the United States SO COMPETITION AND PROFITABILITY IN EUROPEAN FINANCIAL SERVICES: STRATEGIC, SYSTEMIC AND POLICY ISSUES SE Routledge International Studies in Money and Banking LA English DT Article; Book Chapter C1 [Santomero, Anthony M.] Fed Reserve Bank Philadelphia, Philadelphia, PA USA. [Santomero, Anthony M.] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Santomero, AM (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-08669-8 J9 ROUTL INT STUD MONEY PY 2006 VL 33 BP 51 EP 62 PG 12 WC Business, Finance SC Business & Economics GA BMZ36 UT WOS:000273975800006 ER PT S AU Moskow, MH AF Moskow, Michael H. BE Caprio, G Evanoff, DD Kaufman, GG TI Cross-border banking: Forces driving change and resulting regulatory challenges SO Cross-Border Banking: Regulatory Challenges SE World Scientific Studies in International Economics LA English DT Proceedings Paper CT Conference on Cross-Border Banking CY OCT 06-07, 2005 CL Chicago Reserve Bank, Chicago, IL SP Fed Reserve Bank Chicago, World Bank HO Chicago Reserve Bank C1 Fed Reserve Bank Chicago, Chicago, IL USA. NR 11 TC 0 Z9 0 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE SN 1793-3641 BN 978-981-256-829-8 J9 WORLD SCI STUD INT E PY 2006 VL 1 BP 3 EP 9 PG 7 WC Business, Finance; Economics SC Business & Economics GA BFQ69 UT WOS:000243878600001 ER PT S AU Cetorelli, N Goldberg, LS AF Cetorelli, Nicola Goldberg, Linda S. BE Caprio, G Evanoff, DD Kaufman, GG TI Risks in US bank international exposures SO Cross-Border Banking: Regulatory Challenges SE World Scientific Studies in International Economics LA English DT Proceedings Paper CT Conference on Cross-Border Banking CY OCT 06-07, 2005 CL Chicago Reserve Bank, Chicago, IL SP Fed Reserve Bank Chicago, World Bank HO Chicago Reserve Bank C1 Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. NR 11 TC 0 Z9 0 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE SN 1793-3641 BN 978-981-256-829-8 J9 WORLD SCI STUD INT E PY 2006 VL 1 BP 65 EP 86 PG 22 WC Business, Finance; Economics SC Business & Economics GA BFQ69 UT WOS:000243878600007 ER PT S AU Santos, JAC AF Santos, Joao A. C. BE Caprio, G Evanoff, DD Kaufman, GG TI Comments on Jackson, Bielicki and Bednarski, and Majnoni and Powell SO Cross-Border Banking: Regulatory Challenges SE World Scientific Studies in International Economics LA English DT Proceedings Paper CT Conference on Cross-Border Banking CY OCT 06-07, 2005 CL Chicago Reserve Bank, Chicago, IL SP Fed Reserve Bank Chicago, World Bank HO Chicago Reserve Bank C1 Fed Reserve Bank New York, Banking Studies Grp, New York, NY 10045 USA. NR 2 TC 2 Z9 2 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE SN 1793-3641 BN 978-981-256-829-8 J9 WORLD SCI STUD INT E PY 2006 VL 1 BP 259 EP 262 PG 4 WC Business, Finance; Economics SC Business & Economics GA BFQ69 UT WOS:000243878600017 ER PT S AU Evanoff, DD AF Evanoff, Douglas D. BE Caprio, G Evanoff, DD Kaufman, GG TI Market discipline issues associated with cross-border banking SO Cross-Border Banking: Regulatory Challenges SE World Scientific Studies in International Economics LA English DT Proceedings Paper CT Conference on Cross-Border Banking CY OCT 06-07, 2005 CL Chicago Reserve Bank, Chicago, IL SP Fed Reserve Bank Chicago, World Bank HO Chicago Reserve Bank C1 Fed Reserve Bank Chicago, Dept Res, Chicago, IL USA. NR 16 TC 0 Z9 0 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE SN 1793-3641 BN 978-981-256-829-8 J9 WORLD SCI STUD INT E PY 2006 VL 1 BP 323 EP 328 PG 6 WC Business, Finance; Economics SC Business & Economics GA BFQ69 UT WOS:000243878600021 ER PT S AU Eisenbeis, RA Kaufman, GG AF Eisenbeis, Robert A. Kaufman, George G. BE Caprio, G Evanoff, DD Kaufman, GG TI Challenges for deposit insurance and financial stability in cross-border banking environments with emphasis on the European Union SO Cross-Border Banking: Regulatory Challenges SE World Scientific Studies in International Economics LA English DT Proceedings Paper CT Conference on Cross-Border Banking CY OCT 06-07, 2005 CL Chicago Reserve Bank, Chicago, IL SP Fed Reserve Bank Chicago, World Bank HO Chicago Reserve Bank C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 52 TC 1 Z9 1 U1 0 U2 1 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE SN 1793-3641 BN 978-981-256-829-8 J9 WORLD SCI STUD INT E PY 2006 VL 1 BP 331 EP 347 PG 17 WC Business, Finance; Economics SC Business & Economics GA BFQ69 UT WOS:000243878600022 ER PT S AU Cumming, C AF Cumming, Christine BE Caprio, G Evanoff, DD Kaufman, GG TI Where to from here?: Comments SO Cross-Border Banking: Regulatory Challenges SE World Scientific Studies in International Economics LA English DT Proceedings Paper CT Conference on Cross-Border Banking CY OCT 06-07, 2005 CL Chicago Reserve Bank, Chicago, IL SP Fed Reserve Bank Chicago, World Bank HO Chicago Reserve Bank C1 Fed Reserve Bank New York, New York, NY USA. NR 5 TC 0 Z9 0 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE SN 1793-3641 BN 978-981-256-829-8 J9 WORLD SCI STUD INT E PY 2006 VL 1 BP 453 EP 459 PG 7 WC Business, Finance; Economics SC Business & Economics GA BFQ69 UT WOS:000243878600029 ER PT S AU Rosengren, E AF Rosengren, Eric BE Caprio, G Evanoff, DD Kaufman, GG TI An overview of cross-border bank policy issues SO Cross-Border Banking: Regulatory Challenges SE World Scientific Studies in International Economics LA English DT Proceedings Paper CT Conference on Cross-Border Banking CY OCT 06-07, 2005 CL Chicago Reserve Bank, Chicago, IL SP Fed Reserve Bank Chicago, World Bank HO Chicago Reserve Bank C1 Fed Reserve Bank Boston, Supervis Regulat & Cred Dept, Boston, MA 02210 USA. NR 4 TC 10 Z9 10 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE SN 1793-3641 BN 978-981-256-829-8 J9 WORLD SCI STUD INT E PY 2006 VL 1 BP 465 EP 472 PG 8 WC Business, Finance; Economics SC Business & Economics GA BFQ69 UT WOS:000243878600031 ER PT J AU Altig, D AF Altig, David TI Damned if you do: Comment on Schuler's Argentina analysis SO ECON JOURNAL WATCH LA English DT Editorial Material C1 Univ Chicago, Fed Reserve Bank Cleveland, Chicago, IL 60637 USA. Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. RP Altig, D (reprint author), Univ Chicago, Fed Reserve Bank Cleveland, Chicago, IL 60637 USA. EM fdaltig@gsb.uchicago.edu NR 6 TC 0 Z9 0 U1 0 U2 0 PU INST SPONTANEOUS ORDER ECONOMICS PI FAIRFAX PA 9745 KINGS CROWN COURT #102, FAIRFAX, VA 22031 USA SN 1933-527X J9 ECON J WATCH JI Econ. J. Watch PD JAN PY 2006 VL 3 IS 1 BP 88 EP 94 PG 7 WC Economics SC Business & Economics GA V44PC UT WOS:000203013600005 ER PT J AU Fernandez-Villaverde, JF Rubio-Ramirez, JF Santos, MS AF Fernandez-Villaverde, JF Rubio-Ramirez, JF Santos, MS TI Convergence properties of the likelihood of computed dynamic models SO ECONOMETRICA LA English DT Article DE dynamic economic models; convergence; computation ID STOCHASTIC-MODEL; BEHAVIOR; UNCERTAINTY; SIMULATION AB This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, their policy functions are approximated by numerical methods. Hence, the researcher can only evaluate an approximated likelihood associated with the approximated policy function rather than the exact likelihood implied by the exact policy function. What are the consequences for inference of the use of approximated likelihoods? First, we find conditions under which, as the approximated policy function converges to the exact policy, the approximated likelihood also converges to the exact likelihood. Second, we show that second order approximation errors in the policy function, which almost always are ignored by researchers, have first order effects on the likelihood function. Third, we discuss convergence of Bayesian and classical estimates. Finally, we propose to use a likelihood ratio test as a diagnostic device for problems derived from the use of approximated likelihoods. C1 Univ Penn, Dept Econ, Philadelphia, PA 19101 USA. Arizona State Univ, Dept Econ, WP Carey Sch Business, Tempe, AZ 85287 USA. Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Fernandez-Villaverde, JF (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19101 USA. EM jesusfv@econ.upenn.edu; Juan.Rubio@atl.frb.org; Manuel.Santos@asu.edu NR 47 TC 25 Z9 25 U1 1 U2 4 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD JAN PY 2006 VL 74 IS 1 BP 93 EP 119 DI 10.1111/j.1468-0262.2006.00650.x PG 27 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 004YY UT WOS:000234789900003 ER PT J AU Yellen, JL Akerlof, GA AF Yellen, JL Akerlof, GA TI Stabilization policy: A reconsideration SO ECONOMIC INQUIRY LA English DT Article ID NOMINAL WAGE RIGIDITY; BUSINESS CYCLES; PHILLIPS-CURVE; UNITED-KINGDOM; GREAT-DEPRESSION; MONETARY-POLICY; MONEY ILLUSION; UNEMPLOYMENT; INFLATION; MACROECONOMICS AB Should stabilization policy be a macroeconomic priority? Most central banks consider it a goal, but Robert Lucas has contended that policies to stabilize output, even if effective, yield negligible welfare gains. This article critiques Lucas's argument. Existing literature suggests nontrivial benefits from stabilization due to nonlinearity of the social welfare function and of the short-run Phillips curve. Our analysis and examination of the evidence from periods of prolonged high unemployment also suggest further significant gains to stabilization since the "accelerationist" hypothesis does not seem to hold in times of very low inflation. C1 Univ Calif Berkeley, Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Univ Calif Berkeley, Berkeley, CA 94720 USA. RP Akerlof, GA (reprint author), Univ Calif Berkeley, Fed Reserve Bank San Francisco, 101 Mkt St, San Francisco, CA 94105 USA. EM janet.yellen@sf.frb.org; akerlof@econ.berkeley.edu NR 79 TC 18 Z9 18 U1 4 U2 10 PU WESTERN ECONOMIC ASSOC INT PI HUNTINGTON BEACH PA 7400 CENTER AVE SUITE 109, HUNTINGTON BEACH, CA 92647-3039 USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2006 VL 44 IS 1 BP 1 EP 22 DI 10.1093/ei/cbj002 PG 22 WC Economics SC Business & Economics GA 001LL UT WOS:000234534500001 ER PT J AU Baier, SL Dwyer, GP Tamura, R AF Baier, SL Dwyer, GP Tamura, R TI How important are capital and total factor productivity for economic growth? SO ECONOMIC INQUIRY LA English DT Article ID INTERNATIONAL COMPARISONS; DEVELOPING-COUNTRIES; WORLD; CONVERGENCE; RETURNS; OUTPUT; SET AB We examine the relative importance of the growth of physical and human capital and the growth of total factor productivity (TFP) using newly organized data on 145 countries that spans more than 100 years for 23 of these countries. For all countries, only 14% of average output growth per worker is associated with TFP growth. We use priors from theories to construct estimates of the relative importance of the variances of aggregate input growth and TFP growth across countries. Much of the importance of the variance of TFP growth across countries is associated with negative TFP growth. C1 Clemson Univ, Dept Econ, Clemson, SC 29634 USA. Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. Clemson Univ, Dept Econ, Clemson, SC 29634 USA. RP Baier, SL (reprint author), Clemson Univ, Dept Econ, 222 Sirrine Hall, Clemson, SC 29634 USA. EM sbaier@clemson.edu; gdwyer@dwyerecon.com; rtamura@clemson.edu NR 49 TC 53 Z9 54 U1 2 U2 14 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2006 VL 44 IS 1 BP 23 EP 49 DI 10.1093/ei/cbj003 PG 27 WC Economics SC Business & Economics GA 001LL UT WOS:000234534500002 ER PT J AU Villas-Boas, S Hellerstein, R AF Villas-Boas, S Hellerstein, R TI Identification of supply models of retailer and manufacturer oligopoly pricing SO ECONOMICS LETTERS LA English DT Article DE identification; oligopoly; vertical relationships AB We present sufficient conditions for data on an industry's product prices, quantities, and input prices to identify retailers' and manufacturers' vertical supply model. Identification requires nonlinear demand for homogeneous products and multi-product firms with non-constant markups for differentiated products. (c) 2005 Elsevier B.V. All rights reserved. C1 Univ Calif Berkeley, Berkeley, CA 94720 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Villas-Boas, S (reprint author), Univ Calif Berkeley, 226 Giannini Hall, Berkeley, CA 94720 USA. EM sberto@are.berkeley.edu RI Villas-Boas, Sofia/B-6241-2009; nipe, cef/A-4218-2010 NR 10 TC 14 Z9 14 U1 0 U2 2 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD JAN PY 2006 VL 90 IS 1 BP 132 EP 140 DI 10.1016/j.econlet.2005.07.017 PG 9 WC Economics SC Business & Economics GA 002QD UT WOS:000234625400022 ER PT J AU Barlevy, G Tsiddon, D AF Barlevy, G Tsiddon, D TI Earnings inequality and the business cycle SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE human capital; inequality; Great Depression; stochastic Ben-Porath model ID UNITED-STATES; GROWTH; INCOME; RISK; CYCLICALITY; DEPRESSION; WAGES; COST AB Economists have long viewed recessions as contributing to increasing inequality. However, this conclusion is largely based on data from a period in which inequality was increasing over time. This paper examines the connection between long-run trends and cyclical variation in earnings inequality. We develop a model in which cyclical and trend inequality are related, and find that in our model, recessions tend to amplify long-run trends, i.e. they involve more rapidly increasing inequality when long-run inequality is increasing, and more rapidly decreasing inequality when long-run inequality is decreasing. In support of this prediction, we present evidence that during the first half of the 20th century, when earnings inequality was generally declining, earnings disparities indeed appeared to fall more rapidly in downturns, at least among workers at the top of the earnings distribution. (c) 2004 Elsevier B.V. All rights reserved. C1 Tel Aviv Univ, Dept Econ, IL-69978 Tel Aviv, Israel. Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NBER, Cambridge, MA 02138 USA. CEPR, London, England. RP Tsiddon, D (reprint author), Tel Aviv Univ, Dept Econ, IL-69978 Tel Aviv, Israel. EM tsiddon@post.tau.ac.il NR 48 TC 10 Z9 11 U1 1 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 JAN PY 2006 VL 50 IS 1 BP 55 EP 89 DI 10.1016/j.euroecorev.2004.08.001 PG 35 WC Economics SC Business & Economics GA 995VD UT WOS:000234131600004 ER PT J AU Poole, W AF Poole, W TI The fed's monetary policy rule SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Annual Monetary Conference of the Cato-Institute CY OCT 14, 2005 CL Washington, DC C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Poole, W (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 4 TC 7 Z9 7 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 2006 VL 88 IS 1 BP 1 EP 11 PG 11 WC Business, Finance; Economics SC Business & Economics GA 004YK UT WOS:000234788400001 ER PT J AU Garrett, TA Rhine, RA AF Garrett, TA Rhine, RA TI On the size and growth of government SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID PROPERTY-RIGHTS; RATIONAL THEORY; PRESSURE GROUPS; LEVIATHAN; ANOMALIES AB The size of the U.S. federal government, as well as state and local governments, increased dramatically during the 20th century. This paper reviews several theories of government size and growth that are dominant in the public choice and political science literature. The theories are divided into two categories: citizen-over-state theories and state-over-citizen theories. The relationship between the 16th Amendment to the U.S. Constitution and the timing of government growth is also presented. It is likely that portions of each theory can explain government size and growth, but the challenge facing economists is to develop a single unifying theory of government growth. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 54 TC 12 Z9 12 U1 1 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2006 VL 88 IS 1 BP 13 EP 30 PG 18 WC Business, Finance; Economics SC Business & Economics GA 004YK UT WOS:000234788400002 ER PT J AU Chomsisengphet, S Pennington-Cross, A AF Chomsisengphet, S Pennington-Cross, A TI The evolution of the subprime mortgage market SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB This paper describes subprime lending in the mortgage market and how it has evolved through time. Subprime lending has introduced a substantial amount of risk-based pricing into the mortgage market by creating a myriad of prices and product choices largely determined by borrower credit history (mortgage and rental payments, foreclosures and bankruptcies, and overall credit scores) and down payment requirements. Although subprime lending still differs from prime lending in many ways, much of the growth (at least in the securitized portion of the market) has come in the least-risky (A-) segment of the market. In addition, lenders have imposed prepayment penalties to extend the duration of loans and required larger down payments to lower their credit risk exposure from high-risk loans. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Chomsisengphet, S (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI French, Shaun/B-1155-2010 NR 15 TC 91 Z9 91 U1 1 U2 10 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2006 VL 88 IS 1 BP 31 EP 56 PG 26 WC Business, Finance; Economics SC Business & Economics GA 004YK UT WOS:000234788400003 ER PT J AU King, TB Nuxoll, DA Yeager, TJ AF King, TB Nuxoll, DA Yeager, TJ TI Are the causes of bank distress changing? Can researchers keep up? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID COMMUNITY BANKS; THRIFT INSTITUTIONS; CREDIT DERIVATIVES; MARKET DISCIPLINE; DEPOSIT INSURANCE; RISK; FAILURES; DETERMINANTS; SAVINGS; MODELS AB Since 1990, the banking sector has experienced enormous legislative, technological, and financial changes, yet research into the causes of bank distress has slowed. One consequence is that traditional supervisory surveillance models may not capture important risks inherent in the current banking environment. After reviewing the history of these models, the authors provide empirical Evidence that the characteristics of failing banks have changed in the past ten years and argue that the time is right for new research that employs new empirical techniques. In particular, dynamic models that use forward-looking variables and address various types of bank risk individually are promising lines of inquiry. Supervisory agencies have begun to move in these directions, and the authors describe several examples of this new generation of early-warning models that are not yet widely known among academic banking economists. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. Univ Arkansas, Fayetteville, AR 72701 USA. RP King, TB (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Yeager, Tim/F-3306-2010 NR 62 TC 19 Z9 19 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 JAN-FEB PY 2006 VL 88 IS 1 BP 57 EP 80 PG 24 WC Business, Finance; Economics SC Business & Economics GA 004YK UT WOS:000234788400004 ER PT J AU Anderson, RG AF Anderson, RG TI Replicability, real-time data, and the science of economic research: FRED, ALFRED, and VDC SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY; DATA SET AB This article discusses the linkages between two recent themes in economic research: "real time" data and replication. These two themes share many of the same ideas, specifically, that scientific research itself has a time dimension. In research using real-time data, this time dimension is the date on which particular observations, or pieces of data, became available. In work with replication, it is the date on which a study (and its results) became available to other researchers and/or was published. Recognition of both dimensions of scientific research is important. A project at the Federal Reserve Bank of St. Louis to place large amounts of historical data on the Internet holds promise to unify these two themes. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Anderson, RG (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 36 TC 6 Z9 6 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2006 VL 88 IS 1 BP 81 EP 93 PG 13 WC Business, Finance; Economics SC Business & Economics GA 004YK UT WOS:000234788400005 ER PT J AU Chuhan, P AF Chuhan, Punam BE Burnside, C TI Debt and Debt Indicators in the Measurement of Vulnerability SO FISCAL SUSTAINABILITY IN THEORY AND PRACTICE: A HANDBOOK LA English DT Article; Book Chapter ID SERVICING CAPACITY; DEVELOPING-COUNTRIES; CURRENCY CRISES; WEALTH; MODEL C1 [Chuhan, Punam] World Bank, Global Monitoring Secretariat, Washington, DC USA. [Chuhan, Punam] Fed Reserve Bank New York, New York, NY USA. RP Chuhan, P (reprint author), World Bank, Global Monitoring Secretariat, Washington, DC USA. NR 41 TC 1 Z9 1 U1 0 U2 0 PU WORLD BANK INST PI WASHINGTON PA 1818 H ST NW, WASHINGTON, DC 20433 USA BN 978-0-8213-5875-7 PY 2006 BP 81 EP 112 PG 32 WC Business, Finance; Economics SC Business & Economics GA BXP20 UT WOS:000296592900005 ER PT J AU Chuhan, P AF Chuhan, Punam BE Bhargava, V TI Poverty and Inequality SO GLOBAL ISSUES FOR GLOBAL CITIZENS: AN INTRODUCTION TO KEY DEVELOPMENT CHALLENGES LA English DT Article; Book Chapter ID GROWTH C1 [Chuhan, Punam] World Bank, Washington, DC USA. [Chuhan, Punam] Fed Reserve Bank New York, New York, NY USA. RP Chuhan, P (reprint author), World Bank, Washington, DC USA. NR 30 TC 1 Z9 1 U1 0 U2 0 PU WORLD BANK INST PI WASHINGTON PA 1818 H ST NW, WASHINGTON, DC 20433 USA BN 978-0-8213-6732-2 PY 2006 BP 31 EP 50 D2 10.1596/ 978-0-8213-6731-5 PG 20 WC Planning & Development SC Public Administration GA BAF10 UT WOS:000304002900004 ER PT J AU Chuhan, P Bhargava, V AF Chuhan, Punam Bhargava, Vinay BE Bhargava, V TI Development Aid: Key to Balanced Global Development SO GLOBAL ISSUES FOR GLOBAL CITIZENS: AN INTRODUCTION TO KEY DEVELOPMENT CHALLENGES LA English DT Article; Book Chapter ID FOREIGN-AID; GROWTH C1 [Chuhan, Punam; Bhargava, Vinay] World Bank, Washington, DC 20433 USA. [Chuhan, Punam] Fed Reserve Bank New York, New York, NY USA. RP Chuhan, P (reprint author), World Bank, Washington, DC 20433 USA. NR 30 TC 0 Z9 0 U1 0 U2 0 PU WORLD BANK INST PI WASHINGTON PA 1818 H ST NW, WASHINGTON, DC 20433 USA BN 978-0-8213-6732-2 PY 2006 BP 71 EP 90 D2 10.1596/ 978-0-8213-6731-5 PG 20 WC Planning & Development SC Public Administration GA BAF10 UT WOS:000304002900006 ER PT J AU Chakravorti, S AF Chakravorti, Sujit BE Schmitz, SW Wood, G TI The evolving payments landscape and its implications for monetary policy SO INSTITUTIONAL CHANGE IN THE PAYMENTS SYSTEM AND MONETARY POLICY SE Routledge International Studies in Money and Banking LA English DT Article; Book Chapter ID COMPATIBILITY C1 [Chakravorti, Sujit] Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. RP Chakravorti, S (reprint author), European Univ Inst, Florence, Italy. NR 29 TC 3 Z9 3 U1 0 U2 0 PU ROUTLEDGE PI NEW YORK PA 29 W 35TH ST, NEW YORK, NY 10001 USA BN 978-0-203-09995-7 J9 ROUTL INT STUD MONEY PY 2006 VL 35 BP 81 EP 92 PG 12 WC Business, Finance SC Business & Economics GA BMX31 UT WOS:000273793300005 ER PT J AU Hernandez-Murillo, R Llobet, G AF Hernandez-Murillo, R Llobet, G TI Patent licensing revisited: Heterogeneous firms and product differentiation SO INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION LA English DT Article DE patent licensing; royalty rate; fixed fees; private information ID MONOPOLISTIC COMPETITION; ASYMMETRIC INFORMATION; TECHNOLOGY-TRANSFER; DIVERSITY AB In this paper we study the optimal licensing agreement between a patentholder of a cost-reducing innovation and firms that have heterogeneous uses for the new technology. We consider the case in which these firms are competitors in a downstream market. We extend the competition environment among the licensees beyond the Cournot/Bertrand models considered by the previous literature to a framework with differentiated products. We also assume that potential licensees have private information about the usefulness of the new technology. We characterize two purposes the optimal licensing contract serves to the patentholder: separation of the licensees and competition softening in the downstream market. We also describe how the optimal contract changes with the degree of product differentiation. (c) 2005 Elsevier B.V. All rights reserved. C1 CEMFI, Madrid 28014, Spain. Fed Reserve Bank, St Louis, MO USA. RP Llobet, G (reprint author), CEMFI, Casado Alisal 5, Madrid 28014, Spain. EM ruben.hemandez@stls.frb.org; llobet@cemfi.es RI Llobet, Gerard/L-5996-2014 OI Llobet, Gerard/0000-0002-6421-5890 NR 22 TC 15 Z9 16 U1 0 U2 17 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 2006 VL 24 IS 1 BP 149 EP 175 DI 10.1016/j.ijindorg.2005.03.008 PG 27 WC Economics SC Business & Economics GA 002NV UT WOS:000234619100008 ER PT J AU Kennickell, AB AF Kennickell, Arthur B. BE Wolff, EN TI A rolling tide: changes in the distribution of wealth in the US, 1989-2001 SO INTERNATIONAL PERSPECTIVES ON HOUSEHOLD WEALTH LA English DT Article; Book Chapter C1 Board Governors Fed Reserve Syst, Washington, DC USA. RP Kennickell, AB (reprint author), Board Governors Fed Reserve Syst, Washington, DC USA. NR 14 TC 7 Z9 7 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84542-116-8 PY 2006 BP 19 EP 88 PG 70 WC Economics SC Business & Economics GA BRO89 UT WOS:000283301000003 ER PT J AU Guidolin, M Timmermann, A AF Guidolin, M Timmermann, A TI An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID REGIME-SWITCHING PROCESS; MARKET VOLATILITY; BUSINESS-CYCLE; INTEREST-RATES; SERIES; TIME AB This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four-state model with regimes characterized as crash, slow growth, bull and recovery states is required to capture their joint distribution, The transition probability matrix of this model has a very particular form. Exits from the crash state are almost always to the recovery state and occur with close to 50% chance, suggesting a bounce-back effect from the crash to the recovery state. Copyright (c) 2006 John Wiley & Sons, Ltd. C1 Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Timmermann, A (reprint author), Univ Calif San Diego, Dept Econ, 9500 Gilman Dr, La Jolla, CA 92093 USA. EM atimmerm@ucsd.edu NR 23 TC 67 Z9 67 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 ECONOM JI J. Appl. Econom. PD JAN-FEB PY 2006 VL 21 IS 1 BP 1 EP 22 DI 10.1002/jae.824 PG 22 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 020JK UT WOS:000235904600001 ER PT J AU Dennis, R AF Dennis, R TI The policy preferences of the us federal reserve SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID RATIONAL-EXPECTATIONS MODELS; MONETARY-POLICY; MACROECONOMIC STABILITY; RULES; OUTPUT AB In this paper we model and explain US macroeconomic outcomes subject to the discipline that monetary policy is set optimally. Exploiting the restrictions that come from optimal policymaking, we estimate the parameters in the Federal Reserve's policy objective function together with the parameters in its optimization constraints. For the period following Volcker's appointment as chairman, we estimate the implicit inflation target to be around 1.4% and show that policymakers assigned a significant weight to interest rate smoothing. We show that the estimated optimal policy provides a good description of US data for the 1980s and 1990s. Copyright (c) 2005 John Wiley & Sons, Ltd. C1 Fed Reserv Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Dennis, R (reprint author), Fed Reserv Bank San Francisco, Econ Res Dept, Mail Stop 1130,101 Market St, San Francisco, CA 94105 USA. EM richard.dennis@sf.frb.org NR 40 TC 32 Z9 34 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 ECONOM JI J. Appl. Econom. PD JAN-FEB PY 2006 VL 21 IS 1 BP 55 EP 77 DI 10.1002/jae.808 PG 23 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 020JK UT WOS:000235904600003 ER PT J AU Palumbo, M Rudd, J Whelan, K AF Palumbo, M Rudd, J Whelan, K TI On the relationships between real consumption, income, and wealth SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE budget constraints; permanent income hypothesis; price deflation; wealth effects ID HYPOTHESIS AB Many studies relate real nondurables and services consumption to real income and wealth, with the latter measures obtained by deflating with a price index for total consumption expenditures. This procedure is appropriate only if real nondurables and services consumption is a constant multiple of aggregate real consumption outlays, which is not the case in U.S. data. We develop an alternative approach that exploits the fact that the ratio of these series has historically been stable in nominal terms, and demonstrate that the choice of deflation methodology has important implications for wealth effect estimation and tests of the permanent income hypothesis. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Cent Bank, Dublin, Ireland. Financial Serv Author Ireland, Dublin, Ireland. RP Palumbo, M (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM jeremy.b.rudd@frb.gov NR 14 TC 12 Z9 12 U1 0 U2 2 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JAN PY 2006 VL 24 IS 1 BP 1 EP 11 DI 10.1198/0735001050000000225 PG 11 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 008LX UT WOS:000235043300001 ER PT J AU Guo, H Savickas, R AF Guo, H Savickas, R TI Idiosyncratic volatility, stock market volatility, and expected stock returns SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE consumption-wealth ratio; dispersion of opinion; intertemporal capital asset pricing model; out-of-sample forecast; stock market risk-return relation; stock return predictability ID CROSS-SECTION; RISK; LIQUIDITY; OPINION; PREDICTABILITY; EXPLANATIONS; PREMIUM; PRICES; CRASH; MODEL AB We find that the value-weighted idiosyncratic stock volatility and aggregate stock market volatility jointly exhibit strong predictive power for excess stock market returns. The stock market risk-return relation is found to be positive, as stipulated by the capital asset pricing model; however, idiosyncratic volatility is negatively related to future stock market returns. Also, idiosyncratic volatility appears to be a pervasive macrovariable, and its forecasting abilities are very similar to those of the consumption-wealth ratio proposed by Lettau and Ludvigson. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. George Washington Univ, Dept Finance, Washington, DC 20052 USA. RP Guo, H (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. EM hui.guo@stls.frb.org; savickas@gwu.edu NR 57 TC 28 Z9 28 U1 2 U2 8 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JAN PY 2006 VL 24 IS 1 BP 43 EP 56 DI 10.1198/073500105000000180 PG 14 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 008LX UT WOS:000235043300004 ER PT J AU Nason, JM Rogers, JH AF Nason, JM Rogers, JH TI The present-value model of the current account has been rejected: Round up the usual suspects SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE current account; present value model; world real interest rate; international capital mobility; Bayesian Monte Carlo ID SMALL OPEN-ECONOMY; BUSINESS CYCLES; TRADE; FLUCTUATIONS; INVESTMENT; SHOCKS; TERMS AB Tests of the present-value model (PVM) of the current account are frequently rejected by data. Standard explanations rely on the "usual suspects" of non-separable preferences, fiscal policy and world real interest rate shocks, external imperfect international capital mobility, and an internalized risk premium. We confirm these rejections on post-war Canadian data, then investigate their source by calibrating and simulating alternative versions of a small open economy, real business cycle model (RBC). Bayesian Monte Carlo experiments reveal that a "canonical" RBC model is close to the data, but far from the PVM predictions. Although each suspect matters in some way, none improve the fit to the data. However, the PVM restrictions are reproduced when the internalized risk premium is introduced into the canonical model. By adding the exogenous world real interest rate shock to this version of the model, it matches the data better and is moved closer to the PVM predictions. This suggests that there is an important common world component to current account fluctuations, which points to additional underlying macroeconomic factors that drive the current account. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Int Finance Div, Washington, DC 20551 USA. Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30033 USA. RP Nason, JM (reprint author), Fed Reserve Syst, Board Governors, Int Finance Div, Mail Stop 20, Washington, DC 20551 USA. EM jim.nason@atl.frb.org; John.H.Rogers@FRB.GOV NR 41 TC 31 Z9 31 U1 3 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 JAN PY 2006 VL 68 IS 1 BP 159 EP 187 DI 10.1016/j.jinteco.2005.01.004 PG 29 WC Economics SC Business & Economics GA 999IU UT WOS:000234383800009 ER PT J AU Dynan, KE Elmendorf, DW Sichel, DE AF Dynan, KE Elmendorf, DW Sichel, DE TI Can financial innovation help to explain the reduced volatility of economic activity? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Public Policy - Financial Innovation, Risk and Fragility CY APR 15-16, 2005 CL Rochester, NY DE economic fluctuations; volatility; financial innovation; financial deregulation ID CAPITAL-MARKET IMPERFECTIONS; AGENCY COSTS; CONSUMPTION; CREDIT; CONSTRAINTS; INVESTMENT; MODEL AB The stabilization of economic activity in the mid 1980s has received considerable attention. Research has focused primarily on the role played by milder economic shocks, improved inventory management, and better monetary policy. This paper explores another potential explanation: financial innovation. Examples of such innovation include developments in lending practices and loan markets that have enhanced the ability of households and firms to borrow and changes in government policy such as the demise of Regulation Q. We employ a variety of simple empirical techniques to identify links between the observed moderation in economic activity and the influence of financial innovation on consumer spending, housing investment, and business fixed investment. Our results suggest that financial innovation should be added to the list of likely contributors to the mid-1980s stabilization. Published by Elsevier B.V. C1 Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Sichel, DE (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. EM dan.sichel@frb.gov NR 33 TC 61 Z9 61 U1 1 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2006 VL 53 IS 1 BP 123 EP 150 DI 10.1016/j.jmoneco.2005.10.012 PG 28 WC Business, Finance; Economics SC Business & Economics GA 013HU UT WOS:000235401200009 ER PT J AU Lehnert, A Passmore, W AF Lehnert, A Passmore, W TI Comment on: "An options-based approach to evaluating the risk of Fannie Mae and Freddie Mac" SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material ID MORTGAGE RATES; GOVERNMENT C1 Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Lehnert, A (reprint author), Fed Reserve Board, Div Res & Stat, 20th & C St SW,Mail Stop 93, Washington, DC 20551 USA. EM andreas.lehnert@frb.gov NR 6 TC 0 Z9 0 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2006 VL 53 IS 1 BP 177 EP 182 DI 10.1016/j.jmoneco.2005.10.002 PG 6 WC Business, Finance; Economics SC Business & Economics GA 013HU UT WOS:000235401200012 ER PT J AU Cunningham, CR AF Cunningham, CR TI House price uncertainty, timing of development, and vacant land prices: Evidence for real options in Seattle SO JOURNAL OF URBAN ECONOMICS LA English DT Article ID INVESTMENT; VALUATION; MODELS; ESTATE; MARKET AB Recent theoretical work suggests that land development exercises a real option. This paper utilizes a rich data set of parcel characteristics and real property transactions for the Seattle area to tests two predictions of real options with respect to land markets: greater price uncertainty should delay the timing of development and raise land prices. I find evidence in support of both predictions. A one-standard-deviation increase in uncertainty lowers the likelihood of development by 11 percent and raises vacant land prices by 1.6 percent. These findings suggest that developers consider their real option to future buildings when deciding to invest. (c) 2005 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Cunningham, CR (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. EM chris.cunningham@atl.frb.org NR 30 TC 42 Z9 44 U1 2 U2 24 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD JAN PY 2006 VL 59 IS 1 BP 1 EP 31 DI 10.1016/j.jue.2005.08.003 PG 31 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 003MK UT WOS:000234686100001 ER PT J AU Chomsisengphet, S Elul, R AF Chomsisengphet, S Elul, R TI Bankruptcy exemptions, credit history, and the mortgage market SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE personal bankruptcy; mortgage underwriting; credit scores ID PERSONAL BANKRUPTCY; DEFAULT; MATTER; LOANS AB We develop and test a model of mortgage underwriting, with particular reference to the role of generic credit bureau scores. In our model, scores are used in a standardized fashion, which reflects the prevalence of automated underwriting in industry practice. We show that our model has implications for the debate on the effect of personal bankruptcy exemptions on secured lending. Recent literature has developed conflicting theories-and found conflicting results-seeking to explain how exemptions affect the mortgage market. By contrast, in our model exemptions are actually irrelevant to the mortgage underwriting decision. Instead, our model suggests that since exemptions are correlated with credit scores, some of the previous work's findings of significant effects for exemptions may rather reflect a failure to fully control for creditworthiness. Merging data from a major credit bureau with the Home Mortgage Disclosure Act (HMDA) data set, we confirm these predictions of our model. (c) 2005 Elsevier Inc. All rights reserved. C1 OCC, Washington, DC 20219 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Chomsisengphet, S (reprint author), OCC, Washington, DC 20219 USA. EM souphala.chomsisengphet@occ.treas.gov; ronel.elul@phil.frb.org NR 27 TC 3 Z9 3 U1 3 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD JAN PY 2006 VL 59 IS 1 BP 171 EP 188 DI 10.1016/j.jue.2005.09.006 PG 18 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 003MK UT WOS:000234686100008 ER PT J AU Gruben, WC Koo, J AF Gruben, William C. Koo, Jahyeong BE Vernengo, M TI Does NAFTA move North America towards a common currency area? SO MONETARY INTEGRATION AND DOLLARIZATION: NO PANACEA LA English DT Article; Book Chapter C1 [Gruben, William C.; Koo, Jahyeong] Fed Reserve Bank Dallas, Dallas, TX USA. RP Gruben, WC (reprint author), Fed Reserve Bank Dallas, Dallas, TX USA. NR 22 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 978-1-84376-896-8 PY 2006 BP 79 EP 92 PG 14 WC Business, Finance SC Business & Economics GA BRY35 UT WOS:000283868200006 ER PT B AU Eggertsson, GB Woodford, M AF Eggertsson, Gauti B. Woodford, Michael BE Clarida, RH Frankel, JA Giavazzi, F West, KD TI Optimal monetary and fiscal policy in a liquidity trap SO NBER INTERNATIONAL SEMINAR ON MACROECONOMICS 2004 LA English DT Proceedings Paper CT 27th International Seminar on Macroeconmics CY JUN 18-19, 2004 CL Univ Iceland, Fac Econ & Business Adm, Reykjavik, ICELAND SP Natl Bur Econ Res HO Univ Iceland, Fac Econ & Business Adm AB In previous work (Eggertsson and Woodford, 2003), we characterized the optimal conduct of monetary policy when a real disturbance causes the natural rate of interest to be temporarily negative, so that the zero lower bound on nominal interest rates binds, and showed that commitment to a history-dependent policy rule can greatly increase welfare relative to the outcome under a purely forward-looking inflation target. Here we consider in addition optimal tax policy in response to such a disturbance, to determine the extent to which fiscal policy can help to mitigate the distortions resulting from the zero bound, and to consider whether a history-dependent monetary policy commitment continues to be important when fiscal policy is appropriately adjusted. We find that even in a model where complete tax smoothing would be optimal as long as the zero bound never binds, it is optimal to temporarily adjust tax rates in response to a binding zero bound; but when taxes have only a supply-side effect, the optimal policy requires that the tax rate be raised during the "trap," while committing to lower tax rates below their long-run level later. An optimal policy commitment is still history-dependent, in general, but the gains from departing from a strict inflation target are modest in the case that fiscal policy responds to the real disturbance in an appropriate way. C1 Fed Reserve Bank New York, New York, NY 10045 USA. NR 25 TC 10 Z9 10 U1 0 U2 4 PU MIT PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-53287-7 PY 2006 BP 75 EP + PG 72 WC Economics SC Business & Economics GA BFS55 UT WOS:000244328500003 ER PT B AU Levin, AT Onatski, A Williams, JC Williams, N AF Levin, Andrew T. Onatski, Alexei Williams, John C. Williams, Noah BE Gertler, M Rogoff, K TI Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models SO NBER MACROECONOMICS ANNUAL 2005 SE NBER Macroeconomics Annual-Series LA English DT Editorial Material; Book Chapter ID STICKY-PRICE MODELS; REAL-TIME DATA; BUSINESS-CYCLE; PERSISTENCE PROBLEM; INFLATION; RETURNS; RULES; LABOR; CONTRACTS; DYNAMICS C1 [Onatski, Alexei] Columbia Univ, New York, NY 10027 USA. [Williams, John C.] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Williams, Noah] Princeton Univ, Princeton, NJ 08544 USA. [Williams, Noah] NBER, Cambridge, MA 02138 USA. NR 115 TC 62 Z9 62 U1 0 U2 0 PU MIT PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-07272-4 J9 NBER MACROEC ANN-SER PY 2006 VL 20 BP 229 EP 287 PG 59 WC Economics SC Business & Economics GA BJL76 UT WOS:000266772700012 ER PT S AU Pesenti, P AF Pesenti, Paolo BE Gertler, M Rogoff, K TI A Bayesian Look at New Open Economy Macroeconomics Comment SO NBER MACROECONOMICS ANNUAL 2005 SE NBER Macroeconomics Annual LA English DT Editorial Material; Book Chapter ID OPTIMAL MONETARY-POLICY 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 8 TC 0 Z9 0 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0889-3365 BN 978-0-262-07272-4 J9 NBER MACROECON ANNU PY 2006 VL 20 BP 367 EP 374 PG 8 WC Economics SC Business & Economics GA BJL76 UT WOS:000266772700017 ER PT J AU Weller, CE Chaurushiya, R AF Weller, Christian E. Chaurushiya, Radha BE Cornia, GA TI Portfolio Flows, Macroeconomic Policy and Global Poverty SO PRO-POOR MACROECONOMICS: POTENTIAL AND LIMITATIONS SE Social Policy in a Development Context Series LA English DT Article; Book Chapter ID FINANCIAL LIBERALIZATION; CAPITAL CONTROLS; ECONOMIC-GROWTH; EASTERN-EUROPE; CREDIT; CRISIS C1 [Weller, Christian E.; Chaurushiya, Radha] Ctr Amer Progress, Washington, DC USA. [Chaurushiya, Radha] Fed Reserve Board Governors, Washington, DC USA. RP Weller, CE (reprint author), Ctr Amer Progress, Washington, DC USA. NR 74 TC 1 Z9 1 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-62790-1 J9 SOC POLICY DEV CONTE PY 2006 BP 97 EP 118 D2 10.1057/9780230627901 PG 22 WC Economics; Planning & Development SC Business & Economics; Public Administration GA BQV68 UT WOS:000281970800006 ER PT B AU Gordy, M Juneja, S AF Gordy, Michael Juneja, Sandeep GP IEEE TI Efficient simulation for risk measurement in portfolio of cdos SO PROCEEDINGS OF THE 2006 WINTER SIMULATION CONFERENCE, VOLS 1-5 LA English DT Proceedings Paper CT 2006 Winter Simulation Conference CY DEC 03-06, 2006 CL Monterey, CA SP IEEE AB We consider a portfolio containing CDO tranches as well as ordinary bonds. Our interest is in large loss probabilities and risk measures such as value-at-risk. When loss is measured on a mark-to-market basis, estimation via simulation requires a nested procedure: In the outer step one draws realizations of all risk factors up to the horizon, and in the inner step one re-prices each instrument in the portfolio at the horizon conditional on the drawn risk factors. Practitioners perceive the computational burden of such nested schemes to be unacceptable, and adopt a variety of somewhat ad hoc measures to avoid the inner simulation. In this paper, we question whether such short cuts are necessary. We show that a relatively small number of trials in the inner step can yield accurate estimates, and analyze how a fixed computational budget may be allocated to the inner and the outer step to minimize the mean square error of the resultant estimator. C1 [Gordy, Michael] Fed Reserve Board, Washington, DC 20551 USA. [Juneja, Sandeep] Tata Inst Fundamental Res, Bombay 400005, Maharashtra, India. RP Gordy, M (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 11 TC 4 Z9 4 U1 1 U2 3 PU IEEE PI NEW YORK PA 345 E 47TH ST, NEW YORK, NY 10017 USA BN 978-1-4244-0500-8 PY 2006 BP 749 EP + DI 10.1109/WSC.2006.323155 PG 3 WC Computer Science, Artificial Intelligence; Computer Science, Information Systems; Computer Science, Interdisciplinary Applications; Computer Science, Software Engineering SC Computer Science GA BGE17 UT WOS:000246261201040 ER PT S AU Boyd, JH Chang, C Smith, BD AF Boyd, John H. Chang, Chun Smith, Bruce D. BE Camera, G TI Deposit insurance and bank regulation in a monetary economy: a general equilibrium exposition SO RECENT DEVELOPMENTS ON MONEY AND FINANCE SE Studies in Economic Theory LA English DT Article; Book Chapter ID COSTLY STATE VERIFICATION; FINANCIAL INTERMEDIATION; UNIVERSAL BANKING; DEBT CONTRACTS AB It is commonly argued that poorly designed banking system safety nets are largely to blame for the frequency and severity of modern banking crises. For example, "underpriced" deposit insurance and/or low reserve requirements are often viewed as factors that encourage risk-taking by banks. In this paper, we study the effects of three policy variables: deposit insurance premia, reserve requirements and the way in which the costs of bank bailouts are financed. We show that when deposit insurance premia are low, the monetization of bank bailout costs may not be more inflationary than financing these costs out of general revenue. This is because, while monetizing the costs increases the inflation tax rate, higher levels of general taxation reduce savings, deposits, bank reserves, and the inflation tax base. Increasing the inflation tax rate obviously raises inflation, but so does an erosion of the inflation tax base. We also find that low deposit insurance premia or low reserve requirements may not be associated with a high rate of bank failure. C1 [Boyd, John H.; Chang, Chun] Univ Minnesota, Carlson Sch Management, Minneapolis, MN 55455 USA. [Chang, Chun] CCFR, Minneapolis, MN 55455 USA. [Smith, Bruce D.] Univ Texas Austin, Austin, TX 78712 USA. [Smith, Bruce D.] Fed Reserve Bank Cleveland, Austin, TX USA. RP Boyd, JH (reprint author), Univ Minnesota, Carlson Sch Management, Minneapolis, MN 55455 USA. EM jboyd@csom.umn.edu; cchang@csom.umn.edu NR 19 TC 0 Z9 0 U1 0 U2 0 PU SPRINGER-VERLAG BERLIN PI BERLIN PA HEIDELBERGER PLATZ 3, D-14197 BERLIN, GERMANY SN 1431-8849 BN 978-3-540-29500-6 J9 STUD ECON THEORY PY 2006 VL 24 BP 11 EP 38 D2 10.1007/3-540-29500-3 PG 28 WC Business, Finance; Economics SC Business & Economics GA BLJ69 UT WOS:000270317900002 ER PT S AU Williamson, SD AF Williamson, Stephen D. BE Camera, G TI Limited participation, private money, and credit in a spatial model of money SO RECENT DEVELOPMENTS ON MONEY AND FINANCE SE Studies in Economic Theory LA English DT Article; Book Chapter ID PAYMENTS SYSTEMS; LIQUIDITY AB The purpose of this paper is to explore the implications of private money issue for the effects of monetary policy, for optimal policy, and for the role of. at money. A locational model is constructed which gives an explicit account of the role for money and credit, and for limited financial market participation. When private money issue is prohibited, there is a liquidity effect as the result of a money injection from the central bank, but this effect goes away when private money is permitted. Private money issue changes dramatically the nature of optimal monetary policy. With private money,. at currency is no longer used in transactions involving goods, but currency and central bank reserves play an important part in the clearing and settlement of private money returned for redemption. C1 [Williamson, Stephen D.] Univ Iowa, Dept Econ, Iowa City, IA 52242 USA. [Williamson, Stephen D.] Fed Reserve Bank Richmond, Richmond, VA 23261 USA. RP Williamson, SD (reprint author), Univ Iowa, Dept Econ, Iowa City, IA 52242 USA. EM stephen-williamson@uiowa.edu NR 20 TC 0 Z9 0 U1 1 U2 1 PU SPRINGER-VERLAG BERLIN PI BERLIN PA HEIDELBERGER PLATZ 3, D-14197 BERLIN, GERMANY SN 1431-8849 BN 978-3-540-29500-6 J9 STUD ECON THEORY PY 2006 VL 24 BP 255 EP 273 D2 10.1007/3-540-29500-3 PG 19 WC Business, Finance; Economics SC Business & Economics GA BLJ69 UT WOS:000270317900013 ER PT J AU Ergungor, OE Thomson, JB AF Ergungor, O. Emre Thomson, James B. BE Chen, AH TI SYSTEMIC BANKING CRISES SO RESEARCH IN FINANCE, VOL 23 SE Research in Finance LA English DT Article; Book Chapter AB Systemic banking crises can have devastating effects on the economies of developing or industrialized countries. This paper reviews the factors that weaken banking systems and make them more susceptible to crises. It is the first of two papers examining root causes of banking crises and time-consistent policies for resolving them. C1 [Ergungor, O. Emre; Thomson, James B.] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Ergungor, OE (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 33 TC 2 Z9 2 U1 0 U2 0 PU EMERALD GROUP PUBLISHING LIMITED PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND BN 978-0-7623-1345-7 J9 RES FINANC PY 2006 VL 23 BP 279 EP 310 DI 10.1016/S0196-3821(06)23010-7 PG 32 WC Business, Finance SC Business & Economics GA BLR28 UT WOS:000270849600011 ER PT J AU Rudd, J Whelan, K AF Rudd, J Whelan, K TI Empirical proxies for the consumption-wealth ratio SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE budget constraint; return forecastability; cointegration; cay ID COINTEGRATION VECTORS; RISK PREMIA; TESTS AB Using a log-linearized approximation to an aggregate budget constraint, it is possible to show that the ratio of consumption to total (human and non-human) wealth summarizes agents' expectations concerning both future labor income and future asset returns. In a series of recent papers, Lettau and Ludvigson construct an empirical analogue to the consumption-wealth ratio by approximating total wealth with a linear combination of labor income and observable non-human wealth. If valid, this framework suggests that consumption, assets, and labor income will be cointegrated. We demonstrate, however, that standard tests fail to reject the hypothesis of no cointegration once one employs measures of consumption, assets, and labor income that are jointly consistent with an underlying budget constraint. We also show that deviations of consumption, assets, and income from an estimated common trend are unable to predict future excess returns on stocks out of sample once theoretically consistent measures are used. Crown Copyright (c) 2005 Published by Elsevier Inc. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Cent Bank, Dublin 2, Ireland. Financial Serv Author Ireland, Dublin 2, Ireland. RP Rudd, J (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM jeremy.b.rudd@frb.gov; karl.whelan@centralbank.ie NR 24 TC 17 Z9 17 U1 0 U2 1 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2006 VL 9 IS 1 BP 34 EP 51 DI 10.1016/j.red.2005.08.003 PG 18 WC Economics SC Business & Economics GA 000JJ UT WOS:000234457400002 ER PT J AU Krueger, D Perri, F AF Krueger, D Perri, F TI Does income inequality lead to consumption inequality? - Evidence and theory SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID INCOMPLETE MARKETS; RISK; INSURANCE; DEBT; COMMITMENT; EARNINGS AB Using data from the Consumer Expenditure Survey, we first document that the recent increase in income inequality in the U.S. has not been accompanied by a corresponding rise in consumption inequality. Much of this divergence is due to different trends in within-group inequality, which has increased significantly for income, but little for consumption. We then develop a simple framework that allows us to characterize analytically how within-group income inequality affects consumption inequality in a world in which agents can trade a full set of contingent consumption claims, subject to endogenous constraints emanating from the limited enforcement of intertemporal contracts. Finally, we quantitatively evaluate. in the context of a calibrated general equilibrium production economy. whether this set-up. or alternatively a standard incomplete markets model. can account for the documented stylized consumption inequality facts from the U.S. data. C1 Univ Frankfurt, D-6000 Frankfurt, Germany. Univ Penn, Philadelphia, PA 19104 USA. NBER, Cambridge, MA 02138 USA. NYU, New York, NY 10012 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Krueger, D (reprint author), Univ Frankfurt, D-6000 Frankfurt, Germany. NR 47 TC 176 Z9 176 U1 7 U2 33 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JAN PY 2006 VL 73 IS 1 BP 163 EP 193 DI 10.1111/j.1467-937X.2006.00373.x PG 31 WC Economics SC Business & Economics GA 052UA UT WOS:000238258200007 ER PT J AU Townsend, RM Ueda, K AF Townsend, RM Ueda, K TI Financial deepening, inequality, and growth: A model-based quantitative evaluation SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID ECONOMIC-DEVELOPMENT; INCOME; INTERMEDIATION; EQUILIBRIUM; CHOICE AB We propose a coherent unified approach to the study of the linkages among economic growth, financial structure, and inequality, bringing together disparate theoretical and empirical literature. That is, we show how to conduct model-based quantitative research on transitional paths. With analytical and numerical methods, we calibrate and make tractable a prototype canonical model and take it to an application, namely, Thailand 1976-1996. an emerging market economy in a phase of economic expansion with uneven financial deepening and increasing inequality. We look at the expected path generated by the model and conduct robustness experiments. Because the actual path of the Thai economy is imagined here to be just one realization of many possible histories of the model economy, we construct. covariance-normalized squared error metric of closeness and find the best-fit simulation. We also construct a confidence region from a set of simulations and formally test the model. We broadly replicate the actual data and identify anomalies. C1 Univ Chicago, Chicago, IL 60637 USA. Fed Res Bank, Chicago, IL USA. Int Monetary Fund, Washington, DC 20431 USA. RP Townsend, RM (reprint author), Univ Chicago, Chicago, IL 60637 USA. NR 46 TC 42 Z9 43 U1 3 U2 13 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JAN PY 2006 VL 73 IS 1 BP 251 EP 293 DI 10.1111/j.1467-937X.2006.00376.x PG 43 WC Economics SC Business & Economics GA 052UA UT WOS:000238258200010 ER PT B AU O'Brien, J Berkowitz, J AF O'Brien, James Berkowitz, Jeremy BE Carey, M Stulz, RM TI Estimating bank trading risk - A factor model approach SO Risks of Financial Institutions SE NATIONAL BUREAU OF ECONOMIC RESEARCH CONFERENCE REPORT LA English DT Proceedings Paper CT NBER Conference on the Risks of Financial Institutions CY OCT 22-23, 2005 CL Woodstock, VT SP NBER ID HEDGE FUNDS; MANAGEMENT C1 Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. NR 24 TC 2 Z9 2 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA BN 978-0-226-09285-0 J9 NBER CONF R PY 2006 BP 59 EP 101 PG 43 WC Business, Finance SC Business & Economics GA BFS88 UT WOS:000244443000003 ER PT B AU de Fontnouvelle, P Rosengren, ES Jordan, JS AF de Fontnouvelle, Patrick Rosengren, Eric S. Jordan, John S. BE Carey, M Stulz, RM TI Implications of alternative operational risk modeling techniques SO Risks of Financial Institutions SE NATIONAL BUREAU OF ECONOMIC RESEARCH CONFERENCE REPORT LA English DT Proceedings Paper CT NBER Conference on the Risks of Financial Institutions CY OCT 22-23, 2005 CL Woodstock, VT SP NBER ID INDEX C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 16 TC 2 Z9 2 U1 0 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA BN 978-0-226-09285-0 J9 NBER CONF R PY 2006 BP 475 EP 511 PG 37 WC Business, Finance SC Business & Economics GA BFS88 UT WOS:000244443000011 ER PT J AU Griffiths, MD Winters, DB AF Griffiths, Mark D. Winters, Drew B. BE Fong, HG TI THE YEAR-END PRICE OF RISK IN A MARKET FOR LIQUIDITY SO WORLD OF RISK MANAGEMENT LA English DT Article; Book Chapter ID FEDERAL-FUNDS; PREFERRED HABITAT; BEHAVIOR; RATES AB Musto (1997, Journal of Finance 52(4), 1861-1882) identifies a year-end effect in commercial paper (CP) and suggests that the price of risk may increase at the year-end. Griffiths and Winters (2003, Journal of Business, forthcoming) show that the timing of the year-end effect in CP is consistent with a preferred habitat for liquidity. However, Griffiths and Winters use data from only one risk class, so we extend their analysis by using spreads between different risk classes to determine if the price of risk does increase at the year-end. Using daily spreads between two risk classes of 7 day, 15 day, and 30 day non-financial CP, we find that the spread does increase at this time. However, the timing of the spread increases and decreases aligns with expectations consistent with a preferred habitat for liquidity at the year-end. This suggests that when liquidity is tight at the year-end, money market investors increase the price of risk. C1 [Griffiths, Mark D.] Miami Univ, Richard T Farmer Sch Business, Oxford, OH 45014 USA. [Winters, Drew B.] Texas Tech Univ, Fed Reserve Bank St Louis, Lubbock, TX 79409 USA. RP Griffiths, MD (reprint author), Miami Univ, Richard T Farmer Sch Business, Oxford, OH 45014 USA. EM griffitm@t-bird.edu NR 18 TC 0 Z9 0 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE BN 978-9-81270-086-5 PY 2006 BP 169 EP 182 PG 14 WC Business, Finance; Management SC Business & Economics GA BZB72 UT WOS:000301057200009 ER PT J AU Ashcraft, AB AF Ashcraft, AB TI Are banks really special? New evidence from the FDIC-induced failure of healthy banks SO AMERICAN ECONOMIC REVIEW LA English DT Article ID GREAT-DEPRESSION; CRISIS; STATES C1 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 NR 18 TC 61 Z9 61 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 DEC PY 2005 VL 95 IS 5 BP 1712 EP 1730 DI 10.1257/000282805775014326 PG 19 WC Economics SC Business & Economics GA 998FZ UT WOS:000234305300021 ER PT J AU Fernandez-Villaverde, J Rubio-Ramirez, JF AF Fernandez-Villaverde, J Rubio-Ramirez, JF TI Estimating dynamic equilibrium economies: Linear versus nonlinear likelihood SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID BAYESIAN-APPROACH; MODELS AB This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economics: a sequential Monte Carlo filter and the Kalman filter. The sequential Monte Carlo filter exploits the nonlinear structure of the economy and evaluates the likelihood function of the model by simulation methods. The Kalman filter estimates a linearization of the economy around the steady state. We report two main results. First, both for simulated and for real data, the sequential Monte Carlo filter delivers a substantially better fit of the model to the data as measured by the marginal likelihood. This is true even for a nearly linear case. Second, the differences in terms of point estimates, although relatively small in absolute values, have important effects on the moments of the model. We conclude that the nonlinear filter is a superior procedure for taking models to the data. Copyright (c) 2005 John Wiley & Sons, Ltd. C1 Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Fed Reserve Bank Atlanta, DepRes, Atlanta, GA 30309 USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, Dept Econ, 160 McNeil Bldg,3718 Locust Walk, Philadelphia, PA 19104 USA. EM jesusfv@econ.upenn.edu NR 35 TC 38 Z9 39 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 ECONOM JI J. Appl. Econom. PD DEC PY 2005 VL 20 IS 7 BP 891 EP 910 DI 10.1002/jae.814 PG 20 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 003OK UT WOS:000234691300004 ER PT J AU Botticini, M Eckstein, Z AF Botticini, M Eckstein, Z TI Jewish occupational selection: Education, restrictions, or minorities? SO JOURNAL OF ECONOMIC HISTORY LA English DT Review ID MAGHRIBI TRADERS; ECONOMICS; DIASPORA; RELIGION; GROWTH AB Before the eighth-ninth centuries CE, most Jews, like the rest of the population, were farmers. With the establishment of the Muslim Empire, almost all Jews entered urban occupations despite no restrictions prohibiting them from remaining in agriculture. This occupational selection remained their distinctive mark thereafter. Our thesis is that this transition away from agriculture into crafts and trade was the outcome of their widespread literacy prompted by a religious and educational reform in Judaism in the first and second centuries CE, which gave them a comparative advantage in urban, skilled occupations. We present evidence that supports our argument. C1 Boston Univ, Boston, MA 02215 USA. Univ Turin, I-10124 Turin, Italy. Tel Aviv Univ, IL-69978 Tel Aviv, Israel. Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. RP Botticini, M (reprint author), Boston Univ, 270 Bay State Rd, Boston, MA 02215 USA. EM maristel@bu.edu; eck-stein@post.tau.ac.il NR 115 TC 54 Z9 54 U1 1 U2 3 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD DEC PY 2005 VL 65 IS 4 BP 922 EP 948 PG 27 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 993IA UT WOS:000233946600002 ER PT J AU Lewis, EG AF Lewis, EG TI Guarding the golden door: American immigration policy and immigrants since 1882. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Lewis, EG (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD DEC PY 2005 VL 43 IS 4 BP 1077 EP 1079 PG 3 WC Economics SC Business & Economics GA 999JH UT WOS:000234385100013 ER PT J AU Berger, AN Espinosa-Vega, MA Frame, WS Miller, NH AF Berger, AN Espinosa-Vega, MA Frame, WS Miller, NH TI Debt maturity, risk, and asymmetric information SO JOURNAL OF FINANCE LA English DT Article ID CORPORATE-DEBT; LIQUIDITY RISK; DETERMINANTS; CREDIT; CHOICE; CONTRACT AB We test the implications of Flannery's (1986) and Diamond's (1991) models concerning the effects of risk and asymmetric information in determining debt maturity, and we examine the overall importance of informational asymmetries in debt maturity choices. We employ data on over 6,000 commercial loans from 53 large U.S. banks. Our results for low-risk firms are consistent with the predictions of both theoretical models, but our findings for high-risk firms conflict with the predictions of Diamond's model and with much of the empirical literature. Our findings also suggest a strong quantitative role for asymmetric information in explaining debt maturity. C1 Int Monetary Fund, Washington, DC 20431 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. Univ Calif Berkeley, Berkeley, CA 94720 USA. NR 32 TC 56 Z9 60 U1 1 U2 22 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-1082 J9 J FINANC JI J. Financ. PD DEC PY 2005 VL 60 IS 6 BP 2895 EP 2923 DI 10.1111/j.1540-6261.2005.00820.x PG 29 WC Business, Finance SC Business & Economics GA 982OB UT WOS:000233170400010 ER PT J AU Leitner, Y AF Leitner, Y TI Financial networks: Contagion, commitment, and private sector bailouts SO JOURNAL OF FINANCE LA English DT Article ID REPAYMENT INCENTIVES; JOINT LIABILITY; RISK; MODEL; EFFICIENCY; ECONOMIES; INSURANCE; LIQUIDITY; FRAGILITY; BANKING AB I develop a model of financial networks in which linkages not only spread contagion, but also induce private sector bailouts, where liquid banks bail out illiquid banks because of the threat of contagion. Introducing this bailout possibility, I show that linkages may be optimal ex ante because they allow banks to obtain some mutual insurance even though formal commitments are impossible. However, in some cases (e.g., when liquidity is concentrated among a small group of banks), the whole network may collapse. I also characterize the optimal network size and apply the results to joint liability arrangements and payment systems. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Leitner, Y (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 32 TC 60 Z9 62 U1 8 U2 39 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-1082 J9 J FINANC JI J. Financ. PD DEC PY 2005 VL 60 IS 6 BP 2925 EP 2953 DI 10.1111/j.1540-6261.2005.00821.x PG 29 WC Business, Finance SC Business & Economics GA 982OB UT WOS:000233170400011 ER PT J AU Carlson, JB Craig, BR Melick, WR AF Carlson, JB Craig, BR Melick, WR TI Recovering market expectations of FOMC rate changes with options on federal funds futures SO JOURNAL OF FUTURES MARKETS LA English DT Article; Proceedings Paper CT 15th Asian-Pacific Futures Research Symposium CY FEB 24-25, 2005 CL Hong Kong, PEOPLES R CHINA SP Kent State Univ, Hong Kong Baptist Univ, Lee Kong Chian Sch Business ID PRICES; TARGET; POLICY AB This article demonstrates how options on federal funds futures, which began trading in March 2003, can be used to recover the implied probability density function (PDF) for future Federal Open Market Committee (FOMC) interest-rate outcomes. The discrete nature of the choices made by the FOMC allows for a very straightforward recovery of the implied PDF using ordinary-least-squares (OLS) estimation. This simple recovery method stands in contrast to the relatively complicated PDF recovery techniques developed for options written on assets such as equities, foreign exchange, or commodity futures, where the underlying prices are most appropriately modeled as being drawn from continuous distributions. The OLS estimation is used to recover PDFs for single FOMC meetings as well as PDFs for joint estimation of multiple FOMC meetings, and allows for the imposition of restrictions on the recovered probabilities, both within and across FOMC meetings. Finally, recovered probabilities are used to assess the impact of data releases and Fed communication on the perceived likelihood of actual policy outcomes. (c) 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1203-1242, 2005. C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. Kenyon Coll, Dept Econ, Gambier, OH 43022 USA. RP Carlson, JB (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM john.b.carlson@clev.frb.org NR 20 TC 9 Z9 9 U1 0 U2 1 PU JOHN WILEY & SONS INC PI HOBOKEN PA 111 RIVER ST, HOBOKEN, NJ 07030 USA SN 0270-7314 J9 J FUTURES MARKETS JI J. Futures Mark. PD DEC PY 2005 VL 25 IS 12 BP 1203 EP 1242 DI 10.1002/fut.20187 PG 40 WC Business, Finance SC Business & Economics GA 980AH UT WOS:000232985800005 ER PT J AU Neiss, KS Nelson, E AF Neiss, KS Nelson, E TI Inflation dynamics, marginal cost, and the output gap: Evidence from three countries SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE inflation dynamics; marginal cost; output gap; New Keynsian Phillips curve ID OPTIMAL MONETARY-POLICY; HABIT FORMATION; PHILLIPS-CURVE; BUSINESS-CYCLE; PRICES; FRAMEWORK; MODELS AB Recent studies have argued that the New Keynesian Phillips curve (Calvo pricing model) is empirically valid, provided that real marginal cost rather than detrended output is used as the variable driving inflation. One interpretation of this result is that real marginal cost is not closely related to the output gap, and so models for monetary policy need to include labormarket rigidities. An alternative interpretation is that marginal cost and the output gap are closely related, but that the latter needs to be measured in a manner consistent with dynamic general equilibrium models. To date, there has been little econometric investigation of this alternative interpretation. This paper provides estimates of the New Keynesian Phillips curve for the U.S., the U.K., and Australia using theory-consistent estimates of the output gap. Using this theory to measure the output gap leads to a considerable improvement in the empirical performance of output-gapbased Phillips curves. C1 Fed Reserve Bank St Louis, St Louis, MO USA. EM Katharine.Neiss@bankofengland.co.uk; edward.nelson@stls.frb.org NR 31 TC 28 Z9 29 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD DEC PY 2005 VL 37 IS 6 BP 1019 EP 1045 DI 10.1353/mcb.2006.0008 PG 27 WC Business, Finance; Economics SC Business & Economics GA 993GH UT WOS:000233942100003 ER PT J AU McCallum, BT Nelson, E AF McCallum, BT Nelson, E TI Monetary and fiscal theories of the price level: The irreconcilable differences SO OXFORD REVIEW OF ECONOMIC POLICY LA English DT Article ID MULTIPLE-SOLUTION INDETERMINACIES; POLICY ANALYSIS AB The fiscal theory of the price level (FTPL) has attracted much attention but disagreement remains concerning its defining characteristics. Some writers have emphasized implications regarding interest-rate pegging and determinacy of rational expectations solutions, whereas others have stressed its capacity to generate equilibria in which price-level trajectories mimic those of bonds and differ drasticallyftom those ofmoney supplies. We argue that the FTPL attained prominence precisely because it appeared to provide a theory whose implications differ greatly from conventional monetary analysis; accordingly we review monetarist writings to identify the primary distinctions. In addition, we review recent findings concerning learnability-and therefore plausibility competing rational expectations equilibria. These indicate that when FTPL and monetarist equilibria differ, the latter are more plausible in the vast majority of cases. Under Ricardian assumptions, necessary for clear distinctions, theoretical analysis indicates that fiscal and monetary coordination is not necessary for macroeconomic stability. C1 Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. EM bmccallum@cmu.edu; edward.nelson@stls.frb.org NR 50 TC 4 Z9 4 U1 0 U2 3 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0266-903X EI 1460-2121 J9 OXFORD REV ECON POL JI Oxf. Rev. Econ. Policy PD WIN PY 2005 VL 21 IS 4 BP 565 EP 583 DI 10.1093/oxrep/gri032 PG 19 WC Economics SC Business & Economics GA 033XO UT WOS:000236888500006 ER PT J AU Polkovnichenko, V AF Polkovnichenko, V TI Household portfolio diversification: A case for rank-dependent preferences SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID EQUITY PREMIUM PUZZLE; PROSPECT-THEORY; RISK-AVERSION; SKEWNESS PREFERENCE; UTILITY; CHOICE; UNCERTAINTY; EQUILIBRIUM; PROBABILITY; SAFETY-1ST AB The proliferation of novel preference theories in financial economics is hampered by a lack of non-experimental evidence and by the theories' additional complexity which has not been shown to be critical in applications. In this article I present arguments in support of preferences with rank dependency. Using the Survey of Consumer Finances data, I document two widespread patterns inconsistent with expected utility: (i) many households simultaneously invest in well-deversified funds and in poorly-diversified portfolios of stocks; and (ii) some households with substantial savings do not invest anything in equities. I show that portfolio choice models with rank-dependent preferences, plausibly parameterized and under fully rational assumptions, are quantitatively consistent with the observed diversification. These results call for further efforts to integrate the models of rank-dependent preferences in portfolio theory and asset pricing. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Polkovnichenko, V (reprint author), Finance 3-122 CSOM,319 19th Ave S, Minneapolis, MN 55345 USA. EM polkovni@umn.edu NR 61 TC 69 Z9 70 U1 5 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 WIN PY 2005 VL 18 IS 4 BP 1467 EP 1502 DI 10.1093/rfs/hhi033 PG 36 WC Business, Finance; Economics SC Business & Economics GA 977QR UT WOS:000232818800010 ER PT J AU Hobijn, B Lagakos, D AF Hobijn, B Lagakos, D TI Inflation inequality in the United States SO REVIEW OF INCOME AND WEALTH LA English DT Article ID PRICE-INDEX; RATES AB Different spending patterns across households and differences in price increases across goods and services lead to unequal levels of inflation faced by different households. In this paper we measure the degree of inequality in inflation across U.S. households for the period 1987-2000. The broad picture that emerges from our results is that over our whole sample period there are substantial differences in the inflation experiences across U.S. households. We find that the cost of living increases were generally higher for the elderly, in large part because of their health care expenditures, and that the cost of living of poor households is most sensitive to the, historically large, fluctuations in gasoline prices. Still, when looking at the whole population, we find that individual households that are confronted with high inflation in one year do not generally face high inflation in the subsequent year as well. C1 Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. Univ Calif Los Angeles, Los Angeles, CA 90024 USA. RP Hobijn, B (reprint author), Fed Reserve Bank New York, Res & Stat Grp, 33 Liberty St,3rd Floor, New York, NY 10045 USA. EM bart.hobijn@ny.frb.org NR 27 TC 5 Z9 5 U1 0 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6586 J9 REV INCOME WEALTH JI Rev. Income Wealth PD DEC PY 2005 IS 4 BP 581 EP 606 PG 26 WC Economics SC Business & Economics GA 988TA UT WOS:000233622500006 ER PT J AU Monnet, C Quintin, E AF Monnet, C Quintin, E TI Optimal contracts in a dynamic costly state verification model SO ECONOMIC THEORY LA English DT Article DE dynamic contracts; theory of uncertainty and information; costly state verification; monitoring ID DEBT CONTRACTS; INSURANCE AB This paper describes optimal contracts in a dynamic costly state veri. cation model with stochastic monitoring. An agent operates a risky project on behalf of a principal who can observe the project's revenues at a cost. We show that an optimal contract exists such that, at any history, either the principal claims the project's entire revenues or promises to claim nothing in the future. In particular, the agent's expected income rises with time. Moreover, except in at most one period, the principal claims all revenues when audit occurs. We provide conditions under which all optimal contracts satisfy these properties. C1 European Cent Bank, Res Dept, D-60066 Frankfurt, Germany. Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Monnet, C (reprint author), European Cent Bank, Res Dept, Postfach 16 03 19, D-60066 Frankfurt, Germany. EM Cyril.Monnet@ecb.int; Erwan.Quintin@dal.frb.org NR 16 TC 13 Z9 13 U1 1 U2 5 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD NOV PY 2005 VL 26 IS 4 BP 867 EP 885 DI 10.1007/s00199-004-0535-z PG 19 WC Economics SC Business & Economics GA 884XJ UT WOS:000226119700006 ER PT J AU Kahn, CM Santos, JAC AF Kahn, CM Santos, JAC TI Allocating bank regulatory powers: Lender of last resort, deposit insurance and supervision SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE lender of last resort; deposit insurance; bank regulation and supervision ID DISCOUNT WINDOW; LIQUIDITY; RISK; REORGANIZATION; POLICIES; DEBT AB We examine the optimal institutional allocation of bank regulation. We find that centralizing the lending of last resort and deposit insurance functions in a regulator leads to excessive forbearance. It also leads the bank to invest suboptimally in loans. Giving this regulator supervision improves on both problems, but it still does not lead to the efficient outcome. In the multi-regulator arrangement, we find that it is beneficial to give supervision to the deposit insurer. The choice between the unified-regulator arrangement and the multi-regulator arrangement involves a trade-off: The multi-regulator arrangement reduces the forbearance problem at high levels of liquidity shortage but may exacerbate it at low levels. These results assume the absence of information frictions. When banks are better informed than regulators, we show that regulators may have an incentive not to share private information, suggesting it is important to consider regulators' informational advantages when deciding on the allocation of regulation, (c) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Univ Illinois, Champaign, IL 61820 USA. RP Santos, JAC (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM joao.santos@ny.frb.org RI Santos, Joao/B-6135-2009; nipe, cef/A-4218-2010; OI santos, joao/0000-0002-6002-5969 NR 39 TC 32 Z9 32 U1 5 U2 19 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD NOV PY 2005 VL 49 IS 8 BP 2107 EP 2136 DI 10.1016/j.euroecorev.2004.10.004 PG 30 WC Economics SC Business & Economics GA 979AC UT WOS:000232913500009 ER PT J AU Poole, W AF Poole, W TI How predictable is fed policy? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article C1 Fed Reserve Bank, St Louis, MO 63102 USA. RP Poole, W (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. NR 1 TC 9 Z9 9 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 NOV-DEC PY 2005 VL 87 IS 6 BP 659 EP 668 PG 10 WC Business, Finance; Economics SC Business & Economics GA 987JK UT WOS:000233514000001 ER PT J AU Guo, H Kliesen, KL AF Guo, H Kliesen, KL TI Oil price volatility and US macroeconomic activity SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID INVESTMENT; MARKET; UNEMPLOYMENT; MODEL AB Oil shocks exert influence on macroeconomic activity through various channels, many of which imply a symmetric effect. However, the effect can also be asymmetric. In particular, sharp oil price changes-either increases or decreases-may reduce aggregate output temporarily because they delay business investment by raising uncertainty or induce costly sectoral resource reallocation. Consistent with these asymmetric-effect hypotheses, the authors find that a volatility measure constructed using daily crude oil futures prices has a negative and significant effect on future gross domestic product (GDP) growth over the period 1984-2004. Moreover, the effect becomes more significant after oil price changes are also included in the regression to control for the symmetric effect. The evidence here provides economic rationales for Hamilton's (2003) nonlinear oil shock measure: It captures overall effects, both symmetric and asymmetric, of oil price shocks on output. C1 Fed Reserve Bank, St Louis, MO 63102 USA. RP Guo, H (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 26 TC 31 Z9 32 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2005 VL 87 IS 6 BP 669 EP 683 PG 15 WC Business, Finance; Economics SC Business & Economics GA 987JK UT WOS:000233514000002 ER PT J AU Neely, CJ AF Neely, CJ TI An analysis of recent studies of the effect of foreign exchange intervention SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID CENTRAL BANK INTERVENTIONS; DEPENDENT-VARIABLES; US INTERVENTION; MONETARY-POLICY; MARKET; MODEL; FRICTION; RATES AB Two recent strands of research have contributed to our understanding of the effects of foreign exchange intervention: (i) the use of high-frequency data and (ii) the use of event studies to evaluate the effects of intervention. This article surveys recent empirical studies of the effect of foreign exchange intervention and analyzes the implicit assumptions and limitations of such work. After explicitly detailing such drawbacks, the paper suggests ways to better investigate the effects of intervention. C1 Fed Reserve Bank, St Louis, MO 63102 USA. RP Neely, CJ (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 67 TC 33 Z9 34 U1 0 U2 8 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2005 VL 87 IS 6 BP 685 EP 717 PG 33 WC Business, Finance; Economics SC Business & Economics GA 987JK UT WOS:000233514000003 ER PT J AU Belaygorod, A Dueker, MJ AF Belaygorod, A Dueker, MJ TI Discrete monetary policy changes and changing inflation targets in estimated dynamic Stochastic general equilibrium models SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT DSGE Conference 2004 CY NOV, 2004 CL Bundesbank, GERMANY SP DSGE ID NOMINAL RIGIDITIES; BUSINESS CYCLES; RULES; US AB Many estimated macroeconomic models assume interest rate smoothing in the monetary policy equation. In practice, monetary policymakers adjust a target level for the federal funds rate by discrete increments. One often-neglected consequence of using a quarterly average of the daily federal funds rate in empirical work is that any change in the target federal funds rate will affect the quarterly average in the current quarter and the subsequent quarter. Despite this clear source of predictable change in the quarterly average of the federal funds rate, the vast bulk of the literature that estimates policy rules ignores information concerning the timing and magnitude of discrete changes to the target federal funds rate. Consequently, policy equations that include interest rate smoothing inadvertently make the strong and unnecessary assumption that the starting point for interest rate smoothing is last quarter's average level of the federal funds rate. The authors consider, within an estimated general equilibrium model, whether policymakers put weight on the end-of-quarter target level of the federal funds rate when choosing a point at which to smooth the interest rate. C1 Washington Univ, John M Olin Sch Business, St Louis, MO 63130 USA. Fed Reserve Bank, St Louis, MO USA. RP Washington Univ, John M Olin Sch Business, St Louis, MO 63130 USA. NR 27 TC 0 Z9 0 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2005 VL 87 IS 6 BP 719 EP 733 PG 15 WC Business, Finance; Economics SC Business & Economics GA 987JK UT WOS:000233514000004 ER PT J AU Anderson, RG Buol, J AF Anderson, RG Buol, J TI Revisions to user costs for the Federal Reserve Bank of St. Louis monetary services indices SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONEY AB This analysis discusses recent changes to the user cost figures that are computed as part of the Federal Reserve Bank of St. Louis monetary services indices (MSI). The authors first introduce an alternative splicing procedure, robust to differences in scale between series, for those price subindices which, individually, have a time span shorter than the overall MSI but are spliced to span the entire period. They then correct an error in the calculation of user costs for money market mutual funds that caused these funds' user costs to be based, for a considerable period of time, on the last-reported value for one input data series. Finally, the authors also restore the yield-curve adjustment for composite assets, which they removed from published data during 2004 as they explored the unusual behavior of the user cost data for small-denomination time deposits. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Anderson, RG (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 18 TC 8 Z9 9 U1 3 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 2005 VL 87 IS 6 BP 735 EP 749 PG 15 WC Business, Finance; Economics SC Business & Economics GA 987JK UT WOS:000233514000005 ER PT J AU Prescott, EC Rios-Rull, JV AF Prescott, EC Rios-Rull, JV TI On equilibrium for overlapping generations organizations SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID TRANSFER INSTITUTIONS; CORE; MODEL AB Necessary conditions for equilibrium are that beliefs about the behavior of other agents are rational and individuals maximize. We argue that in stationary OLG environments this implies that any future generation in the same situation as the initial generation must do as well as the initial generation did in that situation. We conclude that the existing equilibrium concepts in the literature do not satisfy this condition. We then propose an alternative equilibrium concept, organizational equilibrium that satisfies this condition. We show that equilibrium exists, it is unique, and it improves over autarky without achieving optimality. Moreover, the equilibrium can be readily found by solving a maximization program. C1 Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Arizona State Univ, Tempe, AZ 85287 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Rios-Rull, JV (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM vr0j@econ.upenn.edu NR 16 TC 1 Z9 1 U1 1 U2 5 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2005 VL 46 IS 4 BP 1065 EP 1080 DI 10.1111/j.1468-2354.2005.00360.x PG 16 WC Economics SC Business & Economics GA 977BG UT WOS:000232776800001 ER PT J AU Orphanides, A Williams, JC AF Orphanides, A Williams, JC TI Expectations, learning and monetary policy SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Editorial Material C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Orphanides, A (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. EM athanasios.orphanides@frb.gov; john.c.williams@sf.frb.org RI Williams, John/A-8226-2009 NR 2 TC 10 Z9 10 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 NOV PY 2005 VL 29 IS 11 BP 1807 EP 1808 DI 10.1016/j.jedc.2005.06.009 PG 2 WC Economics SC Business & Economics GA 980LE UT WOS:000233019200001 ER PT J AU Bullard, J Cho, IK AF Bullard, J Cho, IK TI Escapist policy rules SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article; Proceedings Paper CT Workshop on Learning and Model Misspecification CY FEB 01-04, 2001 CL Cleveland, OH DE learning; monetary policy rules; escape dynamics ID MONETARY-POLICY; CONVERGENCE AB We study a simple, microfounded macroeconomic system in which the monetary authority employs a Taylor-type policy rule. We analyze situations in which the self-confirming equilibrium is unique and learnable, and explore the prospects for the use of 'large deviation' theory. We show that the system can sometimes depart from the self-confirming equilibrium towards a non-equilibrium outcome characterized by persistently low nominal interest rates and persistently low inflation. These events that have some of the properties of 'liquidity traps' observed in the data, even though the policymaker remains committed to a Taylor-type policy rule which otherwise has desirable stabilization properties. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Res Bank St Louis, Res Dept, St Louis, MO 63102 USA. Univ Illinois, Dept Econ, Champaign, IL 61820 USA. RP Fed Res Bank St Louis, Res Dept, 411 Locust St, St Louis, MO 63102 USA. EM bullard@stls.frb.org; inkoocho@uiuc.edu RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 27 TC 12 Z9 12 U1 0 U2 1 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 NOV PY 2005 VL 29 IS 11 BP 1841 EP 1865 DI 10.1016/j.jedc.2005.06.007 PG 25 WC Economics SC Business & Economics GA 980LE UT WOS:000233019200003 ER PT J AU Orphanides, A Williams, JC AF Orphanides, A Williams, JC TI The decline of activist stabilization policy: Natural rate misperceptions, learning, and expectations SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE monetary policy; stagflation; rational expectations; learning ID MONETARY-POLICY; MACROECONOMIC STABILITY; GREAT INFLATION; TAYLOR RULE; REAL-TIME; UNCERTAINTY; INFORMATION; OUTPUT; MODEL AB We develop an estimated model of the U.S. economy in which agents form expectations by continually updating their beliefs regarding the behavior of the economy and monetary policy. We explore the effects of policymakers' misperceptions of the natural rate of unemployment during the late 1960s and 1970s on the formation of expectations and macroeconomic outcomes. We find that the combination of monetary policy directed at tight stabilization of unemployment near its perceived natural rate and large real-time errors in estimates of the natural rate uprooted heretofore quiescent inflation expectations and contributed to poor macroeconomic performance. Had monetary policy reacted less aggressively to perceived unemployment gaps, inflation expectations would have remained anchored and the stagflation of the 1970s would have been avoided. Indeed, we find that less activist policies would have been more effective at stabilizing both inflation and unemployment. We argue that policymakers, learning from the experience of the 1970s, eschewed activist policies in favor of policies that concentrated on the achievement of price stability, contributing to the subsequent improvements in macroeconomic performance of the U.S. economy. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Fed Res Bank San Francisco, San Francisco, CA 94105 USA. RP Orphanides, A (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM Athanasios.Orphanides@frb.gov; John.C.Williams@sf.frb.org RI Williams, John/A-8226-2009 NR 63 TC 69 Z9 69 U1 6 U2 12 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD NOV PY 2005 VL 29 IS 11 BP 1927 EP 1950 DI 10.1016/j.jedc.2005.06.004 PG 24 WC Economics SC Business & Economics GA 980LE UT WOS:000233019200006 ER PT J AU Kozicki, S Tinsley, PA AF Kozicki, S Tinsley, PA TI Permanent and transitory policy shocks in an empirical macro model with asymmetric information SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article; Proceedings Paper CT Joint Meeting of the Society-of-Government-Economists/116th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2004 CL San Diego, CA SP Soc Govt Economists, Amer Econ Assoc DE learning; policy credibility; time-varying natural rate; shifting endpoint; inflation target ID MONETARY-POLICY; INTEREST-RATES; TERM STRUCTURE; INFLATION; EXPECTATIONS; CREDIBILITY; SHIFTS; REGIMES; RULES; TESTS AB An empirical model that allows for shifts in the inflation target and imperfect policy credibility is estimated. Imperfect credibility, defined by differences between the perceived and actual inflation target, obtains because private agents cannot correctly distinguish between permanent target shocks and transitory funds rate shocks. Learning affects responses to structural shocks. Important features include the absence of a price puzzle, permanent nominal effects of aggregate supply shocks due to partial policy accommodation, and the ability to examine responses to a permanent target change and expectations shocks. Perceptions of permanent target shocks explain sizable movements in bond yields and inflation. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Res Bank Kansas City, Kansas City, MO 64198 USA. George Washington Univ, Dept Econ, Washington, DC 20052 USA. RP Kozicki, S (reprint author), Fed Res Bank Kansas City, 925 Grand Blvd, Kansas City, MO 64198 USA. EM sharon.kozicki@kc.frb.org NR 52 TC 29 Z9 31 U1 2 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 NOV PY 2005 VL 29 IS 11 BP 1985 EP 2015 DI 10.1016/j.jedc.2005.06.003 PG 31 WC Economics SC Business & Economics GA 980LE UT WOS:000233019200008 ER PT J AU Farmer, REA Lahiri, A AF Farmer, REA Lahiri, A TI Recursive preferences and balanced growth SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE recursive preferences; balanced growth; general equilibrium ID SMALL OPEN-ECONOMY; UTILITY AB We study a class of utility functions that are defined recursively by an aggregator W (x, y) where u(t) = W (c(t), u(t+1)). In single-agent economies it is known that a sufficient condition for the existence of a balanced growth path is that utility should be homogenous of degree y. In the context of a multi-agent economy we show that this restriction implies that either a balanced growth equilibrium fails to exist or all agents have the same constant discount factor. We suggest a generalization of recursive preferences wherein the intertemporal utility function is time dependent. Within this class we establish that there may exist a balanced growth equilibrium even if agents are different. (c) 2004 Elsevier Inc. All rights reserved. C1 Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. Fed Reserve Bank New York, New York, NY USA. RP Farmer, REA (reprint author), Univ Calif Los Angeles, Dept Econ, 8283 Bunche Hall, Los Angeles, CA 90095 USA. EM rfarmer@econ.ucla.edu; amartya.lahiri@ny.frb.org NR 15 TC 1 Z9 1 U1 3 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 NOV PY 2005 VL 125 IS 1 BP 61 EP 77 DI 10.1016/j.jet.2004.08.002 PG 17 WC Economics SC Business & Economics GA 984MY UT WOS:000233310200003 ER PT J AU Ennis, HM Keister, T AF Ennis, HM Keister, T TI Optimal fiscal policy under multiple equilibria SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE coordination problems; equilibrium selection; search and matching; taxation ID COORDINATION FAILURES; STRATEGIC UNCERTAINTY; SUNSPOT EQUILIBRIA; GREAT-DEPRESSION; GAMES; SELECTION; ECONOMY; CYCLES; MATTER AB We study optimal fiscal policy in an economy where (i) search frictions create a coordination problem and generate multiple, Pareto-ranked equilibria and (ii) the government finances the provision of a public good by taxing market activity. The government must choose the tax rate before it knows which equilibrium will obtain, and therefore an important part of the problem is determining how the policy will affect the equilibrium selection process. We show that when the equilibrium selection rule is based on the concept of risk dominance, higher tax rates make coordination on the Pareto-superior outcome less likely. As a result, taking equilibrium-selection effects into account leads to a lower optimal tax rate. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. ITAM, Ctr Invest Econ, Bangkok 10700, Thailand. RP Ennis, HM (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM huberto.ennis@rich.frb.org; keister@itam.mx RI Keister, Todd/B-5951-2008 NR 29 TC 3 Z9 3 U1 3 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2005 VL 52 IS 8 BP 1359 EP 1377 DI 10.1016/j.jmoneco.2004.08.006 PG 19 WC Business, Finance; Economics SC Business & Economics GA 994XQ UT WOS:000234064900001 ER PT J AU Huang, KXD Liu, Z AF Huang, KXD Liu, Z TI Inflation targeting: What inflation rate to target? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE inflation targeting; CPI; PPI; optimal monetary policy; implementation; welfare ID OPTIMAL MONETARY-POLICY; SIMPLE FRAMEWORK; PRICES; RESPONSES; SHOCKS; WAGES; MODEL AB In an economy with nominal rigidities in both an intermediate good sector and a finished good sector, and thus with a natural distinction between CPI and PPI inflation rates, a benevolent central bank faces a tradeoff between stabilizing the two measures of inflation, a final output gap and, unique to our model, a real marginal cost gap in the intermediate sector, so that optimal monetary policy is second-best. We discuss how to implement the optimal policy with minimal information requirement and evaluate the robustness of these simple rules when the central bank may not know the exact sources of shocks or nominal rigidities. A main finding is that a simple hybrid rule under which the short-term interest rate responds to CPI inflation and PPI inflation results in a welfare level close to the optimum, whereas policy rules that ignore PPI inflation or PPI sector shocks can result in significant welfare losses. (c) 2005 Elsevier B.V. All rights reserved. C1 Emory Univ, Dept Econ, Atlanta, GA 30322 USA. Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Emory Univ, Dept Econ, Atlanta, GA 30322 USA. EM zheng.liu@emory.edu NR 26 TC 29 Z9 30 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2005 VL 52 IS 8 BP 1435 EP 1462 DI 10.1016/j.jmoneco.2004.08.008 PG 28 WC Business, Finance; Economics SC Business & Economics GA 994XQ UT WOS:000234064900004 ER PT J AU Kim, J Henderson, DW AF Kim, J Henderson, DW TI Inflation targeting and nominal-income-growth targeting: When and why are they suboptimal? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE optimal monetary policy; interest-rate rule; inflation targeting; nominal-income-growth targeting; wage and price contracts ID MONETARY-POLICY; OPTIMIZING MODEL; BUSINESS-CYCLE; MACRO MODEL; CONTRACTS; WELFARE; RULES; WAGE AB We compare optimal and simple interest-rate rules. Our model features optimizing agents, monopolistic competition in both product and labor markets, and one-period nominal contracts (for wages alone or for both wages and prices) signed before shocks are known. Exact solutions ensure that we obtain correct welfare rankings. Optimal rules maximize the unconditional expected utility of the representative agent with commitment subject to the information set of the policymaker. Even with monopolistic distortions, the optimal full-information rule makes the economy mimic the hypothetical full-flexibility equilibrium. Strict versions of inflation targeting, nominal-income-growth targeting, and other such simple rules are suboptimal under both full and partial information but flexible versions are optimal under certain partial-information assumptions. Nominal-income-growth targeting dominates inflation targeting for plausible parameter values. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Fed Reserve Board, Washington, DC 20551 USA. EM dale.henderson@frb.gov NR 43 TC 13 Z9 13 U1 1 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2005 VL 52 IS 8 BP 1463 EP 1495 DI 10.1016/j.jmoneco.2004.08.010 PG 33 WC Business, Finance; Economics SC Business & Economics GA 994XQ UT WOS:000234064900005 ER PT J AU Bajari, P Benkard, CL Krainer, J AF Bajari, P Benkard, CL Krainer, J TI House prices and consumer welfare SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE house price appreciation; inflation; cost of living ID INFLATION; MARKET AB We develop a new approach to measuring changes in consumer welfare due to changes in the price of owner-occupied housing. In our approach, an agent's welfare adjustment is defined as the transfer required to keep expected discounted utility constant given a change in current house prices. We demonstrate that, up to a first-order approximation, there is no aggregate change in welfare due to price increases in the existing housing stock. This follows from a simple market clearing condition where capital gains experienced by sellers are exactly offset by welfare losses to buyers. We show that this result holds (approximately) even in a model that accounts for changes in consumption and investment plans prompted by current house price changes. There can, however, be changes in welfare due to additions to the stock of housing, or to changes in the price of renovating and upgrading the existing stock of housing. For the United States, we estimate the welfare cost of house price appreciation to be an average of $127 per household per year over the 1984-1998 period. (c) 2005 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA. Univ Michigan, Dept Econ, Ann Arbor, MI USA. NBER, Cambridge, MA 02138 USA. RP Krainer, J (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM john.krainer@sf.frb.org NR 15 TC 26 Z9 26 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 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD NOV PY 2005 VL 58 IS 3 BP 474 EP 487 DI 10.1016/j.jue.2005.08.008 PG 14 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 986RQ UT WOS:000233467800006 ER PT J AU Garrett, TA Wagner, GA Wheelock, DC AF Garrett, TA Wagner, GA Wheelock, DC TI A spatial analysis of state banking regulation SO PAPERS IN REGIONAL SCIENCE LA English DT Article DE branch banking; interstate banking; spatial econometrics ID TAX COMPETITION; REGRESSION; AUTOCORRELATION; DEREGULATION; COEFFICIENTS; PRESSURE; PROBIT AB We use a spatial model to investigate a state's choice of branch banking and interstate banking regimes as a function of the regime choices made by other states and other variables suggested in the literature. We extend the basic spatial econometric model by allowing spatial dependence to vary by geographic region. Our findings reveal that spatial effects have a large, statistically significant impact on state regulatory regime decisions. The importance of spatial correlation in the setting of state banking policies suggests the need to consider spatial effects in empirical models of state policies in general. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. Univ N Carolina, Sch Govt, Chapel Hill, NC 27599 USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM tom.a.garrett@stls.frb.org; gary-wagner@unc.edu; david.c.wheelock@stls.frb.org RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 25 TC 9 Z9 9 U1 0 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1056-8190 J9 PAP REG SCI JI Pap. Reg. Sci. PD NOV PY 2005 VL 84 IS 4 BP 575 EP 595 DI 10.1111/j.1435-5957.2005.00022.x PG 21 WC Economics; Environmental Studies; Geography SC Business & Economics; Environmental Sciences & Ecology; Geography GA 000DC UT WOS:000234440100003 ER PT J AU Crone, TM Clayton-Matthews, A AF Crone, TM Clayton-Matthews, A TI Consistent economic indexes for the 50 states SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article; Proceedings Paper CT Symposium on Regional Economic Indicators CY SEP 04-05, 2003 CL Philadelphia, PA SP Fed Reserve Bank Phila AB Regional economists regularly confront the practical problem of using disparate data on economic activity to obtain a coherent picture of the state of the economy and the factors that influence regional economic growth. These data typically come from different sources, each with their own conceptual limitations, measurement frequencies, and historical spans. Thus an important practical challenge facing regional economists is combining these different sources of data to provide a timely and accurate measure of regional economic activity. The articles in this symposium make significant advances in the construction, dissemination, and use of monthly indexes of economic activity for the U.S. states. As the articles illustrate, these new indexes introduce new possibilities for forecasting and analyzing regional economic business cycles. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. Univ Massachusetts, Boston, MA 02125 USA. RP Clayton-Matthews, A (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 20 TC 20 Z9 21 U1 0 U2 3 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 2005 VL 87 IS 4 BP 593 EP 603 DI 10.1162/003465305775098242 PG 11 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 992GH UT WOS:000233871900002 ER PT J AU Stock, JH AF Stock, JH TI Symposium on regional economic indicators SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Editorial Material C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. Univ Massachusetts, Boston, MA 02125 USA. RP Stock, JH (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 0 TC 0 Z9 0 U1 0 U2 1 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 2005 VL 87 IS 4 BP 593 EP 593 PG 1 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 992GH UT WOS:000233871900001 ER PT J AU Owyang, MT Piger, J Wall, HJ AF Owyang, MT Piger, J Wall, HJ TI Business cycle phases in US States SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article; Proceedings Paper CT Symposium on Regional Economic Indicators CY SEP 04-05, 2003 CL Philadelphia, PA SP Fed Reserve Bank Phila ID MONETARY-POLICY; TURNING-POINTS; TIME-SERIES; FLUCTUATIONS; COINCIDENT AB The U.S. aggregate business cycle is often characterized as a series of distinct recession and expansion phases. We apply a regime-switching model to state-level coincident indices to characterize state business cycles in this way. We find that states differ a great deal in the levels of growth that they experience in the two phases: Recession growth rates are related to industry mix, whereas expansion growth rates are related to education and age composition. Further, states differ significantly in the timing of switches between regimes, indicating large differences in the extent to which state business cycle phases are in concord with those of the aggregate economy. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Wall, HJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. 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 24 TC 55 Z9 55 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 2005 VL 87 IS 4 BP 604 EP 616 DI 10.1162/003465305775098198 PG 13 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 992GH UT WOS:000233871900003 ER PT J AU Crone, TM AF Crone, TM TI An alternative definition of economic regions in the United States based on similarities in state business cycles SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article; Proceedings Paper CT Symposium on Regional Economic Indicators CY SEP 04-05, 2003 CL Philadelphia, PA SP Fed Reserve Bank Phila ID MONETARY-POLICY; FLUCTUATIONS; ALGORITHM; TIME AB Since the 1950s the Bureau of Economic Analysis (BEA) has grouped the states into eight regions based primarily on cross-sectional similarities in their socioeconomic characteristics. This paper groups states into regions based on the similarities in their business cycles. We applied k-means cluster analysis to the cyclical components of Stock-Watson-type indices estimated at the state level to group the 48 contiguous states into eight regions with similar cycles. We then compare the cohesion of the regions so defined with the cohesion of the BEA regions. Finally, we examine how that definition affects the results of some recent regional business cycle analysis. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Crone, TM (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 30 TC 28 Z9 28 U1 0 U2 3 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 2005 VL 87 IS 4 BP 617 EP 626 DI 10.1162/003465305775098224 PG 10 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 992GH UT WOS:000233871900004 ER PT J AU Rich, R Bram, J Haughwout, A Orr, J Rosen, R Sela, R AF Rich, R Bram, J Haughwout, A Orr, J Rosen, R Sela, R TI Using regional economic indexes to forecast tax bases: Evidence from New York SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article; Proceedings Paper CT Symposium on Regional Economic Indicators CY SEP 04-05, 2003 CL Philadelphia, PA SP Fed Reserve Bank Phila ID COINTEGRATION VECTORS AB This paper evaluates the use of measures of regional economic activity to forecast tax revenues for New York State and New York City at 3-, 6-, and 12-month horizons. We construct sales- and withholding-tax base series and then apply the methodology of Stock and Watson (1989, 1991) to estimate regional indexes of coincident economic indicators. Employing an out-of-sample forecasting framework, we find that the use of the coincident indexes leads to statistically and economically significant improvements in tax base forecasts compared to those generated from univariate autoregressions. In addition, the coincident indexes produce forecasts that are generally more accurate than forecasts that rely on the use of the coincident indicators separately. Though our analysis focuses on forecasting movements in tax revenue at the state or local level, it is also intended to draw attention to the value the indexes may provide in other applications. C1 Fed Reserve Bank New York, New York, NY 10045 USA. NYU, Leonard K Stern Sch Business, New York, NY USA. RP Sela, R (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 21 TC 1 Z9 1 U1 1 U2 12 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD NOV PY 2005 VL 87 IS 4 BP 627 EP 634 DI 10.1162/003465305775098215 PG 8 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 992GH UT WOS:000233871900005 ER PT J AU Campa, JM Goldberg, LS AF Campa, JM Goldberg, LS TI Exchange rate pass-through into import prices SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID MONETARY-POLICY; STRUCTURAL-CHANGE; PARAMETER; ECONOMY; MARKET; TRADE; TESTS AB We provide cross-country and time series evidence on the extent of exchange rate pass-through into the import prices of 23 OECD countries. We find compelling evidence of partial pass-through in the short run, especially within manufacturing industries. Over the long run, producer currency pricing is more prevalent for many types of imported goods. Countries with higher rates of exchange rate volatility have higher pass-through elasticities, although macroeconomic variables have played a minor role in the evolution of pass-through elasticities over time. Far more important for pass-through changes in these countries have been the dramatic shifts in the composition of country import bundles. C1 Fed Reserve Bank New York, New York, NY 10045 USA. NBER, Cambridge, MA 02138 USA. NR 26 TC 209 Z9 216 U1 6 U2 24 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 2005 VL 87 IS 4 BP 679 EP 690 DI 10.1162/003465305775098189 PG 12 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 992GH UT WOS:000233871900009 ER PT J AU Cole, HL Kocherlakota, NR AF Cole, HL Kocherlakota, NR TI Finite memory and imperfect monitoring SO GAMES AND ECONOMIC BEHAVIOR LA English DT Article ID REPEATED GAMES; STRATEGIES AB In this paper, we consider a class of infinitely repeated games with imperfect public monitoring. We look at strongly symmetric perfect public equilibria with memory K: equilibria in which strategies are restricted to depend only on the last K observations of public signals. Define Gamma(K) to be the set of payoffs of equilibria with memory K. We show that for some parameter settings, Gamma(K) = Gamma(infinity) for sufficiently large K. However, for other parameter settings, we show that not only is lim(K) (-> infinity) Gamma(K) not equal Gamma(infinity), but that Gamma(k) is a singleton. Moreover, this last result is essentially independent of the discount factor. (c) 2004 Elsevier Inc. All rights reserved. C1 Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. NBER, Cambridge, MA 02138 USA. Stanford Univ, Stanford, CA 94305 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. RP Cole, HL (reprint author), Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. EM hlcole@econ.ucla.edu NR 10 TC 14 Z9 14 U1 0 U2 1 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0899-8256 J9 GAME ECON BEHAV JI Games Econ. Behav. PD OCT PY 2005 VL 53 IS 1 BP 59 EP 72 DI 10.1016/j.geb.2004.07.001 PG 14 WC Economics SC Business & Economics GA 977SL UT WOS:000232823400004 ER PT J AU Thornton, DL AF Thornton, DL TI Tests of the expectations hypothesis: Resolving the anomalies when the short-term rate is the federal funds rate SO JOURNAL OF BANKING & FINANCE LA English DT Article DE expectations hypothesis; settlement Wednesdays; federal funds rate ID MONETARY-POLICY; MARKET; MODELS AB The expectations hypothesis (EH) of the term structure plays an important role in the analysis of monetary policy, where shorter-term rates are assumed to be determined by the market's expectation for the overnight federal funds rate. With two exceptions, tests using the effective federal funds rate as the short-term rate easily reject the EH. These exceptions are when the EH is tested over the nonborrowed reserve targeting period and when the test is performed only using data for settlement Wednesdays - the last day of bank reserve maintenance period. This paper argues that these exceptions are anomalous: in the former case, the failure to reject the EH occurs when economic analysis suggests that the market should be less able to forecast the federal funds rate. In the latter case, it occurs when there are sharp spikes in the funds rate that cannot improve materially the market's ability to forecast the funds rate. Additional analysis shows that these anomalous results are a consequence of the procedure used to test the EH. (c) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM thornton@stls.frb.org NR 32 TC 6 Z9 6 U1 2 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD OCT PY 2005 VL 29 IS 10 BP 2541 EP 2556 DI 10.1016/j.jbankfin.2004.09.005 PG 16 WC Business, Finance; Economics SC Business & Economics GA 959NH UT WOS:000231524200008 ER PT J AU Aguiar, M AF Aguiar, M TI Investment, devaluation, and foreign currency exposure: The case of Mexico SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE investment; financial constraints; balance sheets; emerging market crises ID EMERGING MARKETS; DEBT; COSTS AB This paper studies firm-level investment in the wake of the Mexican peso crisis of 1994. While exporters outperform nonexporters in terms of profits and sales after the devaluation, their investment is constrained by weak balance sheets. Specifically, we find that firms with heavy exposure to short-term foreign currency debt before the devaluation experienced relatively low levels of post-devaluation investment. The data also imply that increased sales uncertainty after the peg's collapse deterred investment, particularly in the tradable sector. The results confirm the recent theoretical literature's focus on weak balance sheets as driving the recessionary impact of devaluations in emerging markets. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Boston, Boston, MA 02205 USA. RP Aguiar, M (reprint author), Fed Reserve Bank Boston, POB 55882, Boston, MA 02205 USA. EM mark.aguiar@bos.frb.org NR 26 TC 24 Z9 24 U1 1 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD OCT PY 2005 VL 78 IS 1 BP 95 EP 113 DI 10.1016/j.jdeveco.2004.06.012 PG 19 WC Economics SC Business & Economics GA 959KS UT WOS:000231517200005 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, PM Zavodny, M TI Self-selection among undocumented immigrants from Mexico SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE undocumented immigrants; illegal aliens; Mexican migration; self-selection ID UNITED-STATES; CONTROL ACT; INTERNATIONAL MIGRATION; LABOR-MARKET; REFORM; WAGES; EARNINGS; RETURNS; COUNTRY; WORKERS AB This paper examines the effect of changes in migration determinants on the skill level of undocumented Mexican immigrants. We focus on the effect of changes in economic conditions, migrant networks, and border enforcement on the educational attainment of men who cross the border illegally. Results from hazard models using data from the Mexican Migration Project indicate that migrants are not negatively selected with regard to education. However, improvements in U.S. and Mexican economic conditions are associated with a decline in the average education of undocumented immigrants, while stricter border enforcement is associated with higher average skill levels. (c) 2005 Elsevier B.V All rights reserved. C1 Fed Reserve Bank Dallas, Dept Res, Dallas, TX 75201 USA. Agnes Scott Coll, Dept Econ, Decatur, GA 30030 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, Dept Res, 2200 N Pearl St, Dallas, TX 75201 USA. EM pia.orrenius@dal.frb.org NR 37 TC 64 Z9 64 U1 1 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD OCT PY 2005 VL 78 IS 1 BP 215 EP 240 DI 10.1016/j.jdeveco.2004.07.001 PG 26 WC Economics SC Business & Economics GA 959KS UT WOS:000231517200010 ER PT J AU Ergungor, OE AF Ergungor, OE TI The profitability of bank-borrower relationships SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE relationship lending; small business lending; community banks ID LENDING RELATIONSHIPS; CREDIT; INFORMATION; COMPETITION; FINANCE AB This paper investigates the profitability of relationship banking within the context of small business loans made by community banks. Theory implies that competition reduces the benefits of bank-borrower relationships, making relationship loans more risky and less profitable. I present evidence for community banks that is consonant with this implication. (c) 2004 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. RP Ergungor, OE (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM ozgur.e.ergungor@clev.frb.org NR 36 TC 10 Z9 10 U1 0 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD OCT PY 2005 VL 14 IS 4 BP 485 EP 512 DI 10.1016/j.jfi.2004.09.002 PG 28 WC Business, Finance SC Business & Economics GA 980GX UT WOS:000233003700004 ER PT J AU Lo, MC Piger, J AF Lo, MC Piger, J TI Is the response of output to monetary policy asymmetric? Evidence from a regime-switching coefficients model SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE asymmetry; business cycles; regime switching; monetary policy ID MONEY-SUPPLY SHOCKS; BUSINESS-CYCLE; FLUCTUATIONS; INFLATION AB This paper investigates regime switching in the response of U.S. output to a monetary policy action. We find substantial, statistically significant, time variation in this response that corresponds to "high response" and "low response" regimes. We then investigate whether the timing of the regime shifts are consistent with three particular manifestations of asymmetry by modeling the transition probabilities governing the switching process as functions of state variables. We find strong evidence that policy actions taken during recessions have larger effects than those taken during expansions. We find less evidence of asymmetry related to the direction or size of the policy action. C1 St Cloud State Univ, Dept Econ, St Cloud, MN USA. Fed Reserve Bank St Louis, Dept Res, St Louis, MO USA. RP Lo, MC (reprint author), St Cloud State Univ, Dept Econ, St Cloud, MN USA. EM mclo@stcloudstate.edu; piger@stls.frb.org RI Piger, Jeremy/I-7643-2012 OI Piger, Jeremy/0000-0001-6592-9986 NR 36 TC 28 Z9 30 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 OCT PY 2005 VL 37 IS 5 BP 865 EP 886 DI 10.1353/mcb.2005.0054 PG 22 WC Business, Finance; Economics SC Business & Economics GA 962XR UT WOS:000231767200004 ER PT J AU Aguiar, M Hurst, E AF Aguiar, M Hurst, E TI Consumption versus expenditure SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID HOUSEHOLD PRODUCTION; BUSINESS-CYCLE; SUBSTITUTION; ALLOCATION; HOMEWORK; MODEL; TIME AB Previous authors have documented a dramatic decline in food expenditures at the time of retirement. We show that this is matched by an equally dramatic rise in time spent shopping for and preparing meals. Using a novel data set that collects detailed food diaries for a large cross section of U. S. households, we show that neither the quality nor the quantity of food intake deteriorates with retirement status. We also show that unemployed households experience a decline in food expenditure and food consumption commensurate with the impact of job displacement on permanent income. These results highlight how direct measures of consumption distinguish between anticipated and unanticipated shocks to income whereas measures of expenditures obscure the distinction. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. Univ Chicago, Chicago, IL 60637 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Aguiar, M (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 26 TC 157 Z9 157 U1 4 U2 15 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD OCT PY 2005 VL 113 IS 5 BP 919 EP 948 DI 10.1086/491590 PG 30 WC Economics SC Business & Economics GA 969YF UT WOS:000232271200001 ER PT J AU Atkeson, A Kehoe, PJ AF Atkeson, A Kehoe, PJ TI Modeling and measuring organization capital SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID US MANUFACTURING PLANTS; PRODUCTIVITY DYNAMICS; INDUSTRY; TURNOVER; MOBILITY AB Manufacturing plants have a clear life cycle: they are born small, grow substantially with age, and eventually die. Economists have long thought that this life cycle is driven by organization capital, the accumulation of plant-specific knowledge. The location of plants in the life cycle determines the size of the payments, or organization rents, plant owners receive from organization capital. These payments are compensation for the interest cost to plant owners of waiting for their plants to grow. We use a quantitative growth model of the life cycle of plants, along with U. S. data, to infer the overall size of these payments. C1 Univ Calif Los Angeles, Los Angeles, CA 90024 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Univ Minnesota, Minneapolis, MN 55455 USA. RP Atkeson, A (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. NR 30 TC 84 Z9 84 U1 2 U2 11 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD OCT PY 2005 VL 113 IS 5 BP 1026 EP 1053 DI 10.1086/431289 PG 28 WC Economics SC Business & Economics GA 969YF UT WOS:000232271200004 ER PT J AU Jones, LE Manuelli, RE Siu, HE Stacchetti, E AF Jones, LE Manuelli, RE Siu, HE Stacchetti, E TI Fluctuations in convex models of endogenous growth, I: Growth effects SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE growth; uncertainty; human capital investment ID CROSS-COUNTRY EVIDENCE; LONG-RUN GROWTH; BUSINESS CYCLES; POLICY; ACCUMULATION; UNCERTAINTY; INFLATION; RISK AB Is there a trade-off between fluctuations and growth? The empirical evidence is mixed, with some studies finding a positive relationship, while others find a negative one. Our objectives are to understand how fundamental uncertainty affects the long run growth rate and to identify important factors determining this relationship in a convex endogenous growth model. Qualitatively, we show that the relationship between volatility in fundamentals (or policies) and mean growth can be either positive or negative. The curvature of the utility function is a key parameter that determines the sign of the relationship. Quantitatively, an increase in uncertainty always increases the growth rate in our calibrated models. Though the changes we find are nontrivial, they are not large enough by themselves to account for the large differences in growth rates observed in the data. We also find that differences in the curvature of preferences have very substantial effects on the estimated variability of stationary objects like the consumption-output ratio and hours worked. For this reason, we expect that the models considered in this paper will provide the basis of sharp estimates of the curvature parameter. (c) 2005 Elsevier Inc. All rights reserved. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Wisconsin, Madison, WI 53706 USA. Univ British Columbia, Vancouver, BC V5Z 1M9, Canada. NYU, New York, NY USA. RP Jones, LE (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. EM lej@econ.umn.edu NR 36 TC 17 Z9 17 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 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2005 VL 8 IS 4 BP 780 EP 804 DI 10.1016/j.red.2005.05.004 PG 25 WC Economics SC Business & Economics GA 979QT UT WOS:000232960600002 ER PT J AU Jones, LE Manuelli, RE Siu, HE AF Jones, LE Manuelli, RE Siu, HE TI Fluctuations in convex models of endogenous growth, II: Business cycle properties SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE business cycle fluctuations; human capital investment; productivity growth ID LABOR-MARKET; LIFE-CYCLE; EARNINGS; PERSISTENCE; ALLOCATION; SEARCH; TIME AB Using ideas from the endogenous growth literature, we present a model of the endogenous determination of productivity growth based on individual worker decisions about human capital investment. We calibrate a version of the model to match long run growth facts from the US and study the business cycle properties of this model. This approach offers improvements along several dimensions over standard exogenous growth methodologies. Most importantly, our stochastic endogenous growth model generates much greater serial correlation in output growth and labor supply volatility relative to its real business cycle counterpart. We conclude that using the extra discipline of reproducing the trend productivity growth features of the data endogenously constitutes an important missing component from the real business cycle approach. (c) 2005 Elsevier Inc. All rights reserved. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Wisconsin, Madison, WI 53706 USA. Univ British Columbia, Vancouver, BC V5Z 1M9, Canada. RP Jones, LE (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. EM lej@econ.umn.edu NR 31 TC 9 Z9 9 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 OCT PY 2005 VL 8 IS 4 BP 805 EP 828 DI 10.1016/j.red.2005.05.005 PG 24 WC Economics SC Business & Economics GA 979QT UT WOS:000232960600003 ER PT J AU Hansen, GD Prescott, EC AF Hansen, GD Prescott, EC TI Capacity constraints, asymmetries, and the business cycle SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE capacity utilization; asymmetric business cycles; real business cycles ID INDIVISIBLE LABOR; EQUILIBRIUM; INVESTMENT; SHOCKS AB We study how an occasionally binding capacity constraint affects the properties of business cycles. A real business cycle model is constructed where production takes place at individual plants and the number of plants operated varies over the cycle. The capacity constraint binds in states where all plants are operated. We derive the aggregate production function for this economy, which turns out to differ from the standard Cobb-Douglas function while retaining its desirable properties. The business cycle features of this onesector growth model are similar to those of a standard real business cycle model in most respects. Our model does, however, display some properties of actual economies that standard models do not. In particular, business cycles in our model are asymmetric-troughs are deeper on average than peaks are tall. Also, labor's share of income is counter-cyclical, as it is in US data. (c) 2005 Elsevier Inc. All rights reserved. C1 Univ Calif Los Angeles, Los Angeles, CA 90024 USA. Arizona State Univ, Tempe, AZ 85287 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Hansen, GD (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. EM ghansen@econ.ucla.edu; Edward.Prescott@asu.edu NR 18 TC 23 Z9 23 U1 2 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2005 VL 8 IS 4 BP 850 EP 865 DI 10.1016/j.red.2005.08.001 PG 16 WC Economics SC Business & Economics GA 979QT UT WOS:000232960600005 ER PT J AU Peek, J Rosengren, ES AF Peek, J Rosengren, ES TI Unnatural selection: Perverse incentives and the misallocation of credit in Japan SO AMERICAN ECONOMIC REVIEW LA English DT Article ID FIRM PERFORMANCE; INVESTMENT; BANKS; DETERMINANTS; SHOCKS; CRISIS; COSTS AB We examine the misallocation of credit in Japan associated with the perverse incentives faced by banks to provide additional credit to the weakest firms. Finns are more likely to receive additional bank credit if they are in poor financial condition, because troubled Japanese banks have an incentive to allocate credit to severely impaired borrowers in order to avoid the realization of losses on their own balance sheets. This "evergreening" behavior is more prevalent among banks that have reported capital ratios close to the required minimum, and is compounded by the incentives arising from extensive corporate affiliations. C1 Univ Kentucky, Lexington, KY 40506 USA. Fed Reserve Bank Boston, Supervis & Regulat Dept, Boston, MA 02106 USA. RP Peek, J (reprint author), Univ Kentucky, 437C Gatton Business & Econ Bldg, Lexington, KY 40506 USA. EM jpeek0@uky.edu; Eric.Rosengren@bos.frb.org NR 29 TC 109 Z9 109 U1 2 U2 19 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2005 VL 95 IS 4 BP 1144 EP 1166 DI 10.1257/0002828054825691 PG 23 WC Economics SC Business & Economics GA 983ED UT WOS:000233213000012 ER PT J AU Thilmany, D McKenney, N Mushinski, D Weiler, S AF Thilmany, D McKenney, N Mushinski, D Weiler, S TI Beggar-thy-neighbor economic development: A note on the effect of geographic interdependencies in rural retail markets SO ANNALS OF REGIONAL SCIENCE LA English DT Article ID AGGLOMERATION; THRESHOLDS; MODEL; AREAS AB Mushinski and Weiler (2002) updated a vein of rural economic geography literature by estimating empirically the importance for retail development of geographic interdependencies between places and their neighboring areas. This note extends interpretation of their empirical results by considering the influence of neighboring areas and establishments on retail thresholds in a place, and the policy and economic development implications of their results. This note discusses the nature of spatial competition and considers how retail establishments might act as regional base industries, absorbing shopping flows from outlying residents in a fashion similar to traditional export industries. Moreover, it signals that understanding geographic interdependencies is important for economic development planning, and suggests there may be merit in more regional coordination of retail firm recruitment in relatively small and/or isolated rural areas. C1 Colorado State Univ, Dept Agr & Resource Econ, Ft Collins, CO 80523 USA. Colorado State Univ, Dept Econ, Ft Collins, CO 80523 USA. Fed Reserve Bank Kansas City, Ctr Study Rural Amer, Kansas City, MO 64198 USA. RP Thilmany, D (reprint author), Colorado State Univ, Dept Agr & Resource Econ, Ft Collins, CO 80523 USA. EM thilmany@lamar.colostate.edu; Stephan.Weiler@kc.frb.org NR 24 TC 5 Z9 5 U1 0 U2 3 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 0570-1864 J9 ANN REGIONAL SCI JI Ann. Reg. Sci. PD SEP PY 2005 VL 39 IS 3 BP 593 EP 605 DI 10.1007/s00168-005-0229-x PG 13 WC Environmental Studies; Geography SC Environmental Sciences & Ecology; Geography GA 986DZ UT WOS:000233431600010 ER PT J AU Athey, S Atkeson, A Kehoe, PJ AF Athey, S Atkeson, A Kehoe, PJ TI The optimal degree of discretion in monetary policy SO ECONOMETRICA LA English DT Article DE rules vs. discretion; time inconsistency; optimal monetary policy; inflation targets; inflation caps; activist monetary policy ID PRIVATE GOVERNMENT INFORMATION; EXPECTATION TRAPS; RULES; MODEL; REPUTATION; COLLUSION; INCONSISTENCY; CREDIBILITY; INFLATION; PLANS AB How much discretion should the monetary authority have in setting its policy? This question is analyzed in an economy with an agreed-upon social welfare function that depends on the economy's randomly fluctuating state. The monetary authority has private information about that state. Well designed rules trade off society's desire to give the monetary authority discretion to react to its private information against society's need to prevent that authority from giving in to the temptation to stimulate the economy with unexpected inflation, the time inconsistency problem. Although this dynamic mechanism design problem seems complex, its solution is simple: legislate an inflation cap. The optimal degree of monetary policy discretion turns out to shrink as the severity of the time inconsistency problem increases relative to the importance of private information. In an economy with a severe time inconsistency problem and unimportant private information, the optimal degree of discretion is none. C1 Stanford Univ, Dept Econ, Stanford, CA 94305 USA. Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90024 USA. Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. NR 40 TC 28 Z9 28 U1 2 U2 13 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD SEP PY 2005 VL 73 IS 5 BP 1431 EP 1475 DI 10.1111/j.1468-0262.2005.00626.x PG 45 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 957ZG UT WOS:000231411500002 ER PT J AU Dittmar, RD Gavin, WT AF Dittmar, RD Gavin, WT TI Inflation-targeting, price-path targeting and indeterminacy SO ECONOMICS LETTERS LA English DT Article DE inflation targeting; price-path targeting; indeterminacy ID MULTIPLE-SOLUTION INDETERMINACIES; MONETARY-POLICY ANALYSIS; RATIONAL-EXPECTATIONS; REAL INDETERMINACY; LEVEL DETERMINACY; MODELS; RULE AB In this paper, we examine the areas of indeterminacy in a flexible price RBC model with shopping time role for money and a central bank that uses an interest rate rule to target inflation and/or the price level. We present analytical results showing that, although inflation targeting often results in real indeterminacy, a price level target generally delivers a unique equilibrium for a relevant range of policy parameters. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. CAMU, Citigrp, O Fallon, MO 63304 USA. RP Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. EM robert.dittmar@citigroup.com; gavin@stls.frb.org NR 13 TC 2 Z9 2 U1 0 U2 1 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 SEP PY 2005 VL 88 IS 3 BP 336 EP 342 DI 10.1016/j.econlet.2005.03.003 PG 7 WC Economics SC Business & Economics GA 955BF UT WOS:000231199000008 ER PT J AU Poole, W AF Poole, W TI Understanding the term structure of interest rates SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Poole, W (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 7 TC 3 Z9 3 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 SEP-OCT PY 2005 VL 87 IS 5 BP 589 EP 595 PG 7 WC Business, Finance; Economics SC Business & Economics GA 964GG UT WOS:000231866500001 ER PT J AU McCallum, BT Nelson, E AF McCallum, BT Nelson, E TI Targeting versus instrument rules for monetary policy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID OPEN-ECONOMY; INFLATION; PERSPECTIVE; MODELS AB Svensson (2003) argues strongly that specific targeting rules-first-order optimality conditions for a specific objective function and model-are normatively superior to instrument rules for the conduct of monetary policy. That argument is based largely on four main objections to the latter, plus a claim concerning the relative interest-instrument variability entailed by the two approaches. The present paper considers the four objections in turn and advances arguments that contradict all of them. Then, in the paper's analytical sections, it is demonstrated that the variability claim is incorrect, for a neo-canonical model and also for a variant with one-period-ahead plans used by Svensson, providing that the same decisionmaking errors are relevant under the two alternative approaches. Arguments relating to general targeting rules and actual central bank practice are also included. C1 Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. NR 40 TC 15 Z9 16 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2005 VL 87 IS 5 BP 597 EP 611 PG 15 WC Business, Finance; Economics SC Business & Economics GA 964GG UT WOS:000231866500002 ER PT J AU McCallum, BT Nelson, E AF McCallum, BT Nelson, E TI Targeting versus instrument rules for monetary policy: What is wrong with McCallum and Nelson? Commentary SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP McCallum, BT (reprint author), Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. NR 10 TC 3 Z9 3 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2005 VL 87 IS 5 BP 627 EP 631 PG 5 WC Business, Finance; Economics SC Business & Economics GA 964GG UT WOS:000231866500004 ER PT J AU Gavin, WT Keen, BD Pakko, MR AF Gavin, WT Keen, BD Pakko, MR TI The monetary instrument matters SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID BUSINESS-CYCLE; INFLATION PERSISTENCE; LIQUIDITY; PRICES; POLICY; MONEY; MODEL; EXPECTATIONS AB This paper revisits the debate over the money supply versus the interest rate as the instrument of monetary policy. Using a dynamic stochastic general equilibrium framework, the authors examine the effects of alternative monetary policy rules on inflation persistence, the information content of monetary data, and real variables. They show that inflation persistence and the variability of inflation relative to money growth depend on whether the central bank follows a money growth rule or an interest rate rule. With a money growth rule, inflation is not persistent and the price level is much more volatile than the money supply. Those counterfactual implications are eliminated by the use of interest rate rules whether prices are sticky or not. A central bank's use of interest rate rules, however, obscures the information content of monetary aggregates and also leads to subtle problems for econometricians trying to estimate money demand functions or to identify shocks to the trend and cycle components of the money stock. C1 Fed Reserve Bank St Louis, St Louis, MO USA. Univ Oklahoma, Norman, OK 73019 USA. RP Fed Reserve Bank St Louis, St Louis, MO USA. NR 36 TC 8 Z9 8 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2005 VL 87 IS 5 BP 633 EP 658 PG 26 WC Business, Finance; Economics SC Business & Economics GA 964GG UT WOS:000231866500005 ER PT J AU Starr, J AF Starr, J TI Design considerations for multilingual web sites SO INFORMATION TECHNOLOGY AND LIBRARIES LA English DT Article ID UNICODE AB The most powerful marketing, service, and information-distribution tool a library has today is its Web site, but providing Web content in many languages is complex. Before allocating scarce technical and financial resources, it is valuable to learn about writing systems, types of writing, how computers render and represent writing systems, and to study potential problem areas and their possible solutions. The accepted Web standard for presenting languages is Unicode and a full understanding of its history and the coding tools it provides is essential to making appropriate decisions for specific multilingual and internationalization projects. Actual coding examples, as well as a sampling of existing multilingual library services, also serve to illuminate the path of implementation. C1 Fed Reserve Bank San Francisco, Informat & Technol Serv Dept, San Francisco, CA 94105 USA. RP Starr, J (reprint author), Fed Reserve Bank San Francisco, Informat & Technol Serv Dept, 101 Market St, San Francisco, CA 94105 USA. EM joanstarr@earthlink.net OI Starr, Joan/0000-0002-7285-027X NR 44 TC 4 Z9 4 U1 1 U2 4 PU AMER LIBRARY ASSOC PI CHICAGO PA 50 E HURON ST, CHICAGO, IL 60611 USA SN 0730-9295 J9 INFORM TECHNOL LIBR JI Inf. Technol. Libr. PD SEP PY 2005 VL 24 IS 3 BP 107 EP 116 PG 10 WC Computer Science, Information Systems; Information Science & Library Science SC Computer Science; Information Science & Library Science GA 962PT UT WOS:000231745400003 ER PT J AU Clayton, MC Hartzell, JC Rosenberg, J AF Clayton, MC Hartzell, JC Rosenberg, J TI The impact of CEO turnover on equity volatility SO JOURNAL OF BUSINESS LA English DT Article ID REPURCHASE TENDER OFFERS; INCREASES SUBSEQUENT; MANAGEMENT TURNOVER; STOCK SPLITS; RISK CHANGES; EARNINGS; INFORMATION; PERFORMANCE; INCENTIVES; ANNOUNCEMENTS AB This study investigates the effect on stock-price volatility of a significant event in the life of the firm, a change in its CEO. We find significant, long-lived increases in volatility following CEO turnover after controlling for firm characteristics and marketwide volatility. These increases are larger after forced departures and outside successions following voluntary departures. Stock prices also respond more strongly to earnings announcements following turnovers. These results are consistent with more informative signals of value driving the increased volatility, helping resolve two sources of uncertainty: possible changes in the firm's strategy and doubt about the successor CEO's ability. C1 Univ Texas, Austin, TX 78712 USA. Rutgers State Univ, Sch Business, Piscataway, NJ 08855 USA. Fed Reserve Bank New York, New York, NY USA. RP Hartzell, JC (reprint author), Univ Texas, Austin, TX 78712 USA. EM Hartzell@mccombs.utexas.edu NR 51 TC 45 Z9 45 U1 2 U2 14 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0021-9398 J9 J BUS JI J. Bus. PD SEP PY 2005 VL 78 IS 5 BP 1779 EP 1808 DI 10.1086/431442 PG 30 WC Business SC Business & Economics GA 979XG UT WOS:000232977700006 ER PT J AU Himmelberg, C Mayer, C Sinai, T AF Himmelberg, C Mayer, C Sinai, T TI Assessing high house prices: Bubbles, fundamentals and misperceptions SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID REAL-ESTATE; MARKET; CONSUMPTION; PAYMENTS; DEMAND; EQUITY; CYCLE; RISK C1 Fed Reserve Bank New York, New York, NY USA. Columbia Univ, Columbia Business Sch, New York, NY 10027 USA. Univ Penn, Philadelphia, PA 19104 USA. Natl Bur Econ Res, Cambridge, MA USA. RP Himmelberg, C (reprint author), Fed Reserve Bank New York, New York, NY USA. EM Charles.Himmelberg@ny.frb.org; cm310@columbia.edu; sinai@wharton.upenn.edu NR 49 TC 197 Z9 201 U1 10 U2 94 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD FAL PY 2005 VL 19 IS 4 BP 67 EP 92 DI 10.1257/089533005775196769 PG 26 WC Economics SC Business & Economics GA 996KK UT WOS:000234172600004 ER PT J AU Bassetto, M AF Bassetto, M TI Equilibrium and government commitment SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE government strategy; commitment; implementation; competitive equilibrium ID MONETARY-POLICY; PUBLIC DEBT; MODEL; EXPECTATIONS; TAXATION; ECONOMY; RULE AB How should a government use the power to commit to ensure a desirable equilibrium outcome? In this paper, I show a misleading aspect of what has become a standard approach to this question, and I propose an alternative. I show that the complete description of an optimal (indeed, of any) policy scheme requires outlining the consequences of paths that are often neglected. The specification of policy along those paths is crucial in determining which schemes implement a unique equilibrium and which ones leave room for multiple equilibria that depend on the expectations of the private sector. (c) 2004 Elsevier Inc. All rights reserved. C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Bassetto, M (reprint author), Univ Minnesota, Dept Econ, 271 19th Ave S, Minneapolis, MN 55455 USA. EM bassetto@econ.umn.edu OI Bassetto, Marco/0000-0001-8325-8450 NR 34 TC 10 Z9 10 U1 5 U2 12 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2005 VL 124 IS 1 BP 79 EP 105 DI 10.1016/j.jet.2004.06.001 PG 27 WC Economics SC Business & Economics GA 962ZN UT WOS:000231772300004 ER PT J AU Neumark, D Schweitzer, M Wascher, W AF Neumark, D Schweitzer, M Wascher, W TI The effects of minimum wages on the distribution of family incomes - A nonparametric analysis SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID DENSITY-ESTIMATION; EMPLOYMENT; POVERTY AB An oft-stated goal of the minimum wage is to raise incomes of poor or low-income families. We present nonparainetric estimates of the effects of minimum wages on the distribution of family income relative to needs in the United States. Although minimum wages increase the incomes of some poor families, the evidence indicates that their overall net effect is, if anything, to increase the proportions of families with incomes below or near the poverty line. It would appear that reductions in the proportions of families that are poor or near-poor should not be counted among the potential benefits of minimum wages. C1 NBER, Cambridge, MA 02138 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. EM Mark.E.Schweitzer@clev.frb.org NR 28 TC 25 Z9 25 U1 0 U2 7 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0022-166X J9 J HUM RESOUR JI J. Hum. Resour. PD FAL PY 2005 VL 40 IS 4 BP 867 EP 894 PG 28 WC Economics; Industrial Relations & Labor SC Business & Economics GA 992KE UT WOS:000233882000004 ER PT J AU Alessandria, G Qian, J AF Alessandria, G Qian, J TI Endogenous financial intermediation and real effects of capital account liberalization SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE financial intermediation; capital account; moral hazard; lending contracts ID MORAL HAZARD; BANKING; CRISES; DEBT AB We consider lending and investment under asymmetric information in a small, developing economy. We allow different forms of financial contracts to arise endogenously. Financial intermediaries mitigate a moral hazard problem in investment choice through costly monitoring. We then examine the impact of opening the capital account on both welfare and the structure of lending contracts. Liberalizing the capital account may improve or worsen the efficiency of financial intermediaries, leading to an improvement or worsening of the aggregate composition of investment projects. We show that efficient financial intermediaries in the closed economy are neither necessary nor sufficient for a capital account liberalization to improve welfare. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. Boston Coll, Carroll Sch Management, Dept Finance, Chestnut Hill, MA 02467 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; qianju@mail.bc.edu NR 38 TC 7 Z9 7 U1 3 U2 6 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 2005 VL 67 IS 1 BP 97 EP 128 DI 10.1016/jjinteco.2004.10.003 PG 32 WC Economics SC Business & Economics GA 960IP UT WOS:000231584200005 ER PT J AU Batini, N Jackson, B Nickell, S AF Batini, N Jackson, B Nickell, S TI An open-economy new Keynesian Phillips curve for the UK SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE open economy; new Keynesian Phillips curve; marginal cost; labour share; inflation dynamics ID PRICES; DYNAMICS AB We estimate a pricing equation or "new Keynesian Phillips curve" (NKPC) obtained from a structural dynamic model of price setting based on Rotemberg [1982. Sticky prices in the United States. Journal of Political Economy 90(6), 1187-1211] and extended to capture employment adjustment costs and the openness of the United Kingdom. This model nests the baseline Gali and Gertler [1999. Inflation dynamics: a structural econometric analysis. Quarterly Journal of Economics 110, 127-159] and Sbordone [2002. Prices and unit labor costs: a new test of price stickiness. Journal of Monetary Economics 49, 265-292] relationship between inflation and marginal cost in the limiting case of no employment adjustment costs, no impact of relative prices of imported inputs on real marginal cost and a constant equilibrium markup. Our findings indicate that each of our modifications to the baseline NKPC model is important for U.K. data, so that inflation in the U.K. is explained both by changes in employment and by changes in real import prices, in general, and real oil prices, in particular. External competitive pressures also seem to affect U.K. inflation via their impact on the equilibrium price markup of domestic firms. (c) 2005 Elsevier B.V. All rights reserved. C1 Int Monetary Fund, Res Dept, Washington, DC 20431 USA. Fed Reserve Bank New York, New York, NY 10045 USA. Univ London London Sch Econ & Polit Sci, London WC2A 2AE, England. Bank England, Monetary Policy Comm, London, England. RP Batini, N (reprint author), Int Monetary Fund, Res Dept, HQ 10-612H, Washington, DC 20431 USA. EM nbatini@imf.org NR 15 TC 48 Z9 48 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 SEP PY 2005 VL 52 IS 6 BP 1061 EP 1071 DI 10.1016/j.jmoneco.2005.08.003 PG 11 WC Business, Finance; Economics SC Business & Economics GA 984HE UT WOS:000233292700002 ER PT J AU Rabanal, P Rubio-Ramirez, JF AF Rabanal, P Rubio-Ramirez, JF TI Comparing New Keynesian models of the business cycle: A Bayesian approach SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE nominal rigidities; indexation; Bayesian econometrics; model comparison ID STICKY-PRICE MODELS; MONETARY-POLICY; STABILITY AB The baseline New Keynesian model cannot replicate the observed persistence in inflation, output, and real wages for sensible parameter values. As a result, several extensions have been suggested to improve its fit to the data. We use a Bayesian approach to estimate and compare the baseline sticky price model of Calvo's [1983. Staggered prices in a utility maximizing framework. Journal of Monetary Economics 12, 383-398.] and three extensions. Our empirical results are as follows. First, we find that adding price indexation improves the fit of Calvo's [1983. Staggered prices in a utility maximizing framework. Journal of Monetary Economics 12, 383-398.] model. Second, models with both staggered price and wage setting dominate models with only price rigidities. Third, introducing wage indexation does not significantly improve the fit. Fourth, all model estimates suggest a high degree of price stickiness. Fifth, the estimates of labor supply elasticity are higher in models with both staggered price and wage contracts. Finally, the estimated inflation parameters of the Taylor rule are stable across models. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. Int Monetary Fund, Washington, DC 20431 USA. RP Rubio-Ramirez, JF (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St,NE, Atlanta, GA 30309 USA. EM Juan.Rubio@atl.frb.org NR 24 TC 88 Z9 89 U1 2 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2005 VL 52 IS 6 BP 1151 EP 1166 DI 10.1016/j.jmoneco.2005.08.008 PG 16 WC Business, Finance; Economics SC Business & Economics GA 984HE UT WOS:000233292700008 ER PT J AU Sbordone, AM AF Sbordone, AM TI Do expected future marginal costs drive inflation dynamics? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE inflation; New keynesian pricing; marginal costs ID PRICES; MODELS AB This article discusses a more general interpretation of the two-step minimum distance estimation procedure proposed in Sbordone (2002). The estimator is again applied to a version of the New Keynesian Phillips curve, where inflation dynamics are driven by the expected evolution of marginal costs. The article clarifies econometric issues, addresses concerns about uncertainty and model misspecification raised in recent studies, and assesses the robustness of previous results. While confirming the importance of forward-looking terms in accounting for inflation dynamics, it suggests how the methodology can be applied to extend the analysis of inflation to a multivariate setting. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Domest Res, New York, NY 10045 USA. RP Fed Reserve Bank New York, Domest Res, 33 Liberty St, New York, NY 10045 USA. EM argia.sbordone@ny.frb.org RI Sbordone, Argia/C-1721-2008 NR 19 TC 40 Z9 42 U1 1 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2005 VL 52 IS 6 BP 1183 EP 1197 DI 10.1016/j.jmoneco.2005.08.010 PG 15 WC Business, Finance; Economics SC Business & Economics GA 984HE UT WOS:000233292700010 ER PT J AU Lakdawalla, D Zanjani, G AF Lakdawalla, D Zanjani, G TI Insurance, self-protection, and the economics of terrorism SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE insurance; terrorism; self-protection ID CAPACITY CONSTRAINTS; MORAL HAZARD; LIABILITY; CRIME; REFLECTIONS; SECURITY; TOURISM; RISK AB This paper investigates the rationale for public intervention in the terrorism insurance market. It argues that government subsidies for terror insurance have the effect of discouraging self-protection and limiting the negative externalities associated with self-protection. Cautious self-protective behavior by a target can hurt public goods like national prestige if it is seen as "giving in' to the terrorists, and may increase the loss probabilities faced by others by encouraging terrorists to substitute toward more vulnerable targets. We argue that these externalities in protection are essential for normative analysis of government intervention in insurance markets and may also explain why availability problems in this market have engendered much stronger government responses than similar problems in other catastrophe insurance markets. (c) 2004 Elsevier B.V. All rights reserved. C1 RAND Corp, Santa Monica, CA 90407 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank New York, Capital Mkt Funct, New York, NY 10045 USA. RP Lakdawalla, D (reprint author), RAND Corp, 1700 Main St, Santa Monica, CA 90407 USA. EM darius@rand.org; george.zanjani@ny.frb.org RI Lakdawalla, Darius/B-4409-2011; OI Lakdawalla, Darius/0000-0001-5934-8042 NR 45 TC 22 Z9 22 U1 1 U2 13 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 SEP PY 2005 VL 89 IS 9-10 BP 1891 EP 1905 DI 10.1016/j.jpubeco.2004.06.008 PG 15 WC Economics SC Business & Economics GA 956LQ UT WOS:000231301700014 ER PT J AU Hornstein, A Violante, GL Krusell, P AF Hornstein, A Violante, GL Krusell, P TI The replacement problem in frictional economies: A near-equivalence result SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT ISOM Meeting 2003 CY 2003 CL Barcelona, SPAIN SP ISOM ID TECHNOLOGICAL-CHANGE; UNEMPLOYMENT; GROWTH; WORKERS; SEARCH AB We examine how technological change affects wage inequality and unemployment in a calibrated model of matching frictions in the labor market. We distinguish between two polar cases studied in the literature: a "creative destruction" economy, where new machines enter chiefly through new matches and an "upgrading" economy, where machines ill existing matches are replaced by new machines. Our main results are: (i) these two economies produce very similar quantitative Outcomes, and (it) the total amount of wage inequality generated by frictions is very small. We explain these findings in light of the fact that, in the model calibrated to the US economy, both unemployment and vacancy durations are very short, i.e., the matching frictions are quantitatively minor. Hence, the equilibrium allocations of the model are remarkably close to those of a frictionless version of our economy where firms are indifferent between upgrading and creative destruction, and where every worker is paid the same market-clearing wage. These results are robust to the inclusion of machine-specific or match-specific heterogeneity into the benchmark model. C1 Fed Reserve Bank Richmond, Richmond, VA 23219 USA. NYU, New York, NY 10012 USA. Princeton Univ, Princeton, NJ 08544 USA. RP Hornstein, A (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. EM andreas.hornstein@rich.frb.org; gianluca.violante@nyu.edu; pkrusell@princeton.edu RI Violante, Giovanni/F-1872-2017 NR 33 TC 7 Z9 8 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 SEP PY 2005 VL 3 IS 5 BP 1007 EP 1057 DI 10.1162/1542476054729419 PG 51 WC Economics SC Business & Economics GA 034NU UT WOS:000236936500003 ER PT J AU Follette, G Sheiner, L AF Follette, G Sheiner, L TI The sustainability of health spending growth SO NATIONAL TAX JOURNAL LA English DT Article; Proceedings Paper CT Symposium on Big Ideas Amid Big Deficits CY MAY 19-20, 2005 CL Washington, DC SP Nat Tax Assoc ID CARE AB We evaluate the long-run sustainability of health spending growth. Under the criterion that non-health consumption does not fall, 1 percent excess cost growth appears to be an upper bound for the economy as a whole when the projection horizon extends over the century, although some groups would experience declines in non-health consumption. More generally, the increase in health spending as a share of income may lead to a significant expansion of public sector financing, as has been the case historically. Extrapolation of historical trends also suggests that higher health spending will lead to insurance contracts with lower out-of-pocket payment shares, putting further upward pressure on health care expenditures. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Follette, G (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 16 TC 1 Z9 1 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 SEP PY 2005 VL 58 IS 3 BP 391 EP 408 PG 18 WC Business, Finance; Economics SC Business & Economics GA 971LP UT WOS:000232385900006 ER PT J AU Coronado, JL Smith, PA AF Coronado, JL Smith, PA TI Social security at 70: Principles, issues and alternatives SO NATIONAL TAX JOURNAL LA English DT Article; Proceedings Paper CT Symposium on Big Ideas Amid Big Deficits CY MAY 19-20, 2005 CL Washington, DC SP Nat Tax Assoc C1 Watson Wyatt Worldwide, Arlington, VA 22203 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Coronado, JL (reprint author), Watson Wyatt Worldwide, Arlington, VA 22203 USA. NR 19 TC 0 Z9 0 U1 0 U2 1 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 EI 1944-7477 J9 NATL TAX J JI Natl. Tax J. PD SEP PY 2005 VL 58 IS 3 BP 505 EP 522 PG 18 WC Business, Finance; Economics SC Business & Economics GA 971LP UT WOS:000232385900013 ER PT J AU Passmore, W Sherlund, SM Burgess, G AF Passmore, W Sherlund, SM Burgess, G TI The effect of housing government - Sponsored enterprises on mortgage rates SO REAL ESTATE ECONOMICS LA English DT Article ID YIELD SPREADS; SECURITIZATION; CREDIT; GSES AB We derive a theoretical model of how jumbo and conforming mortgage rates are determined and how the jumbo-conforming spread might arise. We show that mortgage rates reflect the cost of funding mortgages and that this cost of funding can drive a wedge between jumbo and conforming rates. Further, we show how the jumbo-conforming spread widens when mortgage demand is high or core deposits are not sufficient to fund mortgage demand, and tightens as the mortgage market becomes more liquid and realizes economies of scale. Using Mortgage Interest Rate Survey data for April 1997 through May 2003, we estimate that the government-sponsored enterprise funding advantage accounts for about 7 basis points of the 15-18 basis point jumbo-conforming spread. C1 Fed Reserve Board, Washington, DC 20551 USA. NYU, Sch Law, New York, NY 10012 USA. RP Passmore, W (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM wayne.passmore@ftb.gov; shane.m.sherlund@frb.gov; gmb241@nyu.edu NR 29 TC 23 Z9 23 U1 0 U2 10 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD FAL PY 2005 VL 33 IS 3 BP 427 EP 463 DI 10.1111/j.1540-6229.2005.00125.x PG 37 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 955EC UT WOS:000231207100001 ER PT J AU Passmore, W AF Passmore, W TI The GSE implicit subsidy and the value of government ambiguity SO REAL ESTATE ECONOMICS LA English DT Article AB The housing-related government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac have an ambiguous relationship with the federal government. Most purchasers of the GSEs' debt securities believe that this debt is implicitly backed by the U.S. government despite the lack of a legal basis for such a belief. In this article, I estimate how much GSE shareholders gain from this ambiguous government relationship. I find that (i) the government's ambiguous relationship with Fannie Mae and Freddie Mac imparts a substantial implicit subsidy to GSE shareholders, (ii) the implicit government subsidy accounts for much of the GSEs' market value and (iii) the GSEs would hold far fewer of their mortgage-backed securities in portfolio and their capital-to-asset ratios would be higher if they were purely private. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Passmore, W (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM wayne.passmore@frb.gov NR 27 TC 18 Z9 18 U1 0 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD FAL PY 2005 VL 33 IS 3 BP 465 EP 486 DI 10.1111/j.1540-6229.2005.00126.x PG 22 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 955EC UT WOS:000231207100002 ER PT J AU Duca, JV AF Duca, JV TI Why have US households increasingly relied on mutual funds to own equity? SO REVIEW OF INCOME AND WEALTH LA English DT Article ID COINTEGRATION; PLANS AB U.S. households have increasingly used mutual funds to own equity outside of retirement accounts owing to two developments. The first is a decline in equity mutual fund loads, which are negatively correlated with stock ownership rates, which have doubled owing to greater ownership through mutual funds. The second is improved confidence in future family finances. Both effects are consistent with recent models of equity participation, in which lower asset transfer costs and lower income risk induce equity investing by middle-income households, who-in practice and owing to diversification considerations-are more likely to indirectly hold stocks through mutual funds. C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75265 USA. RP Duca, JV (reprint author), Fed Reserve Bank Dallas, Res Dept, POB 655906, Dallas, TX 75265 USA. EM john.v.duca@dal.frb.org NR 43 TC 3 Z9 3 U1 0 U2 3 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6586 J9 REV INCOME WEALTH JI Rev. Income Wealth PD SEP PY 2005 IS 3 BP 375 EP 396 PG 22 WC Economics SC Business & Economics GA 967NC UT WOS:000232096900001 ER PT J AU Chiu, S Newberger, R Paulson, A AF Chiu, S Newberger, R Paulson, A TI Islamic finance in the United States SO SOCIETY LA English DT Article C1 Fed Reserve Bank Chicago, Consumer & Community Affairs Dept, Chicago, IL 60604 USA. Fed Reserve Bank Chicago, Consumer Issues Res Grp, Consumer & Community Affairs Div, Chicago, IL USA. RP Chiu, S (reprint author), Fed Reserve Bank Chicago, Consumer & Community Affairs Dept, Chicago, IL 60604 USA. NR 1 TC 1 Z9 1 U1 0 U2 1 PU TRANSACTION PUBLISHERS PI PISCATAWAY PA RUTGERS UNIV, DEPT 8010, 35 BERRUE CIRCLE, PISCATAWAY, NJ 08854-8042 USA SN 0147-2011 J9 SOCIETY JI Society PD SEP-OCT PY 2005 VL 42 IS 6 BP 64 EP 68 DI 10.1007/BF02687517 PG 5 WC Social Sciences, Interdisciplinary; Sociology SC Social Sciences - Other Topics; Sociology GA 951CO UT WOS:000230906700011 ER PT J AU Gilmer, RW Story, JL AF Gilmer, RW Story, JL TI Upstream employment rises with exploration SO OIL & GAS JOURNAL LA English DT Article C1 Fed Reserve Bank Dallas, El Paso, TX 79901 USA. Fed Reserve Bank Dallas, Houston, TX USA. RP Gilmer, RW (reprint author), Fed Reserve Bank Dallas, El Paso, TX 79901 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PENNWELL PUBL CO ENERGY GROUP PI TULSA PA 1421 S SHERIDAN RD PO BOX 1260, TULSA, OK 74112 USA SN 0030-1388 J9 OIL GAS J JI Oil Gas J. PD AUG 8 PY 2005 VL 103 IS 30 BP 20 EP + PG 5 WC Energy & Fuels; Engineering, Petroleum SC Energy & Fuels; Engineering GA 957LT UT WOS:000231372000004 ER PT J AU Wheelock, DC AF Wheelock, DC TI A history of the federal reserve, Vol 1, 1913-1951 SO ECONOMIC HISTORY REVIEW LA English DT Book Review C1 Fed Reserve Bank, St Louis, MO USA. RP Wheelock, DC (reprint author), Fed Reserve Bank, St Louis, MO USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 1 TC 0 Z9 0 U1 0 U2 0 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0013-0117 J9 ECON HIST REV JI Econ. Hist. Rev. PD AUG PY 2005 VL 58 IS 3 BP 629 EP 630 PG 2 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 950FV UT WOS:000230843900031 ER PT J AU Davis, MA Heathcote, J AF Davis, MA Heathcote, J TI Housing and the business cycle SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID HOME PRODUCTION; COMOVEMENT; TIME AB In the United States, the percentage standard deviation of residential investment is more than twice that of nonresidential investment. In addition, GDP, consumption, and both types of investment co-move positively. We reproduce these facts in a calibrated multisector growth model where construction, manufacturing, and services are combined, in different proportions, to produce consumption, business investment, and residential Structures. New housing requires land in addition to new structures. The model can also account for important features of industry-level data. In particular, hours and output in all industries are positively correlated, and are most volatile in construction. C1 Georgetown Univ, Dept Econ, Washington, DC 20057 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Heathcote, J (reprint author), Georgetown Univ, Dept Econ, 37th & O St NW, Washington, DC 20057 USA. EM jhh9@georgetown.edu NR 31 TC 101 Z9 101 U1 2 U2 13 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2005 VL 46 IS 3 BP 751 EP 784 DI 10.1111/j.1468-2354.2005.00345.x PG 34 WC Economics SC Business & Economics GA 946WJ UT WOS:000230603700002 ER PT J AU Davis, MA Foster, EM AF Davis, MA Foster, EM TI A stochastic dynamic model of the mental health of children SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID MANAGED CARE; SERVICES; SIMULATION; BENEFITS AB We estimate the parameters of a dynamic multiperiod model where parents with one child periodically decide whether their child uses mental health services. In this model, parents receive utility from household consumption and from their child's mental health. Mental health services may improve the child's mental health, but may be costly in terms of reduced household consumption and direct disutility. We find that mental health services can slightly improve a child's mental health, but the use of services accounts for a small fraction of the improvement of the mental health of the children in our sample. C1 Fed Reserve Syst, Washington, DC 20551 USA. Penn State Univ, University Pk, PA 16802 USA. RP Davis, MA (reprint author), Fed Reserve Syst, Mail Stop 97,20th & C St NW, Washington, DC 20551 USA. EM Morris.A.Davis@frb.gov NR 28 TC 3 Z9 3 U1 1 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2005 VL 46 IS 3 BP 837 EP 866 DI 10.1111/j.1468-2354.2005.00348.x PG 30 WC Economics SC Business & Economics GA 946WJ UT WOS:000230603700005 ER PT J AU Berger, AN Clarke, GRG Cull, R Klapper, L Udell, GF AF Berger, AN Clarke, GRG Cull, R Klapper, L Udell, GF TI Corporate governance and bank performance: A joint analysis of the static, selection, and dynamic effects of domestic, foreign, and state ownership SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT World-Bank Conference on Bank Privation CY NOV 20-21, 2003 CL Washington, DC SP World Bank DE bank; governance; M&A; foreign acquisition; privatization ID INTERNATIONAL EVIDENCE; GOVERNMENT OWNERSHIP; SMALL BUSINESSES; UNITED-STATES; EFFICIENCY; COMPETITION; MERGERS; PRIVATIZATION; ACQUISITIONS; DETERMINANTS AB We jointly analyze the static, selection, and dynamic effects of domestic, foreign, and state ownership on bank performance. We argue that it is important to include indicators of all the relevant governance effects in the same model. "Nonrobustness" checks (which purposely exclude some indicators) support this argument. Using data from Argentina in the 1990s, our strongest and most robust results concern state ownership. State-owned banks have poor long-term performance (static effect), those undergoing privatization had particularly poor performance beforehand (selection effect), and these banks dramatically improved following privatization (dynamic effect), although much of the measured improvement is likely due to placing nonperforming loans into residual entities, leaving "good" privatized banks. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA. World Bank, Dev Res Grp, Washington, DC 20433 USA. Indiana Univ, Kelley Sch Business, Dept Finance, Bloomington, IN 47401 USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM aberger@frb.gov RI Clarke, George/A-9811-2008 OI Clarke, George/0000-0002-9764-2987 NR 51 TC 107 Z9 110 U1 8 U2 38 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD AUG-SEP PY 2005 VL 29 IS 8-9 BP 2179 EP 2221 DI 10.1016/j.jbankfin.2005.03.013 PG 43 WC Business, Finance; Economics SC Business & Economics GA 941KA UT WOS:000230212500011 ER PT J AU Kim, J AF Kim, J TI Does utility curvature matter for indeterminacy? SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE Indeterminacy; utility curvature; intertemporal elasticity of substitution in consumption ID SECTOR-SPECIFIC EXTERNALITIES; REAL BUSINESS-CYCLE; SMALL OPEN-ECONOMY; CAPACITY UTILIZATION; INCREASING RETURNS; SCALE; INVESTMENT; GROWTH; MODELS AB Several recent papers have argued that it is more likely for indeterminacy to occur under a high intertemporal elasticity of substitution in consumption. This paper claims that this property does not generally hold in neoclassical growth models. We illustrate this claim by combining the features of those recent papers. Published by Elsevier B.V. C1 Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP Kim, J (reprint author), Fed Reserve Board, Div Monetary Affairs, Mail Stop 70, Washington, DC 20551 USA. EM jinill.kim@frb.gov NR 24 TC 4 Z9 4 U1 0 U2 1 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 2005 VL 57 IS 4 BP 421 EP 429 DI 10.1016/j.jebo.2005.04.001 PG 9 WC Economics SC Business & Economics GA 970OL UT WOS:000232319400004 ER PT J AU Burstein, A Eichenbaum, M Rebelo, S AF Burstein, A Eichenbaum, M Rebelo, S TI Large devaluations and the real exchange rate SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID PRICES; MODELS AB In this paper we argue that the primary force behind the large drop in real exchange rates that occurs after large devaluations is the slow adjustment in the prices of nontradable goods and services. Our empirical analysis uses data from five large devaluation episodes: Argentina (2002), Brazil (1999), Korea (1997), Mexico (1994), and Thailand (1997). We conduct a detailed analysis of the Argentinian case using disaggregated consumer price index data, data from our own survey of prices in Buenos Aires, and scanner data from supermarkets. We assess the robustness of our findings by studying large real exchange rate appreciations, medium devaluations, and small exchange rate movements. C1 Univ Calif Los Angeles, Los Angeles, CA 90024 USA. Northwestern Univ, Natl Bur Econ Res, Chicago, IL 60611 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Burstein, A (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. RI nipe, cef/A-4218-2010 NR 27 TC 100 Z9 101 U1 0 U2 6 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD AUG PY 2005 VL 113 IS 4 BP 742 EP 784 DI 10.1086/431254 PG 43 WC Economics SC Business & Economics GA 953WV UT WOS:000231113300003 ER PT J AU Aguiar, M Gopinath, G AF Aguiar, M Gopinath, G TI Fire-sale foreign direct investment and liquidity crises SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID INTERNATIONAL EVIDENCE; EXCHANGE-RATES; MODEL; CONSTRAINTS; MARKETS AB In placing capital market imperfections at the center of emerging market crises, the theoretical literature has associated a liquidity crisis with low foreign investment and the exit of investors from the crisis economy. However, a liquidity crisis is equally consistent with an inflow of foreign capital in the form of mergers and acquisitions (M&A). To support this hypothesis, we use a firm-level data set to show that foreign acquisitions increased by 91% in East Asia between 1996 and 1998, while intranational merger activity declined. Firm liquidity plays a significant and sizable role in explaining both the increase in foreign acquisitions and the decline in the price of acquisitions during the crisis. This contrasts with the role of liquidity in noncrisis years and in noncrisis economies in the region. This effect is also most prominent in the tradable sector. Quantitatively, the observed decline in liquidity can explain 25% of the increase in foreign acquisition activity in the tradable sectors. The nature of M&A activity supports liquidity-based explanations of the East Asian crisis and provides an explanation for the puzzling stability of FDI inflows during the crises. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. Univ Chicago, Chicago, IL 60637 USA. NBER, Cambridge, MA 02138 USA. RP Aguiar, M (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 19 TC 51 Z9 52 U1 1 U2 4 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD AUG PY 2005 VL 87 IS 3 BP 439 EP 452 DI 10.1162/0034653054638319 PG 14 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 952JY UT WOS:000231001000005 ER PT J AU Pakko, MR AF Pakko, MR TI On the information content of asymmetric fomc policy statements: Evidence from a Taylor-rule perspective SO ECONOMIC INQUIRY LA English DT Article ID MONETARY-POLICY; TERM STRUCTURE AB For over two decades, the FOMC has included in its policy decisions a statement of bias toward subsequent tightening or easing of policy. This article examines the predictive content of these statements in a Taylor-rule setting, finding that they convey useful information for forecasting changes in the federal funds rate target, even after controlling for policy responses to inflation and the output gap. Moreover, the evidence suggests that this asymmetry can be represented in terms of shifts to the parameters of the Taylor-rule equation, indicating a greater or lesser degree of responsiveness to information about inflation and output. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Pakko, MR (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM pakko@stls.frb.org NR 21 TC 9 Z9 9 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JUL PY 2005 VL 43 IS 3 BP 558 EP 569 DI 10.1093/ei/cbi038 PG 12 WC Economics SC Business & Economics GA 941TM UT WOS:000230237100007 ER PT J AU Estrella, A AF Estrella, A TI Why does the yield curve predict output and inflation? SO ECONOMIC JOURNAL LA English DT Article ID MONETARY-POLICY; TERM STRUCTURE; INTEREST-RATES; UNITED-STATES; STRUCTURAL-CHANGE; FUTURE INFLATION; GROWTH; PRICES; MODELS; INFORMATION AB The slope of the yield curve has been shown empirically to be a significant predictor of inflation and real economic activity but there is no standard theory as to why the relationship exists. This article constructs an analytical rational expectations model to investigate the reasons for the empirical results. The model suggests that the relationships are not structural but are instead influenced by the monetary policy regime. However, the yield curve should have predictive power for output and inflation in most circumstances. Various implications of the theoretical model are tested and confirmed empirically. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Estrella, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 46 TC 70 Z9 70 U1 2 U2 10 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0013-0133 J9 ECON J JI Econ. J. PD JUL PY 2005 VL 115 IS 505 BP 722 EP 744 DI 10.1111/j.1468-0297.2005.01017.x PG 23 WC Economics SC Business & Economics GA 944MJ UT WOS:000230432800010 ER PT J AU Willen, P AF Willen, P TI New financial markets: who gains and who loses SO ECONOMIC THEORY LA English DT Article DE incomplete markets; financial innovation; risk-sharing ID INCOMPLETE MARKETS; GENERAL EQUILIBRIUM; INNOVATION; WELFARE; CONSUMPTION; OPTIMALITY AB We evaluate the effects of new financial markets in a two-period incomplete markets model with heterogenous agents. For analytical tractability, we focus on the special case where utility is exponential and risks are normally distributed. We provide a complete characterization of life-cycle consumption and portfolio choice. The effect of new financial markets on individual welfare equals the sum of what we call the portfolio effect and the price effect. The portfolio effect is proportional to the square of the difference between the average exposure to the new asset in the economy and an individual investor's exposure adjusted for risk aversion. The portfolio effect is always positive and measures the improved ability of investors to transfer consumption across states. The price effect captures the effect on individual welfare of changes in asset prices. We show that new financial markets drive down the prices of all assets which raises the interest rate and thus affects the ability of investors to transfer consumption across time. The price effect is positive for net savers but can be negative for net borrowers. For net borrower households, the price effect can wipe out the portfolio effect and lead to welfare reductions. C1 Fed Reserve Bank Boston, Dept Res, Boston, MA USA. RP Willen, P (reprint author), Fed Reserve Bank Boston, Dept Res, POB 55882, Boston, MA USA. NR 28 TC 5 Z9 5 U1 1 U2 3 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD JUL PY 2005 VL 26 IS 1 BP 141 EP 166 DI 10.1007/s00199-004-0511-7 PG 26 WC Economics SC Business & Economics GA 876UN UT WOS:000225523500007 ER PT J AU Poole, W AF Poole, W TI Productivity, labor, and the business cycle - President's message SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Poole, W (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. 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 2005 VL 87 IS 4 BP 427 EP 428 PG 2 WC Business, Finance; Economics SC Business & Economics GA 949BO UT WOS:000230760100001 ER PT J AU Owyang, MT AF Owyang, MT TI Productivity, labor, and the business cycle - Editor's introduction SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Owyang, MT (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 7 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 2005 VL 87 IS 4 BP 429 EP 433 PG 5 WC Business, Finance; Economics SC Business & Economics GA 949BO UT WOS:000230760100002 ER PT J AU Wright, R AF Wright, R TI The cyclicality of hires, separations, and job-to-job transitions - Commentary SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Wright, R (reprint author), Univ Penn, Dept Econ, 3718 Locus Walk, Philadelphia, PA 19104 USA. EM rwright@econ.upenn.edu NR 3 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 2005 VL 87 IS 4 BP 509 EP 512 PG 4 WC Business, Finance; Economics SC Business & Economics GA 949BO UT WOS:000230760100008 ER PT J AU McGrattan, ER Prescott, EC AF McGrattan, ER Prescott, EC TI Productivity and the post-1990 US economy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 29th Annual Economic Policy Conference of the Federal-Reserve-Bank-of-Saint-Louis CY OCT 21-22, 2004 CL St Louis, MN SP Fed Reserve Bank St Louis AB In this paper, the authors show that ignoring corporate intangible investments gives a distorted picture of the post-1990 U.S. economy. In particular, ignoring intangible investments in the late 1990s leads one to conclude that productivity growth was modest, corporate profits were low, and corporate investment was at moderate levels. In fact, the late 1990s was a boom period for productivity growth, corporate profits, and corporate investment. C1 Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Arizona State Univ, Dept Econ, WP Carey Sch Business, Tempe, AZ 85287 USA. RP McGrattan, ER (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM erm@ellen.mpls.frb.fed.us; edward.prescott@asu.edu NR 8 TC 2 Z9 2 U1 1 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2005 VL 87 IS 4 BP 537 EP 549 PG 13 WC Business, Finance; Economics SC Business & Economics GA 949BO UT WOS:000230760100011 ER PT J AU Durham, JB AF Durham, JB TI More on monetary policy and stock price returns SO FINANCIAL ANALYSTS JOURNAL LA English DT Article ID MARKET AB Recent research suggests a persistent empirical relation between U.S. monetary policy and stock returns since the mid-1980s. The findings seem questionable and incomplete, how ever for at least three reasons. First, the results are sensitive to sample selection. Second, this research does not distinguish between anticipated and unanticipated monetary policy decisions. Third, such analysis does not satisfactorily consider that returns and policy are probably determined simultaneously because prices contain information about market expectations for the economy and, in turn, policy. Together, these issues suggest that investors are unlikely to profit from strategies based on past or anticipated Federal Reserve decisions. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Durham, JB (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 8 TC 2 Z9 2 U1 1 U2 5 PU ASSOC INVESTMENT MANAGEMENT RESEARCH (A I M R) PI CHARLOTTESVILLE PA P O BOX 3668, CHARLOTTESVILLE, VA 22903 USA SN 0015-198X J9 FINANC ANAL J JI Financ. Anal. J. PD JUL-AUG PY 2005 VL 61 IS 4 BP 83 EP 90 DI 10.2469/faj.v61.n4.2745 PG 8 WC Business, Finance SC Business & Economics GA 950OJ UT WOS:000230866400011 ER PT J AU Doms, M Forman, C AF Doms, M Forman, C TI Prices for local area network equipment SO INFORMATION ECONOMICS AND POLICY LA English DT Article DE price index; hedonic; communications equipment ID PERSONAL COMPUTERS; QUALITY; INDEXES AB In this paper, we examine quality-adjusted prices for local area network (LAN) equipment. Hedonic regressions are used to estimate price changes for the two largest classes of LAN equipment, routers and switches. A matched model was used for LAN cards and the prices for hubs were inferred by using an economic relationship to switches. Overall, we find that prices for the four groups of LAN equipment fell at a 17% annual rate between 1995 and 2000. These results stand in sharp contrast to the PPI for communications equipment that is nearly flat over the 1990s. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. Carnegie Mellon Univ, Tepper Sch Business, Pittsburgh, PA USA. RP Doms, M (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM mark.doms@sf.frb.org; cforman@andrew.cmu.edu NR 33 TC 8 Z9 9 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-6245 J9 INF ECON POLICY JI Inf. Econ. Policy PD JUL PY 2005 VL 17 IS 3 BP 365 EP 388 DI 10.1016/j.infoecopol.2004.12.002 PG 24 WC Economics SC Business & Economics GA 940YF UT WOS:000230181100006 ER PT J AU Ackert, LF Athanassakos, G AF Ackert, LF Athanassakos, G TI The relationship between short interest and stock returns in the Canadian market SO JOURNAL OF BANKING & FINANCE LA English DT Article DE short interest; informed traders ID SHORT SALES; TESTS; RISK AB This paper provides new insight into the relationship between short sales and stock market returns using a sample of stocks sold short in Canada. Short interest is defined in relation to trading volume. The results strongly support the assertion that short sales and excess returns are contemporaneously negatively correlated in Canada. The paper further finds that excess returns are more negative for small firms because the supply of shortable shares is constrained for these firms. Excess returns are less negative for stocks with associated options and convertible bonds. Importantly, the evidence is consistent with the proposition that informed traders short sell Canadian interlisted. stocks in Canada, rather than the US, to exploit lower execution costs. Together the results suggest that less restrictive regulation of short sales will improve the efficiency of markets. © 2004 Elsevier B.V. All rights reserved. C1 Kennesaw State Univ, Michael J Coles Coll Business, Dept Econ & Finance, Kennesaw, GA 30144 USA. Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. Univ Western Ontario, Richard Ivey Sch Business, London, ON N6A 3K7, Canada. RP Ackert, LF (reprint author), Kennesaw State Univ, Michael J Coles Coll Business, Dept Econ & Finance, 1000 Chastain Rd, Kennesaw, GA 30144 USA. EM lucy_ackert@coles2.kennesaw.edu; gathanassakos@ivey.uwo.ca NR 27 TC 9 Z9 9 U1 4 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD JUL PY 2005 VL 29 IS 7 BP 1729 EP 1749 DI 10.1016/j.jbankfin.2004.06.034 PG 21 WC Business, Finance; Economics SC Business & Economics GA 927FI UT WOS:000229177400006 ER PT J AU Francis, N Owyang, MT AF Francis, N Owyang, MT TI Monetary policy in a Markov-switching vector error-correction model: Implications for the cost of disinflation and the price puzzle SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE cointegration; Markov switching; monetary policy; price puzzle; sacrifice ratio ID TIME-SERIES; COINTEGRATION; CONSUMPTION; REGIME AB Monetary policy vector autoregressions (VARs) typically presume stability of the long-run outcomes. We introduce the possibility of switches in the long-run equilibrium in a cointegrated VAR by allowing both the covariance matrix and weighting matrix in the error-correction term to switch. We find that monetary policy alternates between sustaining long-run growth and disinflationary regimes. Allowing state changes can also help explain the price puzzle and justify the use of commodity prices as a corrective measure. Finally, we show that regime-switching has implications for disinflationary monetary policy and can explain the variety of sacrifice ratio estimates that exist in the literature. C1 Lehigh Univ, Dept Econ, Bethlehem, PA 18015 USA. Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63102 USA. RP Francis, N (reprint author), Lehigh Univ, Dept Econ, Bethlehem, PA 18015 USA. EM owyang@stls.frb.org RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 32 TC 15 Z9 15 U1 1 U2 5 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 2005 VL 23 IS 3 BP 305 EP 313 DI 10.1198/073500104000000325 PG 9 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 008LV UT WOS:000235043100005 ER PT J AU Benhabib, J Carlstrom, CT Fuerst, TS AF Benhabib, J Carlstrom, CT Fuerst, TS TI Introduction to monetary policy and capital accumulation SO JOURNAL OF ECONOMIC THEORY LA English DT Editorial Material DE Taylor rules; multiple equilibria; indeterminacy; capital accumulation ID INVESTMENT AB The papers in this symposium address the issue of multiple equilibria that can be induced by monetary policy in models with capital accumulation. In particular they examine how the "Taylor Principle", under which interest rates respond more than proportionately to increases in inflation, can generate multiple equilibria. They also explore the design of policies to avoid the problem of multiple equilibria and indeterminacy. (c) 2005 Elsevier Inc. All rights reserved. C1 NYU, Dept Econ, New York, NY 10003 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. Bowling Green State Univ, Bowling Green, OH 43403 USA. RP NYU, Dept Econ, 269 Mercer St,7th Floor, New York, NY 10003 USA. EM jess.benhabib@nyu.edu; Charles.T.Carlstrom@clev.frb.org; tfuerst@cba.bgsu.edu NR 5 TC 4 Z9 4 U1 0 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD JUL PY 2005 VL 123 IS 1 BP 1 EP 3 DI 10.1016/j.jet.2005.02.004 PG 3 WC Economics SC Business & Economics GA 939EE UT WOS:000230054400001 ER PT J AU Carlstrom, CT Fuerst, TS AF Carlstrom, CT Fuerst, TS TI Investment and interest rate policy: a discrete time analysis SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE real indeterminacy; interest rate rules; monetary policy ID MONETARY-POLICY; RULES AB This paper analyzes the restrictions necessary to ensure that the interest rate policy rule used by the central bank does not introduce local real indeterminacy into the economy. It conducts the analysis in a Calvo-style sticky price model. A key innovation is to add investment spending to the analysis. In this environment, local real indeterminacy is much more likely. In particular, all forward-looking interest rate rules are subject to real indeterminacy. (c) 2004 Elsevier Inc. All rights reserved. C1 Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Fuerst, TS (reprint author), Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. EM tfuerst@cba.bgsu.edu NR 13 TC 52 Z9 52 U1 0 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD JUL PY 2005 VL 123 IS 1 BP 4 EP 20 DI 10.1016/j.jet.2004.05.002 PG 17 WC Economics SC Business & Economics GA 939EE UT WOS:000230054400002 ER PT J AU Benhabib, J Eusepi, S AF Benhabib, J Eusepi, S TI The design of monetary and fiscal policy: A global perspective SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE Taylor rules; fiscal policy; multiple equilibria; global dynamics ID INTEREST-RATE RULES; STICKY PRICES; INSTABILITY; INVESTMENT; EQUILIBRIA AB We study the emergence of multiple equilibria in models with capital and bonds under various monetary and fiscal policies. We show that the presence of capital is indeed another independent source of local and global multiplicities, even under active policies that yield local determinacy. We also show how a very similar mechanism generates multiplicities in models with bonds and distortionary taxation. We then explore the design of monetary policies that avoid multiple equilibria. We show that interest rate policies that respond to the output gap, while potentially a source of significant inefficiencies, may be effective in preventing multiple equilibria and costly oscillatory equilibrium dynamics. (c) 2005 Elsevier Inc. All rights reserved. C1 NYU, Dept Econ, New York, NY 10003 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP NYU, Dept Econ, 269 Mercer St,7th Floor, New York, NY 10003 USA. EM jess.benhabib@nyu.edu NR 29 TC 37 Z9 37 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 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD JUL PY 2005 VL 123 IS 1 BP 40 EP 73 DI 10.1016/j.jet.2005.01.001 PG 34 WC Economics SC Business & Economics GA 939EE UT WOS:000230054400004 ER PT J AU Chaboud, AP Wright, JH AF Chaboud, AP Wright, JH TI Uncovered interest parity: it works, but not for long SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE uncovered interest parity; settlement; foreign exchange; high frequency data ID FOREIGN-EXCHANGE; RATES; INTERVENTION; EFFICIENCY; MARKET; RISK AB if an investor borrows in a low interest currency and invests in a high interest currency, the interest differential accrues in a lumpy manner, formally just like the dividend payments on a stock. The investor will receive the interest differential discretely at the point when a position is rolled over from one day to the next. A position that is not held open overnight receives no interest differential because intradaily interest rates are zero. Using a large data set of intradaily exchange rate data, we run uncovered interest parity (UIP) regressions over different short time intervals taking careful account of the settlement rules in the spot foreign exchange market. We find results that are supportive of the uncovered interest parity hypothesis over very short windows of data that span the time of the discrete interest payment. However, adding even a few hours to the span of the window destroys the positive uncovered interest parity results. Published by Elsevier B.V. C1 Board Governors Fed Reserve Syst, Int Finance Div, Washington, DC 20551 USA. RP Wright, JH (reprint author), Board Governors Fed Reserve Syst, Int Finance Div, 20th & C Streets NW, Washington, DC 20551 USA. EM jonathan.h.wright@frb.gov NR 19 TC 33 Z9 33 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD JUL PY 2005 VL 66 IS 2 BP 349 EP 362 DI 10.1016/j.jinteco.2004.07.004 PG 14 WC Economics SC Business & Economics GA 943RY UT WOS:000230373200004 ER PT J AU McGough, B Rudebusch, GD Williams, JC AF McGough, B Rudebusch, GD Williams, JC TI Using a long-term interest rate as the monetary policy instrument SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE liquidity trap; yield curve; zero bound; e-stability; indeterminacy; learning AB Using a short-term interest rate as the monetary policy instrument can be problematic near its zero bound constraint. An alternative strategy is to use a long-term interest rate as the policy instrument. We find when Taylor-type policy rules are used by the central bank to set the long rate in a standard New Keynesian model, indeterminacy-that is, multiple rational expectations equilibria - may often result. However, a policy rule with a long-rate policy instrument that responds in a "forward-looking" fashion to inflation expectations can avoid the problem of indeterminacy. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. Oregon State Univ, Corvallis, OR 97331 USA. RP Fed Reserve Bank San Francisco, San Francisco, CA USA. EM john.c.williams@sf.frb.org RI Williams, John/A-8226-2009 NR 29 TC 24 Z9 24 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2005 VL 52 IS 5 BP 855 EP 879 DI 10.1016/j.jmoneco.2005.07.011 PG 25 WC Business, Finance; Economics SC Business & Economics GA 980GE UT WOS:000233001600001 ER PT J AU Walsh, CE AF Walsh, CE TI Endogenous objectives and the evaluation of targeting rules for monetary policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary policy; targeting rules; robustness ID COMPETING REFERENCE MODELS; BUSINESS-CYCLE; INFLATION; UNCERTAINTY; OUTPUT AB Recent research in monetary economics has followed the advice of McCallum [1988. Robustness properties of a rule for monetary policy. Carnegie-Rochester Conference Series oil Public Policy 29, 173-203] and investigated the robustness properties of monetary policy rules by evaluating them in a variety of models. Evaluation across models is typically based on an exogenously specified loss function. However, the theory on which many recent monetary policy models are based implies that changes in the structure of the model also have consequences for the policy objectives the central bank should pursue. Objectives are endogenous, not exogenous to the model. In this paper, I investigate the impact of endogenous objectives oil the evaluation of targeting rules for monetary policy. (c) 2005 Elsevier B.V. All rights reserved. C1 Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. EM walshc@ucsc.edu NR 45 TC 25 Z9 26 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2005 VL 52 IS 5 BP 889 EP 911 DI 10.1016/j.jmoneco.2005.07-003 PG 23 WC Business, Finance; Economics SC Business & Economics GA 980GE UT WOS:000233001600003 ER PT J AU Levin, AT AF Levin, AT TI Comment on: "Endogenous objectives and the evaluation of targeting rules for monetary policy" SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material ID MACROECONOMIC STABILIZATION POLICY; PRICE-LEVEL DETERMINACY; RATIONAL-EXPECTATIONS; SPECIFICATION; PERSPECTIVE; MODELS C1 Fed Reserve Board, Washington, DC 20551 USA. RP Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM andrew.levin@frb.gov NR 46 TC 0 Z9 0 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2005 VL 52 IS 5 BP 913 EP 919 DI 10.1016/j.jmoneco.2005.07.005 PG 7 WC Business, Finance; Economics SC Business & Economics GA 980GE UT WOS:000233001600004 ER PT J AU Marshall, DA AF Marshall, DA TI Comment on: "Estimating the expected marginal rate of substitution" SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material DE integration; asset; market; discount; stock AB The methodology proposed in Flood and Rose [2005. Estimating the expected marginal rate of substitution: a systematic exploration of idiosyncratic risk. Journal of Monetary Economics 52 (5) 951-969] fails to distinguish between the single unique marginal rate of substitution (MRS) process and the class of valid pricing kernels, of which the MRS is but a particular member. Thus, at best, this methodology explores the properties of some arbitrary pricing kernel, which may differ radically from the true MRS. Furthermore, the estimates of the expected MRS proposed by Flood and Rose [2005. Estimating the expected marginal rate of substitution: a systematic exploration of idiosyncratic risk. Journal of Monetary Economics 52 (5) 951-969] are highly correlated with ex post shocks, implying that these estimates are not conditional expectations at all. The cure for this misspecification introduces additional econometric problems, suggesting that the model may, in practice, be poorly identified. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Res Dept, Chicago, IL USA. RP Marshall, DA (reprint author), Fed Reserve Bank Chicago, Res Dept, Chicago, IL USA. EM dmarshall@frbchi.org NR 3 TC 2 Z9 2 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2005 VL 52 IS 5 BP 971 EP 979 DI 10.1016/j.jmoneco.2005.07.009 PG 9 WC Business, Finance; Economics SC Business & Economics GA 980GE UT WOS:000233001600007 ER PT J AU Goodfriend, M King, RG AF Goodfriend, M King, RG TI The incredible Volcker disinflation SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE credibility; disinflation; monetary policy; Volcker ID RATIONAL-EXPECTATIONS; IMPERFECT CREDIBILITY; POLICY; INFLATION; RULE AB The reduction in inflation that occurred in the early 1980s, when the Federal Reserve was headed by Paul Volcker, is arguably the most widely discussed and visible macroeconomic event of the last 50 years of U.S. history. Inflation had been dramatically rising, but under Volcker, the Fed first contained and then reversed this process. Using a simple modern macroeconomic model, we argue that the real effects of the Volcker disinflation were mainly due to its imperfect credibility. In our view, the observed upward volatility and subsequent stubborn elevation of long-term interest rates during the disinflation are key indicators of that imperfect credibility. Studying transcripts of the Federal Open Market Committee recently released to the public, we find-to our surprise-that Volcker and other FOMC members likewise regarded the long-term interest rates as indicative of inflation expectations and of the credibility of their disinflationary policy. Drawing from the transcripts and other contemporary sources, we consider the interplay of monetary targets, operating procedures, and credibility during the Volcker disinflation. (c) 2005 Published by Elsevier B.V. C1 Boston Univ, Dept Econ, Boston, MA 02215 USA. Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Boston Univ, Dept Econ, Boston, MA 02215 USA. EM rking@bu.edu NR 29 TC 51 Z9 51 U1 2 U2 9 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 2005 VL 52 IS 5 BP 981 EP 1015 DI 10.1016/j.jmoneco.2005.07.001 PG 35 WC Business, Finance; Economics SC Business & Economics GA 980GE UT WOS:000233001600008 ER PT J AU Orphanides, A AF Orphanides, A TI Comment on: "The incredible Volcker disinflation" SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material ID RULE C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Orphanides, A (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM Athatiasios.Orphanides@frb.gov NR 7 TC 1 Z9 1 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2005 VL 52 IS 5 BP 1017 EP 1023 DI 10.1016/j.jmoneco.2005.07.002 PG 7 WC Business, Finance; Economics SC Business & Economics GA 980GE UT WOS:000233001600009 ER PT J AU Andres, J Lopez-Salido, JD Nelson, E AF Andres, J Lopez-Salido, JD Nelson, E TI Sticky-price models and the natural rate hypothesis SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE natural rate hypothesis; output gap; price stickiness ID OPTIMAL MONETARY-POLICY; RATIONAL-EXPECTATIONS; CONTRACTS; MONEY; DYNAMICS AB A major criticism of standard specifications of price adjustment in models for monetary policy analysis is that they violate the natural rate hypothesis by allowing output to differ from potential in steady state. In this paper we estimate a dynamic optimizing business cycle model whose price-setting behavior satisfies the natural rate hypothesis. The price-adjustment specifications we consider are the sticky-information specification of Mankiw and Reis (Sticky information versus sticky prices: a proposal to replace the new Keynesian Phillips curve. Quarterly Journal of Economics 117, 1295-1328) and the indexed contracts of Christiano et al. (Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 113, 1-45). Our empirical estimates of the real side of the economy are similar whichever price adjustment specification is chosen. Consequently, the alternative model specifications deliver similar estimates of the U.S. output gap series, but the empirical behavior of the gap series differs substantially from standard gap estimates. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO USA. Univ Valencia, E-46003 Valencia, Spain. CEPR, London, England. RP Fed Reserve Bank St Louis, St Louis, MO USA. EM javier.andres@uv.es; davidl@bde.es; edward.nelson@stls.frb.org RI Andres, Javier/K-7793-2014 OI Andres, Javier/0000-0003-0980-4833 NR 43 TC 15 Z9 15 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2005 VL 52 IS 5 BP 1025 EP 1053 DI 10.1016/j.jmoneco.2005.07.006 PG 29 WC Business, Finance; Economics SC Business & Economics GA 980GE UT WOS:000233001600010 ER PT J AU Evans, CL AF Evans, CL TI Comment on: "Sticky-price models and the natural rate hypothesis" SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material ID MONETARY-POLICY C1 Fed Reserve Bank Chicago, Chicago, IL 60690 USA. RP Evans, CL (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60690 USA. EM charies.l.evans@chi.frb.org NR 7 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2005 VL 52 IS 5 BP 1055 EP 1057 DI 10.1016/j.jmoneco.2005.07.007 PG 3 WC Business, Finance; Economics SC Business & Economics GA 980GE UT WOS:000233001600011 ER PT J AU Kehoe, TJ Ruhl, KJ AF Kehoe, TJ Ruhl, KJ TI Is Switzerland in a great depression? SO REVIEW OF ECONOMIC DYNAMICS LA English DT Editorial Material AB Abrahamsen, Aeppli, Atukeren, Graff, Muller, and Schips [2005. The Swiss disease: Facts and artefacts. A reply to Kehoe and Prescott. Review of Economic Dynamics 8 (3), 749-758, this issue] object to Kehoe and Prescott's [2002. Great depressions of the 20th century. Review of Economic Dynamics 5 (1), 1-18] characterization of the Swiss economy as being in a great depression over the period 1974-2000. They argue that (1) depressions should be defined in terms of declines in labor productivity rather than in GDP; (2) examining deviations from trend in GDP is equivalent to examining levels; (3) Swiss data from the 1970s should be ignored because it is of low quality and because the 1970s were a period of turmoil in the Swiss labor market; (4) Swiss GDP data should be adjusted to account for appreciations in the terms of trade; and (5) the change in Swiss national accounts from a system based on SNA68 to one based on SNA93 will make Swiss economic performance look better. In this note, we find that none of these arguments have merit except for, possibly, the need to adjust GDP data for changes in the terms of trade. We conclude that Switzerland has indeed suffered a great depression and, in fact, is mired in it even today. (c) 2005 Elsevier Inc. All rights reserved. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Texas, Austin, TX 78712 USA. RP Kehoe, TJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. EM tkehoe@econ.umn.edu OI Ruhl, Kim/0000-0002-5772-7396 NR 14 TC 4 Z9 4 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 JUL PY 2005 VL 8 IS 3 BP 759 EP 775 DI 10.1016/j.red.2005.03.003 PG 17 WC Economics SC Business & Economics GA 953BO UT WOS:000231051000010 ER PT J AU Boldrin, M Montes, A AF Boldrin, M Montes, A TI The intergenerational state education and pensions SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID FERTILITY; FAMILY; GROWTH; MODEL AB When credit markets to finance investment in human capital are missing, the competitive equilibrium allocation is inefficient. When generations overlap, this failure can be mitigated by properly designed social arrangements. We show that public financing of education and public pensions can be designed to implement an intergenerational transfer scheme supporting the complete market allocation. Neither the public financing of education nor the pension scheme we consider resemble standard ones. In our mechanism, via the public education system, the young borrow from the middle aged to invest in human capital. They pay back the debt via a social security tax, the proceedings of which finance pension payments. When the complete market allocation is achieved, the rate of return implicit in this borrowinglending scheme should equal the market rate of return. C1 Univ Minnesota, Fed Res Bank Minneapolis, Minneapolis, MN 55455 USA. Univ Murcia, E-30001 Murcia, Spain. RP Boldrin, M (reprint author), Univ Minnesota, Fed Res Bank Minneapolis, Minneapolis, MN 55455 USA. RI Montes, Ana/L-2091-2014 NR 23 TC 50 Z9 50 U1 0 U2 12 PU REVIEW OF ECONOMIC STUDIES LTD PI OXFORD PA C/O BASIL BLACKWELL LTD, 108 COWLEY RD, PO BOX 805, OXFORD OX4 1JF, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JUL PY 2005 VL 72 IS 3 BP 651 EP 664 DI 10.1111/j.1467-937X.2005.00346.x PG 14 WC Economics SC Business & Economics GA 948NN UT WOS:000230722800002 ER PT J AU McGrattan, ER Prescott, EC AF McGrattan, ER Prescott, EC TI Taxes, regulations, and the value of US and UK corporations SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID INFORMATION-TECHNOLOGY REVOLUTION; EQUITY PREMIUM PUZZLE; STOCK-MARKET; CAPITAL ACCUMULATION; INVESTMENT; RETURNS; MODEL AB We derive the quantitative implications of growth theory for U.S. corporate equity plus net debt over the period 1960-2001. There were large secular movements in corporate equity values relative to GDP, with dramatic declines in the 1970's and dramatic increases starting in the 1980's and continuing throughout the 1990's. During the same period, there was little change in the capital-output ratio or earnings share of output. We ask specifically whether the theory accounts for these observations. We find that it does, with the critical factor being changes in the U.S. tax and regulatory system. We find that the theory also accounts for the even larger movements in U.K. equity values relative to GDP in this period. C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Arizona State Univ, Tempe, AZ 85287 USA. RP McGrattan, ER (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 67 TC 68 Z9 70 U1 10 U2 15 PU REVIEW OF ECONOMIC STUDIES LTD PI OXFORD PA C/O BASIL BLACKWELL LTD, 108 COWLEY RD, PO BOX 805, OXFORD OX4 1JF, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JUL PY 2005 VL 72 IS 3 BP 767 EP 796 DI 10.1111/j.1467-937X.2005.00351.x PG 30 WC Economics SC Business & Economics GA 948NN UT WOS:000230722800007 ER PT J AU Duffy, J Fisher, EO AF Duffy, J Fisher, EO TI Sunspots in the laboratory SO AMERICAN ECONOMIC REVIEW LA English DT Article ID ASSET MARKETS; BUBBLES; GAMES AB We show that extrinsic or nonfundamental uncertainty influences markets in a controlled environment. This work provides the first direct evidence of sunspot equilibria. These equilibria require a common understanding of the semantics of the sunspot variable, and they appear to be sensitive to the flow of information. Sunspots always occur in a closed-book call market, but they happen only occasionally in a double auction, where inframarginal bids and offers are observable. C1 Univ Pittsburgh, Dept Econ, Pittsburgh, PA 15260 USA. Ohio State Univ, Dept Econ, Columbus, OH 43210 USA. Fed Reserve Bank Cleveland, Columbus, OH 43210 USA. RP Duffy, J (reprint author), Univ Pittsburgh, Dept Econ, 4901 Posvar Hall,230 S Bouquet St, Pittsburgh, PA 15260 USA. EM jduffy@pitt.edu; fisher.244@osu.edu RI Duffy, John/F-6968-2015 OI Duffy, John/0000-0002-7660-2281 NR 26 TC 17 Z9 17 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 JUN PY 2005 VL 95 IS 3 BP 510 EP 529 DI 10.1257/0002828054201350 PG 20 WC Economics SC Business & Economics GA 983HY UT WOS:000233223400003 ER PT J AU Wheeler, CH AF Wheeler, CH TI Cities, skills, and inequality SO GROWTH AND CHANGE LA English DT Article ID TECHNICAL CHANGE; WAGE INEQUALITY; LABOR-MARKET; PRODUCTIVITY; INNOVATION; DIVERSITY; GROWTH AB The surge in U.S. wage inequality over the past several decades is now commonly attributed to an increase in the returns paid to skill. Although theories differ with respect to why, specifically, this increase has come about, many agree that it is strongly tied to the increase in the relative supply of skilled (i.e., highly educated) workers in the U.S. labor market. A greater supply of skilled labor, for example, may have induced skill-biased technological change or generated greater stratification of workers by skill across firms or jobs. Given that metropolitan areas in the U.S. have long possessed more educated populations than non-metropolitan areas, these theories suggest that the rise in both the returns to skill and wage inequality should have been particularly pronounced in cities. Evidence from the U.S. Census over the period of 1950 to 1990 supports both implications. C1 Fed Res Bank, St Louis, MO USA. RP Wheeler, CH (reprint author), Fed Res Bank, St Louis, MO USA. EM Christopher.h.wheeler@stls.frb.org NR 27 TC 8 Z9 8 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0017-4815 J9 GROWTH CHANGE JI Growth Change PD SUM PY 2005 VL 36 IS 3 BP 329 EP 353 DI 10.1111/j.1468-2257.2005.00280.x PG 25 WC Planning & Development SC Public Administration GA 950VF UT WOS:000230885600002 ER PT J AU Akyol, A Athreya, K AF Akyol, A Athreya, K TI Risky higher education and subsidies SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE human capital risk; heterogeneous agents; college education ID UNITED-STATES; INEQUALITY; INSURANCE; GROWTH; REDISTRIBUTION; CONSTRAINTS; UNCERTAINTY; INVESTMENT; TRANSFERS; CONSUMER AB Tertiary education in the U.S. requires large investments that are risky, lumpy, and well-timed. Tertiary education is also heavily subsidized. Our model suggests that despite adverse selection arising from encouraging poorly prepared students to enroll, observed collegiate subsidies improve outcomes substantially relative to the fully decentralized case. This result occurs because increases in subsidy rates for college education generate reductions in college failure risk without altering mean returns. We find that this mechanism is robust, and that tertiary subsidy rates well in excess of those observed in the U.S. can be justified by failure risk alone. © 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. York Univ, Dept Econ, N York, ON M3J 1P3, Canada. RP Athreya, K (reprint author), Fed Reserve Bank Richmond, Dept Res, 701 E Byrd St, Richmond, VA 23261 USA. EM kartik.athreya@rich.frb.org NR 67 TC 10 Z9 10 U1 1 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2005 VL 29 IS 6 BP 979 EP 1023 DI 10.1016/j.jedc.2004.05.003 PG 45 WC Economics SC Business & Economics GA 932SJ UT WOS:000229573400001 ER PT J AU Dwyer, GP AF Dwyer, GP TI The changing face of central banking: Evolutionary trends since world war II SO JOURNAL OF ECONOMIC HISTORY LA English DT Book Review C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Dwyer, GP (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4211 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD JUN PY 2005 VL 65 IS 2 BP 606 EP 607 PG 2 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 936WP UT WOS:000229886400033 ER PT J AU Goodfriend, M AF Goodfriend, M TI Toward a new paradigm for monetary economics SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Goodfriend, M (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD JUN PY 2005 VL 43 IS 2 BP 503 EP 504 PG 2 WC Economics SC Business & Economics GA 955LA UT WOS:000231226200010 ER PT J AU Doms, M AF Doms, M TI Technology, growth, and the labor market SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Res Bank San Francisco, San Francisco, CA 94105 USA. RP Doms, M (reprint author), Fed Res Bank San Francisco, San Francisco, CA 94105 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD JUN PY 2005 VL 43 IS 2 BP 520 EP 522 PG 3 WC Economics SC Business & Economics GA 955LA UT WOS:000231226200023 ER PT J AU Bernanke, BS Kuttner, KN AF Bernanke, BS Kuttner, KN TI What explains the stock market's reaction to Federal Reserve Policy? SO JOURNAL OF FINANCE LA English DT Article ID MONETARY-POLICY; VARIANCE DECOMPOSITION; INTEREST-RATES; RETURNS; BEHAVIOR AB This paper analyzes the impact of changes in monetary policy on equity prices, with the objectives of both measuring the average reaction of the stock market and understanding the economic sources of that reaction. We find that, on average, a hypothetical unanticipated 25-basis-point cut in the Federal funds rate target is associated with about a 1% increase in broad stock indexes. Adapting a methodology due to Campbell and Ammer, we find that the effects of unanticipated monetary policy actions on expected excess returns account for the largest part of the response of stock prices. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Princeton Univ, Princeton, NJ 08544 USA. Oberlin Coll, Oberlin, OH 44074 USA. RP Bernanke, BS (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 34 TC 300 Z9 305 U1 4 U2 37 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0022-1082 J9 J FINANC JI J. Financ. PD JUN PY 2005 VL 60 IS 3 BP 1221 EP 1257 DI 10.1111/j.1540-6261.2005.00760.x PG 37 WC Business, Finance SC Business & Economics GA 921GA UT WOS:000228751000005 ER PT J AU Robertson, JC Tallman, EW Whiteman, CH AF Robertson, JC Tallman, EW Whiteman, CH TI Forecasting using relative entropy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE approximate prior information; Kullback-Leibler information criterion; relative numerical efficiency ID DYNAMIC MULTIVARIATE MODELS; EMPIRICAL LIKELIHOOD; MONTE-CARLO; INTEGRATION AB The paper describes a relative entropy procedure for imposing restrictions on simulated forecast distributions from a variety of models. Starting from an empirical forecast distribution for some variables of interest, the technique generates a new empirical distribution that satisfies a set of moment restrictions not used in the construction of the original. The new distribution is informationally as close as possible to the original in the sense of minimizing the Kullback-Leibler Information Criterion, or relative entropy. We illustrate the technique with an example related to monetary policy that shows how to introduce restrictions from economic theory into a model's forecasts. C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. Univ Iowa, Iowa City, IA 52242 USA. RP Robertson, JC (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM john.c.robertson@atl.frb.org; ellis.tallman@atl.frb.org; whiteman@uiowa.edu NR 23 TC 20 Z9 21 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2005 VL 37 IS 3 BP 383 EP 401 DI 10.1353/mcb.2005.0034 PG 19 WC Business, Finance; Economics SC Business & Economics GA 940HG UT WOS:000230133700002 ER PT J AU Sarno, L Thornton, DL Valente, G AF Sarno, L Thornton, DL Valente, G TI Federal funds rate prediction SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE federal funds rate; forecasting; term structure; nonlinearity ID MONETARY-POLICY RULES; UNIT-ROOT TESTS; TERM STRUCTURE; EXCHANGE-RATES; CONDITIONAL HETEROSKEDASTICITY; RATIONAL-EXPECTATIONS; FORECAST COMBINATION; YIELD SPREADS; MARKET; MODELS AB We examine the forecasting performance of a range of time-series models of the daily U.S. effective federal funds (FF) rate recently proposed in the literature. We find that: (1) most of the models and predictor variables considered produce satisfactory one-day-ahead forecasts of the FF rate, (2) the best forecasting model is a simple univariate model where the future FF rate is forecast using the current difference between the FF rate and its target, and (3) combining the forecasts from various models generally yields modest improvements on the best performing model. These results have a natural interpretation and clear policy implications. C1 Univ Warwick, Warwick Business Sch, Finance Grp, Coventry CV4 7AL, W Midlands, England. CEPR, London, England. Fed Reserve Bank St Louis, St Louis, MO USA. RP Sarno, L (reprint author), Univ Warwick, Warwick Business Sch, Finance Grp, Coventry CV4 7AL, W Midlands, England. EM lucio.sarno@warwick.ac.uk; thornton@stls.frb.org; giorgio.valente@wbs.ac.uk OI VALENTE, Giorgio/0000-0001-6737-3627 NR 71 TC 12 Z9 12 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 2005 VL 37 IS 3 BP 449 EP 471 DI 10.1353/mcb.2005.0035 PG 23 WC Business, Finance; Economics SC Business & Economics GA 940HG UT WOS:000230133700005 ER PT J AU Orphanides, A Van Norden, S AF Orphanides, A Van Norden, S TI The reliability of inflation forecasts based on output gap estimates in real time SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE Phillips curve; output gap; inflation forecasts; real-time data ID BUSINESS CYCLES; SERIES; ACCURACY; TRENDS AB A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve, provides the basis for countercyclical monetary policy in many models. In this paper, we evaluate the usefulness of alternative univariate and multivariate estimates of the output gap for predicting inflation. Many of the ex post output gap measures we examine appear to be quite useful for predicting inflation. However, forecasts using real-time estimates of the same measures do not perform nearly as well. The relative usefulness of real-time output gap estimates diminishes further when compared to simple bivariate forecasting models which use past inflation and output growth. Forecast performance also appears to be unstable over time, with models often performing differently over periods of high and low inflation. These results call into question the practical usefulness of the output gap concept for forecasting inflation. C1 Fed Reserve Syst, Board Governors, Div Montetary Affairs, Washington, DC 20551 USA. HEC, Montreal, PQ, Canada. RP Orphanides, A (reprint author), Fed Reserve Syst, Board Governors, Div Montetary Affairs, Washington, DC 20551 USA. EM Athanasios.Orphanides@frb.gov; simon.van-norden@hec.ca OI van Norden, Simon/0000-0003-0145-4226 NR 33 TC 63 Z9 63 U1 2 U2 7 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 2005 VL 37 IS 3 BP 583 EP 601 DI 10.1353/mcb.2005.0033 PG 19 WC Business, Finance; Economics SC Business & Economics GA 940HG UT WOS:000230133700011 ER PT J AU Lagos, R Wright, R AF Lagos, R Wright, R TI A unified framework for monetary theory and policy analysis SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID DIVISIBLE SEARCH MODEL; RANDOM-MATCHING MODEL; NEOCLASSICAL DICHOTOMY; WELFARE COSTS; FIAT MONEY; INFLATION; PRICES; RETURNS; SCALE AB Search-theoretic models of monetary exchange are based on explicit descriptions of the frictions that make money essential. However, tractable versions of these models typically make strong assumptions that render them ill suited for monetary policy analysis. We propose a new framework, based on explicit micro foundations, within which macro policy can be studied. The framework is analytically tractable and easily quantifiable. We calibrate the model to standard observations and use it to measure the cost of inflation. We find that going from 10 percent to 0 percent inflation is worth between 3 and 5 percent of consumption - much higher than previous estimates. C1 NYU, New York, NY 10012 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. Univ Penn, Philadelphia, PA 19104 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Lagos, R (reprint author), NYU, New York, NY 10012 USA. NR 40 TC 304 Z9 307 U1 3 U2 26 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 2005 VL 113 IS 3 BP 463 EP 484 DI 10.1086/429804 PG 22 WC Economics SC Business & Economics GA 931GC UT WOS:000229472800001 ER PT J AU Holmes, TJ AF Holmes, TJ TI The location of sales offices and the attraction of cities SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID GEOGRAPHY; GROWTH AB This paper examines how manufacturers locate sales offices across cities. Sales office costs are assumed to have four components: a fixed cost, a frictional cost for out-of-town sales, a cost-reducing knowledge spillover related to city size, and an idiosyncratic match quality for each firm-city pair. A simple theoretical model is developed and is estimated using data from the Census of Wholesale Trade. The factors emphasized in the home market effect literature, namely, fixed costs and frictional costs, are found to play an important role in location decisions. Match quality also matters. The results for knowledge spillovers are mixed. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 19 TC 19 Z9 19 U1 3 U2 6 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 2005 VL 113 IS 3 BP 551 EP 581 DI 10.1086/429135 PG 31 WC Economics SC Business & Economics GA 931GC UT WOS:000229472800004 ER PT J AU Schmitz, JA AF Schmitz, JA TI What determines productivity? Lessons from the dramatic recovery of the US and Canadian iron ore industries following their early 1980s crisis SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID LABOR PRODUCTIVITY; COMPETITION AB Great Lakes iron ore producers had faced no competition from foreign iron ore in the Great Lakes steel market for nearly a century as the 1970s closed. In the early 1980s, as a result of unprecedented developments in the world steel market, Brazilian producers were offering to deliver iron ore to Chicago ( the heart of the Great Lakes market) at prices substantially below prices of local iron ore. The U. S. and Canadian iron ore industries faced a major crisis that cast doubt on their future. In response to the crisis, these industries dramatically increased productivity. Labor productivity doubled in a few years whereas it had changed little in the preceding decade). Materials productivity increased by more than half. Capital productivity increased as well. I show that most of the productivity gains were due to changes in work practices. Work practice changes reduced overstaffing and hence increased labor productivity. By increasing the fraction of time equipment was in operating mode, changes in work practices also significantly increased materials and capital productivity. C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Schmitz, JA (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 32 TC 53 Z9 53 U1 2 U2 10 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD JUN PY 2005 VL 113 IS 3 BP 582 EP 625 DI 10.1086/429279 PG 44 WC Economics SC Business & Economics GA 931GC UT WOS:000229472800005 ER PT J AU Brooks, R Del Negro, M AF Brooks, R Del Negro, M TI Country versus region effects in international stock returns SO JOURNAL OF PORTFOLIO MANAGEMENT LA English DT Article ID INDUSTRIAL-STRUCTURE; DIVERSIFICATION AB An empirical regularity in the portfolio diversification literature is the importance of country effects in explaining international return variation. A new decomposition here disaggregates these country effects into region effects and within-region country effects. Half of the return variation typically attributed to country effects seems attributable actually to region effects, a result robust across developed and emerging markets; the remaining variation is explained by within-region country effects. For the average investor, this means that diversifying across countries within Europe, for example, delivers half the risk reduction possible from diversifying across regions globally. C1 Int Monetary Fund, Dept Res, Washington, DC 20431 USA. Fed Res Bank Atlanta, Res Dept, Atlanta, GA USA. RP Brooks, R (reprint author), Int Monetary Fund, Dept Res, Washington, DC 20431 USA. EM rbrooks2@imf.org; marco.delnegro@atl.frb.org NR 7 TC 17 Z9 18 U1 0 U2 4 PU INSTITUTIONAL INVESTOR INC PI NEW YORK PA 225 PARK AVENUE SOUTH, NEW YORK, NY 10003 USA SN 0095-4918 J9 J PORTFOLIO MANAGE JI J. Portf. Manage. PD SUM PY 2005 VL 31 IS 4 BP 67 EP + DI 10.3905/jpm.2005.570152 PG 7 WC Business, Finance SC Business & Economics GA 952OQ UT WOS:000231015800008 ER PT J AU Hendel, I Shapiro, J Willen, P AF Hendel, I Shapiro, J Willen, P TI Educational opportunity and income inequality SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE education signaling; college premium; college loans ID WAGE INEQUALITY; BORROWING CONSTRAINTS; TECHNICAL CHANGE; ECONOMIC-GROWTH; RELATIVE WAGES; UNITED-STATES; COLLEGE; TRANSFERS; EARNINGS; DEMAND AB Affordable higher education is, and has been, a key element of social policy in the United States with broad bipartisan support. Financial aid has substantially increased the number of people who complete university-generally thought to be a good thing. We show, however, that making education more affordable can increase income inequality. The mechanism that drives our results is a combination of credit constraints and the 'signaling' role of education first explored by Spence [Spence, A. Michael, 1973. Job Market Signalling, Quarterly Journal of Economics, 87(3) Aug., 355-374]. When borrowing for education is difficult, lack of a college education could mean that one is either of low ability or of high ability but with low financial resources. When government programs make borrowing or lower tuition more affordable, high-ability persons become educated and leave the uneducated pool, driving down the wage for unskilled workers and raising the skill premium. (c) 2004 Elsevier B.V. All rights reserved. C1 Univ Pompeu Fabra, Dept Econ & Empresa, Barcelona 08005, Spain. Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Hendel, I (reprint author), Univ Pompeu Fabra, Dept Econ & Empresa, Ramon Trias Fargas 25-27, Barcelona 08005, Spain. EM igal@northwestern.edu; joel.shapiro@upf.edu; paul.willen@bos.frb.org NR 45 TC 18 Z9 18 U1 1 U2 17 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD JUN PY 2005 VL 89 IS 5-6 BP 841 EP 870 DI 10.1016/j.jpubeco.2004.11.004 PG 30 WC Economics SC Business & Economics GA 926ZN UT WOS:000229162300005 ER PT J AU Barrow, L Rouse, CE AF Barrow, L Rouse, CE TI Do returns to schooling differ by race and ethnicity? SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 117th Annual Meeting of the American-Economic-Association CY JAN 07, 2005 CL Philadelphia, PA SP Amer Econ Assoc C1 Fed Reserve Bank Chicago, Econ Res, Chicago, IL 60604 USA. Princeton Univ, Educ Res Sect, Firestone Lib, Princeton, NJ 08544 USA. RP Barrow, L (reprint author), Fed Reserve Bank Chicago, Econ Res, 230 S LaSalle St, Chicago, IL 60604 USA. EM lbarrow@frbchi.org; rouse@princeton.edu NR 8 TC 11 Z9 11 U1 1 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2005 VL 95 IS 2 BP 83 EP 87 DI 10.1257/000282805774670130 PG 5 WC Economics SC Business & Economics GA 982OW UT WOS:000233172500015 ER PT J AU Almond, D Mazumder, B AF Almond, D Mazumder, B TI The 1918 influenza pandemic and subsequent health outcomes: An analysis of SIPP data SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 117th Annual Meeting of the American-Economic-Association CY JAN 07, 2005 CL Philadelphia, PA SP Amer Econ Assoc ID CHILDHOOD; ORIGINS C1 Columbia Univ, Dept Econ, New York, NY 10027 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Almond, D (reprint author), Columbia Univ, Dept Econ, 420 W 118th St, New York, NY 10027 USA. NR 10 TC 59 Z9 59 U1 0 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2005 VL 95 IS 2 BP 258 EP 262 DI 10.1257/000282805774669943 PG 5 WC Economics SC Business & Economics GA 982OW UT WOS:000233172500048 ER PT J AU Ihrig, J AF Ihrig, J TI The influence of technology on foreign direct investment SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 117th Annual Meeting of the American-Economic-Association CY JAN 07, 2005 CL Philadelphia, PA SP Amer Econ Assoc ID KNOWLEDGE-CAPITAL MODEL; MULTINATIONAL-ENTERPRISE C1 Fed Reserve Syst, Board Governors, Int Finance Div, Washington, DC 20551 USA. RP Ihrig, J (reprint author), Fed Reserve Syst, Board Governors, Int Finance Div, 2000 C St NW, Washington, DC 20551 USA. EM Ihrig@frb.gov NR 4 TC 0 Z9 0 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 MAY PY 2005 VL 95 IS 2 BP 309 EP 313 DI 10.1257/000282805774669664 PG 5 WC Economics SC Business & Economics GA 982OW UT WOS:000233172500058 ER PT J AU Connolly, M Valderrama, D AF Connolly, M Valderrama, D TI Implications of intellectual property rights for dynamic gains from trade SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 117th Annual Meeting of the American-Economic-Association CY JAN 07, 2005 CL Philadelphia, PA SP Amer Econ Assoc C1 Duke Univ, Dept Econ, Durham, NC 27708 USA. Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Connolly, M (reprint author), Duke Univ, Dept Econ, 213 Social Sci, Durham, NC 27708 USA. NR 5 TC 11 Z9 11 U1 3 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 2005 VL 95 IS 2 BP 318 EP 322 DI 10.1257/000282805774670022 PG 5 WC Economics SC Business & Economics GA 982OW UT WOS:000233172500060 ER PT J AU Chari, VV Kehoe, PJ McGrattan, ER AF Chari, VV Kehoe, PJ McGrattan, ER TI Sudden stops and output drops SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 117th Annual Meeting of the American-Economic-Association CY JAN 07, 2005 CL Philadelphia, PA SP Amer Econ Assoc C1 Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55401 USA. Univ Minnesota, Minneapolis, MN 55455 USA. RP Chari, VV (reprint author), Fed Reserve Bank Minneapolis, Dept Res, 90 Hennepin Ave, Minneapolis, MN 55401 USA. RI fungsen, chan/H-1983-2016 NR 9 TC 29 Z9 29 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 2005 VL 95 IS 2 BP 381 EP 387 DI 10.1257/000282805774670013 PG 7 WC Economics SC Business & Economics GA 982OW UT WOS:000233172500072 ER PT J AU Diebold, FX Piazzesi, M Rudebusch, GD AF Diebold, FX Piazzesi, M Rudebusch, GD TI Modeling bond yields in finance and macroeconomics SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 117th Annual Meeting of the American-Economic-Association CY JAN 07, 2005 CL Philadelphia, PA SP Amer Econ Assoc C1 Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. Fed Res Bank San Francisco, San Francisco, CA 94105 USA. RP Diebold, FX (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM fdiebold@sasupenn.edu; monika.piazzesi@sb.uchicago.cdu; glenn.rudebusch@sf.frb.org NR 8 TC 51 Z9 52 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 2005 VL 95 IS 2 BP 415 EP 420 DI 10.1257/000282805774670194 PG 6 WC Economics SC Business & Economics GA 982OW UT WOS:000233172500077 ER PT J AU Ennis, HM Keister, T AF Ennis, HM Keister, T TI Government policy and the probability of coordination failures SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE coordination problems; equilibrium selections; learning; network externalities ID BANK RUNS; EQUILIBRIUM; MODELS; SUNSPOTS; CONVERGENCE; STABILITY; BUBBLES; GAMES AB This paper introduces an approach to the study of optimal government policy in economics characterized by a coordination problem and Multiple equilibria. Such models are often criticized as not being useful for policy analysis because they fail to assign a unique prediction to each possible policy choice. We employ a selection mechanism that assigns, ex ante, a probability to each equilibrium indicating how likely it is to obtain. We show how such a mechanism call be derived as the natural result of an adaptive learning process. This approach leads to a well-defined optimal policy problem, and has important implications for the conduct of government policy. We illustrate these implications using a simple model of technology adoption under network externalities. (c) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. Ctr Invest Econ, ITAM, Mexico City 10700, DF, Mexico. RP Ennis, HM (reprint author), Fed Reserve Bank Richmond, Dept Res, POB 27622, Richmond, VA 23261 USA. EM huberto.ennis@rich.frb.org; keister@itam.mx RI Keister, Todd/B-5951-2008 NR 34 TC 6 Z9 6 U1 3 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 MAY PY 2005 VL 49 IS 4 BP 939 EP 973 DI 10.1016/j.euroecorev.20063.08.006 PG 35 WC Economics SC Business & Economics GA 908ZZ UT WOS:000227830000007 ER PT J AU Coenen, G Levin, A Wieland, V AF Coenen, G Levin, A Wieland, V TI Data uncertainty and the role of money as an information variable for monetary policy SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE Euro area; Kalman filter; macroeconomic modelling; measurement error; monetary policy rules; rational expectations ID AGGREGATE; DEMAND; MODELS AB In this study, we perforin a quantitative assessment of the role of money as an indicator variable for monetary policy in the euro area. We document the magnitude of revisions to euro area-wide data on output, prices, and money, and find that monetary aggregates have a potentially significant role in providing information about Current real output. We then proceed to analyze the information content of money in a forward-looking model in which monetary policy is optimally determined subject to incomplete information about the true state of the economy. We show that monetary aggregates may have substantial information content in an environment with high variability of output measurement errors, low variability of money demand shocks, and a strong contemporaneous linkage between money demand and real output. As a practical matter, however, we conclude that money has fairly limited information content as an indicator of contemporaneous aggregate demand in the euro area. (c) 2003 Elsevier B.V. All rights reserved. C1 European Cent Bank, Directorate Gen Res, D-60311 Frankfurt, Germany. Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. Univ Frankfurt, D-60325 Frankfurt, Germany. RP Coenen, G (reprint author), European Cent Bank, Directorate Gen Res, Kaiserstr 29, D-60311 Frankfurt, Germany. EM gunter.coenen@ecb.int; levina@frb.gov; wieland@wiwi.uni-frankfurt.de NR 43 TC 30 Z9 30 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD MAY PY 2005 VL 49 IS 4 BP 975 EP 1006 DI 10.1016/j.euroecorev.2003.08.005 PG 32 WC Economics SC Business & Economics GA 908ZZ UT WOS:000227830000008 ER PT J AU Cohen, JP Coughlin, CC AF Cohen, JP Coughlin, CC TI An introduction to two-rate taxation of land and buildings SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TAX; PROPERTY AB When taxing real property at the local level in the United States, land and improvements to the land, such as buildings, are generally taxed at the same rate. Two-rate (or split-rate) taxation departs from this practice by taxing land at a higher rate than structures. This paper begins with an elementary discussion of taxation and the economic rationale for two-rate taxation. In theory, moving to a two-rate tax reduces the deadweight losses associated with distortionary taxation and generates additional economic activity. The paper also provides a history of two-rate taxation in the United States and a summary of studies attempting to quantify its economic effects. Discussions of the practical and political challenges of implementing two-rate taxation complete the paper. C1 Univ Hartford, Barney Sch Business, Hartford, CT 06117 USA. Fed Reserve Bank St Louis, St Louis, MO 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 30 TC 4 Z9 4 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2005 VL 87 IS 3 BP 359 EP 374 PG 16 WC Business, Finance; Economics SC Business & Economics GA 927PY UT WOS:000229207900001 ER PT J AU Wheeler, CH AF Wheeler, CH TI Evidence on wage inequality, worker education, and technology SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID EARNINGS INEQUALITY; RELATIVE WAGES; LABOR-MARKET; DEMAND; SKILL; COMPUTERS AB The rise in U.S. wage inequality over the past two decades is commonly associated with an increase in the use of "skill-biased" technologies (e.g., computer equipment) in the workplace, yet relatively few studies have attempted to measure the direct link between the two. This paper explores the relationship among inequality, worker education levels, and workplace computer usage using a sample of 230 U.S. industries between 1983 and 2002. The results generate two primary conclusions: First, this rising inequality in the United States has been caused predominantly by increasing wage dispersion within industries rather than between industries. Second, within-industry inequality is strongly tied to both the frequency of computer usage among workers and the fraction of total employment with a college degree. Both results lend support to the idea that skill-biased technological change has been an important element in the rise of U.S. wage inequality. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Wheeler, CH (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 23 TC 10 Z9 10 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 2005 VL 87 IS 3 BP 375 EP 393 PG 19 WC Business, Finance; Economics SC Business & Economics GA 927PY UT WOS:000229207900002 ER PT J AU Armesto, MI Gavin, WI AF Armesto, MI Gavin, WI TI Monetary policy and commodity futures SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID REAL INTEREST-RATES; ANNOUNCEMENTS; MARKET AB This paper constructs daily measures of the real interest rate and expected inflation using commodity futures prices and the term structure of Treasury yields. We find that commodity futures markets respond to surprise increases in the federal funds rate target by raising the inflation rate expected over the next 3 to 9 months. There is no evidence that the real interest rate responds to surprises in the federal funds target. The data from the commodity futures markets are highly volatile; we show that one can substantially reduce the noise using limited information estimators such as the median change. Nevertheless, the basket of commodities actually traded daily is quite narrow and we do not know whether our observable rates are closely connected to the unobservable inflation and real rates that affect economywide consumption and investment decisions. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Fed Reserve Bank St Louis, St Louis, MO USA. NR 14 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 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2005 VL 87 IS 3 BP 395 EP 405 PG 11 WC Business, Finance; Economics SC Business & Economics GA 927PY UT WOS:000229207900003 ER PT J AU Neely, CJ AF Neely, CJ TI Using implied volatility to measure uncertainty about interest rates SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID STOCHASTIC VOLATILITY; STANDARD DEVIATIONS; OPTION PRICES; TIME-SERIES; MARKET; CONTRACTS; FUTURES; MODEL; BOND AB Option prices can be used to infer the level of uncertainty about future asset prices. The first two parts of this article explain such measures (implied volatility) and how they can differ from the market's true expectation of uncertainty. The third then estimates the implied volatility of threemonth eurodollar interest rates from 1985 to 2001 and evaluates its ability to predict realized volatility. Implied volatility shows that uncertainty about short-term interest rates has been falling for almost 20 years, as the levels of interest rates and inflation have fallen. And changes in implied volatility are usually coincident with major news about the stock market, the real economy, and monetary policy. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 48 TC 6 Z9 6 U1 3 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 2005 VL 87 IS 3 BP 407 EP 425 PG 19 WC Business, Finance; Economics SC Business & Economics GA 927PY UT WOS:000229207900004 ER PT J AU Kahn, CM McAndrews, J Roberds, W AF Kahn, CM McAndrews, J Roberds, W TI Money is privacy SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID PRISONERS-DILEMMA; SOCIAL NORMS; CREDIT; ARRANGEMENTS; INFORMATION; CURRENCY AB An extensive literature in monetary theory has emphasized the role of money as a record-keeping device. Money assumes this role in situations where using credit would be too costly, and some might argue that this role will diminish as the cost of information and thus the cost of credit-based transactions continues to fall. In this article we investigate another use for money, the provision of privacy. That is, a money purchase does not identify the purchaser, whereas a credit purchase does. In a simple trading economy with moral hazard, we compare the efficiency of money and credit, and find that money may be useful even when information is free. C1 Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. Fed Reserve Bank New York, Dept Res, New York, NY 10045 USA. Univ Illinois, Dept Finance, Chicago, IL 60680 USA. RP Roberds, W (reprint author), Fed Reserve Bank Atlanta, Dept Res, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM william.roberds@atl.frb.org NR 19 TC 15 Z9 15 U1 0 U2 2 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2005 VL 46 IS 2 BP 377 EP 399 DI 10.1111/j.1468-2354.2005.00323.x PG 23 WC Economics SC Business & Economics GA 925JV UT WOS:000229050300005 ER PT J AU Bhattacharya, J Haslag, JH Martin, A AF Bhattacharya, J Haslag, JH Martin, A TI Heterogeneity, redistribution, and the Friedman rule SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID MONEY; POLICY; MONETARY; BANKING AB We study monetary models with nondegenerate stationary distributions of money holdings. We find that the Friedman rule does not typically maximize ex post social welfare. An increase in the rate of growth of the money supply has two effects: the standard distortionary, or rate-of-return, effect makes money a less desirable asset for all moneyholders. A second, redistributive effect, creates a transfer from one type of agent to the other. An increase in the rate of growth of money away from the Friedman rule can produce a rate-of-return effect that dominates the standard effect. C1 Fed Reserve Bank New York, Payments Studies Funct, New York, NY 10045 USA. Iowa State Univ, Ames, IA USA. Univ Missouri, Columbia, MO 65211 USA. RP Bhattacharya, J (reprint author), Fed Reserve Bank New York, Payments Studies Funct, 33 Liberty St, New York, NY 10045 USA. EM antoine.martin@ny.frb.org OI Bhattacharya, Joydeep/0000-0002-3148-4592 NR 26 TC 25 Z9 25 U1 1 U2 12 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2005 VL 46 IS 2 BP 437 EP 454 DI 10.1111/j.1468-2354.2005.00327.x PG 18 WC Economics SC Business & Economics GA 925JV UT WOS:000229050300009 ER PT J AU Lagos, R Rocheteau, G AF Lagos, R Rocheteau, G TI Inflation, output, and welfare SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID COMPETITIVE SEARCH EQUILIBRIUM; MONEY; PRICES; MODEL AB We study the effects of anticipated inflation on aggregate output and welfare within a search-theoretic framework. We consider two pricing mechanisms: ex post bargaining and a notion of competitive pricing. Under bargaining, the equilibrium is generically inefficient and an increase in inflation reduces buyers' search intensities, output, and welfare. If prices are posted and buyers can direct their search, search intensities are increasing with inflation for low inflation rates and decreasing for high inflation rates. The Friedman rule achieves the efficient allocation, and inflation always reduces welfare, although it can have a positive effect on output for low inflation rates. C1 NYU, Dept Econ, New York, NY 10003 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. Australian Natl Univ, Canberra, ACT, Australia. RP Lagos, R (reprint author), NYU, Dept Econ, 269 Mercer St, New York, NY 10003 USA. EM ricardo.lagos@nyu.edu NR 20 TC 36 Z9 36 U1 0 U2 1 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2005 VL 46 IS 2 BP 495 EP 522 DI 10.1111/j.1468-2354.2005.00331.x PG 28 WC Economics SC Business & Economics GA 925JV UT WOS:000229050300013 ER PT J AU Prescott, EC AF Prescott, EC TI Comments on "inflation, output, and welfare" by Ricardo Lagos and Guillaume Rocheteau SO INTERNATIONAL ECONOMIC REVIEW LA English DT Editorial Material C1 Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Prescott, EC (reprint author), Arizona State Univ, Dept Econ, Tempe, AZ 85287 USA. EM edward.prescott@asu.edu NR 17 TC 1 Z9 1 U1 1 U2 1 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2005 VL 46 IS 2 BP 523 EP 531 DI 10.1111/j.1468-2354.2005.00332.x PG 9 WC Economics SC Business & Economics GA 925JV UT WOS:000229050300014 ER PT J AU Weber, WE AF Weber, WE TI Comments on "Nominal bonds and interest rates" by Shouyong Shi SO INTERNATIONAL ECONOMIC REVIEW LA English DT Editorial Material ID LIQUIDITY; MONEY C1 Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55480 USA. RP Weber, WE (reprint author), Fed Reserve Bank Minneapolis, Dept Res, POB 291, Minneapolis, MN 55480 USA. EM wew@minneapolisfed.org NR 8 TC 0 Z9 0 U1 0 U2 0 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2005 VL 46 IS 2 BP 613 EP 618 DI 10.1111/j.1468-2354.2005.00336.x PG 6 WC Economics SC Business & Economics GA 925JV UT WOS:000229050300018 ER PT J AU Kocherlakota, NR AF Kocherlakota, NR TI Discussion of "From private banking to central banking: ingredients of a welfare analysis" SO INTERNATIONAL ECONOMIC REVIEW LA English DT Editorial Material ID MONEY; EXCHANGE; SEARCH; PRICES C1 Stanford Univ, Dept Econ, Stanford, CA 94305 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. NBER, Cambridge, MA 02138 USA. RP Kocherlakota, NR (reprint author), Stanford Univ, Dept Econ, Landau Econ Bldg,579 Serra Mall, Stanford, CA 94305 USA. EM nkocher@stanford.edu NR 6 TC 0 Z9 0 U1 0 U2 1 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2005 VL 46 IS 2 BP 633 EP 636 DI 10.1111/j.1468-2354.2005.00338.x PG 4 WC Economics SC Business & Economics GA 925JV UT WOS:000229050300020 ER PT J AU Chari, VV AF Chari, VV TI Discussion of He, Huang, and Wright's "Money and banking in search equilibrium" SO INTERNATIONAL ECONOMIC REVIEW LA English DT Editorial Material C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Chari, VV (reprint author), Univ Minnesota, Dept Econ, 1035 Mgmt Econ,271 19th Ave S, Minneapolis, MN 55455 USA. EM chari@res.mpls.frb.fed.us NR 3 TC 0 Z9 0 U1 2 U2 3 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2005 VL 46 IS 2 BP 671 EP 674 DI 10.1111/j.1468-2354.2005.00340.x PG 4 WC Economics SC Business & Economics GA 925JV UT WOS:000229050300022 ER PT J AU Atkeson, A AF Atkeson, A TI Discussion of "Liquidity, money creation and destruction, and the returns to banking" by Cavalcanti, Erosa, and Temzelides SO INTERNATIONAL ECONOMIC REVIEW LA English DT Editorial Material ID PRIVATE MONEY; INFLATION; WELFARE; DEMAND; CASH C1 Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Atkeson, A (reprint author), Univ Calif Los Angeles, Dept Econ, Box 951477,Bunche Hall 9379, Los Angeles, CA 90095 USA. EM andy@atkeson.net NR 19 TC 0 Z9 0 U1 2 U2 4 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2005 VL 46 IS 2 BP 707 EP 713 DI 10.1111/j.1468-2354.2005.00342.x PG 7 WC Economics SC Business & Economics GA 925JV UT WOS:000229050300024 ER PT J AU Kocherlakota, NR AF Kocherlakota, NR TI Optimal monetary policy: What we know and what we don't know SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID PUBLIC-FINANCE; MONEY; SEARCH; TAXATION; PRICES; MODEL; RULE AB In this article, I examine the current state of knowledge about optimal monetary policy. I distinguish between two literatures, basic and applied. The basic literature is explicit about the frictions that generate a positive value for money and make it socially beneficial. The applied literature is not. I describe the recent lessons about monetary policy that we have learned from each literature and discuss how the two distinct approaches may be usefully combined. C1 Stanford Univ, Dept Econ, Stanford, CA 94305 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. NBER, Cambridge, MA 02138 USA. RP Kocherlakota, NR (reprint author), Stanford Univ, Dept Econ, Landau Econ Bldg,579 Serra Mall, Stanford, CA 94305 USA. EM nkocher@stanford.edu NR 31 TC 7 Z9 7 U1 0 U2 6 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2005 VL 46 IS 2 BP 715 EP 729 DI 10.1111/j.1468-2354.2005.00343.x PG 15 WC Economics SC Business & Economics GA 925JV UT WOS:000229050300025 ER PT J AU Demiralp, S Farley, D AF Demiralp, S Farley, D TI Declining required reserves, funds rate volatility, and open market operations SO JOURNAL OF BANKING & FINANCE LA English DT Article DE required reserves; open market operations; trading desk ID FEDERAL-FUNDS; POLICY AB The standard view of the monetary transmission mechanism rests on the central bank's ability to manipulate the overnight interest rate by controlling reserve supply. In the 1990s, there was a significant decline in the level of reserve balances in the US accompanied at first by an increase in federal funds rate volatility. However, following this initial rise, volatility declined. In this paper, we find evidence of structural breaks in volatility. We estimate a Tobit model of temporary open market operations and conclude that there have been changes in the Desk's reaction function that played a major role in controlling volatility. Published by Elsevier B.V. C1 Board Governors, Fed Reserve Syst, Div Monetary Affairs, Washington, DC 20551 USA. RP Demiralp, S (reprint author), Board Governors, Fed Reserve Syst, Div Monetary Affairs, 20th St & Constitut Ave,Mail Stop 59, Washington, DC 20551 USA. EM selva.demiralp@frb.gov RI Demiralp, Selva/L-6650-2016 OI Demiralp, Selva/0000-0003-4087-168X NR 23 TC 14 Z9 14 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAY PY 2005 VL 29 IS 5 BP 1131 EP 1152 DI 10.1016/j.jbankfin.2004.05.030 PG 22 WC Business, Finance; Economics SC Business & Economics GA 902PJ UT WOS:000227368700006 ER PT J AU Dutta, KK Babbel, DF AF Dutta, KK Babbel, DF TI Extracting probabilistic information from the prices of interest rate options: Tests of distributional assumptions SO JOURNAL OF BUSINESS LA English DT Article ID STOCK-RETURN DISTRIBUTIONS; ELONGATION; SKEWNESS AB Return distributions in general and interest rates in particular have been observed to exhibit skewness and kurtosis that cannot be explained by the (log) normal distribution. Using g-and-h distribution we derived a closed-form option pricing formula for pricing European options. We measured its performance using interest rate cap data and compared it with the option prices based on the lognormal, Burr-3, Weibull, and GB2 distributions. We observed that the g-and-h distribution exhibited a high degree of accuracy in pricing options, much better than those other distributions in extracting probabilistic information from the option market. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Dutta, KK (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 30 TC 13 Z9 14 U1 0 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0021-9398 J9 J BUS JI J. Bus. PD MAY PY 2005 VL 78 IS 3 BP 841 EP 870 DI 10.1086/429646 PG 30 WC Business SC Business & Economics GA 948ZX UT WOS:000230755600004 ER PT J AU DeYoung, R AF DeYoung, R TI The performance of Internet-based business models: Evidence from the banking industry SO JOURNAL OF BUSINESS LA English DT Article ID CONSOLIDATION; EFFICIENCY; FUTURE AB The initial Internet bank startups tended to underperform branching bank startups. This suggested that Internet-only business models were not economically viable for banks. However, firms that pioneer new business models may benefit substantially from experience as they grow older, and firms that use automated production technologies may benefit from scale effects as they grow larger. Econometric analysis of Internet-only bank startups finds strong evidence of the latter, but not the former, effect. The results suggest that Internet-only banking success depends on attaining sufficient scale and strong management practices. C1 Fed Res Bank Chicago, Chicago, IL USA. RP DeYoung, R (reprint author), Fed Res Bank Chicago, Chicago, IL USA. EM robert.deyoung@frbchi.org NR 29 TC 35 Z9 35 U1 5 U2 26 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0021-9398 J9 J BUS JI J. Bus. PD MAY PY 2005 VL 78 IS 3 BP 893 EP 947 DI 10.1086/429648 PG 55 WC Business SC Business & Economics GA 948ZX UT WOS:000230755600006 ER PT J AU Tallarini, TD Zhang, HH AF Tallarini, TD Zhang, HH TI External habit and the cyclicality of expected stock returns SO JOURNAL OF BUSINESS LA English DT Article ID ASSET RETURNS; ECONOMIC-SIGNIFICANCE; CONSUMPTION; VOLATILITY; ESTIMATORS; BEHAVIOR; MOMENTS; RISK; HETEROSKEDASTICITY; PREDICTABILITY AB We estimate an equilibrium asset pricing model in which agents' preferences have an unobserved external habit using the efficient method of moments (EMM). Given the estimated structural parameters, we examine the cyclical behavior of expected stock returns in the model. We find that the estimated structural parameters imply countercyclical expected stock returns as documented in existing empirical studies. The model, however, is still rejected at the 1% level. Detailed examination of the moment conditions in our estimation indicates that the model performs reasonably well in matching the mean of returns, but it fails to capture the higher-order moments. C1 Fed Reserve Board, Washington, DC USA. Univ N Carolina, Kennan Flager Business Sch, Chapel Hill, NC USA. RP Tallarini, TD (reprint author), Fed Reserve Board, Washington, DC USA. EM thomas.d.tallarini@frb.gov NR 40 TC 13 Z9 14 U1 0 U2 2 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0021-9398 J9 J BUS JI J. Bus. PD MAY PY 2005 VL 78 IS 3 BP 1023 EP 1048 PG 26 WC Business SC Business & Economics GA 948ZX UT WOS:000230755600010 ER PT J AU Berger, AN Miller, NH Petersen, MA Rajan, RG Stein, JC AF Berger, AN Miller, NH Petersen, MA Rajan, RG Stein, JC TI Does function follow organizational form? Evidence from the lending practices of large and small banks SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE organizations; soft information; banking ID SMALL BUSINESS; CREDIT AVAILABILITY; PROPERTY-RIGHTS; FIRM; INFORMATION; INDUSTRY; CONSOLIDATION; INTEGRATION; BOUNDARIES; OWNERSHIP AB Theories based on incomplete contracting suggest that small organizations have a comparative advantage in activities that make extensive use of "soft" information. We provide evidence consistent with small banks being better able to collect and act on soft information than large banks. In particular, large banks are less willing to lend to informationally "difficult" credits, such as firms with no financial records. Moreover, after controlling for the endogeneity of bank-firm matching, we find that large banks lend at a greater distance, interact more impersonally with their borrowers, have shorter and less exclusive relationships, and do not alleviate credit constraints as effectively. © 2005 Elsevier B.V. All rights reserved. C1 Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. NBER, Cambridge, MA 02138 USA. Univ Chicago, Chicago, IL 60637 USA. Northwestern Univ, Evanston, IL 60208 USA. Univ Calif Berkeley, Berkeley, CA 94720 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Stein, JC (reprint author), Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. EM stein2@fas.harvard.edu NR 51 TC 324 Z9 328 U1 8 U2 51 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 MAY PY 2005 VL 76 IS 2 BP 237 EP 269 DI 10.1016/j.jfineco.2004.06.003 PG 33 WC Business, Finance; Economics SC Business & Economics GA 925PV UT WOS:000229066000001 ER PT J AU Gilchrist, S Himmelberg, CP Huberman, G AF Gilchrist, S Himmelberg, CP Huberman, G TI Do stock price bubbles influence corporate investment? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Research Conference on Behavioral Macroeconomics CY OCT 11-12, 2002 CL Gerzensee, SWITZERLAND SP Swiss Natl Bank, Study Ctr Gerzensee DE stock prices; heterogeneous beliefs; short sales constraints; investment ID MARKET; RETURNS; OPINION; CONSTRAINTS; DEMAND; ERROR; RISK AB Dispersion in investor beliefs and short-selling constraints can lead to stock market bubbles. This paper argues that firms, unlike investors, can exploit such bubbles by issuing new shares at inflated prices. This lowers the cost of capital and increases real investment. Perhaps surprisingly, large bubbles are not eliminated in equilibrium nor do large bubbles necessarily imply large distortions. Using the variance of analysts' earnings forecasts to proxy for the dispersion of investor beliefs, we find that increases in dispersion cause increases in new equity issuance, Tobin's Q, and real investment, as predicted by the model. (c) 2005 Published by Elsevier B.V. C1 Boston Univ, Dept Econ, Boston, MA 02215 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank New York, New York, NY 10045 USA. Columbia Univ, Sch Business, New York, NY 10027 USA. RP Gilchrist, S (reprint author), Boston Univ, Dept Econ, 270 Bay State Rd, Boston, MA 02215 USA. EM sgilchri@bu.edu NR 43 TC 63 Z9 68 U1 3 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2005 VL 52 IS 4 BP 805 EP 827 DI 10.1016/j.jmoneco.2005.03.003 PG 23 WC Business, Finance; Economics SC Business & Economics GA 941SY UT WOS:000230235700006 ER PT J AU Dueker, MJ Jacox, AK Kalist, DE Spurr, SJ AF Dueker, MJ Jacox, AK Kalist, DE Spurr, SJ TI The practice boundaries of advanced practice nurses: An economic and legal analysis SO JOURNAL OF REGULATORY ECONOMICS LA English DT Article DE regulation; professions; nursing; panel data ID PHYSICIAN ASSISTANTS; MARKET; WAGES; PRACTITIONERS AB The purpose of this study is to examine the effects of State regulation that determines the extent of professional independence of advanced practice nurses (APNs). We find that in States where APNs have acquired a substantial amount of professional independence, the earnings of APNs are substantially lower, and those of physicians' assistants (PAs) are substantially higher, than in other States. These results are striking since PAs are in direct competition with APNs; the only real operational difference between these groups is that PAs are salaried employees who must work under the supervision of a physician. The implication is that physicians have responded to an increase in professional independence of APNs by hiring fewer APNs and more PAs. The finding that earnings of APNs decline when they attain more professional autonomy vis-a-vis physicians reinforces work by Sass and Nichols on physical therapists. C1 Fed Reserve Bank, St Louis, MO USA. Wayne State Univ, Coll Nursing, Detroit, MI 48202 USA. Shippensburg Univ, Dept Econ, Shippensburg, PA USA. RP Dueker, MJ (reprint author), Fed Reserve Bank, St Louis, MO USA. EM dekali@wharf.ship.edu; sspurr@wayne.edu NR 27 TC 7 Z9 7 U1 1 U2 6 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0922-680X J9 J REGUL ECON JI J. Regul. Econ. PD MAY PY 2005 VL 27 IS 3 BP 309 EP 329 DI 10.1007/s11149-005-6626-3 PG 21 WC Economics SC Business & Economics GA 909AY UT WOS:000227832500004 ER PT J AU Mazumder, B AF Mazumder, B TI Fortunate sons: New estimates of intergenerational mobility in the United States using Social Security earnings data SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID INCOME MOBILITY; ECONOMIC-STATUS; CANADIAN MEN; INEQUALITY; DYNAMICS; INHERITANCE; REGRESSION; BIASES; FAMILY; IMPACT AB Previous studies, relying on short-term averages of fathers' earnings, have estimated the intergenerational elasticity (IGE) in earnings to be approximately 0.4. Due to persistent transitory fluctuations, these estimates have been biased down by approximately 30% or more. Using administrative data containing the earnings histories of parents and children,, the IGE is estimated to be around 0.6. This suggests that the United States is substantially less mobile than previous research indicated. Estimates of intergenerational mobility arc significantly lower for families with little or no wealth, offering empirical support for theoretical models that predict differences due to borrowing constraints. C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Mazumder, B (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 41 TC 128 Z9 130 U1 0 U2 16 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2005 VL 87 IS 2 BP 235 EP 255 DI 10.1162/0034653053970249 PG 21 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 930DL UT WOS:000229395900004 ER PT J AU Jacobson, L Lalonde, RJ Sullivan, D AF Jacobson, L Lalonde, RJ Sullivan, D TI The impact of community college retraining on older displaced workers: Should we teach old dogs new tricks? SO INDUSTRIAL & LABOR RELATIONS REVIEW LA English DT Article ID LABOR-MARKET RETURNS; PROPRIETARY SCHOOLS; TRAINING-PROGRAMS; EARNINGS; OUTCOMES; EDUCATION AB The authors estimate the returns to retraining for older displaced workers-those 35 or older-by estimating the impact of community college schooling on earnings. The analysis relies on longitudinal administrative records covering workers displaced from jobs in Washington State during the early 1990s. The authors find that older displaced workers participated in community college schooling at lower rates than younger workers. Among those who participated, however, the impact on quarterly earnings was similar across the two age groups. One academic year of community college schooling is estimated to have increased long-term earnings by about 7 % for older men and by about 10 % for older women. Although these percentages are consistent with those reported in the schooling literature, estimates of the social internal rates of return from this retraining may differ substantially among older and younger workers because of differences in their work lives and their opportunity costs of retraining. C1 Univ Chicago, Sch Publ Policy Studies, Irving B Harris Grad Sch Publ Policy Studies, Chicago, IL 60637 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank Chicago, Chicago, IL USA. NR 46 TC 16 Z9 16 U1 0 U2 4 PU INDUSTRIAL LABOR RELAT REV PI ITHACA PA CORNELL UNIV, ITHACA, NY 14851-0952 USA SN 0019-7939 J9 IND LABOR RELAT REV JI Ind. Labor Relat. Rev. PD APR PY 2005 VL 58 IS 3 BP 398 EP 415 PG 18 WC Industrial Relations & Labor SC Business & Economics GA 919VY UT WOS:000228646900005 ER PT J AU Berger, AN Mester, LJ AF Berger, AN Mester, LJ TI Explaining the dramatic changes in performance of US banks: Technological change, deregulation, and dynamic changes in competition (vol 12, pg 57, 2003) SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Correction C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Univ Penn, Whatron Financial Inst Ctr, Philadelphia, PA 19104 USA. Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA. RP Mester, LJ (reprint author), Fed Reserve Bank Philadelphia, Dept Res, 10 Independence Mall, Philadelphia, PA 19106 USA. EM aberger@frb.gov; Loretta.Mester@phil.frb.org NR 1 TC 0 Z9 0 U1 0 U2 1 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD APR PY 2005 VL 14 IS 2 BP 278 EP 279 DI 10.1016/j.jfi.2005.01.001 PG 2 WC Business, Finance SC Business & Economics GA 922PI UT WOS:000228849600007 ER PT J AU Gavin, WT Theodorou, AT AF Gavin, WT Theodorou, AT TI A common model approach to macroeconomics: Using panel data to reduce sampling error SO JOURNAL OF FORECASTING LA English DT Article DE common model; vector autoregression; panel data; forecast evaluation AB Is there a common model inherent in macroeconomic data? Macroeconomic theory suggests that market economies of various nations should share many similar dynamic patterns; as a result, individual country empirical models, for a wide variety of countries, often include the same variables. Yet, empirical studies often find important roles for idiosyncratic shocks in the differing macroeconomic performance of countries. We use forecasting criteria to examine the macrodynamic behaviour of 15 OECD countries in terms of a small set of familiar, widely used core economic variables, omitting country-specific shocks. We find this small set of variables and a simple VAR 'common model' strongly support the hypothesis that many industrialized nations have similar macroeconomic dynamics. Copyright (c) 2005 John Wiley & Sons, Ltd. C1 Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63166 USA. RP Gavin, WT (reprint author), Fed Reserve Bank St Louis, Dept Res, POB 442, St Louis, MO 63166 USA. EM gavin@stls.frb.org NR 15 TC 12 Z9 12 U1 1 U2 2 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0277-6693 J9 J FORECASTING JI J. Forecast. PD APR PY 2005 VL 24 IS 3 BP 203 EP 219 DI 10.1002/for.954 PG 17 WC Economics; Management SC Business & Economics GA 920ZW UT WOS:000228735000004 ER PT J AU Glick, R Hutchison, M AF Glick, R Hutchison, M TI Capital controls and exchange rate instability in developing economies SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE currency crises; balance of payments crises; capital controls ID ACCOUNT LIBERALIZATION; CURRENCY CRISES; BANKING; RISK AB A large literature on the appropriate sequencing of financial liberalization suggests that removing capital controls prematurely may contribute to currency instability. This paper investigates whether legal restrictions on international capital flows are associated with greater currency stability. We employ a comprehensive panel data set of 69 developing economies over the 1975-1997 period, identifying 160 currency crises. We control for macroeconomic, political, and institutional characteristics that influence the probability of a currency crisis, employ alternative measures of restrictions on international payments, and account for possible joint causality between the likelihood of a currency attack and the imposition of capital controls. We find evidence that restrictions on capital flows do not effectively insulate economies from currency problems; rather, countries with less restrictive capital controls and more liberalized regimes appear to be less prone to speculative attacks. (c) 2004 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. Univ Calif Santa Cruz, Dept Econ, 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; hutch@cats.ucsc.edu NR 42 TC 36 Z9 37 U1 2 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 APR PY 2005 VL 24 IS 3 BP 387 EP 412 DI 10.1016/j.jimonfin.2004.11.004 PG 26 WC Business, Finance SC Business & Economics GA 916HV UT WOS:000228376900001 ER PT J AU Giammarino, R Nosal, E AF Giammarino, R Nosal, E TI Loggers versus campers: Compensation for the taking of property rights SO JOURNAL OF LAW ECONOMICS & ORGANIZATION LA English DT Article ID TAKINGS; PAID; LAND; LAW AB Governments often have the power to take property rights from private citizens but their responsibility to pay compensation is typically not well specified. In this article we examine how the compensation rule adopted by a country affects both private investment decisions and takings decisions. We build on a widely accepted argument that any lump sum compensation, including zero, is the socially optimal compensation scheme. The lump sum compensation result hinges critically on the assumptions that the government maximizes social welfare and that the level of private investment does not affect the alternative use of the property rights. We find that when either of these assumptions are relaxed, the optimal compensation scheme will generally depend upon market values. The model presented here provides strong support for market value compensation for the taking of property rights in modern societies. C1 Univ British Columbia, Vancouver, BC V5Z 1M9, Canada. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Giammarino, R (reprint author), Univ British Columbia, Vancouver, BC V5Z 1M9, Canada. NR 16 TC 4 Z9 4 U1 0 U2 0 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 8756-6222 J9 J LAW ECON ORGAN JI J. Law Econ. Organ. PD APR PY 2005 VL 21 IS 1 BP 136 EP 152 DI 10.1093/jleo/ewi006 PG 17 WC Economics; Law SC Business & Economics; Government & Law GA 910QZ UT WOS:000227948600006 ER PT J AU Berger, AN Frame, WS Miller, NH AF Berger, AN Frame, WS Miller, NH TI Credit scoring and the availability, price, and risk of small business credit SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE banks; credit scoring; small business; risk ID COMPETITION AB We find that small business credit scoring (SBCS) is associated with expanded quantities, higher average prices, and greater average risk levels for small business credits under $100,000, after controlling for bank size and other differences across banks. We also find that: (1) bank-specific and industry learning curves are important; (2) SBCS effects differ for banks that adhere to "rules" versus "discretion" in using the technology; and (3) SBCS effects differ for larger credits. The data do not support two alternative explanations of the main results under which the findings primarily represent statistical artifacts, rather than significant changes in lending behavior. C1 Fed Reserve Syst, Board Governors, Berkeley, CA USA. Wharton Financial Inst Ctr, Berkeley, CA USA. Fed Reserve Bank Atlanta, Berkeley, CA USA. Univ Calif Berkeley, Berkeley, CA 94720 USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Berkeley, CA USA. EM aberger@frb.gov; scott.frame@atl.frb.org; nmiller@uclink.berkeley.edu NR 22 TC 69 Z9 70 U1 3 U2 31 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 APR PY 2005 VL 37 IS 2 BP 191 EP 222 DI 10.1353/mcb.2005.0019 PG 32 WC Business, Finance; Economics SC Business & Economics GA 917AD UT WOS:000228427300001 ER PT J AU Rudebusch, GD AF Rudebusch, GD TI Assessing the Lucas critique in monetary policy models SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE parameter stability; deep parameters; Taylor rule ID FORWARD-LOOKING BEHAVIOR; ECONOMY; OUTPUT AB Empirical estimates of monetary policy rules suggest that the behavior of U.S. monetary policymakers changed during the past few decades. However, for that same time period, statistical analyses of lagged representations of the economy, such as VARs, often have not rejected the null of structural stability. These two sets of empirical results appear to contradict the Lucas critique. This paper reconciles these results with the Lucas critique by showing that the apparent policy invariance of reduced forms is consistent with the magnitude of historical policy shifts and the relative insensitivity of the reduced forms of plausible forward-looking macroeconomic specifications to policy shifts. C1 Fed Reserve Bank, San Francisco, CA USA. RP Rudebusch, GD (reprint author), Fed Reserve Bank, San Francisco, CA USA. EM Glenn.Rudebusch@sf.frb.org NR 24 TC 35 Z9 37 U1 0 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD APR PY 2005 VL 37 IS 2 BP 245 EP 272 DI 10.1353/mcb.2005.0024 PG 28 WC Business, Finance; Economics SC Business & Economics GA 917AD UT WOS:000228427300003 ER PT J AU Wolman, AL AF Wolman, AL TI Real implications of the zero bound on nominal interest rates SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE zero bound; monetary policy; deflation; interest rates; price level stationarity ID MONETARY-POLICY; MONOPOLISTIC COMPETITION; AGGREGATE AB If monetary policy succeeds in keeping average inflation very low, nominal interest rates may occasionally be constrained by the zero lower bound. The degree to which this constraint has real implications depends on the monetary policy feedback rule and the structure of price setting. Policy rules that make the price level stationary lead to small real distortions from the zero bound. If policy imparts persistence into the inflation rate, the real implications of the zero bound are large in the presence of backward-looking price setting and small if prices are set to maximize profits. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. RP Wolman, AL (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA USA. EM alexander.wolman@rich.frb.org NR 34 TC 24 Z9 24 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 APR PY 2005 VL 37 IS 2 BP 273 EP 296 DI 10.1353/mcb.2005.0026 PG 24 WC Business, Finance; Economics SC Business & Economics GA 917AD UT WOS:000228427300004 ER PT J AU Krueger, D Perri, F AF Krueger, D Perri, F TI Understanding consumption smoothing: Evidence from the US consumer expenditure data SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 19th Annual Congress of the European-Economic-Association CY AUG 20-24, 2004 CL Madrid, SPAIN SP European Econ Assoc ID RISK; MARKETS AB Consumption models with endogenous debt constraints differ from standard incomplete markets models in their predictions about an individual household's ability to smooth consumption across time and states of the world. In this paper we develop these differences, both theoretically and quantitatively. We then use data from the U.S. Consumer Expenditure Survey (CE) to assess along which dimensions the predictions of these models are consistent with the empirical evidence. We find that both types of models fail to fully account for the data and argue that a model that combines aspects of both might be more successful. C1 Univ Frankfurt, D-6000 Frankfurt, Germany. Univ Penn, Philadelphia, PA 19104 USA. NYU, New York, NY USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Krueger, D (reprint author), Univ Frankfurt, D-6000 Frankfurt, Germany. EM dirk.krueger@wiwi.uni-frankfurt.de; fperri@stern.nyu.edu NR 13 TC 8 Z9 8 U1 1 U2 3 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR-MAY PY 2005 VL 3 IS 2-3 BP 340 EP 349 DI 10.1162/1542476054473233 PG 10 WC Economics SC Business & Economics GA 034NS UT WOS:000236936300011 ER PT J AU Del Negro, M Schorfheide, F AF Del Negro, M Schorfheide, F TI Policy predictions if the model does not fit SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 19th Annual Congress of the European-Economic-Association CY AUG 20-24, 2004 CL Madrid, SPAIN SP European Econ Assoc ID UNCERTAINTY; PRIORS AB This paper uses a novel method for conducting policy analysis with potentially misspecified DSGE models and applies it to a simple New Keynesian DSGE model. We illustrate the sensitivity of the results to assumptions on the policy invariance of model misspecifications. C1 Fed Reserve Bank Atlanta, Atlanta, GA 30303 USA. Univ Penn, Philadelphia, PA 19104 USA. RP Fed Reserve Bank Atlanta, Atlanta, GA 30303 USA. EM marco.delnegro@atl.frb.org; schorf@ssc.upenn.edu NR 12 TC 4 Z9 4 U1 0 U2 3 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 2005 VL 3 IS 2-3 BP 434 EP 443 DI 10.1162/1542476054472928 PG 10 WC Economics SC Business & Economics GA 034NS UT WOS:000236936300020 ER PT J AU Doepke, M Zilibotti, F AF Doepke, M Zilibotti, F TI Social class and the spirit of capitalism SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 19th Annual Congress of the European-Economic-Association CY AUG 20-24, 2004 CL Madrid, SPAIN SP European Econ Assoc ID DEMOGRAPHIC-TRANSITION; GROWTH; FERTILITY; INEQUALITY; DEMOCRACY; MALTHUS; EXTEND AB One of the key social transformations that accompanied the British Industrial Revolution was the economic decline of the aristocracy. Standard theories of wealth inequality cannot explain why the aristocrats, in spite of their superior wealth and education, failed to be the main protagonists and beneficiaries of industrialization. We discuss recent research based on a model of endogenous preferences that is consistent with the demise of aristocracy. C1 Univ Calif Los Angeles, Los Angeles, CA 90024 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Doepke, M (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. EM doepke@econ.ucla.edu; fabrizio.zilibotti@iies.su.se NR 28 TC 25 Z9 28 U1 2 U2 3 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR-MAY PY 2005 VL 3 IS 2-3 BP 516 EP 524 DI 10.1162/1542476054473215 PG 9 WC Economics SC Business & Economics GA 034NS UT WOS:000236936300028 ER PT J AU Ohanian, LE Del Negro, M Zha, T AF Ohanian, LE Del Negro, M Zha, T TI Monetary policy and learning SO REVIEW OF ECONOMIC DYNAMICS LA English DT Editorial Material C1 Univ Calif Los Angeles, Los Angeles, CA 90024 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Ohanian, LE (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. NR 7 TC 0 Z9 0 U1 0 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2005 VL 8 IS 2 BP 257 EP 261 DI 10.1016/S1094-2025(05)00018-9 PG 5 WC Economics SC Business & Economics GA 917YP UT WOS:000228505600001 ER PT J AU Bullard, J Eusepi, S AF Bullard, J Eusepi, S TI Did the great inflation occur despite policymaker commitment to a Taylor rule? SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE monetary policy rules; productivity slowdown; learning ID PRICES AB We study the hypothesis that misperceptions of trend productivity growth during the onset of the productivity slowdown in the US caused much of the great inflation of the 1970s. We use the general equilibrium, sticky price framework of Woodford [Interest and Prices, Princeton Univ. Press, Princeton, NJ, 2003] augmented with learning using the techniques of Evans and Honkapohja [Learning and Expectations in Macroeconomics, Princeton Univ. Press, Princeton, NJ, 2001]. We allow for endogenous investment as well as explicit, exogenous growth in productivity and the labor input. We assume the monetary policymaker is committed to using a Taylor-type policy rule. We study how this economy reacts to an unexpected change in the trend productivity growth rate under learning. We find that a substantial portion of the observed increase in inflation during the 1970s can be attributed to this source. Published by Elsevier Inc. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. Fed Reserve Bank New York, Domest Res Funct, New York, NY 10045 USA. RP Fed Reserve Bank St Louis, Res Dept, 411 Locust St, St Louis, MO 63102 USA. EM bullard@stls.frb.org; stefano.eusepi@ny.frb.org RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 34 TC 24 Z9 24 U1 1 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2005 VL 8 IS 2 BP 324 EP 359 DI 10.1016/j.red.2005.01.003 PG 36 WC Economics SC Business & Economics GA 917YP UT WOS:000228505600004 ER PT J AU Orphanides, A Williams, JC AF Orphanides, A Williams, JC TI Inflation scares and forecast-based monetary policy SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE inflation forecasts; policy rules; rational expectations; learning ID INTEREST-RATES; TERM STRUCTURE; RULES; EXPECTATIONS; INFORMATION; MODELS; MARKET AB Central bankers frequently emphasize the critical importance of anchoring private inflation expectations for successful monetary policy and macroeconomic stabilization. In most monetary policy models, however, expectations are already anchored through the assumption of rational expectations and perfect knowledge of the economy. In this paper, we reexamine the role of inflation expectations by positing, instead, that agents have imperfect knowledge of the precise structure of the economy and policymakers' preferences, and rely on a perpetual learning technology to form expectations. We find that with learning, disturbances can give rise to endogenous inflation scares, that is, significant and persistent deviations of inflation expectations from those implied by rational expectations, even at long horizons. The presence of learning increases the sensitivity of inflation expectations and the term structure of interest rates to economic shocks, in line with the empirical evidence. We also explore the role of private inflation expectations for the conduct of efficient monetary policy. Under rational expectations, inflation expectations equal a linear combination of macroeconomic variables and as such provide no additional information to the policy maker. In contrast, under learning, private inflation expectations follow a time-varying process and provide useful information for the conduct of monetary policy. Published by Elsevier Inc. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Fed Reserve Board, Washington, DC 20551 USA. RP Williams, JC (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM athanasios.orphanides@frb.gov; john.c.williams@sf.frb.org RI Williams, John/A-8226-2009 NR 38 TC 35 Z9 36 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2005 VL 8 IS 2 BP 498 EP 527 DI 10.1016/j.red.2005.01.005 PG 30 WC Economics SC Business & Economics GA 917YP UT WOS:000228505600010 ER PT J AU French, E AF French, E TI The effects of health, wealth, and wages on labour supply and retirement behaviour SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID LIFE-CYCLE MODEL; SOCIAL-SECURITY; CONSUMPTION; PARTICIPATION; OPTIMIZATION; LIQUIDITY; PENSIONS; EARNINGS; SAVINGS; GROWTH AB This paper estimates a life cycle model of labour supply, retirement, and savings behaviour in which future health status and wages are uncertain. Individuals face a fixed cost of work and cannot borrow against future labour, pension, or Social Security income. The method of simulated moments is used to match the life cycle profiles of labour force participation, hours worked, and assets that are estimated from the data to those that are generated by the model. The model establishes that the tax structure of the Social Security system and pensions are key determinants of the high observed job exit rates at ages 62 and 65. Removing the tax wedge embedded in the Social Security earnings test for individuals aged 65 and older would delay job exit by almost one year. By contrast, Social Security benefit levels, health, and borrowing constraints are less important determinants of job exit at older ages. For example, reducing Social Security benefits by 20% would cause workers to delay exit from the labour force by only three months. C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP French, E (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 47 TC 175 Z9 175 U1 7 U2 40 PU REVIEW OF ECONOMIC STUDIES LTD PI OXFORD PA C/O BASIL BLACKWELL LTD, 108 COWLEY RD, PO BOX 805, OXFORD OX4 1JF, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD APR PY 2005 VL 72 IS 2 BP 395 EP 427 DI 10.1111/j.1467-937X.2005.00337.x PG 33 WC Economics SC Business & Economics GA 913MY UT WOS:000228157100005 ER PT J AU Hotchkiss, JL Pitts, MM AF Hotchkiss, JL Pitts, MM TI Female labour force intermittency and current earnings: switching regression model with unknown sample selection SO APPLIED ECONOMICS LA English DT Article ID 2 SEPARATE REGIMES; WAGE DIFFERENTIALS; MARKET; DISCRIMINATION; INTERRUPTIONS; WORK; DECOMPOSITION; LEVEL; TESTS AB Using the Health and Retirement Survey from the USA, this paper finds a 16% selectivity-corrected wage penalty among women who engage in intermittent labour market activity. This penalty is experienced at a low level of intermittent activity, but appears to not play an important role in a woman's decision to undertake such activity. In addition, employer preferences appear to play a larger role than human capital atrophy in the determination of the wage penalty. C1 Georgia State Univ, Atlanta, GA 30303 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Hotchkiss, JL (reprint author), Georgia State Univ, Atlanta, GA 30303 USA. EM Julie.L.Hotchkiss@atl.frb.org NR 30 TC 11 Z9 11 U1 1 U2 9 PU ROUTLEDGE 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. PD MAR 20 PY 2005 VL 37 IS 5 BP 545 EP 560 DI 10.1080/0003684042000307003 PG 16 WC Economics SC Business & Economics GA 913WM UT WOS:000228186300006 ER PT J AU Yun, T AF Yun, T TI Optimal monetary policy with relative price distortions SO AMERICAN ECONOMIC REVIEW LA English DT Article ID STAGGERED PRICES; DYNAMICS; INFLATION; FRAMEWORK; CONTRACTS AB This paper analyzes optimal monetary policy in a sticky price model with Calvo-type staggered price-setting. In the paper, the optimal monetary policy maximizes the expected utility of a representative household without having to rely on a. set of linearly approximated equilibrium conditions, given the distortions associated with the staggered price-setting. It shows that the complete stabilization of the price level is optimal in the absence of initial price dispersion, while optimal inflation targets respond to changes in the level of relative price distortion in the presence of initial price dispersion. C1 Kookmin Univ, Dept Econ, Seungbuk Ku, Seoul 136702, South Korea. Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Kookmin Univ, Dept Econ, Seungbuk Ku, 861-1 Jeungnung Dong, Seoul 136702, South Korea. EM yuntack@kookmin.ac.kr NR 25 TC 43 Z9 43 U1 2 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAR PY 2005 VL 95 IS 1 BP 89 EP 109 DI 10.1257/0002828053828653 PG 21 WC Economics SC Business & Economics GA 922MI UT WOS:000228841600005 ER PT J AU Evans, CL Harrigan, J AF Evans, CL Harrigan, J TI Distance, time, and specialization: Lean retailing in general equilibrium SO AMERICAN ECONOMIC REVIEW LA English DT Article AB Transport time increases with distance traveled, and time is valuable. We show the implications of these facts for global specialization and trade: products where timely delivery is important will be produced near the source of final demand, where wages will be higher as a result. In the model, timely delivery is important because it allows retailers to respond to final demand fluctuations without holding costly inventories, and timely delivery is possible only from nearby locations. Using a unique dataset that allows us to measure the retail demand for timely delivery, we show that the sources of U.S. apparel imports have shifted in the way predicted by the model, with products for which timeliness matters increasingly imported from nearby countries. C1 Board Governors Fed Reserve, Div Int Finance, Washington, DC 20551 USA. Fed Reserve Bank New York, Int Res Dept, New York, NY 10045 USA. RP Evans, CL (reprint author), Board Governors Fed Reserve, Div Int Finance, 20th & C St NW,Mail Stop 23, Washington, DC 20551 USA. EM evans@frb.gov; james.harrigan@ny.fr.org NR 13 TC 57 Z9 57 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 MAR PY 2005 VL 95 IS 1 BP 292 EP 313 DI 10.1257/0002828053828590 PG 22 WC Economics SC Business & Economics GA 922MI UT WOS:000228841600014 ER PT J AU Gurkaynak, RS Sack, B Swanson, E AF Gurkaynak, RS Sack, B Swanson, E TI The sensitivity of long-term interest rates to economic news: Evidence and implications for macroeconomic models SO AMERICAN ECONOMIC REVIEW LA English DT Article ID MARKET INTEREST-RATES; MONETARY-POLICY; BEHAVIOR C1 Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. Bilkent Univ, Dept Econ, TR-06800 Ankara, Turkey. Macroecon Advisers LLC, Washington, DC 20006 USA. RP Gurkaynak, RS (reprint author), Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. EM refet@bilkent.edu; bsack@macroadvisers.com; eswanson@frb.gov NR 23 TC 124 Z9 125 U1 0 U2 16 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAR PY 2005 VL 95 IS 1 BP 425 EP 436 DI 10.1257/0002828053828446 PG 12 WC Economics SC Business & Economics GA 922MI UT WOS:000228841600022 ER PT J AU Garrett, TA Rhine, RM AF Garrett, TA Rhine, RM TI Social security versus private retirement accounts: A historical analysis SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID REFORM AB This paper compares Social Security benefits relative to those paid from private investments: specifically, whether 2003 retirees would gain more retirement income if they had invested their payroll taxes in private accounts during their working years. Three different retirement ages and four possible earnings levels are considered for two private investments-6-month CDs or the S&P 500. On average, the results suggest less than 5 percent of current retirees would receive a higher monthly benefit with Social Security. Several Social Security reform proposals are described. C1 Fed Reserve Bank, St Louis, France. NR 17 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 2005 VL 87 IS 2 BP 103 EP 121 PN 1 PG 19 WC Business, Finance; Economics SC Business & Economics GA 904IM UT WOS:000227489300004 ER PT J AU Greenspan, A AF Greenspan, A TI Chairman's remarks SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Greenspan, A (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut NW, Washington, DC 20551 USA. NR 0 TC 3 Z9 3 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2005 VL 87 IS 2 BP 137 EP 138 PN 2 PG 2 WC Business, Finance; Economics SC Business & Economics GA 923KK UT WOS:000228908600001 ER PT J AU Orphanides, A Thornton, DL AF Orphanides, A Thornton, DL TI Editors' introduction SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Fed Reserve Syst, St Louis, MO USA. RP Orphanides, A (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut NW, Washington, DC 20551 USA. EM athanasios.orphanides@frb.gov 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 MAR-APR PY 2005 VL 87 IS 2 BP 139 EP 143 PN 2 PG 5 WC Business, Finance; Economics SC Business & Economics GA 923KK UT WOS:000228908600002 ER PT J AU Lindsey, DE Orphanides, A Rasche, RH AF Lindsey, DE Orphanides, A Rasche, RH TI The reform of October 1979: How it happened and why SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY RULES; INFLATION AB This study offers a historical review of the monetary policy reform of October 6, 1979, and discusses the influences behind it and its significance. We lay out the record from the start of 1979 through the spring of 1980, relying almost exclusively on contemporaneous sources, including the recently released transcripts of Federal Open Market Committee (FOMC) meetings during 1979. We then present and discuss in detail the reasons for the FOMC's adoption of the reform and the communications challenge presented to the Committee during this period. Further, we examine whether the essential characteristics of the reform were consistent with monetarism; new, neo, or old-fashioned Keynesianism; nominal income targeting; and inflation targeting. The record suggests that the reform was adopted when the FOMC became convinced that its earlier gradualist strategy using finely tuned interest rate moves had proved inadequate for fighting inflation and reversing inflation expectations. The new plan had to break dramatically with established practice, allow for the possibility of substantial increases in short-term interest rates yet be politically acceptable, and convince financial market participants that it would be effective. The new operating procedures were also adopted for the pragmatic reason that they would likely succeed. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Lindsey, DE (reprint author), 13017 Triple Crown Loop, Gainesville, FL 20155 USA. EM david42lindsey@aol.com; athanasios.orphanides@frb.gov; robert.h.rasche@stls.frb.org NR 91 TC 25 Z9 25 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 MAR-APR PY 2005 VL 87 IS 2 BP 187 EP 235 PN 2 PG 49 WC Business, Finance; Economics SC Business & Economics GA 923KK UT WOS:000228908600005 ER PT J AU Axilrod, SH AF Axilrod, SH TI Commentary SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Syst, Board Governors, New York, NY USA. RP Axilrod, SH (reprint author), 106 E 85th St, New York, NY 10028 USA. NR 1 TC 2 Z9 2 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2005 VL 87 IS 2 BP 237 EP 242 PN 2 PG 6 WC Business, Finance; Economics SC Business & Economics GA 923KK UT WOS:000228908600006 ER PT J AU Goodfriend, M AF Goodfriend, M TI The monetary policy debate since October 1979: Lessons for theory and practice SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID RATIONAL-EXPECTATIONS; CREDIBILITY; FRAMEWORK; MODEL AB Monetary theory and policy have been revolutionized in the two decades since October 1979, when the Federal Reserve under the leadership of Paul Volcker moved to stabilize inflation and bring it down. On the side of practice, the decisive factor was the demonstration that monetary policy could acquire and maintain credibility for low inflation, and improve the stability of both inflation and output relative to potential. On the theory side, the introduction of rational expectations was decisive because it enabled models of monetary policy to incorporate forward-looking elements of aggregate demand and price-setting, long known to be critically important for policy analysis, so as to understand how monetary policy achieved the favorable results found in practice. C1 Fed Reserve Bank Richmond, Richmond, VA 23261 USA. RP Fed Reserve Bank Richmond, POB 27622, Richmond, VA 23261 USA. EM marvin.goodfriend@rich.frb.org NR 75 TC 9 Z9 10 U1 1 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2005 VL 87 IS 2 BP 243 EP 262 PN 2 PG 20 WC Business, Finance; Economics SC Business & Economics GA 923KK UT WOS:000228908600007 ER PT J AU Bernanke, BS AF Bernanke, BS TI What have we learned since October 1979? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material ID MONETARY-POLICY; COMMITMENT; REPUTATION; DISCRETION; INFLATION; CONTRACTS; RULES; MODEL C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Bernanke, BS (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut NW, Washington, DC 20551 USA. EM ben.s.bernanke@frb.gov NR 18 TC 3 Z9 3 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2005 VL 87 IS 2 BP 277 EP 282 PN 2 PG 6 WC Business, Finance; Economics SC Business & Economics GA 923KK UT WOS:000228908600010 ER PT J AU Ferguson, RW AF Ferguson, RW TI Safeguarding good policy practice SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Ferguson, RW (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut NW, Washington, DC 20551 USA. EM roger.ferguson@frb.gov NR 6 TC 1 Z9 1 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2005 VL 87 IS 2 BP 293 EP 298 PN 2 PG 6 WC Business, Finance; Economics SC Business & Economics GA 923KK UT WOS:000228908600013 ER PT J AU Poole, W AF Poole, W TI Safeguarding good policy practice SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Poole, W (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM william.poole@stls.frb.org NR 0 TC 1 Z9 1 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2005 VL 87 IS 2 BP 303 EP 306 PN 2 PG 4 WC Business, Finance; Economics SC Business & Economics GA 923KK UT WOS:000228908600015 ER PT J AU Roel, E AF Roel, E TI The MOSC project: Using the OAI-PMH to bridge metadata cultural differences across museums, archives, and libraries SO INFORMATION TECHNOLOGY AND LIBRARIES LA English DT Article AB The MetaScholar Initiative of Emory University Libraries, in collaboration with the Center for the Study of Southern Culture, the Atlanta History Center, and the Georgia Music Hall of Fame, received an Institute Of Museum and Library Services grant to develop a new model for library-museum-archives collaboration. This collaboration will broaden access to resources for learning communities through the use of the Open Archives Initiative Protocol for Metadata Harvesting (OAI-PMH). The project, titled Music of Social Change (MOSC), will use OAI-PMH as a tool to bridge the widely varying metadata standards and practices across museums, archives, and libraries. This paper will focus specifically on the unique advantages of the use of OAI-PMH to concurrently maximize the exposure of metadata emergent from varying metadata cultures. C1 Fed Reserve, Atlanta, GA USA. RP Roel, E (reprint author), Fed Reserve, Atlanta, GA USA. EM eulalia.roel@gmail.com NR 3 TC 1 Z9 1 U1 1 U2 5 PU AMER LIBRARY ASSOC PI CHICAGO PA 50 E HURON ST, CHICAGO, IL 60611 USA SN 0730-9295 J9 INFORM TECHNOL LIBR JI Inf. Technol. Libr. PD MAR PY 2005 VL 24 IS 1 BP 22 EP 24 PG 3 WC Computer Science, Information Systems; Information Science & Library Science SC Computer Science; Information Science & Library Science GA 926JM UT WOS:000229119500003 ER PT J AU Kim, CJ Morley, J Piger, J AF Kim, CJ Morley, J Piger, J TI Nonlinearity and the permanent effects of recessions SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article; Proceedings Paper CT Conference on the Wealth of Nations, Extending the tinbergen Heritage CY APR, 2003 CL Erasmus Univ, Rotterdam, NETHERLANDS HO Erasmus Univ ID BUSINESS-CYCLE; TIME-SERIES; OUTPUT FLUCTUATIONS; STRONG RECOVERIES; PLUCKING MODEL; TRANSITORY; TRENDS AB This paper presents a new nonlinear time series model that captures a post-recession 'bounce-back' in the level of aggregate output. While a number of studies have examined this type of business cycle asymmetry using recession-based dummy variables and threshold models, we relate the 'bounce-back' effect to an endogenously estimated unobservable Markov-switching state variable. When the model is applied to US real GDP, we find that the Markov-switching regimes are closely related to NBER-dated recessions and expansions. Also, the Markov-switching form of nonlinearity is statistically significant and the 'bounce-back' effect is large, implying that the permanent effects of recessions are small. Meanwhile, having accounted for the 'bounce-back' effect, we find little or no remaining serial correlation in the data, suggesting that our model is sufficient to capture the defining features of US business cycle dynamics. When the model is applied to other countries, we find larger permanent effects of recessions. Copyright (c) 2005 John Wiley T Sons, Ltd. C1 Fed Reserve Bank, Div Res, St Louis, MO 63102 USA. Korea Univ, Seoul 136701, South Korea. Washington Univ, St Louis, MO USA. RP Piger, J (reprint author), Fed Reserve Bank, Div Res, 411 Locust St, St Louis, MO 63102 USA. EM piger@stls.frb.org RI Morley, James/J-9166-2012; Piger, Jeremy/I-7643-2012 OI Morley, James/0000-0003-2380-6747; Piger, Jeremy/0000-0001-6592-9986 NR 30 TC 41 Z9 41 U1 0 U2 4 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0883-7252 J9 J APPL ECONOM JI J. Appl. Econom. PD MAR-APR PY 2005 VL 20 IS 2 BP 291 EP 309 DI 10.1002/jae.831 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 917CC UT WOS:000228432600009 ER PT J AU Jacobson, L LaLonde, R Sullivan, DG AF Jacobson, L LaLonde, R Sullivan, DG TI Estimating the returns to community college schooling for displaced workers SO JOURNAL OF ECONOMETRICS LA English DT Article ID TRAINING-PROGRAMS; EARNINGS AB Studies show that high-tenure displaced workers typically incur substantial long-term earnings losses. As these losses have become increasingly apparent, policy makers have significantly expanded resources for retraining, much of which takes place in regular community college classes. To analyze the effectiveness of such training, we link administrative earnings records with the community college transcript records of workers displaced from jobs during the first half of the 1990s in Washington State. We explore several issues of statistical specification for regression models quantifying the impact of community college credits on earnings. These include (i) the need to allow for a transition period immediately after the end of workers' schooling when their earnings may be temporarily depressed, (ii) whether earnings gains are strictly proportional to credits earned, and (iii) how to model worker-specific unobserved heterogeneity. In our preferred specification, we find that the equivalent of an academic year of community college schooling raises the long-term earnings of displaced workers by an average of about 9 percent for men and about 13 percent for women. However, these average returns mask substantial variation in the returns associated with different types of courses. On the one hand, we estimate that an academic year of more technically oriented vocational and academic math and science courses raise earnings by about 14 percent for men and 29 percent for women. On the other hand, we estimate that less technically oriented courses yield very low and possibly zero returns. About one third of the increase in earnings associated with more technically oriented vocational and academic math and science courses is estimated to be due to increases in wage rates, with the remainder attributable to increased hours of work. (C) 2004 Elsevier B.V. All rights reserved. C1 WESTAT Corp, Rockville, MD 20850 USA. Univ Chicago, Irving B Harris Grad Sch Publ Policy Studies, Chicago, IL 60637 USA. NBER, Chicago, IL 60637 USA. Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 USA. RP Jacobson, L (reprint author), WESTAT Corp, 1650 Res Rd, Rockville, MD 20850 USA. NR 32 TC 49 Z9 49 U1 2 U2 8 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD MAR-APR PY 2005 VL 125 IS 1-2 BP 271 EP 304 DI 10.1016/j.jeconom.2004.04.010 PG 34 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 888RW UT WOS:000226392900010 ER PT J AU Rappaport, J AF Rappaport, J TI How does labor mobility affect income convergence? SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE economic growth; income convergence; factor mobility; migration ID GROWTH; INVESTMENT; MODEL; MIGRATION; EMPIRICS; QUALITY; MARKET; LIFE AB Labor mobility is introduced into the neoclassical growth model. For a small open economy with capital intensity below its steady-state level, outmigration directly contributes to faster income convergence but also creates a disincentive for gross capital investment. At low relative income levels, the latter disincentive effect tends to dominate so that labor mobility can actually slow the speed of income convergence. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Kansas, Kansas City, MO 64198 USA. RP Rappaport, J (reprint author), Fed Reserve Bank Kansas, 925 Grand Blvd, Kansas City, MO 64198 USA. EM jordan.m.rappaport@kc.frb.org NR 29 TC 18 Z9 20 U1 1 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAR PY 2005 VL 29 IS 3 BP 567 EP 581 DI 10.1016/j.jedc.2004.03.003 PG 15 WC Economics SC Business & Economics GA 900AK UT WOS:000227187600010 ER PT J AU Frame, WS White, LJ AF Frame, WS White, LJ TI Fussing and fuming over Fannie and Freddie: How much smoke, how much fire? SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID MORTGAGE SECURITIZATION; HOMEOWNERSHIP RATES; BENEFITS; SPREADS; IMPACTS; CREDIT; GSES C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. NYU, Stern Sch Business, New York, NY USA. RP Frame, WS (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM scott.frame@atl.frb.org; lwhite@stern.nyu.edu NR 67 TC 34 Z9 34 U1 0 U2 1 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD SPR PY 2005 VL 19 IS 2 BP 159 EP 184 DI 10.1257/0895330054048687 PG 26 WC Economics SC Business & Economics GA 932KE UT WOS:000229551800009 ER PT J AU Chauvet, M Potter, S AF Chauvet, M Potter, S TI Forecasting recessions using the yield curve SO JOURNAL OF FORECASTING LA English DT Article DE recession forecast; yield curve; structural breaks; Bayesian; classical methods ID TIME-SERIES AB We compare forecasts of recessions using four different specifications of the probit model: a time invariant conditionally independent version; a business cycle specific conditionally independent model; a time invariant probit with autocorrelated errors; and a business cycle specific probit with autocorrelated errors. The more sophisticated versions of the model take into account some of the potential underlying causes of the documented predictive instability of the yield curve. We find strong evidence in favour of the more sophisticated specification, which allows for multiple breakpoints across business cycles and autocorrelation. We also develop a new approach to the construction of real time forecasting of recession probabilities. Copyright (c) 2005 John Wiley W Sons, Ltd. C1 Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA. Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Chauvet, M (reprint author), Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA. EM chauvet@ucr.edu NR 22 TC 43 Z9 43 U1 0 U2 7 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0277-6693 J9 J FORECASTING JI J. Forecast. PD MAR PY 2005 VL 24 IS 2 BP 77 EP 103 DI 10.1002/for.932 PG 27 WC Economics; Management SC Business & Economics GA 909KB UT WOS:000227857700001 ER PT J AU Hotchkiss, JL AF Hotchkiss, JL TI Do husbands and wives pool their resources? Further evidence SO JOURNAL OF HUMAN RESOURCES LA English DT Article AB This paper replicates results of an article showing that families with children increased expenditures on women's clothing (relative to men's) after implementation of a policy that shifted a child subsidy "payment" from the father to the mother These results were interpreted as evidence that families do not pool their income but allocate consumption based on income source. However, the current paper also finds an increase in relative spending on women's clothing among childless couples, a sample the policy change did not impact. Alternative explanations are explored for observing these patterns, but none can rule out either bargaining or income pooling. C1 Georgia State Univ, Dept Econ, Atlanta, GA 30303 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Hotchkiss, JL (reprint author), Georgia State Univ, Dept Econ, Univ Plaza, Atlanta, GA 30303 USA. NR 11 TC 10 Z9 10 U1 0 U2 0 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 2005 VL 40 IS 2 BP 519 EP 531 PG 13 WC Economics; Industrial Relations & Labor SC Business & Economics GA 917MY UT WOS:000228467700012 ER PT J AU Campbell, JR Hopenhayn, HA AF Campbell, JR Hopenhayn, HA TI Market size matters SO JOURNAL OF INDUSTRIAL ECONOMICS LA English DT Article ID MONOPOLISTIC COMPETITION; PRODUCT VARIETY; FIRM DYNAMICS; INDUSTRY; ENTRY AB This paper characterizes the effects of market size on the size distribution of establishments for thirteen retail trade industries across 225 U.S. cities. In most industries we examine, establishments are larger in larger cities. Models of large-group competition in which markups fall after adding competitors can reproduce this observation. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NBER, Chicago, IL 60604 USA. Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. RP Campbell, JR (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM jcampbell@frbchi.org; hopen@econ.ucla.edu NR 21 TC 63 Z9 64 U1 2 U2 11 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0022-1821 J9 J IND ECON JI J. Indust. Econ. PD MAR PY 2005 VL 53 IS 1 BP 1 EP 25 DI 10.1111/j.0022-1821.2005.00243.x PG 25 WC Business, Finance; Economics SC Business & Economics GA 905TY UT WOS:000227594400001 ER PT J AU Holmes, TJ Stevens, JJ AF Holmes, TJ Stevens, JJ TI Does home market size matter for the pattem of trade? SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE home market; increasing returns ID SCALE AB Does home market size matter for the pattern of trade? Krugman started the literature, showing it does matter. Davis overturned his result, arguing that an assumption of convenience-transport costs only for the differentiated goods-conveniently obtained the result. Here we relax another persistent assumption of convenience-two industry types differentiated only by the degree of scale economies-and find that market size reemerges as a relevant force in determining industrial structure. (c) 2004 Elsevier B.V. All rights reserved. C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Dept Econ, 1035 Heller Hall,271 19th Ave S, Minneapolis, MN 55455 USA. EM holmes@econ.umn.edu RI Stevens, John/H-4326-2012 NR 8 TC 12 Z9 12 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAR PY 2005 VL 65 IS 2 BP 489 EP 505 DI 10.1016/j.jinteco.2003.11.004 PG 17 WC Economics SC Business & Economics GA 908UJ UT WOS:000227815400011 ER PT J AU Corsetti, G Pesenti, P AF Corsetti, G Pesenti, P TI International dimensions of optimal monetary policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE optimal cyclical monetary policy; nominal rigidities; exchange rate pass-through; international cooperation ID RATE PASS-THROUGH; EXCHANGE-RATE DYNAMICS; OPEN ECONOMIES; INFLATION; WELFARE; PRICES; RATES; MODEL; STABILITY; RULES AB This paper provides a baseline general equilibrium model of optimal monetary policy among interdependent economics with monopolistic firms and nominal rigidities. An inward-looking policy of domestic price stabilization is not optimal when firms' markups are exposed to currency fluctuations. Such a policy raises exchange rate volatility, leading foreign exporters to charge higher prices vis-a-vis increased uncertainty in the export market. As higher import prices reduce the purchasing power of domestic consumers, optimal monetary rules trade off a larger domestic output gap against lower consumer prices. Optimal rules in a world Nash equilibrium lead to less exchange rate volatility relative to both inward-looking rules and discretionary policies, even when the latter do not suffer from any inflationary (or deflationary) bias. Gains from international monetary cooperation are related in a monotonic way to the degree of exchange rate pass-through. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. European Univ Inst, I-50133 Florence, Italy. Univ Roma Tre, Rome, Italy. CEPR, London EC1V 7RR, England. NBER, Cambridge, MA 02138 USA. RP Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM paolo.pesenti@ny.frb.org OI Corsetti, Giancarlo/0000-0001-8965-9853 NR 44 TC 134 Z9 137 U1 1 U2 15 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 2005 VL 52 IS 2 BP 281 EP 305 DI 10.1016/j.jmoneco.2004.06.002 PG 25 WC Business, Finance; Economics SC Business & Economics GA 917YO UT WOS:000228505500001 ER PT J AU Neumeyer, PA Perri, F AF Neumeyer, PA Perri, F TI Business cycles in emerging economies: the role of interest rates SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE country risk; financial crises; international business cycles; sudden stops; working capital ID DEVELOPING-COUNTRIES; EXCHANGE-RATE; FLUCTUATIONS AB We find that in a sample of emerging economies business cycles are more volatile than in developed ones, real interest rates are countercyclical and lead the cycle, consumption is more volatile than output and net exports are strongly countercyclical. We present a model of a small open economy, where the real interest rate is decomposed in an international rate and a country risk component. Country risk is affected by fundamental shocks but, through the presence of working capital, also amplifies the effects of those shocks. The model generates business cycles consistent with Argentine data. Eliminating country risk lowers Argentine output volatility by 27% while stabilizing international rates lowers it by less than 3%. (c) 2005 Elsevier B.V. All rights reserved. C1 Univ T Tella, Buenos Aires, DF, Argentina. Consejo Nacl Invest Cient & Tecn, Buenos Aires, DF, Argentina. NYU, Stern Sch Business, Dept Econ, New York, NY 10002 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NBER, Cambridge, MA 02138 USA. CEPR, London EC1V 7RR, England. RP Perri, F (reprint author), NYU, Stern Sch Business, Dept Econ, 44 W 4th St, New York, NY 10002 USA. EM fperri@stern.nyu.edu NR 27 TC 199 Z9 204 U1 4 U2 23 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 2005 VL 52 IS 2 BP 345 EP 380 DI 10.1016/j.jmoneco.2004.04.01 PG 36 WC Business, Finance; Economics SC Business & Economics GA 917YO UT WOS:000228505500004 ER PT J AU Kozicki, S Tinsley, PA AF Kozicki, S Tinsley, PA TI What do you expect? Imperfect policy credibility and tests of the expectations hypothesis SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE changepoints; expectations hypothesis; shifting endpoint; learning ID NOMINAL INTEREST-RATES; TERM STRUCTURE; MONETARY-POLICY; RATIONAL-EXPECTATIONS; COVARIANCE-MATRIX; PESO PROBLEM; INFLATION; INFORMATION; BEHAVIOR; REGIME AB The expectations hypothesis of the term structure of interest rates describes a conventional view of the transmission mechanism of monetary policy where bond rates reflect current and expected movements in the policy-controlled rate. However, empirical rejections of the expectations hypothesis are commonplace and lead many to question this description of policy transmission. This paper argues that failure to account for imperfect policy credibility may explain empirical rejections. Empirical rejections may occur even when changing anticipations of future short rates are the primary source of variation in bond rates and the standard term structure transmission channel remains valid. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Kansas, Kansas City, MO 64198 USA. George Washington Univ, Washington, DC USA. RP Kozicki, S (reprint author), Fed Reserve Bank Kansas, 925 Grand Blvd, Kansas City, MO 64198 USA. EM Sharon.Kozicki@kc.frb.org NR 56 TC 14 Z9 14 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2005 VL 52 IS 2 BP 421 EP 447 DI 10.1016/j.jmoneco.2004.05.004 PG 27 WC Business, Finance; Economics SC Business & Economics GA 917YO UT WOS:000228505500006 ER PT J AU Nichols, J Pennington-Cross, A Yezer, A AF Nichols, J Pennington-Cross, A Yezer, A TI Borrower self-selection, underwriting costs, and subprime mortgage credit supply SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article; Proceedings Paper CT Symposium on the Subprime Mortgage Market CY OCT, 2002 CL Washington, DC DE subprime; lending; mortgage; self-selection; market segmentation; credit; predatory lending ID CHOICE AB In the U.S., households participate in two very different types of credit markets. Personal lending is characterized by continuous risk-based pricing in which lenders offer households a continuous distribution of borrowing possibilities based on estimates of their creditworthiness. This contrasts sharply with mortgage markets where lenders specialize in specific risk categories of borrowers and mortgage supply is stepwise linear. The contrast between continuous lending for personal loans and discrete lending by specialized lenders for mortgage credit has led to concerns regarding the efficiency and equity of mortgage lending. This paper sheds both theoretical and empirical light on the differences in the two credit markets. The theory section demonstrates why, in a perfectly competitive credit market where all lenders have the same underwriting technology, mortgage credit supply curves are stepwise linear and lenders specialize in prime or subprime lending. The empirical section then provides evidence that borrowers are being effectively sorted based on risk characteristics by the market. C1 Univ Maryland, Dept Econ, College Pk, MD 20742 USA. Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. George Washington Univ, Dept Econ, Washington, DC 20052 USA. RP Nichols, J (reprint author), Univ Maryland, Dept Econ, College Pk, MD 20742 USA. EM nichols@econ.bsos.umd.edu; anthony.pennington@stls.frb.org; yezer@gwu.edu NR 16 TC 14 Z9 14 U1 0 U2 5 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD MAR PY 2005 VL 30 IS 2 BP 197 EP 219 DI 10.1007/s11146-004-4879-8 PG 23 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 898IV UT WOS:000227071400006 ER PT J AU Cornia, G Edmiston, KD Sjoquist, DL Wallace, S AF Cornia, G Edmiston, KD Sjoquist, DL Wallace, S TI The disappearing state corporate income tax SO NATIONAL TAX JOURNAL LA English DT Article AB This paper examines alternative explanations for the decline over the past two decades in state corporate income taxes relative to the state economy. We employ a survey of state tax administrators, individual tax returns from Georgia and Utah, and panel data to explore the importance of tax policy, tax planning, and economic factors on the trend in state corporate taxes. We find that corporate tax planning and economic factors account for much of the relative decline, and that state tax policy changes are important factors. However, federal tax changes had only a modest effect during this period. C1 Brigham Young Univ, Romney Inst Publ Management, Provo, UT 84602 USA. Fed Reserve Bank Kansas, Community Affiars Dept, Kansas City, MO 64198 USA. Georgia State Univ, Andrew Young Sch Publ Studies, Atlanta, GA 30303 USA. RP Cornia, G (reprint author), Brigham Young Univ, Romney Inst Publ Management, Provo, UT 84602 USA. NR 22 TC 10 Z9 10 U1 0 U2 1 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 J9 NATL TAX J JI Natl. Tax J. PD MAR PY 2005 VL 58 IS 1 BP 115 EP 138 PG 24 WC Business, Finance; Economics SC Business & Economics GA 910GQ UT WOS:000227919300006 ER PT J AU Chordia, T Sarkar, A Subrahmanyam, A AF Chordia, T Sarkar, A Subrahmanyam, A TI An empirical analysis of stock and bond market liquidity SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID US TREASURY MARKET; INFORMATION-CONTENT; ASSET ALLOCATION; ORDER IMBALANCE; MONETARY-POLICY; INTEREST-RATES; CROSS-SECTION; RETURNS; VOLATILITY; PRICES AB This article explores cross-market liquidity dynamics by estimating a vector autoregressive model for liquidity (bid-ask spread and depth, returns, volatility, and order flow in the stock and Treasury bond markets). Innovations to stock and bond market liquidity and volatility are significantly correlated, implying that common factors drive liquidity and volatility in these markets. Volatility shocks are informative in predicting shifts in liquidity. During crisis periods, monetary expansions are associated with increased liquidity. Moreover, money flows to government bond funds forecast bond market liquidity. The results establish a link between "macro" liquidity, or money flows, and "micro" or transactions liquidity. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Emory Univ, Atlanta, GA 30322 USA. Univ Calif Los Angeles, Los Angeles, CA 90024 USA. RP Sarkar, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM asani.sarkar@ny.frb.org NR 58 TC 157 Z9 163 U1 3 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 SPR PY 2005 VL 18 IS 1 BP 85 EP 129 DI 10.1093/rfs/hhi010 PG 45 WC Business, Finance; Economics SC Business & Economics GA 885YT UT WOS:000226194000003 ER PT J AU Brown, G Berger, B Ikiara, M AF Brown, G Berger, B Ikiara, M TI Different property rights regimes in the Lake Victoria multiple species fishery SO ENVIRONMENT AND DEVELOPMENT ECONOMICS LA English DT Article ID MANAGEMENT; HARVEST AB Greater ecosystem complexity is recognized by studying a two species predator-prey model under two property rights regimes: free entry and a system such as individual quotas which execute an economically optimal solution. A bottom-up management experiment is discussed in the context of Lake Victoria fisheries. C1 Univ Gothenburg, Gothenburg, Sweden. Univ Washington, Seattle, WA 98195 USA. Fed Res Board, Washington, DC USA. RP Univ Gothenburg, Gothenburg, Sweden. EM gbrown@u.washington.edu NR 28 TC 2 Z9 2 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1355-770X EI 1469-4395 J9 ENVIRON DEV ECON JI Environ. Dev. Econ. PD FEB PY 2005 VL 10 BP 53 EP 65 DI 10.1017/SI355770X04001779 PN 1 PG 13 WC Environmental Studies SC Environmental Sciences & Ecology GA 905QD UT WOS:000227583400003 ER PT J AU Dittmar, RD Gavin, WT Kydland, FE AF Dittmar, RD Gavin, WT Kydland, FE TI Inflation persistence and flexible prices SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID RISK-AVERSION; CONSUMPTION; MONEY AB If the central bank follows an interest rate rule, then inflation is likely to be persistent, even when prices are fully flexible. Any shock, whether persistent or not, may lead to inflation persistence. In equilibrium, the dynamics of inflation are determined by the evolution of the spread between the real interest rate and the central bank's target. Inflation persistence can be characterized by a vector autocorrelation function relating inflation and output. This article shows that a flexible-price, general-equilibrium business cycle model with money and a central bank using an interest rate target can account for such inflation persistence. C1 Carnegie Mellon Univ, Grad Sch Ind Adm, Pittsburgh, PA 15213 USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Kydland, FE (reprint author), Carnegie Mellon Univ, Grad Sch Ind Adm, Pittsburgh, PA 15213 USA. EM kydland@cmu.edu NR 25 TC 16 Z9 16 U1 0 U2 4 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD FEB PY 2005 VL 46 IS 1 BP 245 EP 261 DI 10.1111/j.0020-6598.2005.00317.x PG 17 WC Economics SC Business & Economics GA 894MY UT WOS:000226797200011 ER PT J AU Haubrich, JG Santos, JAC AF Haubrich, JG Santos, JAC TI Banking and commerce: A liquidity approach SO JOURNAL OF BANKING & FINANCE LA English DT Article DE banking; commerce; liquidity ID INTERNAL CAPITAL-MARKETS; UNIVERSAL BANKING; INVESTMENT AB This paper looks at the advantages and disadvantages of mixing banking and commerce. using the "liquidity," approach to financial intermediation. Bringing a nonfinancial firm into a banking conglomerate may be advantageous because it makes it easier for the bank to dispose of assets seized in a loan default. The conglomerate's internal market increase's the liquidity of such assets and improves the bank's ability to perform financial intermediation. More generally, owning a nonfinancial firm may act either as a subsitute or a complement to commercial lending. In some cases, a bank will voluntarily refrain from making loans choosing to become a non-bank bank in an unregulated environment. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. RP Haubrich, JG (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM jhaubrich@clev.frb.org; joao.santos@ay.frb.org RI Santos, Joao/B-6135-2009; nipe, cef/A-4218-2010; OI santos, joao/0000-0002-6002-5969 NR 36 TC 2 Z9 2 U1 1 U2 3 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 2005 VL 29 IS 2 BP 271 EP 294 DI 10.1016/j.jbankfin.2004.05.005 PG 24 WC Business, Finance; Economics SC Business & Economics GA 882CF UT WOS:000225915500001 ER PT J AU Krishnan, CNV Ritchken, PH Thomson, JB AF Krishnan, CNV Ritchken, PH Thomson, JB TI Monitoring and controlling bank risk: Does risky debt help? SO JOURNAL OF FINANCE LA English DT Article ID MARKET DISCIPLINE; SUBORDINATED DEBT; TERM STRUCTURE; INFORMATION; YIELDS AB We examine whether mandating banks to issue subordinated debt would enhance market monitoring and control risk taking. To evaluate whether subordinated debt enhances risk monitoring, we extract the credit-spread curve for each banking firm in our sample and examine whether changes in credit spreads reflect changes in bank risk variables, after controlling for changes in market and liquidity variables. We do not find strong and consistent evidence that they do. To evaluate whether subordinated debt controls risk taking, we examine whether the first issue of subordinated debt changes the risk-taking behavior of a bank. We find that it does not. C1 Case Western Reserve Univ, Weatherhead Sch Management, Cleveland, OH 44106 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Krishnan, CNV (reprint author), Case Western Reserve Univ, Weatherhead Sch Management, Cleveland, OH 44106 USA. NR 33 TC 29 Z9 29 U1 1 U2 11 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0022-1082 J9 J FINANC JI J. Financ. PD FEB PY 2005 VL 60 IS 1 BP 343 EP 378 DI 10.1111/j.1540-6261.2005.00732.x PG 36 WC Business, Finance SC Business & Economics GA 886EJ UT WOS:000226209400010 ER PT J AU Eichenbaum, M Fisher, JDM AF Eichenbaum, M Fisher, JDM TI Fiscal policy in the aftermath of 9/11 SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE fiscal policy; 9/11; neoclassical growth model ID BUSINESS-CYCLE; INDIVISIBLE LABOR AB This paper investigates the nature of U.S. fiscal policy in the aftermath of 9/11. We argue that the recent declines in the government surplus and tax rates cannot be accounted for by either the state of the U.S. economy as of 9/11 or as the typical response of fiscal policy to a large exogenous rise in military expenditures. Our evidence suggests that, had tax rates responded in the way they 'normally' do to a large fiscal shock, aggregate output would have been lower and the surplus would not have changed by much. Our results do not bear directly on the desirability of the decline in tax rates or the surplus after 9/11. C1 Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. Fed Res Bank Chicago, Econ Res Dept, Chicago, IL USA. RP Eichenbaum, M (reprint author), Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. EM eich@northwestern.edu; fisher@frbchi.org NR 15 TC 13 Z9 13 U1 1 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2005 VL 37 IS 1 BP 1 EP 22 DI 10.1353/mcb.2005.0005 PG 22 WC Business, Finance; Economics SC Business & Economics GA 899CN UT WOS:000227122600001 ER PT J AU Christiano, LJ Eichenbaum, M Evans, CL AF Christiano, LJ Eichenbaum, M Evans, CL TI Nominal rigidities and the dynamic effects of a shock to monetary policy SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID BUSINESS-CYCLE; STAGGERED WAGE; INTEREST-RATES; PRICE; MONEY; PERSISTENCE; MODEL; INFLATION; CONTRACTS; COSTS AB We present a model embodying moderate amounts of nominal rigidities that accounts for the observed inertia in inflation and persistence in output. The key features of our model are those that prevent a sharp rise in marginal costs after an expansionary shock to monetary policy. Of these features, the most important are staggered wage contracts that have an average duration of three quarters and variable capital utilization. C1 Northwestern Univ, Natl Bur Econ Res, Chicago, IL 60611 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Christiano, LJ (reprint author), Northwestern Univ, Natl Bur Econ Res, Chicago, IL 60611 USA. NR 55 TC 1206 Z9 1232 U1 13 U2 63 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 2005 VL 113 IS 1 BP 1 EP 45 DI 10.1086/426038 PG 45 WC Economics SC Business & Economics GA 895LC UT WOS:000226862600001 ER PT J AU Lewis, EG AF Lewis, EG TI Immigrants and the American dream: Remaking the middle class SO JOURNAL OF REGIONAL SCIENCE LA English DT Book Review C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Lewis, EG (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD FEB PY 2005 VL 45 IS 1 BP 271 EP 273 PG 3 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 891HV UT WOS:000226572800018 ER PT J AU Bernanke, BS Boivin, J Eliasz, P AF Bernanke, BS Boivin, J Eliasz, P TI Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID INDICATOR VARIABLES; MODELS; DISTURBANCES; RESTRICTIONS; TRANSMISSION; INFORMATION; DYNAMICS; REAL AB Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least three potential problems with the results. First, to the extent that central banks and the private sector have information not reflected in the VAR, the measurement of policy innovations is likely to be contaminated. Second, the choice of a specific data series to represent a general economic concept such as "real activity" is often arbitrary to some degree. Third, impulse responses can be observed only for the included variables, which generally constitute only a small subset of the variables that the researcher and policy-maker care about. In this paper we investigate one potential solution to this limited information problem, which combines the standard structural VAR analysis with recent developments in factor analysis for large data sets. We find that the information that our factor-augmented VAR (FAVAR) methodology exploits is indeed important to properly identify the monetary transmission mechanism. Overall, our results provide a comprehensive and coherent picture of the effect of monetary policy on the economy. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Columbia Univ, New York, NY 10027 USA. NBER, Cambridge, MA 02138 USA. Princeton Univ, Princeton, NJ 08544 USA. RP Bernanke, BS (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 54 TC 336 Z9 350 U1 10 U2 53 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD FEB PY 2005 VL 120 IS 1 BP 387 EP 422 DI 10.1162/0033553053327452 PG 36 WC Economics SC Business & Economics GA 905YH UT WOS:000227607200010 ER PT J AU Basker, E AF Basker, E TI Job creation or destruction? Labor market effects of Wal-Mart expansion SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID UNIT-ROOT TESTS; PANEL-DATA AB This paper estimates the effect of Wal-Mart expansion on retail employment at the county level. Using an instrumental variables approach to correct for both measurement error in entry dates and endogeneity of the timing of entry, I find that Wal-Mart entry increases retail employment by 100 jobs in the year of entry. Half of this gain disappears over the next five years as other retail establishments exit and contract, leaving a long-run statistically significant net gain of 50 jobs. Wholesale employment declines by approximately 20 jobs due to Wal-Mart's vertical integration. No spillover effect is detected in retail sectors in which Wal-Mart does not compete directly, suggesting Wal-Mart does not create agglomeration economies in retail trade. at the county level. C1 Univ Missouri, Columbia, MO 65211 USA. Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Basker, E (reprint author), Univ Missouri, Columbia, MO 65211 USA. NR 25 TC 89 Z9 89 U1 0 U2 9 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD FEB PY 2005 VL 87 IS 1 BP 174 EP 183 DI 10.1162/0034653053327568 PG 10 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 907EB UT WOS:000227697100016 ER PT J AU Irvine, FO AF Irvine, FO TI Trend breaks in US inventory to sales ratios SO INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS LA English DT Article; Proceedings Paper CT 12th International Symposium on Inventories CY AUG 20-25, 2002 CL Budapest, HUNGARY SP Int Soc Inventory Res DE Inventory to Sales Ratios; inventory; trend breaks ID TESTS AB This paper documents econometrically that US Inventory to Sales Ratios have time trends and that there have been significant breaks in these time trends at both the aggregate and industry level. Using techniques developed by Bai (Rev. Econ. Stat. (1997) 551) and by Bai and Perron (Econometrica 66 (1) (1998) 47), we simultaneously estimate the time trend parameters and the dates of statistically significant breaks in those trends. Using data from 1967 through 2001, it is estimated that aggregate Manufacturing and Trade Inventory to Sales ratio trended upwards at a 0.76%/year rate before 1985 Q3 and has trended downwards at a 1.29%/year rate since then. Downtrends are estimated to have begun in Manufacturing ratios in 1983, Wholesalers in 1985, and Retailers in 1990. Before the mid-1990s nearly all the reductions in ratios occurred in industries carrying durable goods. Examination of the timing and possible explanations of trend breaks for the 20 two-digit manufacturing industries suggests that breaks are much more likely to have occurred in recessions and may be related to changes in the variance of the industry's sales growth rate. (C) 2004 Published by Elsevier B.V. C1 Michigan State Univ, Dept Econ, E Lansing, MI 48823 USA. Fed Reserve Bank Boston, Dept Res, Boston, MA 02210 USA. RP Irvine, FO (reprint author), Michigan State Univ, Dept Econ, Marshall Hall, E Lansing, MI 48823 USA. EM irvinef@msu.edu NR 15 TC 2 Z9 2 U1 2 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0925-5273 J9 INT J PROD ECON JI Int. J. Prod. Econ. PD JAN 8 PY 2005 VL 93-4 BP 13 EP 23 DI 10.1016/j.ijpe.2004.06.002 PG 11 WC Engineering, Industrial; Engineering, Manufacturing; Operations Research & Management Science SC Engineering; Operations Research & Management Science GA 875MD UT WOS:000225423600003 ER PT J AU Irvine, FO Schuh, S AF Irvine, FO Schuh, S TI Inventory investment and output volatility SO INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS LA English DT Article; Proceedings Paper CT 12th International Symposium on Inventories CY AUG 20-25, 2002 CL Budapest, HUNGARY SP Int Soc Inventory Res DE inventory investment; output; GDP volatility; covariance; business cycles; stability AB This paper reports the results of a detailed examination of the hypothesis that improved inventory management and production techniques are responsible for the decline in the volatility of U.S. GDP growth. Our innovations are to look at the data at a finer level of disaggregation than previous studies, to exploit cross-sectional heterogeneity to obtain clearer identification of this hypothesis, and to provide a complete decomposition of the change in GDP volatility. At the aggregate level, changes in inventory behavior can account directly for almost half of the total reduction in GDP volatility. However, reduced volatility of sales and lower covariance among the output of major sectors in the economy each account for more than one-fourth of the reduction in GDP volatility. Improved inventory management appears to be associated loosely with lower volatility at the industry level. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Boston, Dept Res, Boston, MA 02106 USA. Michigan State Univ, E Lansing, MI 48824 USA. RP Schuh, S (reprint author), Fed Reserve Bank Boston, Dept Res, T-8,600 Atlantic Ave, Boston, MA 02106 USA. EM irvinef@msu.edu; scott.schuh@bos.frb.org NR 15 TC 14 Z9 14 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0925-5273 J9 INT J PROD ECON JI Int. J. Prod. Econ. PD JAN 8 PY 2005 VL 93-4 BP 75 EP 86 DI 10.1016/j.ijpe.2004.06.007 PG 12 WC Engineering, Industrial; Engineering, Manufacturing; Operations Research & Management Science SC Engineering; Operations Research & Management Science GA 875MD UT WOS:000225423600008 ER PT B AU Looney, A Singhal, M AF Looney, A Singhal, M BE Kalambokidis, L TI Family composition and marginal tax rates: An identification strategy for estimating intertemporal labor supply substitution SO 97th Annual Conference on Taxation, Proceedings SE PROCEEDINGS OF THE ANNUAL CONFERENCE ON TAXATION LA English DT Proceedings Paper CT 97th Annual Conference on Taxation CY NOV 11-13, 2004 CL Minneapolis, MN SP Natl Tax Assoc ID INCOME-TAX C1 Fed Reserve Board Governors, Washington, DC USA. NR 10 TC 0 Z9 0 U1 0 U2 0 PU NATL TAX ASSOC-TAX INST AMER PI COLUMBUS PA 5310 E MAIN ST, SUITE 104, COLUMBUS, OH 43213 USA J9 P A CON TAX PY 2005 BP 129 EP 134 PG 6 WC Business, Finance SC Business & Economics GA BDL98 UT WOS:000234210000017 ER PT J AU Quintin, E Stevens, JJ AF Quintin, Erwan Stevens, John J. TI Growing Old Together: Firm Survival and Employee Turnover SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE Firm survival; Firm size; Employee turnover; Firm specific human capital AB Labor market outcomes such as turnover and earnings are correlated with employer characteristics, even after controlling for observable differences in worker characteristics. We argue that this systematic relationship constitutes strong evidence in favor of models where workers choose how much to invest in future productivity. Because employer characteristics are correlated with firm survival, returns to these investments vary across firm types. We describe a dynamic general equilibrium model where workers employed in firms more likely to survive choose to devote more time to productivity-enhancing activities, and therefore have a steeper earnings-tenure profile. Our model also predicts that quit rates should be lower in firms more likely to survive, and should tend to fall during slow times, while job destruction rates should rise. These predictions, we argue, are borne out by the existing empirical evidence. C1 [Quintin, Erwan] Fed Reserve Bank Dallas, Dallas, TX USA. RP Quintin, E (reprint author), Fed Reserve Bank Dallas, Dallas, TX USA. EM erwan.quintin@dal.frb.org; john.j.stevens@frb.gov NR 26 TC 0 Z9 0 U1 2 U2 3 PU WALTER DE GRUYTER & CO PI BERLIN PA GENTHINER STRASSE 13, D-10785 BERLIN, GERMANY SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2005 VL 5 IS 1 AR 21 PG 31 WC Economics SC Business & Economics GA V26KH UT WOS:000208544000001 ER PT J AU DeLong, JB AF DeLong, J. Bradford BE Besley, T Zagha, R TI Lessons from India's Economic Reforms Comment SO DEVELOPMENT CHALLENGES IN THE 1990S: LEADING POLICYMAKERS SPEAK FROM EXPERIENCE LA English DT Editorial Material; Book Chapter C1 [DeLong, J. Bradford] Univ Calif Berkeley, Berkeley, CA 94720 USA. [DeLong, J. Bradford] Natl Bur Econ Res, Cambridge, MA 02138 USA. [DeLong, J. Bradford] Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. [DeLong, J. Bradford] Boston Univ, Boston, MA 02215 USA. [DeLong, J. Bradford] MIT, Dept Econ, Cambridge, MA 02139 USA. RP DeLong, JB (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU WORLD BANK INST PI WASHINGTON PA 1818 H ST NW, WASHINGTON, DC 20433 USA BN 978-0-8213-5872-6 PY 2005 BP 203 EP 205 PG 3 WC Planning & Development SC Public Administration GA BYF91 UT WOS:000298479600034 ER PT J AU Clark, TE McCracken, MW AF Clark, TE McCracken, MW TI Evaluating direct multistep forecasts SO ECONOMETRIC REVIEWS LA English DT Article DE causality; long horizon; prediction ID PREDICTIVE ABILITY; EXCHANGE-RATES; TERM STRUCTURE; TESTS; INFLATION; ACCURACY; OUTPUT; REAL; HETEROSKEDASTICITY; FUNDAMENTALS AB This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy and encompassing applied to direct, multistep predictions from nested regression models. We first derive asymptotic distributions; these nonstandard distributions depend on the parameters of the data-generating process. We then use Monte Carlo simulations to examine finite-sample size and power. Our asymptotic approximation yields good size and power properties for some, but not all, of the tests; a bootstrap works reasonably well for all tests. The paper concludes with a reexamination of the predictive content of capacity utilization for inflation. C1 Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Clark, TE (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 925 Grand, Kansas City, MO 64198 USA. EM todd.e.clark@kc.frb.org RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 53 TC 81 Z9 81 U1 2 U2 6 PU TAYLOR & FRANCIS INC PI PHILADELPHIA PA 325 CHESTNUT ST, SUITE 800, PHILADELPHIA, PA 19106 USA SN 0747-4938 J9 ECONOMET REV JI Econom. Rev. PY 2005 VL 24 IS 4 BP 369 EP 404 DI 10.1080/07474930500405683 PG 36 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 992KK UT WOS:000233882600002 ER PT J AU Rocheteau, G Wright, R AF Rocheteau, G Wright, R TI Money in search equilibrium, in competitive equilibrium, and in competitive search equilibrium SO ECONOMETRICA LA English DT Article DE money; search; matching; bargaining; equilibrium; efficiency; inflation ID RANDOM-MATCHING MODEL; MONETARY-ECONOMICS; FIAT MONEY; PRICES; UNEMPLOYMENT; EFFICIENCY; EXCHANGE AB We compare three market structures for monetary economies: bargaining (search equilibrium); price taking (competitive equilibrium); and price posting (competitive search equilibrium). We also extend work on the microfoundations of money by allowing a general matching technology and entry. We study how equilibrium and the effects of policy depend on market structure. Under bargaining, trade and entry are both inefficient, and inflation implies first-order welfare losses. Under price taking, the Friedman rule solves the first inefficiency but not the second, and inflation may actually improve welfare. Under posting, the Friedman rule yields the first best, and inflation implies second-order welfare losses. C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. Australian Natl Univ, Canberra, ACT, Australia. Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. RP Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. EM Guillaume.Rocheteau@clev.frb.org; rwright@econ.upenn.edu NR 44 TC 127 Z9 127 U1 3 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0012-9682 EI 1468-0262 J9 ECONOMETRICA JI Econometrica PD JAN PY 2005 VL 73 IS 1 BP 175 EP 202 DI 10.1111/j.1468-0262.2005.00568.x PG 28 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 895WV UT WOS:000226895700006 ER PT J AU Carlson, M AF Carlson, M TI Causes of bank suspensions in the panic of 1893 SO EXPLORATIONS IN ECONOMIC HISTORY LA English DT Article DE bank panic; panic of 1893; bank suspensions ID CONTAGION; CONVERTIBILITY AB There are several competing theories explaining bank panics. Some argue that panics are driven by real shocks, asymmetric information, and concerns about insolvency. Others argue that bank runs are self-fulfilling, driven by illiquidity and the beliefs of depositors. This paper tests predictions of different theories using information uniquely available for the Panic of 1893. The results suggest that real economic shocks were important determinants of the nationwide scope of panic, however at the local level, liquidity concerns are found to be a more important trigger of bank panics. Published by Elsevier Inc. C1 Fed Reserve Board, Board Governors, Washington, DC 20551 USA. RP Carlson, M (reprint author), Fed Reserve Board, Board Governors, 20th & Constitut Ave NW, Washington, DC 20551 USA. EM mark.a.carlson@frb.gov NR 38 TC 14 Z9 14 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 0014-4983 J9 EXPLOR ECON HIST JI Explor. Econ. Hist. PD JAN PY 2005 VL 42 IS 1 BP 56 EP 80 DI 10.1016/j.eeh.2003.11.002 PG 25 WC Economics; History Of Social Sciences SC Business & Economics; Social Sciences - Other Topics GA 886KO UT WOS:000226226300003 ER PT J AU Poole, W AF Poole, W TI FOMC transparency SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Meeting of the Ozark Chapter of the Society-of-Financial-Service-Professionals CY OCT 06, 2004 CL Springfield, MO SP Soc Financial Serv Profess, Ozark Chapter AB This article was originally presented as a speech at the Ozark Chapter of the Society of Financial Service Professionals, Springfield, Missouri, October 6, 2004. C1 Fed Reserve Bank, St Louis, MO USA. RP Poole, W (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 6 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 2005 VL 87 IS 1 BP 1 EP 9 PG 9 WC Business, Finance; Economics SC Business & Economics GA 893UT UT WOS:000226745700001 ER PT J AU Dinlersoz, EM Hernandez-Murillo, R AF Dinlersoz, EM Hernandez-Murillo, R TI The diffusion of electronic business in the United States SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID LIFE-CYCLE; INDUSTRY; COMMERCE; INTERNET; TECHNOLOGIES; ECONOMY; ONLINE AB The authors provide a recent account of the diffusion of electronic business in the U.S. economy using new data from the U.S. Bureau of the Census. They document the extent of the diffusion in three main sectors of the economy: retail, services, and manufacturing. For manufacturing, they also analyze plants' patterns of adoption of several Internet-based processes and conclude with a look at the future of the Internet's diffusion and a prospect for further data collection by the U.S. Census Bureau. C1 Univ Houston, Houston, TX 77004 USA. Fed Reserve Bank, St Louis, MO USA. RP Dinlersoz, EM (reprint author), Univ Houston, Houston, TX 77004 USA. NR 35 TC 10 Z9 11 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2005 VL 87 IS 1 BP 11 EP 34 PG 24 WC Business, Finance; Economics SC Business & Economics GA 893UT UT WOS:000226745700002 ER PT J AU Cheng, IH Wall, HJ AF Cheng, IH Wall, HJ TI Controlling for heterogeneity in gravity models of trade and integration SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID INTERNATIONAL-TRADE; EQUATION; EXPORTS; VOLUME AB This paper compares various specifications of the gravity model of trade as nested versions of a general specification that uses bilateral country-pair fixed effects to control for heterogeneity. For each specification, we show that the atheoretical restrictions used to obtain them from the general model are not supported statistically. Because the gravity model has become the "workhorse" baseline model for estimating the effects of international integration, this has important empirical implications. In particular, we show that, unless heterogeneity is accounted for correctly, gravity models can greatly overestimate the effects of integration on the volume of trade. C1 Natl Univ Kaohsiung, Kaohsiung, Taiwan. Fed Reserve Bank, St Louis, MO USA. RP Cheng, IH (reprint author), Natl Univ Kaohsiung, Kaohsiung, Taiwan. NR 35 TC 123 Z9 127 U1 1 U2 8 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2005 VL 87 IS 1 BP 49 EP 63 PG 15 WC Business, Finance; Economics SC Business & Economics GA 893UT UT WOS:000226745700004 ER PT J AU Avery, RB Bostic, RW Canner, GB AF Avery, RB Bostic, RW Canner, GB TI Assessing the necessity and efficiency of the community reinvestment act SO HOUSING POLICY DEBATE LA English DT Article DE banks; community reinvestment act; mortgages ID SAFETY REGULATION; AGREEMENTS AB A number of researchers have recently questioned whether the Community Reinvestment Act (CRA) is still needed. In addition, economic analysis has explored the efficiency of many regulations, but not the CRA. This article seeks to address both issues to shed light on the necessity and efficiency of the CRA. On the basis of data from a survey on the performance and profitability of CRA-related lending activities, we reach three main conclusions. First, consistent with the view that the CRA is needed, we find evidence that the majority of surveyed institutions engaged in some lending activities that they would not otherwise have done in the absence of the law. Second, in terms of efficiency, the results are mixed: The vast majority of institutions increased credit flows profitably, but a significant minority incurred costs, albeit small ones. Third, quantitative evidence suggests that marginal CRA-related lending tended to be small. C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. Univ So Calif, Sch Policy Planning & Dev, Los Angeles, CA 90089 USA. RP Avery, RB (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. NR 24 TC 9 Z9 9 U1 1 U2 4 PU FANNIE MAE FOUNDATION PI WASHINGTON PA 4000 WISCONSIN AVE, NW, NORTH TOWER, STE ONE, WASHINGTON, DC 20016-2804 USA SN 1051-1482 J9 HOUS POLICY DEBATE JI Hous. Policy Debate PY 2005 VL 16 IS 1 BP 143 EP 172 PG 30 WC Planning & Development; Urban Studies SC Public Administration; Urban Studies GA 925DW UT WOS:000229032700008 ER PT B AU Goodfriend, M AF Goodfriend, M BE Bernanke, BS Woodford, M TI Inflation targeting in the United States? SO INFLATION-TARGETING DEBATE SE NATIONAL BUREAU OF ECONOMIC RESEARCH STUDIES IN BUSINESS CYCLES LA English DT Proceedings Paper CT NBER Conference on Inflation Targeting CY JAN, 2003 CL Bel Harbour, FL SP Natl Bur Econ Res ID MONETARY-POLICY C1 Fed Reserve Syst, Richmond, CA USA. NR 59 TC 7 Z9 8 U1 1 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA BN 0-226-04471-8 J9 NAT BUR ECON RES STU PY 2005 VL 32 BP 311 EP 352 PG 42 WC Economics SC Business & Economics GA BCY85 UT WOS:000231931000009 ER PT J AU Schuermann, T AF Schuermann, T TI Credit derivatives pricing models: Models, pricing and implementation SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Book Review C1 Fed Reserve Bank New York, Res Banking Studies, New York, NY 10056 USA. Wharton Finantial Institut Ctr, New York, NY USA. RP Schuermann, T (reprint author), Fed Reserve Bank New York, Res Banking Studies, 33 Liberty Str, New York, NY 10056 USA. EM til.schuermann@ny.frb.org NR 1 TC 0 Z9 0 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PD JAN-FEB PY 2005 VL 20 IS 1 BP 123 EP 130 PG 8 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 900ZI UT WOS:000227252400009 ER PT J AU Schuermann, T AF Schuermann, T TI Credit risk: Pricing, measurement and management SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Book Review C1 Fed Reserve Bank New York, Res Banking Studies, New York, NY 10056 USA. Wharton Financial Institut Ctr, New York, NY USA. RP Schuermann, T (reprint author), Fed Reserve Bank New York, Res Banking Studies, 33 Liberty Str, New York, NY 10056 USA. EM til.schuermann@ny.frb.org NR 1 TC 0 Z9 0 U1 1 U2 1 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 2005 VL 20 IS 1 BP 123 EP 130 PG 8 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 900ZI UT WOS:000227252400007 ER PT J AU Schuermann, T AF Schuermann, T TI Credit risk modeling: Theory and applications SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Book Review C1 Fed Reserve Bank New York, Res Banking Studies, New York, NY 10056 USA. Wharton Financial Institut Ctr, New York, NY 10056 USA. RP Schuermann, T (reprint author), Fed Reserve Bank New York, Res Banking Studies, 33 Liberty Str, New York, NY 10056 USA. EM til.schuermann@ny.frb.org NR 1 TC 0 Z9 0 U1 1 U2 1 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 2005 VL 20 IS 1 BP 123 EP 130 PG 8 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 900ZI UT WOS:000227252400008 ER PT J AU Dueker, M AF Dueker, M TI Dynamic forecasts of qualitative variables: A qual VAR model of U.S\. recessions SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE dummy endogenous variable; dynamic probit; recession forecasting ID FEDERAL-FUNDS RATE; MONETARY-POLICY; TURNING-POINTS; TIME-SERIES; RATES; INDICATORS; DURATION; TARGET; TRADE; MONEY AB This article presents a new Qual VAR model for incorporating information from qualitative and/or discrete variables in vector autoregressions. With a Qual VAR, it is possible to create dynamic forecasts of the qualitative variable using standard VAR projections. Previous forecasting methods for qualitative variables, in contrast, produce only static forecasts. I apply the Qual VAR to forecasting the 2001 business recession out of sample and to analyzing the Romer and Romer narrative measure of monetary policy contractions as an endogenous variable in a VAR. Out of sample, the model predicts the timing of the 2001 recession quite well relative to the recession probabilities put forth at the time by professional forecasters. Qual VARs-which include information about the qualitative variable-can also enhance the quality of density forecasts of the other variables in the system. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Dueker, M (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63166 USA. EM mdueker@stls.frb.org NR 34 TC 28 Z9 29 U1 0 U2 11 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JAN PY 2005 VL 23 IS 1 BP 96 EP 104 DI 10.1198/073500104000000613 PG 9 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 884MU UT WOS:000226090300008 ER PT J AU Clark, TE McCracken, MW AF Clark, TE McCracken, MW TI The power of tests of predictive ability in the presence of structural breaks SO JOURNAL OF ECONOMETRICS LA English DT Article DE power; forecast evaluation; Granger causality; model selection ID ECONOMIC-ACTIVITY; EXCHANGE-RATES; UNITED-STATES; YIELD CURVE; MODELS; FORECAST; INSTABILITY; PARAMETERS; ESTIMATOR; ACCURACY AB This paper presents analytical, Monte Carlo, and empirical evidence on the effects of structural breaks on tests for equal forecast accuracy and encompassing. We show that out-of-sample predictive content can be hard to find because out-of-sample tests are highly dependent on the timing of the predictive ability. Moreover, predictive content is harder to find with some tests than others: in power, F-type tests of equal forecast accuracy and encompassing often dominate t-type alternatives. Based on these results and evidence from an empirical application, we conclude that structural breaks under the alternative may explain why researchers often find evidence of in-sample, but not out-of-sample, predictive content. (C) 2003 Elsevier B.V. All rights reserved. C1 Univ Missouri, Dept Econ, Columbia, MO 65211 USA. Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. RP McCracken, MW (reprint author), Univ Missouri, Dept Econ, 118 Profess Bldg, Columbia, MO 65211 USA. EM todd.e.clark@kc.frb.org; mccrackenm@missouri.edu RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 49 TC 40 Z9 42 U1 2 U2 3 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD JAN PY 2005 VL 124 IS 1 BP 1 EP 31 DI 10.1016/j.jeconom.2003.12.011 PG 31 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 874WK UT WOS:000225381000001 ER PT J AU Spiegel, MM AF Spiegel, MM TI Solvency runs, sunspot runs, and international bailouts SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE international lender of last resort; financial crises; sovereign debt ID BANK RUNS; DEPOSIT INSURANCE; FINANCIAL CRISES; DEBT; LIQUIDITY; EQUILIBRIUM; INFORMATION; CONTRACTS; DEFAULT; CREDIT AB This paper introduces a model of intervention by an international financial institution (IFI) under asymmetric information. The IFI is unable to distinguish between runs due to fundamentals and those which are the result of pure sunspots. However, it maximizes global welfare by offering a relending package consistent with generating a separating equilibrium, where voluntary creditor participation implies that underlying fundamentals are good. The need for direct IFI lending in the package is shown to depend on the commitment capacity of creditors. This adverse selection problem provides an alternative rationale for Bagehot's Principle of last-resort lending at high rates of interest to the moral hazard motivation commonly found in the literature. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, Econ Res, San Francisco, CA 94105 USA. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, Econ Res, 101 Market St, San Francisco, CA 94105 USA. EM mark.spiegel@sf.frb.org NR 29 TC 3 Z9 3 U1 3 U2 8 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 2005 VL 65 IS 1 BP 203 EP 219 DI 10.1016/j.jinteco.2004.01.002 PG 17 WC Economics SC Business & Economics GA 884LQ UT WOS:000226086900010 ER PT J AU Tille, C AF Tille, C TI The welfare effect of international asset market integration under nominal rigidities SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE international risk sharing; exchange rate pass-through; welfare effect ID FINANCIAL INNOVATION; INCOMPLETE MARKETS; POLICY; GAINS AB This paper assesses the impact of integrating international asset markets when segmented markets are not the only distortion. Using a two-country general equilibrium model with nominal rigidities and monetary shocks, we show that integration is not universally beneficial. Instead, the welfare impact depends on the degree to which exchange rate fluctuations are passed through to consumer prices. While the integration is welfare neutral in the polar cases of complete or zero pass-through, this is not the case when pass-through is partial. When shocks are equally volatile in both countries, integration can be detrimental or beneficial depending on the degree of pass-through. When shocks are more volatile in one country, it benefits from integration compared with the more stable country. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Tille, C (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM Cedric.Tille@ny.frb.org NR 30 TC 5 Z9 5 U1 0 U2 2 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 2005 VL 65 IS 1 BP 221 EP 247 DI 10.1016/j.jinteco.2003.09.003 PG 27 WC Economics SC Business & Economics GA 884LQ UT WOS:000226086900011 ER PT J AU Duarte, M Stockman, AC AF Duarte, M Stockman, AC TI Rational speculation and exchange rates SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Public Policy CY APR 23-24, 2004 CL Univ Rochester, Rochester, NY HO Univ Rochester DE exchange rates; risk premium; speculation; exchange rate disconnect ID CURRENCY PRICES; EQUILIBRIUM; MODELS; WORLD; RISK AB Models of exchange rates have typically failed to produce results consistent with the key fact that real and nominal exchange rates move in ways not closely connected to current (or past) macroeconomic variables. Models that rely on the same shocks to drive fluctuations in macroeconomic variables and exchange rates typically imply counterfactually-strong co-movements between them. We develop a model in which new information leads agents to change their rational beliefs about risk premia on foreign exchange markets. These changes in risk premia work through asset markets to cause real and nominal exchange rates to change without corresponding changes in GDP, productivity, money supplies, and other key macro variables. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. Univ Rochester, Dept Econ, Rochester, NY 14627 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Duarte, M (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd St, Richmond, VA 23219 USA. EM margarida.duarte@rich.frb.org RI nipe, cef/A-4218-2010 NR 32 TC 20 Z9 20 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 JAN PY 2005 VL 52 IS 1 SI SI BP 3 EP 29 DI 10.1016/j.jmoneco.2004.08.004 PG 27 WC Business, Finance; Economics SC Business & Economics GA 893EY UT WOS:000226703300002 ER PT J AU Cole, HL Ohanian, LE Riascos, A Schmitz, JA AF Cole, HL Ohanian, LE Riascos, A Schmitz, JA TI Latin America in the rearview mirror SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Public Policy CY APR 23-24, 2004 CL Univ Rochester, Rochester, NY HO Univ Rochester DE Latin America ID LABOR PRODUCTIVITY; ECONOMIC-GROWTH; TECHNOLOGY; COUNTRIES; TRADE; WORLD AB Latin American countries are the only Western countries that are poor and that are not gaining ground on the U.S. This paper evaluates why Latin America has not replicated Western economic success. We find that this failure is primarily due to TFP differences. Latin America's TFP gap is not plausibly accounted for by human capital differences, but rather reflects inefficient production. We argue that competitive barriers are a promising channel for understanding low Latin TFP. We document that Latin America has many more international and domestic competitive barriers than do Western and successful East Asian countries. We also document a number of microeconomic case in Latin America in which large reductions in competitive barriers increase Latin American productivity to Western levels. (C) 2004 Elsevier B.V. All rights reserved. C1 Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90024 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Banco Republ Colombia, Bogota, Colombia. RP Cole, HL (reprint author), Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90024 USA. EM hlcole@econ.ucla.edu NR 58 TC 25 Z9 26 U1 0 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2005 VL 52 IS 1 SI SI BP 69 EP 107 DI 10.1016/j.jmoneco.2004.09.002 PG 39 WC Business, Finance; Economics SC Business & Economics GA 893EY UT WOS:000226703300006 ER PT J AU Baxter, M Kouparitsas, MA AF Baxter, M Kouparitsas, MA TI Determinants of business cycle comovement: a robust analysis SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Public Policy CY APR 23-24, 2004 CL Univ Rochester, Rochester, NY HO Univ Rochester DE international business cycles; comovement; international trade; currency unions ID TRADE; COMMON; SPECIALIZATION; FLUCTUATIONS; WORLD AB This paper investigates the determinants of business cycle comovement between countries. Our dataset includes over 100 countries, both developed and developing. We search for variables that are "robust" in explaining comovement. using the approach of Learner (Amer. Econom. Rev. 73 (1983) 31). Variables considered are (i) bilateral trade between countries: (ii) total trade in each country; (iii) sectoral structure; (iv) similarity in export and import baskets: (v) factor endowments; and (vi) gravity variables. We find that bilateral trade is robust. However, two variables that the literature has argued are important for business cycles-industrial structure and currency unions-are found not to be robust. (C) 2004 Elsevier B.V. All rights reserved. C1 Boston Univ, Dept Econ, Boston, MA 02215 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. RP Baxter, M (reprint author), Boston Univ, Dept Econ, 270 Bay State Rd, Boston, MA 02215 USA. EM mbaxter@bu.edu NR 34 TC 164 Z9 166 U1 11 U2 20 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 2005 VL 52 IS 1 SI SI BP 113 EP 157 DI 10.1016/j.jmoneco.2004.08.002 PG 45 WC Business, Finance; Economics SC Business & Economics GA 893EY UT WOS:000226703300008 ER PT J AU Kehoe, P AF Kehoe, P TI Comment on: "Determinants of business cycle comovement: a robust analysis" SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. RP Kehoe, P (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM pkehoe@nber.org NR 1 TC 0 Z9 0 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2005 VL 52 IS 1 SI SI BP 159 EP 162 DI 10.1016/j.jmoneco.2004.10.001 PG 4 WC Business, Finance; Economics SC Business & Economics GA 893EY UT WOS:000226703300009 ER PT J AU McGrattan, ER AF McGrattan, ER TI Comment on: "Why hasn't tax competition triggered a race to the bottom? Some quantitative lessons from the EU" SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. RP McGrattan, ER (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM erm@ellen.mpls.frb.fed.us NR 0 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2005 VL 52 IS 1 SI SI BP 205 EP 211 DI 10.1016/j.jmoneco.2004.10.008 PG 7 WC Business, Finance; Economics SC Business & Economics GA 893EY UT WOS:000226703300011 ER PT J AU Dotsey, M King, RG AF Dotsey, M King, RG TI Implications of state-dependent pricing for dynamic macroeconomic models SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Public Policy CY APR 23-24, 2004 CL Univ Rochester, Rochester, NY HO Univ Rochester DE pricing; macroeconomic models ID STICKY PRICES; BUSINESS CYCLES; MONEY; INFLATION; OUTPUT; PERSISTENCE; ADJUSTMENT; RIGIDITIES AB State-dependent pricing (SDP) models treat the timing of price changes as a profit-maximizing choice, symmetrically with other decisions of firms. Using quantitative general equilibrium models which incorporate a "generalized (S,s) approach," we investigate the implications of SDP for topics in two major areas of macroeconomic research. the early 1990s SDP literature and more recent work on persistence mechanisms. First. we show that state-dependent pricing leads to unusual macroeconomic dynamics. which occur because of the timing of price adjustments chosen by firms as in the earlier literature. In particular, we display an example in which output responses peak at about a year. while inflation responses peak at about 2 years after the shock. Second, we examine whether the persistence-enhancing effects of two New Keynesian model features, namely specific factor markets and variable elasticity demand curves, depend importantly on whether pricing is state dependent. In an SDP setting. we provide examples in which specific factor markets perversely work to lower persistence, while variable elasticity demand raises it. (C) 2004 Published by Elsevier B.V. C1 Boston Univ, Dept Econ, Boston, MA 02215 USA. Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP King, RG (reprint author), Boston Univ, Dept Econ, Boston, MA 02215 USA. EM rking@bu.edu NR 30 TC 55 Z9 55 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2005 VL 52 IS 1 SI SI BP 213 EP 242 DI 10.1016/j.jmoneco.2004.10.004 PG 30 WC Business, Finance; Economics SC Business & Economics GA 893EY UT WOS:000226703300012 ER PT B AU Doms, M AF Doms, M BE Corrado, C Haltiwanger, J Sichel, D TI Communications equipment - What has happened to prices? SO Measuring Capital in the New Economy SE STUDIES IN INCOME AND WEALTH LA English DT Proceedings Paper CT Conference on Research in Income and Wealth - Measuring Capital in the New Economy CY APR 26-27, 2002 CL Fed Reserve Board, Washington, DC SP Bur Econ Anal, Bur Labor Stat, Census Bur, Stat Canada HO Fed Reserve Board C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 11 TC 4 Z9 4 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA BN 0-226-11612-3 J9 STUD INCOME PY 2005 VL 65 BP 323 EP 362 PG 40 WC Economics SC Business & Economics GA BCZ69 UT WOS:000232136500010 ER PT J AU Gilchrist, S Williams, JC AF Gilchrist, S Williams, JC TI Investment, capacity, and uncertainty: a putty-clay approach SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE vintage capital; irreversibility; capacity utilization; productivity ID IDIOSYNCRATIC RISK; IRREVERSIBILITY; GROWTH; ENERGY; MODEL AB We embed the microeconomic decisions associated with investment under uncertainty, capacity utilization, and machine replacement in a general equilibrium model based on putty-clay technology. In the presence of irreversible factor proportions, a mean-preserving spread in the productivity of investment reduces investment at the project level, but raises aggregate investment, productivity, and output. Increases in uncertainty have important dynamic implications, causing sustained increases in investment and hours and a medium-term expansion in the growth rate of labor productivity (C) 2004 Published by Elsevier Inc. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Boston Univ, Boston, MA 02215 USA. NBER, Cambridge, MA 02138 USA. RP Williams, JC (reprint author), Fed Reserve Bank San Francisco, 101 Mkt St, San Francisco, CA 94105 USA. EM sgilchri@bu.edu; john.c.williams@sf.frb.org RI Williams, John/A-8226-2009 NR 21 TC 16 Z9 20 U1 0 U2 3 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2005 VL 8 IS 1 BP 1 EP 27 DI 10.1016/j.red.2004.06.002 PG 27 WC Economics SC Business & Economics GA 892II UT WOS:000226643400001 ER PT J AU Farmer, REA Lahiri, A AF Farmer, REA Lahiri, A TI A two-country model of endogenous growth SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article ID DYNAMICS; INDETERMINACY; EXTERNALITIES AB We study the competitive equilibria of a two-country endogenous growth model in which the source of growth is the linearity of technology in reproducible inputs. We begin by showing that in a model with no externalities there is a unique equilibrium; however, there are multiple ways in which the social planner can allocate production plans across countries. We then introduce an externality to human capital and we show that the model has multiple equilibria that can be Pareto ranked. In many of these equilibria there are perfectly foreseen discrete reallocations of capital from one country to another, accompanied by discrete jumps in growth rates. (C) 2004 Elsevier Inc. All rights reserved. C1 Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Farmer, REA (reprint author), Univ Calif Los Angeles, Dept Econ, 8283 Bunche Hall, Los Angeles, CA 90095 USA. EM rfarmer@econ.ucla.edu; amartya.lahiri@ny.frb.org NR 11 TC 9 Z9 9 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2005 VL 8 IS 1 BP 68 EP 88 DI 10.1016/j.red.2004.10.002 PG 21 WC Economics SC Business & Economics GA 892II UT WOS:000226643400004 ER PT J AU Aizcorbe, A Kortum, S AF Aizcorbe, A Kortum, S TI Moore's law and the semiconductor industry: A vintage model SO SCANDINAVIAN JOURNAL OF ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Technology and Change held in Honor of Tor Jakob Klette CY AUG, 2004 CL Oslo, NORWAY DE equipment; innovation; microprocessor; productivity ID DOMINANT-FIRM MODEL AB In this paper we develop a vintage model to gain a better understanding of the semiconductor industry and its role in recent U.S. productivity gains. Unlike previous work, in our model the observed price declines of individual chips are driven by the introduction of better vintages rather than by learning economies. Dominated chips, nonetheless, continue to be produced, for a time, due to sunk investments in chip-specific production equipment. The model lends partial support to Jorgenson's hypothesis that an exogenous increase in Moore's Law could have generated the more rapid price declines, and faster productivity growth, seen after 1995. C1 Bur Econ Anal, Washington, DC 20230 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank, Minneapolis, MN 55455 USA. RP Aizcorbe, A (reprint author), Bur Econ Anal, Washington, DC 20230 USA. EM ana.aizcorbe@bea.gov; kortum@econ.umn.edu NR 29 TC 16 Z9 16 U1 0 U2 3 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0347-0520 J9 SCAND J ECON JI Scand. J. Econ. PY 2005 VL 107 IS 4 BP 603 EP 630 DI 10.1111/j.1467-9442.2005.00429.x PG 28 WC Economics SC Business & Economics GA 999HL UT WOS:000234380300002 ER PT J AU Weiler, S AF Weiler, S TI Regional labor market adjustment to structural shocks: An international comparison SO SOCIAL SCIENCE JOURNAL LA English DT Article ID UNEMPLOYMENT AB Previous research indicates that local industry composition significantly influences unemployment in the American Rust Belt. This paper uses a dual market model to compare evolutions of structural joblessness in German regions with those of a Rust Belt area in the United States. Results indicate that German labor markets exhibit both intriguing similarities and differences to the US benchmark case. In particular, the contrasts between the two areas highlight the less distinct labor supply flexibility of Western European labor markets as demonstrated by unemployment responses to changes in regional employment prospects. (c) 2005 Elsevier Inc. All rights reserved. C1 Colorado State Univ, Dept Econ, Ft Collins, CO 80523 USA. RP Weiler, S (reprint author), Fed Reserve Bank, Ctr Study Rural Amer, Kansas City, MO 64198 USA. EM Stephan.Weiler@kc.frb.org NR 20 TC 0 Z9 0 U1 1 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0362-3319 J9 SOC SCI J JI Soc. Sci. J. PY 2005 VL 42 IS 3 BP 439 EP 452 DI 10.1016/j.soscij.2005.06.005 PG 14 WC Social Sciences, Interdisciplinary SC Social Sciences - Other Topics GA 967AA UT WOS:000232062700008 ER PT J AU Geithner, TF AF Geithner, Timothy F. BE Evanoff, DD Kaufman, GG TI Changes in the Structure of the US Financial System and Implications for Systemic Risk SO SYSTEMIC FINANCIAL CRISES: RESOLVING LARGE BANK INSOLVENCIES LA English DT Proceedings Paper CT 7th Annual International Banking Conference CY SEP 30-OCT 01, 2004 CL Chicago, IL SP Fed Reserve Bank, Int Monetary Fund, World Bank, Bank Int Settlements C1 [Geithner, Timothy F.] Fed Reserve Bank New York, New York, NY USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE BN 978-9-81256-947-9 PY 2005 BP 29 EP 38 DI 10.1142/9789812569479_0003 PG 10 WC Business, Finance; Economics SC Business & Economics GA BYZ69 UT WOS:000300826600003 ER PT J AU Furfine, CH AF Furfine, Craig H. BE Evanoff, DD Kaufman, GG TI A Note on Financial Stability SO SYSTEMIC FINANCIAL CRISES: RESOLVING LARGE BANK INSOLVENCIES LA English DT Proceedings Paper CT 7th Annual International Banking Conference CY SEP 30-OCT 01, 2004 CL Chicago, IL SP Fed Reserve Bank, Int Monetary Fund, World Bank, Bank Int Settlements C1 [Furfine, Craig H.] Fed Reserve Bank Chicago, Res Dept, Chicago, IL USA. NR 9 TC 0 Z9 0 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE BN 978-9-81256-947-9 PY 2005 BP 115 EP 120 DI 10.1142/9789812569479_0008 PG 6 WC Business, Finance; Economics SC Business & Economics GA BYZ69 UT WOS:000300826600008 ER PT J AU Baxter, TC Sommer, JH AF Baxter, Thomas C., Jr. Sommer, Joseph H. BE Evanoff, DD Kaufman, GG TI Breaking Up is Hard to Do: An Essay on Cross-Border Challenges in Resolving Financial Groups SO SYSTEMIC FINANCIAL CRISES: RESOLVING LARGE BANK INSOLVENCIES LA English DT Proceedings Paper CT 7th Annual International Banking Conference CY SEP 30-OCT 01, 2004 CL Chicago, IL SP Fed Reserve Bank, Int Monetary Fund, World Bank, Bank Int Settlements C1 [Baxter, Thomas C., Jr.; Sommer, Joseph H.] Fed Reserve Bank New York, New York, NY USA. NR 12 TC 0 Z9 0 U1 2 U2 2 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE BN 978-9-81256-947-9 PY 2005 BP 175 EP 191 DI 10.1142/9789812569479_0013 PG 17 WC Business, Finance; Economics SC Business & Economics GA BYZ69 UT WOS:000300826600013 ER PT J AU Stern, GH Feldman, RJ AF Stern, Gary H. Feldman, Ron J. BE Evanoff, DD Kaufman, GG TI Constructive Commitments: Communicating Plans to Impose Losses on Large Bank Creditors SO SYSTEMIC FINANCIAL CRISES: RESOLVING LARGE BANK INSOLVENCIES LA English DT Proceedings Paper CT 7th Annual International Banking Conference CY SEP 30-OCT 01, 2004 CL Chicago, IL SP Fed Reserve Bank, Int Monetary Fund, World Bank, Bank Int Settlements C1 [Stern, Gary H.; Feldman, Ron J.] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. NR 2 TC 0 Z9 0 U1 0 U2 0 PU WORLD SCIENTIFIC PUBL CO PTE LTD PI SINGAPORE PA PO BOX 128 FARRER RD, SINGAPORE 9128, SINGAPORE BN 978-9-81256-947-9 PY 2005 BP 441 EP 447 DI 10.1142/9789812569479_0028 PG 7 WC Business, Finance; Economics SC Business & Economics GA BYZ69 UT WOS:000300826600028 ER PT J AU Baxter, TC Hansen, JM Sommer, JH AF Baxter, TC Hansen, JM Sommer, JH TI Two cheers for territoriality: An essay on international bank insolvency law SO AMERICAN BANKRUPTCY LAW JOURNAL LA English DT Article ID BANKRUPTCY; RETHINKING; COMPANIES; DOCTRINE; CLAIMS; CHOICE C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Baxter, TC (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 59 TC 7 Z9 7 U1 1 U2 1 PU NATL CONF BANKRUPT J PI LEXINGTON PA 235 SECRET COVE DR, LEXINGTON, SC 29072 USA SN 0027-9048 J9 AM BANKRUPT LAW J JI Am. Bankruptcy Law J. PD WIN PY 2004 VL 78 IS 1 BP 57 EP 91 PG 35 WC Law SC Government & Law GA 853MK UT WOS:000223831500002 ER PT J AU Coronado, R Fullerton, TM Clark, DP AF Coronado, R Fullerton, TM Clark, DP TI Short-run maquiladora employment dynamics in Tijuana SO ANNALS OF REGIONAL SCIENCE LA English DT Article ID FORECASTING-MODEL AB The Tijuana maquiladora sector has grown enormously over the past two decades. Short-term time series characteristics of this segment of the regional economy are analyzed in an attempt to clarify labor market behavior associated with this remarkable performance. Parameter estimation is accomplished using linear transfer function analysis. Data are drawn from the January 1980-December 2000 sample period. Empirical results indicate that real wage rates, maquiladora plants, United States industrial activity, and the real exchange rate of the peso play significant roles in determining month-to-month fluctuations in maquiladora employment. Sub-sample simulation exercises are conducted using a random walk benchmark in order to examine forecast accuracy. Empirical results indicate that the linear transfer function technique provides relatively accurate forecasts all step-lengths. C1 Fed Reserve Bank Dallas, El Paso Branch, El Paso, TX 79912 USA. Univ Texas, Dept Econ & Finance, El Paso, TX 79968 USA. Univ Tennessee, Stokely Management Ctr, Dept Econ, Knoxville, TN 37996 USA. RP Coronado, R (reprint author), Fed Reserve Bank Dallas, El Paso Branch, 301 E Main St, El Paso, TX 79912 USA. EM Roberto.Coronado@dal.frb.org; tomf@utep.edu; dclark3@utk.edu NR 29 TC 9 Z9 10 U1 0 U2 0 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 0570-1864 J9 ANN REGIONAL SCI JI Ann. Reg. Sci. PD DEC PY 2004 VL 38 IS 4 BP 751 EP 763 DI 10.1007/s00168-004-0215-8 PG 13 WC Environmental Studies; Geography SC Environmental Sciences & Ecology; Geography GA 934DC UT WOS:000229686100012 ER PT J AU Blackburn, ML Vermilyea, T AF Blackburn, ML Vermilyea, T TI Racial disparities in bank-specific mortgage lending models SO ECONOMICS LETTERS LA English DT Article DE mortgage lending; racial disparities; fair lending AB We consider several methods of combining estimates of unexplained racial disparities in regulatory models of mortgage lending. Although models for individual banks do not provide statistically significant evidence of discrimination, effects for blacks are statistically and economically significant when combining data. (C) 2004 Elsevier B.V. All rights reserved. C1 Univ S Carolina, Dept Econ, Columbia, SC 29208 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Blackburn, ML (reprint author), Univ S Carolina, Dept Econ, Columbia, SC 29208 USA. EM blackbm@moore.sc.edu NR 4 TC 3 Z9 3 U1 0 U2 2 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD DEC PY 2004 VL 85 IS 3 BP 379 EP 383 DI 10.1016/j.econlet.2004.06.002 PG 5 WC Economics SC Business & Economics GA 864AI UT WOS:000224604600014 ER PT J AU Ergungor, OE AF Ergungor, OE TI Market- vs. bank-based financial systems: Do rights and regulations really matter? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE legal traditions; universal banks; financial markets; comparative financial systems; creditor rights ID ECONOMIC-GROWTH; LAW; INTERMEDIATION; EFFICIENT AB In some countries, banks are firms' key source of financing. In others, firms look mainly to financial markets to meet their financial needs. Why should this be so? This paper provides an explanation tied to legal traditions. Civil-law courts are less effective than their common-law counterparts in resolving conflicts because they have less flexibility in interpreting the laws and creating new rules. Banks emerge in these economies as primary contract enforcers, leading to bank-oriented financial systems. Furthermore, because common-law courts enforce laws effectively, providing them with more detailed creditor and shareholder protection laws has a greater impact on the development of financial markets compared with civil-law systems. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Cleveland, Dept Res, Cleveland, OH 44101 USA. RP Ergungor, OE (reprint author), Fed Reserve Bank Cleveland, Dept Res, POB 6387, Cleveland, OH 44101 USA. EM ozgur.e.ergungor@clev.frb.org NR 41 TC 22 Z9 22 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD DEC PY 2004 VL 28 IS 12 BP 2869 EP 2887 DI 10.1016/j.jbankfin.2003.04.001 PG 19 WC Business, Finance; Economics SC Business & Economics GA 871SB UT WOS:000225152500001 ER PT J AU Kool, CJM Thornton, DL AF Kool, CJM Thornton, DL TI A note on the expectations hypothesis at the founding of the Fed SO JOURNAL OF BANKING & FINANCE LA English DT Article DE expectations hypothesis; power of the test; Fed's founding; measurement error ID ADJUSTMENT; REGIME AB One of the most influential tests of the expectations hypothesis is Mankiw and Miron [Q. J. Econ. 101 (1986) 211], who found that the spread between the long-term and short-term rates provided predictive power for the short-term rate before the Fed's founding but not after. They suggested that the failure of the expectations hypothesis after the Fed's founding was due to the Fed's practice of smoothing short-term interest rates. We show that their finding that the expectations hypothesis fares better prior to the Fed's founding is due to the fact that the test they employ tends to generate results that are more favorable to the expectations hypothesis during periods when there is extreme volatility in the short-term rate. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. Univ Utrecht, Utrecht Sch Econ, Utrecht, Netherlands. RP Kool, CJM (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM c.kool@econ.uu.nl; daniel.l.thornton@stls.frb.org NR 9 TC 3 Z9 3 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD DEC PY 2004 VL 28 IS 12 BP 3055 EP 3068 DI 10.1016/j.jbankfin.2004.05.009 PG 14 WC Business, Finance; Economics SC Business & Economics GA 871SB UT WOS:000225152500009 ER PT J AU Bostic, RW Robinson, BL AF Bostic, RW Robinson, BL TI The impact of CRA agreements on community banks SO JOURNAL OF BANKING & FINANCE LA English DT Article DE community banks; community reinvestment act; mortgage lending; community reinvestment act agreements ID REINVESTMENT AGREEMENTS; RISK; CONSOLIDATION; PATTERNS; MINORITY AB We develop three empirical models to identify the impact of Community Reinvestment Act (CRA) agreements on the mortgage lending behavior of small banking institutions during the period 1990-1997. CRA agreements are pledges banking institutions make to extend levels of credit to targeted populations and are often used by institutions to reaffirm their commitment to the goals of the CRA. We hypothesize that CRA agreements increase the level of competition for mortgage loans in the targeted area, which in turn causes a reduction in the quantity of mortgage credit to be supplied by community banks. Consistent with the quantity hypothesis, the results show that CRA agreements are associated with less mortgage lending, including lending in lower-income communities (CRA lending) and in minority communities (minority lending), by small community lenders. Evidence does not support a second hypothesis - that community banks respond to the increased competition by providing credit to riskier individuals. (C) 2004 Published by Elsevier B.V. C1 Univ Delaware, Dept Finance, Newark, DE 19716 USA. Univ So Calif, Los Angeles, CA USA. Fed Reserve Board Governors, Washington, DC USA. RP Bostic, RW (reprint author), Univ Delaware, Dept Finance, 310 Purnell Hall, Newark, DE 19716 USA. EM bostic@usc.edu; robinsob@lerner.udel.edu NR 31 TC 4 Z9 4 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD DEC PY 2004 VL 28 IS 12 BP 3069 EP 3095 DI 10.1016/j.jbankfin.2004.05.002 PG 27 WC Business, Finance; Economics SC Business & Economics GA 871SB UT WOS:000225152500010 ER PT J AU Broda, C AF Broda, C TI Managing currency crises in emerging markets. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Broda, C (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD DEC PY 2004 VL 42 IS 4 BP 1132 EP 1134 PG 3 WC Economics SC Business & Economics GA 894SU UT WOS:000226812700018 ER PT J AU Azariadis, C Bullard, J Ohanian, L AF Azariadis, C Bullard, J Ohanian, L TI Trend-reverting fluctuations in the life-cycle model SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE business cycles; dynamic adjustment; overlapping generations ID CAPITAL-MARKET IMPERFECTIONS; BUSINESS CYCLES; INDETERMINACY; ECONOMIES; DYNAMICS; RETURNS; OUTPUT AB Aggregate time series provide evidence of short-term dynamic adjustment that appears to be governed by complex or negative real eigenvalues. This finding is at odds with the predictions of reasonably parameterized, convex one-sector growth models with complete markets. We study life-cycle economies in which aggregate saving depends non-trivially on the distribution of wealth among cohorts. If consumption goods are weak gross substitutes near the steady-state price vector, we prove that the unique equilibrium of a life-cycle exchange economy converges to the unique non-monetary steady state via damped oscillations. We also discuss examples and extensions. (C) 2003 Elsevier Science (USA). All rights reserved. C1 Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63102 USA. Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, Dept Res, 411 Locust St, St Louis, MO 63102 USA. EM azariadi@ucla.edu; bullard@stis.frb.org; ohanian@econ.ucla.edu RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 34 TC 13 Z9 13 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 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD DEC PY 2004 VL 119 IS 2 BP 334 EP 356 DI 10.1016/S0022-0531(03)00032-2 PG 23 WC Economics SC Business & Economics GA 878CU UT WOS:000225624900004 ER PT J AU Bernhardt, D Nosal, E AF Bernhardt, D Nosal, E TI Near-sighted justice SO JOURNAL OF FINANCE LA English DT Article ID DESIGN; PROOF; LAW AB Chapter 11 structures complex negotiations between creditors and debtors that are overseen by a bankruptcy court. We identify conditions where the court should sometimes err in determining which firms should be liquidated. Such errors affect actions by both good and bad entrepreneurs. We first characterize the optimal error rate without renegotiation. When creditors and debtors can renegotiate to circumvent an error-riven court, for one class of actions a blind court that ignores all information is optimal. For another class, the court should place the burden of proof on the entrepreneur. The robust feature is that the court should sometimes err. C1 Univ Illinois, Dept Econ, Chicago, IL 60680 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Bernhardt, D (reprint author), Univ Illinois, Dept Econ, Chicago, IL 60680 USA. NR 18 TC 6 Z9 6 U1 0 U2 6 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0022-1082 J9 J FINANC JI J. Financ. PD DEC PY 2004 VL 59 IS 6 BP 2655 EP 2684 DI 10.1111/j.1540-6261.2004.00712.x PG 30 WC Business, Finance SC Business & Economics GA 874TT UT WOS:000225373400007 ER PT J AU Camera, G Craig, B Waller, CJ AF Camera, G Craig, B Waller, CJ TI Currency competition in a fundamental model of money SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE money; currency competition; search; dollarization ID SUBSTITUTION; FINANCE AB We study how two fiat monies, one safe and one risky, compete in a decentralized trading environment. The currencies' equilibrium values, their transaction velocities and agents' spending patterns are endogenously determined. We derive conditions under which agents holding diversified currency portfolios spend the safe currency first and hold the risky one for later purchases. We also examine when the reverse spending pattern is optimal. Traders generally favor dealing in the safe currency, unless trade frictions and the currency risk is low. As risk increases or trading becomes more difficult, the transaction velocity and value of the safe money increases. (C) 2003 Elsevier B.V All rights reserved. C1 Purdue Univ, Krannert Sch Management, W Lafayette, IN 47907 USA. Fed Reserve Bank Cleveland, Dept Res, Cleveland, OH 44114 USA. Univ Notre Dame, Dept Econ & Economet, South Bend, IN USA. RP Camera, G (reprint author), Purdue Univ, Krannert Sch Management, 425 W State St, W Lafayette, IN 47907 USA. EM Gcamera@mgmt.purdue.edu RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 NR 13 TC 11 Z9 11 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 DEC PY 2004 VL 64 IS 2 BP 521 EP 544 DI 10.1016/j.jinteco.2003.09.002 PG 24 WC Economics SC Business & Economics GA 859PW UT WOS:000224281400013 ER PT J AU Krainer, J Lopez, JA AF Krainer, J Lopez, JA TI Incorporating equity market information into supervisory monitoring models SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE banking; market discipline; bank supervision ID BANK-HOLDING COMPANIES; SUBORDINATED DEBT; RISK; DISCIPLINE; PERFORMANCE; PREDICTION; FAILURES; RATINGS; DEPOSIT AB We examine whether equity market variables, such as stock returns and equity-based default probabilities, are useful to U.S. bank supervisors for assessing the condition of domestic bank holding companies. We develop a model of supervisory ratings that combines supervisory and equity market information. We find that the model's forecasts anticipate supervisory rating changes by up to four quarters. Relative to simply using supervisory variables, the inclusion of equity market variables in the model does not improve forecast accuracy. However, we argue that equity market information should still be useful for forecasting supervisory ratings and should be incorporated into supervisory monitoring models. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. RP Krainer, J (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. EM john.krainer@sf.frb.org; jose.a.lopez@sf.frb.org NR 44 TC 15 Z9 15 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 DEC PY 2004 VL 36 IS 6 BP 1043 EP 1067 DI 10.1353/mcb.2005.0012 PG 25 WC Business, Finance; Economics SC Business & Economics GA 880SC UT WOS:000225808500004 ER PT J AU Carlstrom, CT Fuerst, TS AF Carlstrom, CT Fuerst, TS TI Hyperinflationary equilibria and timing: A note SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE real indeterminacy; monetary models; hyper inflations AB It is well known that hyperinflationary equilibria typically exist in an infinite-horizon monetary model with an exogenous money growth rule. This note demonstrates the effect of money demand timing on the nature of these equilibria. C1 Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. EM tfuerst@mail.cba.bgsu.edu NR 5 TC 1 Z9 1 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 DEC PY 2004 VL 36 IS 6 BP 1115 EP 1120 DI 10.1353/mcb.2005.0017 PG 6 WC Business, Finance; Economics SC Business & Economics GA 880SC UT WOS:000225808500008 ER PT J AU Calem, PS Gillen, K Wachter, S AF Calem, PS Gillen, K Wachter, S TI The neighborhood distribution of subprime mortgage lending SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Subprime Lending CY SEP 17, 2002 CL Washington, DC DE subprime markets; mortgage; lending ID INFORMATION EXTERNALITIES; CHOICE; DEBT AB Subprime lending in the residential mortgage market, characterized by relatively high credit risk and interest rates or fees, has developed over the past decade into a prominent segment of the market (Temkin, 2000). Recent research indicates that there is geographical concentration of subprime mortgages in Census tracts where there are high concentrations of low-income and minority households. The growth in subprime lending represents an expansion in the supply of mortgage credit among households who do not meet prime market underwriting standards. Nonetheless, its apparent concentration in minority and lower income neighborhoods has generated concerns that these households may not be obtaining equal opportunity in the prime mortgage market. Such lending may undermine revitalization to the extent that it is associated with so-called predatory practices. C1 Fed Reserve Syst, Div Res & Stat, Board Governors, Washington, DC 20551 USA. Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Wachter, S (reprint author), Fed Reserve Syst, Div Res & Stat, Board Governors, Washington, DC 20551 USA. EM wachter@wharton.upenn.edu RI French, Shaun/B-1155-2010 NR 33 TC 65 Z9 65 U1 2 U2 15 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD DEC PY 2004 VL 29 IS 4 BP 393 EP 410 DI 10.1023/B:REAL.0000044020.67401.51 PG 18 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 860EQ UT WOS:000224325700003 ER PT J AU Heitfield, E Sabarwal, T AF Heitfield, E Sabarwal, T TI What drives default and prepayment on subprime auto loans? SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Subprime Lending CY SEP 17, 2002 CL Washington, DC DE subprime lending; hazard models; retail credit; auto loans; asset-backed securities ID COMPETING RISKS; BANKRUPTCY; MODELS AB This paper uses novel data on the performance of loan pools underlying asset-backed securities to estimate a competing risks model of default and prepayment on subprime automobile loans. We find that prepayment rates increase rapidly with loan age but are not affected by prevailing market interest rates. Default rates are much more sensitive to aggregate shocks than are prepayment rates. Increases in unemployment precede increases in default rates, suggesting that defaults on subprime automobile loans are driven largely by shocks to household liquidity. There are significant differences in the default and prepayment rates faced by different subprime lenders. Those lenders that charge the highest interest rates experience the highest default rates, but also experience somewhat lower prepayment rates. We conjecture that there is substantial heterogeneity among subprime borrowers, and that different lenders target different segments of the subprime market. Because of their higher default rates, loans that carry the highest interest rates do not appear to yield the highest expected returns. C1 Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. Univ Texas, Dept Econ, Austin, TX 78712 USA. RP Heitfield, E (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. EM erik.heirfield@frb.gov; sabarwal@eco.utexas.edu RI French, Shaun/B-1155-2010; Sabarwal, Tarun/J-8013-2013 OI Sabarwal, Tarun/0000-0002-6371-3011 NR 15 TC 4 Z9 4 U1 3 U2 7 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD DEC PY 2004 VL 29 IS 4 BP 457 EP 477 DI 10.1023/B:REAL.0000044023.02636.e6 PG 21 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 860EQ UT WOS:000224325700006 ER PT J AU Orlando, MJ AF Orlando, MJ TI Measuring spillovers from industrial R&D: on the importance of geographic and technological proximity SO RAND JOURNAL OF ECONOMICS LA English DT Article ID PRODUCTIVITY; DETERMINANTS; INNOVATION; RETURNS; FIRMS; DRUG AB I present evidence to suggest that an important share of the apparent geographic localization of spillovers from industrial RID may be an artifact of other agglomerative forces. A production-function framework is used to examine the role of geographic and technological proximity for interfirm spillovers from RID in SIC 35. Spillovers among firms within narrow, four-digit industrial classifications are generally stronger than those identified within the broader three-digit class. Such spillovers, however do not appear to be attenuated by distance. Geographic distance does appear to attenuate spillovers that cross four-digit boundaries, suggesting that they may play a role in the formation of diverse (but not too diverse) industrial agglomerations. C1 Fed Reserve Bank Kansas City, Kansas City, KS USA. RP Orlando, MJ (reprint author), Fed Reserve Bank Kansas City, Kansas City, KS USA. EM michael.j.orlando@kc.frb.org NR 24 TC 39 Z9 40 U1 0 U2 17 PU RAND PI LAWRENCE PA 810 EAST 10TH ST, LAWRENCE, KS 66044 USA SN 0741-6261 J9 RAND J ECON JI Rand J. Econ. PD WIN PY 2004 VL 35 IS 4 BP 777 EP 786 DI 10.2307/1593773 PG 10 WC Economics SC Business & Economics GA 908OD UT WOS:000227795400009 ER PT J AU Henderson, J Dooley, F Akridge, J AF Henderson, J Dooley, F Akridge, J TI Internet and e-commerce adoption by agricultural input firms SO REVIEW OF AGRICULTURAL ECONOMICS LA English DT Article AB By 1999, most agricultural input firms used company Web sites and adopted some type of Internet strategy. However, far fewer engaged in e-commerce with most activity occurring with suppliers (channel partners) rather than with end customers. Firms perceiving greater logistics and inventory management gains were more engaged in e-commerce activity. The ease of information access, more product choices, easier product comparisons, and improved buying convenience were expected to support farmer e-commerce adoption. However, firm managers indicate that a key to expanding farmers' e-commerce activity is the ability to build personal relationships over the Internet that satisfy farmers' service needs. C1 Fed Reserve Bank Kansas City, Ctr Study Rural Amer, Kansas City, MO USA. Purdue Univ, Dept Agr Econ, W Lafayette, IN 47907 USA. Purdue Univ, eEnterprise Ctr, W Lafayette, IN 47907 USA. RP Henderson, J (reprint author), Fed Reserve Bank Kansas City, Ctr Study Rural Amer, Kansas City, MO USA. NR 11 TC 6 Z9 6 U1 3 U2 26 PU AMER AGRICULTURAL ECONOMICS ASSOC PI AMES PA 415 SOUTH DUFF AVE, STE C, AMES, IA 50010-6600 USA SN 1058-7195 J9 REV AGR ECON JI Rev. Agric. Econ. PD WIN PY 2004 VL 26 IS 4 BP 505 EP 520 DI 10.1111/j.1467-9353.2004.00196.x PG 16 WC Agricultural Economics & Policy; Business; Economics SC Agriculture; Business & Economics GA 867WK UT WOS:000224873200005 ER PT J AU Elul, R AF Elul, R TI The color of credit: Mortgage discrimination, research methodology, and fair-lending enforcement SO ECONOMIC JOURNAL LA English DT Book Review C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Elul, R (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 1 TC 1 Z9 1 U1 0 U2 0 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0013-0133 J9 ECON J JI Econ. J. PD NOV PY 2004 VL 114 IS 499 BP F541 EP F544 DI 10.1111/j.1468-0297.2004.00258_4.x PG 4 WC Economics SC Business & Economics GA 871VL UT WOS:000225164600011 ER PT J AU Boyd, JH Chang, C Smith, BD AF Boyd, JH Chang, C Smith, BD TI Deposit insurance and bank regulation in a monetary economy: a general equilibrium exposition SO ECONOMIC THEORY LA English DT Article; Proceedings Paper CT Conference on Recent Developments on Money and Finance CY MAY, 2003 CL Purdue Univ, West Lafayette, IN HO Purdue Univ DE deposit insurance; monetary general equilibrium; bank regulation ID COSTLY STATE VERIFICATION; FINANCIAL INTERMEDIATION; UNIVERSAL BANKING; DEBT CONTRACTS AB It is commonly argued that poorly designed banking system safety nets are largely to blame for the frequency and severity of modern banking crises. For example, "underpriced" deposit insurance and/or low reserve requirements are often viewed as factors that encourage risk-taking by banks. In this paper, we study the effects of three policy variables: deposit insurance premia, reserve requirements and the way in which the costs of bank bailouts are financed. We show that when deposit insurance premia are low, the monetization of bank bailout costs may not be more inflationary than financing these costs out of general revenue. This is because, while monetizing the costs increases the inflation tax rate, higher levels of general taxation reduce savings, deposits, bank reserves, and the inflation tax base. Increasing the inflation tax rate obviously raises inflation, but so does an erosion of the inflation tax base. We also find that low deposit insurance premia or low reserve requirements may not be associated with a high rate of bank failure. C1 Univ Minnesota, Carlson Sch Management, Minneapolis, MN 55455 USA. CCFR, Minneapolis, MN 55455 USA. Univ Texas, Austin, TX 78712 USA. Fed Reserve Bank Cleveland, Austin, TX USA. RP Boyd, JH (reprint author), Univ Minnesota, Carlson Sch Management, Minneapolis, MN 55455 USA. EM jboyd@csom.umn.edu; cchang@csom.umn.edu NR 19 TC 4 Z9 4 U1 4 U2 7 PU SPRINGER-VERLAG PI NEW YORK PA 175 FIFTH AVE, NEW YORK, NY 10010 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD NOV PY 2004 VL 24 IS 4 BP 741 EP 767 DI 10.1007/s00199-003-0372-5 PG 27 WC Economics SC Business & Economics GA 817BQ UT WOS:000221153400003 ER PT J AU Williamson, SD AF Williamson, SD TI Limited participation, private money, and credit in a spatial model of money SO ECONOMIC THEORY LA English DT Article; Proceedings Paper CT Conference on Recent Developments on Money and Finance CY MAY, 2003 CL Purdue Univ, West Lafayette, IN HO Purdue Univ DE money; credit; limited participation ID PAYMENTS SYSTEMS; LIQUIDITY AB The purpose of this paper is to explore the implications of private money issue for the effects of monetary policy, for optimal policy, and for the role of fiat money. A locational model is constructed which gives an explicit account of the role for money and credit, and for limited financial market participation. When private money issue is prohibited, there is a liquidity effect as the result of a money injection from the central bank, but this effect goes away when private money is permitted. Private money issue changes dramatically the nature of optimal monetary policy. With private money, fiat currency is no longer used in transactions involving goods, but currency and central bank reserves play an important part in the clearing and settlement of private money returned for redemption. C1 Univ Iowa, Dept Econ, Iowa City, IA 52242 USA. Fed Reserve Bank Richmond, Richmond, VA 23261 USA. RP Williamson, SD (reprint author), Univ Iowa, Dept Econ, Iowa City, IA 52242 USA. EM stephen-williamson@uiowa.edu RI Williamson, Stephen/I-5759-2016 OI Williamson, Stephen/0000-0001-8490-1719 NR 20 TC 15 Z9 15 U1 4 U2 10 PU SPRINGER-VERLAG PI NEW YORK PA 175 FIFTH AVE, NEW YORK, NY 10010 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD NOV PY 2004 VL 24 IS 4 BP 857 EP 875 DI 10.1007/s00199-003-0463-3 PG 19 WC Economics SC Business & Economics GA 817BQ UT WOS:000221153400008 ER PT J AU Coughlin, CC AF Coughlin, CC TI The increasing importance of proximity for exports from US states SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TRANSPORT COSTS; REGIONS; GROWTH; TRADE AB Changes in income, trade policies, transportation costs, technology, and many other variables affect the geographic pattern of, international trade flows. This paper focuses on the changing geography of merchandise exports from individual U.S. states to foreign countries. Generally speaking, the geographic distribution of state exports has changed so that trade has become more intense with nearby countries relative to distant countries. All states, however, did not experience similar changes. As measured by the distance of trade, which is the average distance that a state's international trade is transported, 40 states experienced a declining distance of trade, while 11 states (including Washington, D.C.) experienced an increasing distance of trade. Evidence, albeit far from definitive, suggests that declining transportation costs over land, the implementation of the North American Free Trade Agreement, and faster income growth by nearby trading partners relative to distant partners have contributed to the changing geography of state exports. C1 Fed Reserve Bank, St Louis, MO USA. RP Coughlin, CC (reprint author), Fed Reserve Bank, St Louis, MO USA. RI Coughlin, Cletus/K-6860-2016 OI Coughlin, Cletus/0000-0002-8304-2796 NR 27 TC 13 Z9 13 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 NOV-DEC PY 2004 VL 86 IS 6 BP 1 EP + PG 19 WC Business, Finance; Economics SC Business & Economics GA 893UR UT WOS:000226745400001 ER PT J AU Bordo, MD Wheelock, DC AF Bordo, MD Wheelock, DC TI Monetary policy and asset prices: A look back at past US stock market booms SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID CIVIL-WAR AB This article examines the economic environments in which past U.S. stock market booms occurred as a first step toward understanding how asset price booms come about and whether monetary policy should be used to defuse booms. The authors identify several episodes of sustained rapid rises in equity prices in the 19th and 20th centuries, and then assess the growth of real output, productivity, the price level, and money and credit stocks during each episode. Two booms stand out in terms of their length and rate of increase in market prices-the booms of 1923-29 and 1994-2000. In general, the authors find that booms occurred in periods of rapid real growth and productivity advancement, suggesting that booms are driven at least partly by fundamentals. They find no consistent relationship between inflation and stock market booms, though booms have typically occurred when money and credit growth were above average. C1 Rutgers State Univ, Piscataway, NJ 08855 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank, St Louis, MO USA. RP Rutgers State Univ, Piscataway, NJ 08855 USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 72 TC 8 Z9 8 U1 1 U2 6 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 2004 VL 86 IS 6 BP 19 EP + PG 28 WC Business, Finance; Economics SC Business & Economics GA 893UR UT WOS:000226745400002 ER PT J AU Sierra, GE Yeager, TJ AF Sierra, GE Yeager, TJ TI What does the federal reserve's economic value model tell us about interest rate risk at US community banks? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID PROFITABILITY; STOCK AB The savings and loan crisis of the 1980s revealed the vulnerability of some depository institutions to changes in interest rates. Since that episode, U.S. bank supervisors have placed more emphasis on monitoring the interest rate risk of commercial banks. Economists at the Board of Governors of the Federal Reserve System developed a duration-based economic value model (EVM) designed to estimate the interest rate sensitivity of banks. The authors test whether measures derived from the Fed's EVM are correlated with the interest rate sensitivity of U.S. community banks. The answer to this question is important because bank supervisors rely on EVM measures for monitoring and risk-scoping bank-level interest rate sensitivity. The authors find that the Federal Reserve's EVM is indeed correlated with banks' interest rate sensitivity and conclude that supervisors can rely on this tool to help assess a bank's interest rate risk. These results are consistent with prior research that finds the average interest rate risk at banks to be modest, though the potential interaction between interest rate risk and other risk factors is not considered here. C1 Fed Reserve Bank, St Louis, MO USA. RP Sierra, GE (reprint author), Fed Reserve Bank, St Louis, MO USA. RI Yeager, Tim/F-3306-2010 NR 15 TC 7 Z9 7 U1 0 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2004 VL 86 IS 6 BP 45 EP + PG 17 WC Business, Finance; Economics SC Business & Economics GA 893UR UT WOS:000226745400003 ER PT J AU Dueker, MJ Rasche, RH AF Dueker, MJ Rasche, RH TI Discrete policy changes and empirical models of the federal funds rate SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY; RULES AB Empirical models of the federal funds rate almost uniformly use the quarterly or monthly average of the daily rates. One empirical question about the federal funds rate concerns the extent to which monetary policymakers smooth this interest rate. Under the hypothesis of rate smoothing, policymakers set the interest rate this period equal to a weighted average of the rate inherited from the previous quarter and the rate implied by current economic conditions, such as the Taylor rule rate. Perhaps surprisingly, however, little attention has been given to measuring the interest rate inherited from the previous quarter. Previous tests for interest rate smoothing have assumed that the quarterly or monthly average from the previous period is the inherited rate. The authors of this study, in contrast, suggest that the end-of-quarter level of the target federal funds rate is the inherited rate, and empirical tests support this proposition. The authors show that this alternative view of the rate inherited from the past affects empirical results concerning interest rate smoothing, even in relatively rich models that include regime switching. C1 Fed Reserve Bank, St Louis, MO USA. RP Dueker, MJ (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 13 TC 4 Z9 4 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2004 VL 86 IS 6 BP 61 EP + PG 13 WC Business, Finance; Economics SC Business & Economics GA 893UR UT WOS:000226745400004 ER PT J AU McGrattan, ER Prescott, EC AF McGrattan, ER Prescott, EC TI The 1929 stock market: Irving Fisher was right SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID BUBBLE; PRICES AB Many stock market analysts think that in 1929, at the time of the crash, stocks were overvalued. Irving Fisher argued just before the crash that fundamentals were strong and the stock market was undervalued. In this article, we use growth theory to estimate the fundamental value of corporate equity and compare it to actual stock valuations. Our estimate is based on values of productive corporate capital, both tangible and intangible, and tax rates on corporate income and distributions. The evidence strongly suggests that Fisher was right. Even at the 1929 peak, stocks were undervalued relative to the prediction of theory. C1 Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Arizona State Univ, Tempe, AZ 85287 USA. RP McGrattan, ER (reprint author), Fed Reserve Bank Minneapolis, Dept Res, 90 Hennepin Ave,POB 291, Minneapolis, MN 55480 USA. EM edward.prescott@asu.edu NR 31 TC 10 Z9 10 U1 1 U2 6 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2004 VL 45 IS 4 BP 991 EP 1009 DI 10.1111/j.0020-6598.2004.00295.x PG 19 WC Economics SC Business & Economics GA 867DW UT WOS:000224823400001 ER PT J AU Dolmas, J Huffman, GW AF Dolmas, J Huffman, GW TI On the political economy of immigration and income redistribution SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID REAL BUSINESS CYCLES; LABOR-MARKET; INEQUALITY; POLICY AB In this article, we analyze an economy in which agents vote over immigration policy and redistributive tax policy. We show that natives' preferences over immigration are influenced by the prospect that immigrants will be voting over future tax policy. We also show that changes in the degree of international capital mobility, the distribution of initial capital among natives, the wealth or poverty of the immigrant pool, and the future voting rights and entitlements of immigrants can have dramatic effects on equilibrium immigration and tax policies. Finally, we provide some empirical support for the model's predictions. C1 Fed Reserve Bank Dallas, Dept Res, Dallas, TX 75201 USA. Vanderbilt Univ, Nashville, TN 37240 USA. RP Dolmas, J (reprint author), Fed Reserve Bank Dallas, Dept Res, 2200 N Peart St, Dallas, TX 75201 USA. EM jim.dolmas@dal.frb.org NR 39 TC 24 Z9 24 U1 1 U2 9 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2004 VL 45 IS 4 BP 1129 EP 1168 DI 10.1111/j.0020-6598.2004.00300.x PG 40 WC Economics SC Business & Economics GA 867DW UT WOS:000224823400006 ER PT J AU Alessandria, G AF Alessandria, G TI International deviations from the law of one price: The role of search frictions and market share SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID RATE PASS-THROUGH; REAL EXCHANGE-RATE; TO-MARKET; TRADED GOODS; RATES; MODEL; ADJUSTMENT; DYNAMICS; FIRMS AB This article examines the size and persistence of international deviations from the law of one price in an industry with search frictions. Cost differences lead foreign and domestic firms to price differently within countries. When local firms are more common in each country, there are large and persistent price differences across countries. Large and persistent changes in international relative costs lead to large and persistent changes in international relative prices. Dynamic considerations imply that the amount of a cost shock firms pass through to prices is U-shaped in the market share of firms receiving the shock. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. RP Alessandria, G (reprint author), Fed Reserve Bank Philadelphia, Dept Res, 10 Independence Mall, Philadelphia, PA 19106 USA. EM George.Alessandria@phil.frb.org NR 31 TC 14 Z9 14 U1 0 U2 2 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2004 VL 45 IS 4 BP 1263 EP 1291 DI 10.1111/j.0020-6598.2004.00305.x PG 29 WC Economics SC Business & Economics GA 867DW UT WOS:000224823400011 ER PT J AU Jafry, Y Schuermann, T AF Jafry, Y Schuermann, T TI Measurement, estimation and comparison of credit migration matrices SO JOURNAL OF BANKING & FINANCE LA English DT Article DE mobility index; matrix norm; singular values; risk management; credit risk ID RATING TRANSITIONS; MARKOV-CHAINS; RISK MODELS; DERIVATIVES; MOBILITY AB Credit migration matrices are cardinal inputs to many risk management applications; their accurate estimation is therefore critical. We explore two approaches: cohort and two variants of duration - one imposing, the other relaxing time homogeneity - and the resulting differences, both statistically through matrix norms and economically using a credit portfolio model. We propose a new metric for comparing these matrices based on singular values and apply it to credit rating histories of S&P rated US firms from 1981-2002. We show that the migration matrices have been increasing in "size" since the mid-1990s, with 2002 being the "largest" in the sense of being the most dynamic. We develop a testing procedure using boot-strap techniques to assess statistically the differences between migration matrices as represented by our metric. We demonstrate that it can matter substantially which estimation method is chosen: economic credit risk capital differences implied by different estimation techniques can be as large as differences between economic regimes, recession vs. expansion. Ignoring the efficiency gain inherent in the duration methods by using the cohort method instead is more damaging than imposing a (possibly false) assumption of time homogeneity. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Risk Integrated Grp, Douglas 1M1 2LH, Man, England. RP Schuermann, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM yusuf.jafry@riskintegrated.com; til.schuermann@ny.frb.org NR 34 TC 45 Z9 45 U1 0 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD NOV PY 2004 VL 28 IS 11 BP 2603 EP 2639 DI 10.1016/j.jbankfin.2004.06.004 PG 37 WC Business, Finance; Economics SC Business & Economics GA 863XE UT WOS:000224596000003 ER PT J AU Amato, JD Furfine, CH AF Amato, JD Furfine, CH TI Are credit ratings procyclical? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE rating agencies; business cycles; credit risk ID TRANSITIONS AB This paper studies the influence of the state of the business cycle on credit ratings. In particular, we assess whether rating agencies are excessively procyclical in their assignment of ratings. Our analysis is based on a model of ratings determination that takes into account factors that measure the business and financial risks of firms, in addition to indicators of macroeconomic conditions. Utilizing annual data on all US firms rated by Standard & Poor's, we find that ratings do not generally exhibit excess sensitivity to the business cycle. In addition, we document that previously reported findings of a secular tightening of ratings standards are not robust to a more complete accounting of systematic changes to measures of risk. (C) 2004 Elsevier B.V. All rights reserved. C1 Bank Int Settlements, CH-4002 Basel, Switzerland. Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Amato, JD (reprint author), Bank Int Settlements, CH-4002 Basel, Switzerland. EM jeffery.amato@bis.org NR 23 TC 59 Z9 61 U1 1 U2 12 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD NOV PY 2004 VL 28 IS 11 BP 2641 EP 2677 DI 10.1016/j.jbankfin.2004.06.005 PG 37 WC Business, Finance; Economics SC Business & Economics GA 863XE UT WOS:000224596000004 ER PT J AU Fernandez-Villaverde, J Rubio-Ramirez, JF AF Fernandez-Villaverde, J Rubio-Ramirez, JF TI Comparing dynamic equilibrium models to data: a Bayesian approach SO JOURNAL OF ECONOMETRICS LA English DT Article DE Bayesian inference; Bayesian asymptotics; Bayes factors; dynamic equilibrium nodels; cattle cycle ID TIME-SERIES; MAXIMUM-ENTROPY; SUPPLY ANALYSIS; TURNING-POINTS; INFERENCE; MACROECONOMICS; PRINCIPLE; DEMAND; TESTS AB This paper studies the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies. Both tasks can be performed even if the models are nonnested, misspecified, and nonlinear. First, we show that Bayesian methods have a classical interpretation: asymptotically, the parameter point estimates converge to their pseudotrue values, and the best model under the Kullback-Leibler distance will have the highest posterior probability. Second, we illustrate the strong small sample behavior of the approach using a well-known application: the U.S. cattle cycle. Bayesian estimates outperform maximum likelihood results, and the proposed model is easily compared with a set of BVARs. (C) 2003 Elsevier B.V. All rights reserved. C1 Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk,160 McNeil Bldg, Philadelphia, PA 19104 USA. EM jesusfv@econ.upenn.edu NR 58 TC 93 Z9 94 U1 2 U2 9 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD NOV PY 2004 VL 123 IS 1 BP 153 EP 187 DI 10.1016/j.jeconom.2003.10.031 PG 35 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 855WV UT WOS:000224006500006 ER PT J AU Burnside, C Eichenbaum, M Rebelo, S AF Burnside, C Eichenbaum, M Rebelo, S TI Government guarantees and self-fulfilling speculative attacks SO JOURNAL OF ECONOMIC THEORY LA English DT Article; Proceedings Paper CT Macroeconomics of Global Capital Market Imperfections CY JUN, 2001 CL Venice Int Univ, Venice, ITALY SP Duke Univ HO Venice Int Univ DE fixed exchange rate regimes; hedging; government guarantees; debt denomination ID EXCHANGE-RATE REGIMES; DEPOSIT INSURANCE; PAYMENTS CRISES; FINANCIAL FRAGILITY; EMERGING MARKETS; BALANCE; MODEL; BANKING; CREDIT; RATES AB We develop a model in which government guarantees to banks' foreign creditors are a root cause of self-fulfilling twin banking-currency crises. Absent guarantees, such crises are not possible. In the presence of guarantees banks borrow foreign currency, lend domestic currency and do not hedge the resulting exchange rate risk. With guarantees, banks will also renege on their foreign debts and declare bankruptcy when a devaluation occurs. We assume that the government is unable or unwilling to fully fund the resulting bailout via an explicit fiscal reform. These features of our model imply that government guarantees lead to self-fulfilling banking-currency crises. (C) 2003 Elsevier Inc. All rights reserved. C1 Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. NBER, Chicago, IL USA. Fed Reserve Bank Chicago, Chicago, IL USA. Northwestern Univ, JL Kellogg Grad Sch Management, Dept Finance, Evanston, IL 60208 USA. RP Eichenbaum, M (reprint author), Northwestern Univ, Dept Econ, 2001 Sheridan Rd, Evanston, IL 60208 USA. EM burnside@virginia.edu; eich@nwu.edu; s-rebelooo@northwestern.edu RI nipe, cef/A-4218-2010 NR 35 TC 27 Z9 27 U1 3 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 2004 VL 119 IS 1 BP 31 EP 63 DI 10.1016/j.jet.2003.06.002 PG 33 WC Economics SC Business & Economics GA 868HA UT WOS:000224903500003 ER PT J AU Christiano, LJ Gust, C Roldos, J AF Christiano, LJ Gust, C Roldos, J TI Monetary policy in a financial crisis SO JOURNAL OF ECONOMIC THEORY LA English DT Article; Proceedings Paper CT Macroeconomics of Global Capital Market Imperfections CY JUN, 2001 CL Venice Int Univ, Venice, ITALY SP Duke Univ HO Venice Int Univ DE financial crisis; exchange rates; collateral constraint ID LIQUIDITY AB What are the economic effects of an interest rate cut when an economy is in the midst of a financial crisis? Under what conditions will a cut stimulate output and employment, and raise welfare? Under what conditions will a cut have the opposite effects? We answer these questions in a general class of open economy models, where a financial crisis is modelled as a time when collateral constraints are suddenly binding. We find that when there are frictions in adjusting the level of output in the traded good sector and in adjusting the rate at which that output can be used in other parts of the economy, then a cut in the interest rate is most likely to result in a welfare-reducing fall in output and employment. When these frictions are absent, a cut in the interest rate improves asset positions and promotes a welfare-increasing economic expansion. (C) 2003 Elsevier Inc. All rights reserved. C1 Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Int Monetary Fund, Washington, DC 20431 USA. RP Christiano, LJ (reprint author), Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. EM l-christiano@nwu.edu; christopherj.gust@frb.gov; jroldos@imf.org NR 29 TC 33 Z9 34 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 2004 VL 119 IS 1 BP 64 EP 103 DI 10.1016/S0022-0531(03)00228-X PG 40 WC Economics SC Business & Economics GA 868HA UT WOS:000224903500004 ER PT J AU Chari, VV Kehoe, PJ AF Chari, VV Kehoe, PJ TI Financial crises as herds: overturning the critiques SO JOURNAL OF ECONOMIC THEORY LA English DT Article; Proceedings Paper CT Macroeconomics of Global Capital Market Imperfections CY JUN, 2001 CL Venice Int Univ, Venice, ITALY SP Duke Univ HO Venice Int Univ DE information cascades; capital flows; financial collapse ID INFORMATIONAL CASCADES; MARKET CRASHES; BEHAVIOR; MODEL AB Financial crises are widely argued to be due to herd behavior. Yet recently developed models of herd behavior have been subjected to two critiques which seem to make them inapplicable to financial crises. Herds disappear from these models if two of their unappealing assumptions are modified: if their zero-one investment decisions are made continuous and if their investors are allowed to trade assets with market-determined prices. However, both critiques are overturned-herds reappear in these models-once another of their unappealing assumptions is modified: if, instead of moving in a prespecified order, investors can move whenever they choose. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55401 USA. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Kehoe, PJ (reprint author), Fed Reserve Bank Minneapolis, Dept Res, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM cbari@res.mpls.frb.fed.us; pkehoe@res.mpls.frb.fed.us NR 18 TC 39 Z9 40 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 2004 VL 119 IS 1 BP 128 EP 150 DI 10.1016/S0022-0531(03)00225-4 PG 23 WC Economics SC Business & Economics GA 868HA UT WOS:000224903500006 ER PT J AU Kehoe, PJ Perri, F AF Kehoe, PJ Perri, F TI Competitive equilibria with limited enforcement SO JOURNAL OF ECONOMIC THEORY LA English DT Article; Proceedings Paper CT Macroeconomics of Global Capital Market Imperfections CY JUN, 2001 CL Venice Int Univ, Venice, ITALY SP Duke Univ HO Venice Int Univ DE incomplete markets; risk-sharing; enforcement constraints; sovereign debt; decentralization; sustainable equilibrium; default ID SUSTAINABLE PLANS; DEBT; MARKETS; COMMITMENT; ECONOMIES; DEFAULT; RISK AB We show how to decentralize constrained efficient allocations that arise from enforcement constraints between sovereign nations. In a pure exchange economy these allocations can be decentralized with private agents acting competitively and taking as given government default decisions on foreign debt. In an economy with capital these allocations can be decentralized if the government can tax capital income as well as default on foreign debt. The tax on capital income is needed to make private agents internalize a subtle externality. The decisions of the government can arise as an equilibrium of a dynamic game between governments. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. NYU, Stern Sch Business, New York, NY 10012 USA. Ctr Econ Policy Res, London EC1V 7RR, England. RP Kehoe, PJ (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM pkeboe@res.mpls.frb.fed.us NR 21 TC 21 Z9 21 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 NOV PY 2004 VL 119 IS 1 BP 184 EP 206 DI 10.1016/S0022-0531(03)00255-2 PG 23 WC Economics SC Business & Economics GA 868HA UT WOS:000224903500008 ER PT J AU Rigobon, R Sack, B AF Rigobon, R Sack, B TI The impact of monetary policy on asset prices SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary policy; stock market; yield curve; identification; heteroskedasticity ID INTEREST-RATES; STOCK-MARKET; IDENTIFICATION; VOLATILITY; MODELS AB Estimating the response of asset prices to changes in monetary policy is complicated by the endogeneity of policy decisions and the fact that both interest rates and asset prices react to numerous other variables. This paper develops a new estimator that is based on the heterpskedaticity that exists in high-frequency data. We show (hat the response of asset prices to changes in monetary policy can be identified based on the increase in the variance of Policy shocks that occurs on days of FOMC meetings and of the Chair-man's semi-annual monetary policy testimony to Congress. The identification approach employed requires a much weaker set of assumptions than needed under the "event-study" approach that is typically used in this context. The results indicate that an increase in short-term interest rates results in a decline in stock prices and in an upward shift in the yield curve that becomes smaller at longer maturities. The findings also sugguest that the event-study estimates contain biases that make the estimated effects on stock prices appear too small and those on Treasury yields too large. (C) 2004 Elsevier B.V. All rights reserved. C1 MIT, Alfred P Sloan Sch Management, Cambridge, MA 02142 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Rigobon, R (reprint author), MIT, Alfred P Sloan Sch Management, Room E52-434,50 Mem Dr, Cambridge, MA 02142 USA. EM rigobon@mit.edu; bsack@frb.gov NR 25 TC 170 Z9 172 U1 4 U2 28 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 2004 VL 51 IS 8 BP 1553 EP 1575 DI 10.1016/j.jmoneco.2004.02.004 PG 23 WC Business, Finance; Economics SC Business & Economics GA 881ZZ UT WOS:000225909400001 ER PT J AU Owyang, MT Ramey, G AF Owyang, MT Ramey, G TI Regime switching and monetary policy measurement SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Markov switching; monetary policy; sacrifice ratio ID BUSINESS-CYCLE; TIME-SERIES; MODEL; IDENTIFICATION; DISCRETION; RULES AB This paper applies regime-switching methods to the problem of measuring monetary policy. Policy preferences and structural factors are specified parametrically as independent Markov processes. Interaction between the structural and preference parameters in the policy rule serves to identify the two processes. The estimates uncover policy episodes that are initiated by switches to "dove regimes," shown to Granger-cause both NBER recessions and the Romer dates. These episodes imply real effects of monetary policy that are Smaller than those found in previous studies. (C) 2004 Elsevier B.V. All rights reserved. C1 Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA. Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. RP Ramey, G (reprint author), Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA. EM gramey@weber.ucsd.edu RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 34 TC 21 Z9 21 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2004 VL 51 IS 8 BP 1577 EP 1597 DI 10.1016/j.jmoneco.2004.01.004 PG 21 WC Business, Finance; Economics SC Business & Economics GA 881ZZ UT WOS:000225909400002 ER PT J AU Rappaport, J AF Rappaport, J TI Why are population flows so persistent? SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE economic growth; factor mobility; migration; spatial equilibrium; compensating differentials ID ECONOMIC-GROWTH; INVESTMENT; MIGRATION; STATES; MARKET; MODEL AB A neoclassical model of local growth is developed by integrating the static equilibrium underlying compensating differential theory as the steady state of a neoclassical growth model. Numerical results show that even very small frictions to labor and capital mobility along with small changes in local productivity or local quality of life suffice to cause highly persistent population flows. Wages and house prices, in contrast, jump most of the way to their new steady state. The model suggests that cross-sectional regressions of local population growth can help to identify past and present changes in the determinants of representative-agent welfare. More generally, it provides a framework for interpreting observed local growth rates. (C) 2004 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Kansas City, Kansas City, MO USA. RP Rappaport, J (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO USA. EM jordon.m.rappaport@kc.frb.org NR 31 TC 30 Z9 31 U1 0 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD NOV PY 2004 VL 56 IS 3 BP 554 EP 580 DI 10.1016/j.jue.2004.07.002 PG 27 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 866IV UT WOS:000224768100009 ER PT J AU Fernandez, R Fogli, A Olivetti, C AF Fernandez, R Fogli, A Olivetti, C TI Mothers and sons: Preference formation and female labor force dynamics SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID WOMENS EMPLOYMENT; RISE AB This paper argues that the growing presence of a new type of man-one brought up in a family in which the mother worked-has been a significant factor in the increase in female labor force participation over time. We present cross-sectional evidence showing that the wives of men whose mothers worked are themselves significantly more likely to work. We use variation in the importance of World War II as a shock to women's labor force participation-as proxied by variation in the male draft rate across U.S. states-to provide evidence in support of the intergenerational consequences of our propagation mechanism. C1 NYU, New York, NY 10012 USA. Univ London London Sch Econ & Polit Sci, London WC2A 2AE, England. CEPR, London, England. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. Boston Univ, Boston, MA 02215 USA. RP Fernandez, R (reprint author), NYU, 550 1st Ave, New York, NY 10012 USA. NR 36 TC 142 Z9 142 U1 0 U2 22 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD NOV PY 2004 VL 119 IS 4 BP 1249 EP 1299 DI 10.1162/0033553042476224 PG 51 WC Economics SC Business & Economics GA 873RF UT WOS:000225297900003 ER PT J AU King, RG Wolman, AL AF King, RG Wolman, AL TI Monetary discretion, pricing complementarity, and dynamic multiple equilibria SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID EXPECTATION TRAPS; POLICY; MODEL AB A discretionary policy-maker responds to the state of the economy each period. Private agents' current behavior determines the future state based on expectations of future policy. Discretionary policy thus can lead to dynamic complementarity between private agents and a policy-maker, which in turn can generate multiple equilibria. Working in a simple new Keynesian model with two-period staggered pricing-in which equilibrium is unique under commitment-we illustrate this interaction: if firms expect a high future money supply, (i) they will set a high current price; and (ii) the future monetary authority will accommodate with a higher money supply, so as not to distort relative prices. We show that there are two point-in-time equilibria under discretion, and we construct a related stochastic sunspot equilibrium. C1 Boston Univ, Boston, MA 02215 USA. Fed Reserve Bank Richmond, Richmond, VA USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP King, RG (reprint author), Boston Univ, Boston, MA 02215 USA. NR 22 TC 22 Z9 22 U1 1 U2 6 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD NOV PY 2004 VL 119 IS 4 BP 1513 EP 1553 DI 10.1162/0033553042476170 PG 41 WC Economics SC Business & Economics GA 873RF UT WOS:000225297900009 ER PT J AU Morgan, DP Rime, B Strahan, PE AF Morgan, DP Rime, B Strahan, PE TI Bank integration and state business cycles SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID UNITED-STATES AB We investigate how integration of bank ownership across states has affected economic volatility within states. In theory, bank integration could cause higher or lower volatility, depending on whether credit supply or credit demand shocks predominate. In fact, year-to-year fluctuations in a state's economic growth fall as its banks become more integrated (via holding companies) with banks in other states. As the bank linkages between any pair of states increase, fluctuations in those two states tend to converge. We conclude that interstate banking has made state business cycles smaller, but more alike. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Boston Coll, Chestnut Hill, MA 02167 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Morgan, DP (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 19 TC 93 Z9 94 U1 1 U2 15 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD NOV PY 2004 VL 119 IS 4 BP 1555 EP 1584 DI 10.1162/0033553042476161 PG 30 WC Economics SC Business & Economics GA 873RF UT WOS:000225297900010 ER PT J AU Hobijn, B Franses, PH Ooms, M AF Hobijn, B Franses, PH Ooms, M TI Generalizations of the KPSS-test for stationarity SO STATISTICA NEERLANDICA LA English DT Article DE stationarity test; rate of consistency; long run variance; bandwidth selection; time series; heteroskedasticity and autocorrelation consistent covariance estimation; Choi's test; Leybourne and McCabe's test ID COVARIANCE-MATRIX ESTIMATION; TIME-SERIES; MACROECONOMIC NEWS; NULL HYPOTHESIS; UNIT-ROOT; HETEROSKEDASTICITY; CONVERGENCE AB We propose automatic generalizations of the KPSS-test for the null hypothesis of stationarity of a univariate time series. We can use these tests for the null hypotheses of trend stationarity, level stationarity and zero mean stationarity. We introduce the asymptotic null distributions and we determine consistency against relevant nonstationary alternatives. We compare the properties of the tests with those of other proposed tests for stationarity. Monte Carlo simulations support the relevance of the tests when an autoregressive process with large positive autocorrelations is likely under the null hypothesis. C1 Fed Reserve Bank New York, Domest Reserve Funct, New York, NY 10045 USA. Erasmus Univ, Inst Econometr, NL-3000 DR Rotterdam, Netherlands. Vrije Univ Amsterdam, Dept Econometr & Operat Res, NL-1081 HV Amsterdam, Netherlands. Vrije Univ Amsterdam, Tinbergen Inst, NL-1081 HV Amsterdam, Netherlands. RP Hobijn, B (reprint author), Fed Reserve Bank New York, Domest Reserve Funct, New York, NY 10045 USA. EM bart.hobijn@ny.frb.org; franses@few.eur.nl; mooms@feweb.vu.nl RI Franses, Philip Hans/D-4398-2009; Ooms, Marius/F-9197-2011 OI Ooms, Marius/0000-0002-8692-7944 NR 27 TC 44 Z9 44 U1 3 U2 10 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0039-0402 J9 STAT NEERL JI Stat. Neerl. PD NOV PY 2004 VL 58 IS 4 BP 483 EP 502 DI 10.1111/j.1467-9574.2004.00272.x PG 20 WC Statistics & Probability SC Mathematics GA 881AO UT WOS:000225836000007 ER PT J AU Bearse, P Gurmu, S Rapaport, C Stern, S AF Bearse, P Gurmu, S Rapaport, C Stern, S TI Paratransit demand of disabled people SO TRANSPORTATION RESEARCH PART B-METHODOLOGICAL LA English DT Article ID BAYESIAN-INFERENCE; MODELS AB This paper estimates the demand for transportation systems that are used primarily by disabled individuals. These systems are known as paratransit systems and have experienced large increases in number and average size over the past 15 years. We first use a national database and standard time series techniques to model aggregate demand. We then use a unique data set of administrative records from a paratransit system in central Virginia to estimate standard and nonstandard count models of individual demand. We conclude that most of the demand growth is from new passengers, but that predicting the growth of new passengers is very difficult. Our results also highlight the importance of incorporating autocorrelation and possible sample attrition into standard count models. (C) 2004 Elsevier Ltd. All rights reserved. C1 Univ Virginia, Dept Econ, Charlottesville, VA 22903 USA. Univ N Carolina, Greensboro, NC 27412 USA. Georgia State Univ, Atlanta, GA 30303 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Stern, S (reprint author), Univ Virginia, Dept Econ, 114 Rouss Hall, Charlottesville, VA 22903 USA. EM sns5r@virginia.edu NR 17 TC 11 Z9 12 U1 0 U2 3 PU PERGAMON-ELSEVIER SCIENCE LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND SN 0191-2615 J9 TRANSPORT RES B-METH JI Transp. Res. Pt. B-Methodol. PD NOV PY 2004 VL 38 IS 9 BP 809 EP 831 DI 10.1016/j.trb.2003.10.004 PG 23 WC Economics; Engineering, Civil; Operations Research & Management Science; Transportation; Transportation Science & Technology SC Business & Economics; Engineering; Operations Research & Management Science; Transportation GA 845QL UT WOS:000223259300003 ER PT J AU Ackert, LF Church, BK Zhang, P AF Ackert, LF Church, BK Zhang, P TI Asset prices and informed traders' abilities: Evidence from experimental asset markets SO ACCOUNTING ORGANIZATIONS AND SOCIETY LA English DT Article ID FORECAST BIAS; RATIONAL-EXPECTATIONS; INVESTOR PSYCHOLOGY; SYSTEMATIC OPTIMISM; INFORMATION; ANALYSTS; EQUILIBRIUM; EFFICIENCY; BEHAVIOR AB This study reports the results of 15 experimental asset markets designed to investigate the effects of forecasts on market prices, traders' abilities to assess asset value, and the link between the two. Across the 15 markets, we investigate alternative forecast-generating processes. In some markets the process produces an unbiased estimate of asset value, and in others a biased estimate. The processes generating the biased forecasts, though, are less variable than the process generating the unbiased forecast. We find that, in general, period-end asset price reflects private forecasts, regardless of the forecast-generating process. Subsequently, we investigate whether traders' abilities to use forecasts differ across the forecast-generating processes. We find that most are able to properly use unbiased forecasts. We refer to them as smart traders. By comparison, a significant proportion is unable to properly use biased forecasts (typically traders' adjustments for bias are insufficient). Linking market outcomes and traders' abilities, we find that asset price appears to properly reflect unbiased forecasts as long as the market includes at least two smart informed traders who have sufficient ability to influence market outcomes. To obtain a comparable result in markets with the biased forecast, at least three smart informed traders with sufficient ability to influence market outcomes are necessary. (C) 2004 Elsevier Ltd. All rights reserved. C1 Georgia Tech, DuPree Coll Management, Atlanta, GA 30332 USA. Kennesaw State Coll, Michael J Coles Coll Business, Dept Econ & Finance, Kennesaw, GA 30144 USA. Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada. RP Church, BK (reprint author), Georgia Tech, DuPree Coll Management, Atlanta, GA 30332 USA. EM lucy_ackert@coles2.kennesaw.edu; bryan.church@mgt.gatech.edu; pzhang@mgmt.utoronto.ca NR 41 TC 3 Z9 3 U1 4 U2 8 PU PERGAMON-ELSEVIER SCIENCE LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND SN 0361-3682 J9 ACCOUNT ORG SOC JI Account. Organ. Soc. PD OCT PY 2004 VL 29 IS 7 BP 609 EP 626 DI 10.1016/j.aos.2003.10.007 PG 18 WC Business, Finance SC Business & Economics GA 849WN UT WOS:000223572300002 ER PT J AU Lastrapes, WD McMillin, WD AF Lastrapes, WD McMillin, WD TI Cross-country variation in the liquidity effect: The role of financial markets SO ECONOMIC JOURNAL LA English DT Article ID MONETARY TRANSMISSION MECHANISM; RUN IDENTIFYING RESTRICTIONS; AGGREGATE DEMAND; OPEN ECONOMIES; INTEREST-RATES; POLICY; MONEY; MODELS; CREDIT; SHOCKS AB This paper examines cross-country variation in the liquidity effect - the negative response of interest rates to money supply shocks - focusing on the role of financial factors in explaining this variation. We estimate the liquidity effect for each of 21 countries using VAR models in which money supply shocks are restricted to be neutral in the long-run, then regress the estimated liquidity effect on financial market variables across countries. We find that financial factors play an important role in determining the magnitude of the liquidity effect, and that this evidence is most consistent with generalised versions of limited-participation models. C1 Univ Georgia, Athens, GA 30602 USA. Louisiana State Univ, Baton Rouge, LA 70803 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Lastrapes, WD (reprint author), Univ Georgia, Athens, GA 30602 USA. NR 48 TC 8 Z9 8 U1 1 U2 5 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0013-0133 J9 ECON J JI Econ. J. PD OCT PY 2004 VL 114 IS 498 BP 890 EP 915 DI 10.1111/j.1468-0297.2004.00248.x PG 26 WC Economics SC Business & Economics GA 858CV UT WOS:000224168800008 ER PT J AU Huang, KXD Werner, J AF Huang, KXD Werner, J TI Implementing Arrow-Debreu equilibria by trading infinitely-lived securities SO ECONOMIC THEORY LA English DT Article DE Arrow-Debreu equilibrium; security markets equilibrium; price bubbles; transfers ID INCOMPLETE MARKETS; HORIZON ECONOMIES; BUBBLES; CONSTRAINTS; MODELS AB We show that Arrow-Debreu equilibria with countably additive prices in infinite-time economy under uncertainty can be implemented by trading infinitely-lived securities in complete sequential markets under two different portfolio feasibility constraints: wealth constraint, and essentially bounded portfolios. Sequential equilibria with no price bubbles implement Arrow-Debreu equilibria, while those with price bubbles implement Arrow-Debreu equilibria with transfers. Transfers are equal to price bubbles on initial portfolio holdings. Price bubbles arise in sequential equilibrium under the wealth constraint if some securities are in zero supply or negative prices are permitted, but cannot arise with essentially bounded portfolios. C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO USA. RP Werner, J (reprint author), Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. EM kevin.huang@kc.frb.org; jwerner@atlas.socsci.umn.edu NR 20 TC 7 Z9 7 U1 0 U2 4 PU SPRINGER-VERLAG PI NEW YORK PA 175 FIFTH AVE, NEW YORK, NY 10010 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD OCT PY 2004 VL 24 IS 3 BP 603 EP 622 DI 10.1007/s00199-004-0496-2 PG 20 WC Economics SC Business & Economics GA 816MY UT WOS:000221115200009 ER PT J AU Cohen, A AF Cohen, A TI Market structure and market definition: the case of small market banks and thrifts SO ECONOMICS LETTERS LA English DT Article DE market definition; non-nested hypothesis testing; banks; thrifts AB I propose a general approach to defining bank and thrift product markets. I estimate two models of endogenous market structure: one assumes that banks and thrifts belong to "independent product markets" and the other assumes that they are "perfect strategic substitutes." I transform one of the likelihoods in order to test between models and find support for the "perfect strategic substitutes" hypothesis. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Cohen, A (reprint author), Fed Reserve Board Governors, Washington, DC 20551 USA. EM andrew.m.cohen@frb.gov 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 OCT PY 2004 VL 85 IS 1 BP 77 EP 83 DI 10.1016/j.econlet.2004.02.018 PG 7 WC Economics SC Business & Economics GA 852TK UT WOS:000223779100013 ER PT J AU Gagnon, JE Ihrig, J AF Gagnon, JE Ihrig, J TI Monetary policy and exchange rate pass-through SO INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS LA English DT Article DE inflation targeting; Taylor rule; exchange rate pass-through ID PRICES AB The pass-through of exchange rate changes into domestic inflation appears to have declined in many countries since the 1980s. We develop a theoretical model that attributes the change in the rate of pass-through to increased emphasis on inflation stabilization by many central banks. This hypothesis is tested on 20 industrial countries between 1971 and 2003. We find widespread evidence of a robust and statistically significant link between estimated rates of pass-through and inflation variability. We also find evidence that observed monetary policy behaviour may be a factor in the declining rate of pass-through. Published in 2004 by John Wiley Sons, Ltd. C1 Board Governors, Fed Reserve Syst, Div Int Finance, Washington, DC 20551 USA. RP Board Governors, Fed Reserve Syst, Div Int Finance, 2000 C St NW, Washington, DC 20551 USA. EM joseph.e.gagnon@frb.gov NR 31 TC 78 Z9 87 U1 2 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1076-9307 EI 1099-1158 J9 INT J FINANC ECON JI Int. J. Financ. Econ. PD OCT PY 2004 VL 9 IS 4 BP 315 EP 338 DI 10.1002/ijfe.253 PG 24 WC Business, Finance SC Business & Economics GA 876PN UT WOS:000225509600003 ER PT J AU Berger, AN Bonime, SD Goldberg, LG White, LJ AF Berger, AN Bonime, SD Goldberg, LG White, LJ TI The dynamics of market entry: The effects of mergers and acquisitions on entry in the banking industry SO JOURNAL OF BUSINESS LA English DT Article ID DETERMINANTS; PERFORMANCE; EXIT AB We study the dynamics of market entry following mergers and acquisitions (M&As) using banking industry data. The findings suggest that M&As are associated with statistically and economically significant increases in the probability of entry. The data suggest that M&As affect the proportion of the markets with entry by about 10-20%. These findings also suggest that entry may be part of an "external'' effect of M&As that helps supply credit to some relationship-dependent small business borrowers. Our results are robust to the use of alternative econometric methods, changes in specifications of the exogenous variables, and alteration of the data samples. C1 Fed Reserve Syst, Board Governors, Wharton Financial Inst Ctr, Washington, DC 20551 USA. Pepsi Corp, Purchase, NY USA. Univ Miami, Dept Finance, Coral Gables, FL 33124 USA. NYU, Stern Sch Business, New York, NY USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Wharton Financial Inst Ctr, Washington, DC 20551 USA. NR 32 TC 45 Z9 46 U1 1 U2 6 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0021-9398 J9 J BUS JI J. Bus. PD OCT PY 2004 VL 77 IS 4 BP 797 EP 834 DI 10.1086/422439 PG 38 WC Business SC Business & Economics GA 886RK UT WOS:000226245800006 ER PT J AU Bansal, R Tauchen, G Zhou, H AF Bansal, R Tauchen, G Zhou, H TI Regime shifts, risk premiums in the term structure, and the business cycle SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE business cycle; efficient method of moments; expectation hypothesis; regime shifting; term structure of interest rate ID LIKELIHOOD RATIO TEST; INTEREST-RATES; STRUCTURE MODELS; AFFINE MODELS; MOMENTS; ARCH AB Recent evidence indicates that using multiple forward rates sharply predicts future excess returns on U.S. Treasury Bonds, with the R-2's being around 30%. The projection coefficients in these regressions exhibit a distinct pattern that relates to the maturity of the forward Fate. These dimensions of the data, in conjunction with the transition dynamics of bond yields, offer a serious challenge to term structure models. In this article we show that a regime-shifting term structure model can empirically account for these challenging data features. Alternative models, such as affine specification, fail to account for these important features. We find that regimes in the model are intimately related to bond risk premia and real business cycles. C1 Duke Univ, Fuqua Sch Business, Durham, NC 27708 USA. Duke Univ, Dept Econ, Durham, NC 27708 USA. Fed Reserve Board, Washington, DC 20551 USA. RP Bansal, R (reprint author), Duke Univ, Fuqua Sch Business, Durham, NC 27708 USA. EM rb7@mail.duke.edu; get@econ.duke.edu; hao.zhou@frb.gov NR 30 TC 34 Z9 34 U1 1 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 2004 VL 22 IS 4 BP 396 EP 409 DI 10.1198/073500104000000398 PG 14 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 857ZZ UT WOS:000224161100003 ER PT J AU Aadland, D Huang, KXD AF Aadland, D Huang, KXD TI Consistent high-frequency calibration SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE high frequency; calibration; transformation rule; consistency; temporal aggregation ID STICKY-PRICE MODELS; BUSINESS-CYCLE; EQUITY PREMIUM; LABOR-MARKET; TIME-SERIES; CONSUMPTION; PERSISTENCE; PREFERENCES; DURABILITY; PUZZLE AB Economic models are meant to provide a framework to describe real-world economic activities. In principle, how well a model performs this task can be evaluated by how close the model's simulated activities track the observed ones. A necessary first step in simulating a model is to choose values for the model's parameters in accordance with actual economic data. A fundamental problem in economic modelling, however, is that actual economic data are sampled at time intervals that are typically longer than the decision intervals of actual economic agents. One popular resolution of this problem is to constrain the length of the decision intervals of theoretical economic agents to be equal to the length of the actual data-sampling intervals. This widely adopted approach makes it feasible to directly calibrate theoretical models to the observed data, but it can introduce substantial biases in the models' empirical performance, as demonstrated by recent research that has allowed the decision intervals to be shorter than the data-sampling intervals. This alternative, high-frequency modelling approach, however, has brought with itself a fundamental issue that direct calibration of the models' parameters is no longer feasible. In response, researchers have employed an ad hoc rule to transform commonly chosen lower-frequency parameter values (which can be calibrated directly from the available data) to their high-frequency counterparts. We show in this paper that this standard transformation rule has three major drawbacks. First, it produces internal inconsistencies in steady-state equilibrium conditions. Second, it is sometimes at odds with microeconomic evidence. And third, it can result in inaccurate log-linear approximations to the models' true equilibrium solutions by worsening the fit of both the transition dynamic coefficients and the point of approximation itself. We present here an alternative, coherent transformation rule for calibrating high-frequency models that directly addresses these three shortcomings. We then use our consistent transformation rule to calibrate high-frequency versions of two well-known economic models and show how it improves these models' empirical performance. (C) 2004 Elsevier B.V. All rights reserved. C1 Univ Wyoming, Dept Econ & Finance, Laramie, WY 82071 USA. Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Aadland, D (reprint author), Univ Wyoming, Dept Econ & Finance, POB 3985, Laramie, WY 82071 USA. EM aadland@uwyo.edu; kevin.huang@kc.frb.org NR 33 TC 5 Z9 5 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD OCT PY 2004 VL 28 IS 11 BP 2277 EP 2295 DI 10.1016/j.jedc.2003.10.005 PG 19 WC Economics SC Business & Economics GA 849FZ UT WOS:000223525400007 ER PT J AU Berger, AN Udell, GF AF Berger, AN Udell, GF TI The institutional memory hypothesis and the procyclicality of bank lending behavior SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article; Proceedings Paper CT Conference on Financial Structure and Monetary Policy Channels CY JUL 10-11, 2003 CL Barcelona, SPAIN SP Ctr Econ Policy Res, CREI, Univ Pompeu Fabra, Journal Financial Intermediat DE banks; lending; business cycles ID CREDIT CRUNCH; INFORMATION; ALLOCATION AB We test a new hypothesis that may help explain the procyclicality of bank lending. The institutional memory hypothesis is driven by deterioration in the ability of loan officers over the bank's lending cycle that results in an easing of credit standards. We test this hypothesis using data from individual US banks over 1980-2000: over 200,000 bank-level observations on commercial loan growth, over 2,000,000 loan-level observations on interest rate premiums, and over 2000 bank-level observations on credit standards and loan spreads from bank management survey responses. The empirical analysis supports the hypothesis, although there are differences by bank size class. (C) 2004 Elsevier Inc. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA. Indiana Univ, Kelley Sch Business, Bloomington, IN 47405 USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM aberger@frb.gov; gudell@indiana.edu NR 42 TC 71 Z9 72 U1 1 U2 13 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD OCT PY 2004 VL 13 IS 4 BP 458 EP 495 DI 10.1016/j.jfi.2004.06.006 PG 38 WC Business, Finance SC Business & Economics GA 873XW UT WOS:000225315800005 ER PT J AU Baier, SL Bergstrand, JH AF Baier, SL Bergstrand, JH TI Economic determinants of free trade agreements SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE free trade agreements; international trade; qualitative choice models ID ENDOGENOUS PROTECTION; INTERNATIONAL-TRADE; EMPIRICAL-EVIDENCE; GRAVITY EQUATION; LIBERALIZATION; BLOCS; SALE AB The purpose of this study is to provide the first systematic empirical analysis of the economic determinants of the formation of free trade agreements (FTAs) and of the likelihood of FTAs between pairs of countries using a qualitative choice model. We develop this econometric model based upon a general equilibrium model of world trade with two factors of production, two monopolistically-competitive product markets, and explicit intercontinental and intracontinental transportation costs among multiple countries on multiple continents. The empirical model correctly predicts, based solely upon economic characteristics, 85% of the 286 FTAs existing in 1996 among 1431 pairs of countries and 97% of the remaining 1145 pairs with no FTAs. (C) 2003 Elsevier B.V. All rights reserved. C1 Univ Notre Dame, Kellogg Inst Int Studies, Medoza Coll Business, Dept Finance & Business Econ, Notre Dame, IN 46556 USA. Clemson Univ, John E Walker Dept Econ, Clemson, SC 29634 USA. Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. RP Bergstrand, JH (reprint author), Univ Notre Dame, Kellogg Inst Int Studies, Medoza Coll Business, Dept Finance & Business Econ, Notre Dame, IN 46556 USA. EM bergstrand.1@nd.edu NR 47 TC 146 Z9 149 U1 3 U2 29 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD OCT PY 2004 VL 64 IS 1 BP 29 EP 63 DI 10.1016/S0022-1996(03)00079-5 PG 35 WC Economics SC Business & Economics GA 854VH UT WOS:000223931100002 ER PT J AU Kamin, SB AF Kamin, SB TI Dollarization debates and policy alternatives SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Book Review C1 Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. RP Kamin, SB (reprint author), Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. NR 1 TC 0 Z9 0 U1 1 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD OCT PY 2004 VL 64 IS 1 BP 217 EP 222 DI 10.1016/S0022-1996(03)00077-1 PG 6 WC Economics SC Business & Economics GA 854VH UT WOS:000223931100011 ER PT J AU Kletzer, K Spiegel, MM AF Kletzer, K Spiegel, MM TI Sterilization costs and exchange rate targeting SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE sterilization; capital inflows; exchange rates ID INSTRUMENTAL-VARIABLE ESTIMATION; OF-PAYMENTS CRISES; PANEL-DATA; MODEL; INFLOWS AB We examine the movements of exchange rates and capital inflows in an environment where an optimizing central bank pursuing the joint goals of inflation and output targeting engages in costly sterilization activities. Our results predict that when faced with increased sterilization costs, the central bank will choose to limit its sterilization activities allowing target variables, such as the nominal exchange rate, to adjust. We then test the predictions of a linearized version of the saddle-path solution to the model for a cross-country panel of developing countries. We use OLS, IV, and GMM specifications to allow for the endogeneity of capital inflows. Our results confirm that monetary policy does respond to sterilization costs. (C) 2004 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Univ Calif Santa Cruz, Dept Econ, Berkeley, CA 94720 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 27 TC 4 Z9 4 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 OCT PY 2004 VL 23 IS 6 BP 897 EP 915 DI 10.1016/j.jimonfin.2004.05.003 PG 19 WC Business, Finance SC Business & Economics GA 853FN UT WOS:000223812600003 ER PT J AU Farmer, A Pecorino, P Stango, V AF Farmer, A Pecorino, P Stango, V TI The causes of bargaining failure: Evidence from Major League Baseball SO JOURNAL OF LAW & ECONOMICS LA English DT Article ID FINAL-OFFER ARBITRATION; ASYMMETRIC INFORMATION; ECONOMIC-ANALYSIS; LITIGATION; SETTLEMENT; SELECTION; DISPUTES; COSTS; WAGES; NEGOTIATION AB Final-offer arbitration in Major League Baseball provides an ideal setting for examining the empirical regularities that are associated with bargaining failure, since final offers, salaries, and player statistics, which provide the fundamental facts for the case, are all readily available. Using data for players eligible for arbitration for 1990 - 93, we conduct a wide variety of empirical tests regarding the relationship between aggressive offers and arbitration outcomes. We find that aggressive offers by players trigger arbitration and that more aggressive offers are associated with inferior financial outcomes in arbitration. Overall, clubs appear to outperform players in arbitration. Unexpectedly high or low offers are less common for players who have previously been through arbitration, which suggests that learning occurs. Our results are inconsistent with simple one-sided asymmetric-information models of arbitration. The results are more consistent with an optimism model or a model in which some players are risk loving. C1 Univ Arkansas, Fayetteville, AR 72701 USA. Univ Alabama, Tuscaloosa, AL 35487 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Farmer, A (reprint author), Univ Arkansas, Fayetteville, AR 72701 USA. OI Pecorino, Paul/0000-0002-7659-7873 NR 46 TC 10 Z9 10 U1 1 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 OCT PY 2004 VL 47 IS 2 BP 543 EP 568 DI 10.1086/422981 PG 26 WC Economics; Law SC Business & Economics; Government & Law GA 869RD UT WOS:000225000800008 ER PT J AU Gruber, JW AF Gruber, JW TI A present value test of habits and the current account SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE habit formation; consumption; current account ID CONSUMPTION; MODELS AB Forecasts derived from standard intertemporal current account (ICA) models generally fail to match the volatility of actual current accounts. This paper offers a solution to the "excess volatility" problem of standard ICA models by incorporating consumption habits into the standard model. The model, as developed in the paper, shows that significant habit formation implies increased current account volatility, as sluggishness is introduced into the consumption adjustment process that follows income shocks. A theory-consistent measure of the degree of habit formation is estimated using GMM. The estimated habit parameter is found to be statistically significant in six of eight quarterly samples. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. RP Gruber, JW (reprint author), Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. EM Joseph.W.Gruber@frb.gov NR 18 TC 27 Z9 27 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2004 VL 51 IS 7 BP 1495 EP 1507 DI 10.1016/j.jmoneco.2003.12.004 PG 13 WC Business, Finance; Economics SC Business & Economics GA 866MP UT WOS:000224777900007 ER PT J AU Stiroh, KJ AF Stiroh, KJ TI Diversification in banking: Is noninterest income the answer? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE banks; diversification; noninterest income ID LOAN-LOSS PROVISIONS; MERGERS; MANAGEMENT; GAINS; RISK AB This paper assesses potential diversification benefits in the U.S. banking industry from the steady shift toward activities that generate fee income, trading revenue. and other types of noninterest income. In the aggregate. declining volatility of net operating revenue reflects reduced volatility of net interest income. not diversification benefits from noninterest income, which is quite volatileand increasingly correlated with net interest income. At the bank level. greater reliance on noninterest income, particularly trading revenue. is associated with lower risk-adjusted profits and higher risk. This suggests few obvious diversification benefits from the ongoing shift toward noninterest income. C1 Fed Reserve Bank New York, Banking Studies Funct, New York, NY 10045 USA. RP Stiroh, KJ (reprint author), Fed Reserve Bank New York, Banking Studies Funct, New York, NY 10045 USA. EM kevin.stiroh@ny.frb.org NR 21 TC 169 Z9 174 U1 9 U2 27 PU OHIO STATE UNIV PRESS PI COLUMBUS PA 1050 CARMACK RD, COLUMBUS, OH 43210 USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2004 VL 36 IS 5 BP 853 EP 882 DI 10.1353/mcb.2004.0076 PG 30 WC Business, Finance; Economics SC Business & Economics GA 862CV UT WOS:000224468200002 ER PT J AU Adams, RM Bauer, PW Sickles, RC AF Adams, RM Bauer, PW Sickles, RC TI Scale economies, scope economies, and technical change in federal reserve payment processing SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE productivity; scope economies; scale economies; technical change; financial institutions. ID COST; BANKING; EFFICIENCIES AB In the past decade, the U.S. economy has witnessed a tremendous surge in the usage of electronic payment processing services and an increased importance of the firms that provide these services. In this paper, we estimate scale economies, scope economies, and technical change in the Federal Reserve's provision of payments processing from 1990 to 2000. We find considerable scale economies and evidence of some scope economies for the provision ofautomated clearinghouse, Fedwire, and Book-Entry services no matter whether we specify a separable quadratic or a translog cost function. In addition, we find that disembodied technical change also contributed to the overall reduction in costs throughout the 1990s. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. Rice Univ, Dept Econ, Houston, TX 77251 USA. RP Adams, RM (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM robert.m.adams@frb.gov; paul.w.bauer@clev.frb.org; rsickies@rice.edu NR 20 TC 5 Z9 5 U1 0 U2 1 PU OHIO STATE UNIV PRESS PI COLUMBUS PA 1050 CARMACK RD, COLUMBUS, OH 43210 USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2004 VL 36 IS 5 BP 943 EP 958 DI 10.1353/mcb.2004.0070 PG 16 WC Business, Finance; Economics SC Business & Economics GA 862CV UT WOS:000224468200006 ER PT J AU Ramey, VA Vine, DJ AF Ramey, VA Vine, DJ TI Why do real and nominal inventory-sales ratios have different trends? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article AB This note explains the diverging trends between real and nominal aggregate inventory-sales ratios. The combined effect of two features of the data explains the divergence. First, while aggregate sales include both goods and services, inventories include only goods. Second, there has been a strong secular decrease in the relative price of goods. The combination of these two factors causes the real and nominal aggregate inventory-sales ratios to have different trends. C1 Univ Calif San Diego, Dept Econ, San Diego, CA 92103 USA. Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Ramey, VA (reprint author), Univ Calif San Diego, Dept Econ, San Diego, CA 92103 USA. EM vramey@weber.uscd.edu; Daniel.J.Vine@frb.gov NR 4 TC 7 Z9 7 U1 0 U2 3 PU OHIO STATE UNIV PRESS PI COLUMBUS PA 1050 CARMACK RD, COLUMBUS, OH 43210 USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2004 VL 36 IS 5 BP 959 EP 963 DI 10.1353/mcb.2004.0075 PG 5 WC Business, Finance; Economics SC Business & Economics GA 862CV UT WOS:000224468200007 ER PT J AU Klette, TJ Kortum, S AF Klette, TJ Kortum, S TI Innovating firms and aggregate innovation SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID RESEARCH-AND-DEVELOPMENT; ENDOGENOUS GROWTH; ECONOMIC-GROWTH; TECHNOLOGICAL-CHANGE; SIZE DISTRIBUTION; INDUSTRY; MODEL; ENTRY; DYNAMICS; EXIT AB We develop a parsimonious model of innovation to confront firm-level evidence. It captures the dynamics of individual heterogeneous firms, describes the behavior of an industry with firm entry and exit, and delivers a general equilibrium model of technological change. While unifying the theoretical analysis of firms, industries, and the aggregate economy, the model yields insights into empirical work on innovating firms. It accounts for the persistence of firms' R&D investment, the concentration of R&D among incumbents, the link between R&D and patenting, and why R&D as a fraction of revenues is positively correlated with firm productivity but not with firm size or growth. C1 Univ Oslo, N-0316 Oslo, Norway. Ctr Econ Policy Res, London SW1Y 6LA, England. Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Klette, TJ (reprint author), Univ Oslo, N-0316 Oslo, Norway. NR 68 TC 124 Z9 124 U1 4 U2 35 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD OCT PY 2004 VL 112 IS 5 BP 986 EP 1018 DI 10.1086/422563 PG 33 WC Economics SC Business & Economics GA 856SI UT WOS:000224064700002 ER PT J AU Tetlow, R von zur Muehlen, P AF Tetlow, R von zur Muehlen, P TI Avoiding Nash inflation: Bayesian and robust responses to model uncertainty SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE uncertainty; knightian uncertainty; robust control; learning; monetary policy ID MONETARY-POLICY RULES; UNITED-STATES AB We examine learning, model misspecification, and robust policy responses to misspecification in a quasi-real-time environment. The laboratory for the analysis is the Sargent [The Conquest of American Inflation, Princeton Univ. Press, Princeton, NJ, 1999] explanation for the origins of inflation in the 1970s and the subsequent disinflation. Three robust policy rules are derived that differ according to the extent that misspecification is taken as a parametric phenomenon. These responses to drifting estimated parameters and apparent misspecification are compared to the certainty-equivalent case studied by Sargent. We find gains from utilizing robust approaches to monetary policy design, but only when the approach to robustness is carefully tailored to the problem at hand. In the least parametric approach, the medicine of robust control turns out to be too potent for the disease of misspecification. In the most parametric approach, the response to misspecification is too weak and too misdirected to be of help. But when the robust approach to policy is narrowly directed in the correct location, it can avoid Nash inflation and improve social welfare. It follows that agnosticism regarding the sources of misspecification has its pitfalls. We also find that Sargent's story for the rise of inflation of the 1970s and its subsequent decline in the 1980s is robust to most ways of relaxing a strong assumption in the original work. (C) 2004 Elsevier Inc. All rights reserved. C1 Fed Reserve Board, Washington, DC 20551 USA. Von Zur Muehlen & Associates, Vienna, VA 22181 USA. RP Tetlow, R (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM Robert.J.Tetlow@frb.gov NR 62 TC 8 Z9 8 U1 0 U2 2 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2004 VL 7 IS 4 BP 869 EP 899 DI 10.1016/j.red.2004.06.001 PG 31 WC Economics SC Business & Economics GA 860VZ UT WOS:000224373200004 ER PT J AU Berentsen, A Rocheteau, G AF Berentsen, A Rocheteau, G TI Money and information SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID PRIVATE INFORMATION; MONETARY EXCHANGE; FIAT MONEY; SEARCH; QUALITY; BARTER; LIQUIDITY; ECONOMICS AB This paper investigates the role of money in markets in which producers have private information about the quality of the goods they supply. When the fraction of high-quality producers in the economy is given, money promotes the production of high-quality goods, which improves the quality mix and welfare unambiguously. When this fraction is endogenous, however, we find that money can decrease welfare relative to the barter equilibrium. The origin of this inefficiency is that money provides consumption insurance to low-quality producers, which can result in a higher fraction of low-quality producers in the monetary equilibrium. Finally, we find that most often agents acquire more costly information in the monetary equilibrium than in the barter equilibrium. Consequently, money is welfare-enhancing because it promotes useful production and exchange, but not because it saves information costs. C1 Univ Basel, CH-4003 Basel, Switzerland. Australian Natl Univ, Canberra, ACT, Australia. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Berentsen, A (reprint author), Univ Basel, CH-4003 Basel, Switzerland. NR 32 TC 16 Z9 16 U1 0 U2 7 PU REVIEW OF ECONOMIC STUDIES LTD PI OXFORD PA C/O BASIL BLACKWELL LTD, 108 COWLEY RD, PO BOX 805, OXFORD OX4 1JF, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD OCT PY 2004 VL 71 IS 4 BP 915 EP 944 PG 30 WC Economics SC Business & Economics GA 866ON UT WOS:000224782900001 ER PT J AU Huang, KXD Liu, Z Phaneuf, L AF Huang, KXD Liu, Z Phaneuf, L TI Why does the cyclical behavior of real wages change over time? SO AMERICAN ECONOMIC REVIEW LA English DT Article ID STICKY PRICE MODELS; BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; GREAT-DEPRESSION; EXCHANGE-RATES; PERSISTENCE; DEMAND; OUTPUT; EMPLOYMENT; LABOR AB The cyclical behavior of real wages has evolved from mildly countercyclical during the interwar period to modestly procyclical in the postwar era. This paper presents a general-equilibrium business-cycle model that helps explain the evolution. In the model, changes in the real wage cyclicality arise from interactions between nominal wage and price rigidities and an evolving input-output structure. C1 Fed Reserve Bank Philadelphia, Econ Res Dept, Philadelphia, PA 19106 USA. Wuhan Univ, Inst Adv Study, Wuhan, Peoples R China. Emory Univ, Dept Econ, Atlanta, GA 30322 USA. Univ Quebec, Dept Econ, Montreal, PQ H3C 3P8, Canada. RP Huang, KXD (reprint author), Fed Reserve Bank Philadelphia, Econ Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM kevin.huang@phil.frb.org; zheng.liu@emory.edu; phaneuf.louis@uqam.ca NR 57 TC 32 Z9 32 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 SEP PY 2004 VL 94 IS 4 BP 836 EP 856 DI 10.1257/0002828042002552 PG 21 WC Economics SC Business & Economics GA 860OE UT WOS:000224352100002 ER PT J AU Barlevy, G AF Barlevy, G TI The cost of business cycles under endogenous growth SO AMERICAN ECONOMIC REVIEW LA English DT Article ID WELFARE COST; INCREASING RETURNS; ECONOMIC-GROWTH; ASSET RETURNS; INVESTMENT; RISK; UTILITY; ACCUMULATION; CONSUMPTION; UNCERTAINTY AB Robert E. Lucas, Jr. argued that the welfare gains from reducing aggregate consumption volatility are negligible. Subsequent work that revisited his calculation continued to find small welfare benefits, further reinforcing the perception that business cycles do not matter. This paper argues instead that fluctuations can affect welfare, by affecting the growth rate of consumption. I show that fluctuations can reduce growth starting from a given initial consumption, which can imply substantial welfare effects as Lucas himself observed. Empirical evidence suggests the welfare effects are likely to be substantial, about two orders of magnitude greater than Lucas' original estimates. C1 Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Barlevy, G (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, 230 S LaSalle St, Chicago, IL 60604 USA. EM gbarlevy@frbchi.org NR 49 TC 58 Z9 58 U1 3 U2 14 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2004 VL 94 IS 4 BP 964 EP 990 DI 10.1257/0002828042002615 PG 27 WC Economics SC Business & Economics GA 860OE UT WOS:000224352100008 ER PT J AU Campbell, JR Lapham, B AF Campbell, JR Lapham, B TI Real exchange rate fluctuations and the dynamics of retail trade industries on the US-Canada border SO AMERICAN ECONOMIC REVIEW LA English DT Article ID MODELS C1 Fed Reserve Bank Chicago, Dept Econ Res, Chicago, IL 60604 USA. NBER, Cambridge, MA 02138 USA. Queens Univ, Dept Econ, Kingston, ON K7L 3N6, Canada. RP Campbell, JR (reprint author), Fed Reserve Bank Chicago, Dept Econ Res, 230 S LaSalle St, Chicago, IL 60604 USA. EM jcampbell@frbchi.org; laphamb@qed.econ.queensu.ca NR 9 TC 22 Z9 23 U1 1 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2004 VL 94 IS 4 BP 1194 EP 1206 DI 10.1257/0002828042002723 PG 13 WC Economics SC Business & Economics GA 860OE UT WOS:000224352100020 ER PT J AU Cooper, R Willis, JL AF Cooper, R Willis, JL TI A comment on the economics of labor adjustment: Mind the gap SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID DEMAND; EMPLOYMENT; DYNAMICS; COSTS C1 Univ Texas, Dept Econ, Austin, TX 78712 USA. Fed Reserve Bank Kansas City, Dept Res, Kansas City, MO 64198 USA. RP Cooper, R (reprint author), Univ Texas, Dept Econ, Austin, TX 78712 USA. EM cooper@eco.utexas.edu; jonathan.willis@kc.frb.org NR 12 TC 22 Z9 22 U1 3 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 SEP PY 2004 VL 94 IS 4 BP 1223 EP 1237 DI 10.1257/0002828042002534 PG 15 WC Economics SC Business & Economics GA 860OE UT WOS:000224352100022 ER PT J AU Cooper, R Willis, JL AF Cooper, R Willis, JL TI A comment on the economics of labor adjustment: Mind the gap: Rejoinder SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID DYNAMICS C1 Univ Texas, Dept Econ, Austin, TX 78712 USA. Fed Reserve Bank Kansas City, Dept Res, Kansas City, MO 64198 USA. RP Cooper, R (reprint author), Univ Texas, Dept Econ, Austin, TX 78712 USA. EM cooper@eco.utexas.edu; johathan.willis@kc.frb.org NR 8 TC 2 Z9 2 U1 3 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 SEP PY 2004 VL 94 IS 4 BP 1245 EP 1247 DI 10.1257/0002828042002598 PG 3 WC Economics SC Business & Economics GA 860OE UT WOS:000224352100024 ER PT J AU Armour, BS Friedman, C Pitts, MM Wike, J Alley, L Etchason, J AF Armour, BS Friedman, C Pitts, MM Wike, J Alley, L Etchason, J TI The influence of year-end bonuses on colorectal cancer screening SO AMERICAN JOURNAL OF MANAGED CARE LA English DT Article ID PHYSICIAN FINANCIAL INCENTIVES; PRIMARY-CARE PHYSICIANS; FECAL OCCULT BLOOD; LOW-INCOME WOMEN; UNITED-STATES; MANAGED-CARE; SOCIOECONOMIC-STATUS; SOCIETY GUIDELINES; HEALTH-INSURANCE; CERVICAL-CANCER AB Objective: To estimate the effect of physician bonus eligibility on colorectal cancer (CRC) screening, controlling for patient and primary care physician characteristics. Study Design: Retrospective study using managed care plan claims data from 2000 and 2001. Methods: Data on 50-year-old commercially insured patients in a managed care health plan were linked to enrollment and provider files. The data included information, on 6749 patients (3058 in 2000 and 3691 in 2001). Multivariate logistic regression models were used to assess the association between CRC screening receipt and physician bonus eligibility. Results: From 2000 to 2001, CRC screening use increased from 23.4% to 26.4% (P < .01). Results from the multivariate logistic regression analysis revealed that the probability that a patient received a CRC screening was approximately 3 percentage points higher in the bonus year, 2001 (P < .01). Conclusions: Bonuses targeted at individual physicians were associated with increased use of CRC screening tests. However, more research is needed to examine the effect of performance-based incentives on resource use and the quality of medical care. Specifically, there is a need to determine whether explicit financial incentives are effective in reducing racial disparities in the quality of patient care. This has particular relevance, for CRC screening given that black patients are less likely to be screened, they have higher CRC incidence and mortality rates compared with other racial groups, and screening has been shown to be more cost effective in this population. C1 Ctr Dis Control & Prevent, Off Smoking & Hlth, Natl Ctr Chron Dis Prevent & Hlth Promot, Atlanta, GA 30041 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. White Inst Hlth Serv Res, Atlanta, GA USA. RP Armour, BS (reprint author), Ctr Dis Control & Prevent, Off Smoking & Hlth, Natl Ctr Chron Dis Prevent & Hlth Promot, 4770 Buford Highway NE,MS K50, Atlanta, GA 30041 USA. EM barmour@cdc.gov NR 56 TC 12 Z9 12 U1 0 U2 5 PU AMER MED PUBLISHING, M W C COMPANY PI JAMESBURG PA 241 FORSGATE DR, STE 102, JAMESBURG, NJ 08831 USA SN 1088-0224 J9 AM J MANAG CARE JI Am. J. Manag. Care PD SEP PY 2004 VL 10 IS 9 BP 617 EP 624 PG 10 WC Health Care Sciences & Services; Health Policy & Services; Medicine, General & Internal SC Health Care Sciences & Services; General & Internal Medicine GA 853NZ UT WOS:000223835600006 PM 15515994 ER PT J AU Pakko, MR AF Pakko, MR TI A spectral analysis of the cross-country consumption correlation puzzle SO ECONOMICS LETTERS LA English DT Article DE cospectrum; frequency domain; international business cycles ID BUSINESS CYCLES; FILTER AB Dynamic general equilibrium models predict high cross-country consumption correlations, whereas the data show that output correlations tend to be higher. Spectral decomposition reveals that this ranking varies across frequency bands, with consumption correlations often exceeding output correlations at higher frequencies. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Pakko, MR (reprint author), Fed Reserve Bank St Louis, 411 Locust St, St Louis, MO 63102 USA. EM pakko@stls.frb.org NR 10 TC 11 Z9 12 U1 0 U2 2 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD SEP PY 2004 VL 84 IS 3 BP 341 EP 347 DI 10.1016/j.econlet.2004.03.003 PG 7 WC Economics SC Business & Economics GA 841WK UT WOS:000222962400008 ER PT J AU Poole, W AF Poole, W TI Free trade: Why are economists and noneconomists so far apart? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Conference on Trade, Globalization and Outsourcing CY JUN 15, 2004 CL New York, NY C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Poole, W (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 4 TC 4 Z9 4 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2004 VL 86 IS 5 BP 1 EP 6 PG 6 WC Business, Finance; Economics SC Business & Economics GA 893UQ UT WOS:000226745300001 ER PT J AU Wheelock, DC Wilson, PW AF Wheelock, DC Wilson, PW TI Trends in the efficiency of federal reserve check processing operations SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID SCALE; SERVICES AB The Monetary Control Act of 1980 requires the Federal Reserve to charge customers for financial services, with the intent of improving the efficiency with which Fed offices deliver those services. Prior studies found little improvement in the efficiency of Fed check processing operations after pricing was implemented in 1982. This article examines the efficiency of Fed check operations using a longer sample period (1980:Q1-2003:Q3) than previous studies and new methods for estimating efficiency. The authors find that the median office became somewhat less efficient when pricing was introduced, but that efficiency improved through the 1990s. Although they find that Fed offices became somewhat less efficient on average after 1999, this might reflect adjustments associated with declining check volumes and implementation of a common operating platform across System offices. C1 Fed Reserve Bank St Louis, St Louis, MO USA. Univ Texas, Austin, TX 78712 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 14 TC 7 Z9 7 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2004 VL 86 IS 5 BP 7 EP + PG 14 WC Business, Finance; Economics SC Business & Economics GA 893UQ UT WOS:000226745300002 ER PT J AU Thornton, DL AF Thornton, DL TI Testing the expectations hypothesis: Some new evidence for Japan SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TERM STRUCTURE; COINTEGRATION; MODELS AB The deregulation of the Japanese financial markets and the adoption of an interest rate policy instrument by the Bank of Japan prompted a number of empirical investigations of the expectation hypothesis (EH) of the term structures of interest rates in Japan. This paper is a continuation of this research. it deviates from the previous work on the EH in Japan in two respects. First, it tests the EH by estimating a general vector autoregression (VAR) of the long-term and short-term rates and testing the restrictions implied by the EH on the VAR using a Lagrange multiplier test. Second, the issue of stationarity of interest rates is considered. The paper not only considers the possibility that Japanese interest rates are nonstationary, but also analyzes the implications of nonstationarity for the EH. 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 34 TC 4 Z9 4 U1 2 U2 6 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2004 VL 86 IS 5 BP 21 EP + PG 21 WC Business, Finance; Economics SC Business & Economics GA 893UQ UT WOS:000226745300003 ER PT J AU Yeager, TJ AF Yeager, TJ TI The demise of community banks? Local economic shocks are not to blame SO JOURNAL OF BANKING & FINANCE LA English DT Article DE community bank; relationship lending; idiosyncratic risk; market risk; geographic diversification; local economic shocks ID ACQUISITIONS; INDUSTRY; MERGERS AB The number of US community banks is falling rapidly. Is this reduction being driven in part by banks' desire to geographically diversify to reduce their vulnerability to local economic shocks? A comparison of the performance of banks in counties that suffered economic shocks in the 1990s with similar banks in counties that did not suffer economic shocks shows that banks withstand local economic shocks quite well. This result suggests that the geographic concentration risk that community banks must bear to focus on relationship lending is small and is not an important factor contributing to the decline of community banks. (C) 2003 Elsevier B.V. All rights reserved, C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Yeager, TJ (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM timothy.j.yeager@stls.frb.org RI Yeager, Tim/F-3306-2010 NR 21 TC 14 Z9 14 U1 1 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD SEP PY 2004 VL 28 IS 9 BP 2135 EP 2153 DI 10.1016/j.jbankfin.2003.08.004 PG 19 WC Business, Finance; Economics SC Business & Economics GA 845CP UT WOS:000223213600004 ER PT J AU Gilbert, RA Wheelock, DC Wilson, PW AF Gilbert, RA Wheelock, DC Wilson, PW TI New evidence on the Fed's productivity in providing payments services SO JOURNAL OF BANKING & FINANCE LA English DT Article DE payments system; check processing; DEA ID NONPARAMETRIC FRONTIER MODELS; EFFICIENCY SCORES; FEDERAL-RESERVE; SCALE; ECONOMIES; PERFORMANCE; BANKING AB As the dominant provider of payments services, the efficiency with which the Federal Reserve provides such services is an important public policy issue. This paper examines the productivity of Federal Reserve check-process in g offices during 1980-1999 using non-parametric estimation methods and newly developed methods for non-parametric inference and hypothesis testing. The results support prior studies that found little initial improvement in the Fed's efficiency with the imposition of pricing for Federal Reserve services in 1982. However, we find that median productivity improved substantially during the 1990s, and the dispersion of productivity across Fed offices declined. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63166 USA. Univ Texas, Dept Econ, Austin, TX 78712 USA. RP Wheelock, DC (reprint author), Fed Reserve Bank St Louis, Dept Res, POB 442, St Louis, MO 63166 USA. EM wheelock@stls.frb.org RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 29 TC 6 Z9 6 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD SEP PY 2004 VL 28 IS 9 BP 2175 EP 2190 DI 10.1016/j.jbankfin.2003.08.006 PG 16 WC Business, Finance; Economics SC Business & Economics GA 845CP UT WOS:000223213600006 ER PT J AU Wheelock, DC AF Wheelock, DC TI The changing face of central banking: Evolutionary trends since World War II. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Wheelock, DC (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 1 TC 0 Z9 0 U1 0 U2 0 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD SEP PY 2004 VL 42 IS 3 BP 849 EP 850 PG 2 WC Economics SC Business & Economics GA 858VM UT WOS:000224220200015 ER PT J AU Guo, H AF Guo, H TI Limited stock market participation and asset prices in a dynamic economy SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID INCOMPLETE MARKETS; PRICING PUZZLES; EQUITY PREMIUM; CONSUMPTION; RETURNS; RISK; VOLATILITY; BEHAVIOR; MODEL AB This paper presents a consumption-based model that explains the equity premium puzzle through two channels. First, because of borrowing constraints, the shareholder cannot completely diversify his income risk and requires a sizable risk premium on stocks. Second, because of limited stock market participation, the precautionary saving demand lowers the risk-free rate but not stock return and generates a substantial liquidity premium. This model also replicates many other salient features of the data, including the first two moments of the fisk-free rate, excess stock volatility, stock return predictability, and the unstable relation between stock volatility and the dividend yield. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. RP Guo, H (reprint author), Fed Reserve Bank St Louis, Res Dept, 411 Locust St, St Louis, MO 63102 USA. EM hui.guo@stls.frb.org NR 32 TC 15 Z9 15 U1 1 U2 4 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 SEP PY 2004 VL 39 IS 3 BP 495 EP 516 PG 22 WC Business, Finance; Economics SC Business & Economics GA 851SR UT WOS:000223706200004 ER PT J AU Helwege, J Liang, N AF Helwege, J Liang, N TI Initial public offerings in hot and cold markets SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID OPERATING PERFORMANCE; EARNINGS MANAGEMENT; OWNERSHIP STRUCTURE; EMPIRICAL-ANALYSIS; EQUITY ISSUES; IPO MARKET; DECISION; COMPANIES; FIRMS; TAKEOVER AB The literature offers many explanations for why the IPO market cycles from hot to cold. These include theories in which hot markets represent clusters of IPOs in a new industry, and signaling models that predict that hot markets draw in better quality firms. Others suggest hot market IPOs' stock returns reflect their poor quality. We compare IPOs over cycles during 1975-2000 and find that hot and cold IPO markets do not differ so much in the characteristics of the firms that go public as in the quantity of firms that go public. Both hot and cold IPOs are largely concentrated in the same narrow set of industries and they have few distinctions in profits, age, or growth potential. Our results suggest that hot markets are not driven primarily by changes in adverse selection costs, managerial opportunism, or technological innovations, but more likely reflect greater investor optimism. C1 Univ Arizona, Dept Finance, Tucson, AZ 85721 USA. Fed Reserve Syst, Board Governors, Div Res & Stat, Capital Markets Sect, Washington, DC 20551 USA. RP Univ Arizona, Dept Finance, Tucson, AZ 85721 USA. EM helwege_1@cob.osu.edu; nliang@frb.gov RI alrefaei, hessa/F-1443-2015 NR 56 TC 77 Z9 77 U1 2 U2 19 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 SEP PY 2004 VL 39 IS 3 BP 541 EP 569 PG 29 WC Business, Finance; Economics SC Business & Economics GA 851SR UT WOS:000223706200006 ER PT J AU Hunt, RM AF Hunt, RM TI Patentability, industry structure, and innovation SO JOURNAL OF INDUSTRIAL ECONOMICS LA English DT Article ID SEQUENTIAL INNOVATION; MARKET-STRUCTURE; PATENT LENGTH; INVESTMENT; POLICY AB This paper presents a model of sequential innovation in which industry structure is endogenous and a standard of patentability determines the proportion of all inventions that qualify for protection (in U.S. patent law, this standard is called nonobviousness; in Europe, it is called the inventive step). The rate of innovation initially rises as this standard is raised from very low levels, but eventually falls as the standard is raised to very high levels. Hence, there is a unique patentability standard that maximizes the rate of innovation. Surprisingly, this critical standard is more stringent for industries disposed to innovate rapidly. The model suggests a number of important implications for patent policy. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Hunt, RM (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM bob.hunt@phil.frb.org NR 37 TC 29 Z9 29 U1 2 U2 8 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0022-1821 J9 J IND ECON JI J. Indust. Econ. PD SEP PY 2004 VL 52 IS 3 BP 401 EP 425 DI 10.1111/j.0022-1821.2004.00232.x PG 25 WC Business, Finance; Economics SC Business & Economics GA 856FR UT WOS:000224031600005 ER PT J AU Faust, J Swanson, ET Wright, JH AF Faust, J Swanson, ET Wright, JH TI Identifying VARS based on high frequency futures data SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary policy; identification; fed funds futures; FOMC ID FEDERAL-FUNDS RATE; MONETARY-POLICY; INTEREST-RATES; IDENTIFICATION; MARKET; MODELS; TRANSMISSION; SENSE; MONEY AB Using the prices of federal funds futures contracts, we measure the impact of the surprise component of Federal Reserve policy decisions on the expected future trajectory of interest rates. We show how this information can be used to identify the effects of a monetary policy shock in a standard VAR. This alternative approach to identification is quite different, and, we argue, more plausible, than the conventional identifying restrictions. We find that a usual recursive identification of the model is rejected, as is any identification that insists on a monetary policy shock having an exactly zero effect on prices contemporaneously. We nevertheless agree with the conclusion of much of the VAR literature that only a small fraction of the variance of output can be attributed to monetary policy shocks. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. Fed Reserve Board, Monetary Affairs Div, Washington, DC 20551 USA. RP Wright, JH (reprint author), Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. EM jonathan.h.wright@frb.gov NR 32 TC 54 Z9 54 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 SEP PY 2004 VL 51 IS 6 BP 1107 EP 1131 DI 10.1016/j.jmoneco.2003.11.001 PG 25 WC Business, Finance; Economics SC Business & Economics GA 855XD UT WOS:000224007300002 ER PT J AU Fuhrer, JC Rudebusch, GD AF Fuhrer, JC Rudebusch, GD TI Estimating the Euler equation for output SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Euler equation; monetary policy ID MONETARY-POLICY MODELS; GENERALIZED-METHOD; INSTRUMENT RELEVANCE; WEAK INSTRUMENTS; MOMENTS; INVESTMENT; STABILITY; DYNAMICS; BEHAVIOR AB New Keynesian macroeconomic models have generally emphasized that expectations of future output are a key factor in determining current output. The theoretical motivation for such forward-looking behavior relies on a straightforward generalization of the well-known Euler equation for consumption. In this paper, we use maximum likelihood and generalized method of moments (GMM) methods to explore the empirical importance of output expectations. We find little evidence that rational expectations of future output help determine current output, especially after taking into account the small-sample bias in GMM. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Boston, Boston, MA 02106 USA. Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Fuhrer, JC (reprint author), Fed Reserve Bank Boston, 600 Atlantic Ave, Boston, MA 02106 USA. EM jeff.fuhrer@bos.frb.org RI Fuhrer, Jeff/F-8852-2013 NR 39 TC 58 Z9 59 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2004 VL 51 IS 6 BP 1133 EP 1153 DI 10.1016/j.jmoneco.2003.10.004 PG 21 WC Business, Finance; Economics SC Business & Economics GA 855XD UT WOS:000224007300003 ER PT J AU Carpenter, SB Rodgers, WM AF Carpenter, SB Rodgers, WM TI The disparate labor market impacts of monetary policy SO JOURNAL OF POLICY ANALYSIS AND MANAGEMENT LA English DT Article ID UNEMPLOYMENT AB Employing two widely used approaches to identify the effects of monetary policy, this paper explores the differential impact of policy on the labor market outcomes of teenagers, minorities, out-of-school youth, and less-skilled individuals. Evidence from recursive vector autoregressions and autoregressive distributed lag models that use information on the Federal Reserve contractionary initiatives indicate that the employment-population ratio of minorities is more sensitive to contractionary monetary policy than that of whites. The ratio falls primarily because of an increase in unemployment and not because of a decline in labor force participation. Monetary policy appears to have a disproportionate effect on the unemployment rate of teenagers, particularly African American teenagers. Their employment-population ratios fall because of increased difficulty in obtaining employment. The larger responses are not caused by their higher likelihood of having been employed in industries and occupations that are more sensitive to contractionary monetary policy. (C) 2004 by the Association for Public Policy Analysis and Management. C1 Fed Reserve Syst, Board Governors, Monetary & Reserve Anal Sect, Div Monetary Affairs, Washington, DC 20551 USA. Rutgers State Univ, Edward J Bloustein Sch Planning & Publ Policy, John J Heldrich Ctr Workforce Dev, Piscataway, NJ 08855 USA. Univ Michigan, Natl Poverty Ctr, Ann Arbor, MI 48109 USA. RP Carpenter, SB (reprint author), Fed Reserve Syst, Board Governors, Monetary & Reserve Anal Sect, Div Monetary Affairs, Washington, DC 20551 USA. NR 30 TC 7 Z9 7 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 FAL PY 2004 VL 23 IS 4 BP 813 EP 830 DI 10.1002/pam.20048 PG 18 WC Economics; Public Administration SC Business & Economics; Public Administration GA 852DX UT WOS:000223736500007 ER PT J AU Case, B Clapp, J Dubin, R Rodriguez, M AF Case, B Clapp, J Dubin, R Rodriguez, M TI Modeling spatial and temporal house price patterns: A comparison of four models SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE kriging; out-of-sample prediction; data snooping; local polynomial regression; smoothing regression; semiparametric models; cluster analysis; nearest neighbors; hedonic models ID REGRESSION AB This research reports results from a competition on modeling spatial and temporal components of house prices. A large, well-documented database was prepared and made available to anyone wishing to join the competition. To prevent data snooping, out-of-sample observations were withheld; they were deposited with one individual who did not enter the competition, but had the responsibility of calculating out-of-sample statistics for results submitted by the others. The competition turned into a cooperative effort, resulting in enhancements to previous methods including: a localized version of Dubin's kriging model, a kriging version of Clapp's local regression model, and a local application of Case's earlier work on dividing a geographic housing market into districts. The results indicate the importance of nearest neighbor transactions for out-of-sample predictions: spatial trend analysis and census tract variables do not perform nearly as well as neighboring residuals. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Univ Connecticut, Ctr Real Estate, Storrs, CT 06269 USA. Case Western Reserve Univ, Weatherhead Sch Management, Dept Econ, Cleveland, OH 44106 USA. Texas Christian Univ, Ft Worth, TX 76129 USA. RP Case, B (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM bradford.case@frb.gov; John.Clapp@business.uconn.edu; rad4@case.edu; M.Rodriguez@tcu.edu OI Clapp, John/0000-0002-0342-367X NR 27 TC 46 Z9 48 U1 1 U2 16 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD SEP PY 2004 VL 29 IS 2 BP 167 EP 191 DI 10.1023/B:REAL.0000035309.60607.53 PG 25 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 839FW UT WOS:000222770000003 ER PT J AU Gorton, G Schmid, FA AF Gorton, Gary Schmid, Frank A. TI CAPITAL, LABOR, AND THE FIRM: A STUDY OF GERMAN CODETERMINATION SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article AB Under the German corporate governance system of codetermination, employees are legally allocated control rights over corporate assets through seats on the supervisory board-that is, the board of nonexecutive directors. The supervisory board oversees the management board-the board of executive directors-approves or rejects its decisions, and appoints its members and sets their salaries. We empirically investigate the implications of this sort of labor participation in corporate decision making. We find that companies with equal representation of employees and shareholders on the supervisory board trade at a 31% stock market discount as compared with companies where employee representatives fill only one-third of the supervisory board seats. We show that under equal representation, management board compensation provides incentives that are not conducive to furthering shareholders' interests, possibly because labor maximizes a different objective function than shareholders. We document that, under equal representation, companies have longer payrolls than their one-third representation peers have. Finally, we provide evidence that shareholders respond to the allocation of control rights to labor by linking supervisory board compensation to firm performance and by leveraging up the firm. (JEL: G32, G34) C1 [Gorton, Gary] Univ Penn, Philadelphia, PA 19104 USA. [Gorton, Gary] NBER, Cambridge, MA 02138 USA. [Schmid, Frank A.] Fed Reserve Bank St Louis, Washington, DC USA. RP Gorton, G (reprint author), Univ Penn, Philadelphia, PA 19104 USA. EM gorton@wharton.upenn.edu; frank.a.schmid@stls.frb.org NR 81 TC 53 Z9 53 U1 1 U2 3 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 SEP PY 2004 VL 2 IS 5 DI 10.1162/1542476042782260 PG 44 WC Economics SC Business & Economics GA V31UD UT WOS:000208907600005 ER PT J AU Kimura, T Kurozumi, T AF Kimura, T Kurozumi, T TI Ifectiveness of history-dependent monetary policy SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article DE monetary policy; history dependence; delegation; policy rules; commitment; discretion; inflation; targeting; price level targeting; income growth targeting ID INFLATION DYNAMICS AB In this paper, we evaluate the effectiveness of history-dependent monetary policy, focusing on the design of targeting regimes and simple policy rules. Our quantitative analysis is based on a small estimated forward-looking model of the Japanese economy with a hybrid Phillips curve. Our main findings are: (1) History-dependent targeting regimes, such as price level targeting and income growth targeting, outperform inflation targeting; (2) Committing to a simple history-dependent policy rule results in nearly the same social welfare as the optimal delegation of price level targeting and income growth targeting; (3) The central bank can achieve almost the same performance as the optimal commitment policy by adopting the first difference hybrid policy rule in which the change in interest rate responds to inflation, output gap, and real income growth rate. (C) 2003 Elsevier Inc. All rights reserved. C1 Bank Japan, Chuo Ku, Tokyo 1038660, Japan. Board Governors Fed Res Syst, Washington, DC 20551 USA. Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. RP Kimura, T (reprint author), Bank Japan, Chuo Ku, 2-1-1,Hongokucho, Tokyo 1038660, Japan. EM takeshi.kimura@frb.gov; tkurozum@andrew.cmu.edu NR 35 TC 4 Z9 4 U1 0 U2 1 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD SEP PY 2004 VL 18 IS 3 BP 330 EP 361 DI 10.1016/j.jjie.2003.11.001 PG 32 WC Economics; International Relations SC Business & Economics; International Relations GA 851FS UT WOS:000223671600003 ER PT J AU Dennis, R AF Dennis, R TI Inferring policy objectives from economic outcomes SO OXFORD BULLETIN OF ECONOMICS AND STATISTICS LA English DT Article ID RATIONAL-EXPECTATIONS MODELS; MONETARY-POLICY; RULES AB Estimated policy rules are reduced-form equations that are silent on many important policy questions. However, a structural understanding of monetary policy can be obtained by estimating a policymaker's objective function. The paper derives conditions under which the parameters in a policymaker's policy objective function can be identified and estimated. We apply these conditions to a New Keynesian sticky-price model of the US economy. The results show that the implicit inflation target and the relative weight placed on interest rate smoothing both declined when Paul Volcker was appointed Federal Reserve chairman. C1 Fed Reserve Bank San Francisco Econ Res, San Francisco, CA 94105 USA. RP Dennis, R (reprint author), Fed Reserve Bank San Francisco Econ Res, San Francisco, CA 94105 USA. EM richard.dennis@sf.frb.org NR 34 TC 22 Z9 24 U1 0 U2 2 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0305-9049 J9 OXFORD B ECON STAT JI Oxf. Bull. Econ. Stat. PD SEP PY 2004 VL 66 SU S BP 735 EP 764 DI 10.1111/j.1468-0084.2004.100_1.x PG 30 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 853IM UT WOS:000223820500007 ER PT J AU Hrop, S AF Hrop, S TI Adaptive coaching: The art and practice of a client-centered approach to performance improvement. SO PERSONNEL PSYCHOLOGY LA English DT Book Review C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Hrop, S (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 3 TC 0 Z9 0 U1 0 U2 4 PU BLACKWELL PUBLISHING INC PI MALDEN PA 350 MAIN ST, MALDEN, MA 02148 USA SN 0031-5826 J9 PERS PSYCHOL JI Pers. Psychol. PD FAL PY 2004 VL 57 IS 3 BP 826 EP 829 PG 4 WC Psychology, Applied; Management SC Psychology; Business & Economics GA 860IQ UT WOS:000224336300024 ER PT J AU Gowrisankaran, G Holmes, TJ AF Gowrisankaran, G Holmes, TJ TI Mergers and the evolution of industry concentration: results from the dominant-firm model SO RAND JOURNAL OF ECONOMICS LA English DT Article ID HORIZONTAL MERGER; ENTRY; MONOPOLY; EQUILIBRIUM; PERSISTENCE; INVESTMENT AB To what extent will an. industry in which mergers are feasible tend toward monopoly? We analyze this question. using a dynamic dominant-firm model with rational agents, endogenous mergers, and constant returns to scale production. We find that long-run industry concentration depends upon. the initial concentration. A monopolistic industry will remain monopolized and a perfectly competitive industry will remain perfectly competitive. For intermediate concentration levels, the dominant firm may acquire or sell capital, depending on its ability to commit to future behavior. Industry evolution also depends on. the elasticities of demand and supply and the discount factor. C1 Washington Univ, St Louis, MO 63130 USA. NBER, Cambridge, MA 02138 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Gowrisankaran, G (reprint author), Washington Univ, St Louis, MO 63130 USA. EM gowrisankaran@wustl.edu; holmes@econ.umn.edu NR 28 TC 22 Z9 22 U1 1 U2 4 PU RAND PI LAWRENCE PA 810 EAST 10TH ST, LAWRENCE, KS 66044 USA SN 0741-6261 J9 RAND J ECON JI Rand J. Econ. PD FAL PY 2004 VL 35 IS 3 BP 561 EP 582 DI 10.2307/1593708 PG 22 WC Economics SC Business & Economics GA 865NK UT WOS:000224709600008 ER PT J AU Chari, VV AF Chari, VV TI Discussion of growth and foreign direct investment: Does policy play a role? SO AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS LA English DT Editorial Material C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Chari, VV (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0002-9092 J9 AM J AGR ECON JI Am. J. Agr. Econ. PD AUG PY 2004 VL 86 IS 3 BP 802 EP 804 DI 10.1111/j.0002-9092.2004.00628.x PG 3 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 833AO UT WOS:000222309000027 ER PT J AU Imrohoroglu, A Merlo, A Rupert, P AF Imrohoroglu, A Merlo, A Rupert, P TI What accounts for the decline in crime? SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article AB In this article we analyze recent trends in aggregate property crime rates in the United States. We propose a dynamic equilibrium model that guides our quantitative investigation of the major determinants of observed patterns of crime. Our main findings can be summarized as follows: First, the model is capable of reproducing the drop in crime between 1980 and 1996. Second, the most important factors that account for the observed decline in property crime are the higher apprehension probability, the stronger economy, and the aging of the population. Third, the effect of unemployment on crime is negligible. Fourth, the increased inequality prevented an even larger decline in crime. Overall, our analysis can account for the behavior of the time series of property crime rates over the past quarter century. C1 Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Univ So Calif, Los Angeles, CA 90089 USA. Univ Western Ontario, London, ON N6A 3K7, Canada. Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Merlo, A (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM merloa@econ.upenn.edu NR 19 TC 27 Z9 27 U1 1 U2 4 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2004 VL 45 IS 3 BP 707 EP 729 DI 10.1111/j.0020-6598.2004.00284.x PG 23 WC Economics SC Business & Economics GA 918GI UT WOS:000228529900003 ER PT J AU Hernandez-Murillo, R Knowles, J AF Hernandez-Murillo, R Knowles, J TI Racial profiling or racist policing? Bounds tests in aggregate data SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article AB State-wide reports on police traffic stops and searches summarize very large populations, making them potentially powerful tools for identifying racial bias, particularly when statistics on search outcomes are included. But when the reported statistics conflate searches involving different levels of police discretion, standard tests for racial bias are not applicable. This article develops a model of police search decisions that allows for non discretionary searches and derives tests for racial bias in data that mix different search types. Our tests reject unbiased policing as an explanation of the disparate impact of motor-vehicle searches on minorities in Missouri. C1 Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Knowles, J (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM jknowles@econ.sas.upenn.edu NR 15 TC 34 Z9 34 U1 0 U2 3 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2004 VL 45 IS 3 BP 959 EP 989 DI 10.1111/j.0020-6598.2004.00293.x PG 31 WC Economics SC Business & Economics GA 918GI UT WOS:000228529900012 ER PT J AU Hannan, TH Prager, RA AF Hannan, TH Prager, RA TI The competitive implications of multimarket bank branching SO JOURNAL OF BANKING & FINANCE LA English DT Article DE banks; competition; pricing ID MARKETS AB Retail banking markets have traditionally been viewed as locally limited. However, recent studies have found evidence that large multimarket banking organizations tend to offer uniform interest rates for retail deposit accounts throughout the area that they serve, at least within a given state. This uniform pricing phenomenon raises questions about the continued relevance of the concept of local banking markets for both research and antitrust purposes. We address this issue by employing a model designed to explain the pricing behavior of single-market banks that face competition from multimarket banks. Empirical results are found to be consistent with the many implications of the model. We find that even with multimarket banks present in the market, local market concentration influences the pricing behavior of single-market banks; however, this relationship weakens as the market share of multimarket banks grows. We also find that, on average, multimarket banks offer lower deposit interest rates than do single-market banks operating in the same market, and, in most cases, greater multimarket bank presence is associated with lower deposit interest rates offered by single-market banks. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Prager, RA (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM robin.prager@frb.gov NR 13 TC 39 Z9 40 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD AUG PY 2004 VL 28 IS 8 BP 1889 EP 1914 DI 10.1016/j.jbankfin.2003.06.006 PG 26 WC Business, Finance; Economics SC Business & Economics GA 835KU UT WOS:000222482700008 ER PT J AU Thornton, DL AF Thornton, DL TI Forecasting the treasury's balance at the Fed SO JOURNAL OF FORECASTING LA English DT Article DE open market operations; Treasury balance; federal funds rate ID CONSISTENT COVARIANCE-MATRIX; HETEROSKEDASTICITY AB As part of the Fed's daily operating procedure, the Federal Reserve Bank of New York, the Board of Governors and the Treasury make a forecast of that day's Treasury balance at the Fed. These forecasts are an integral part of the Fed's daily operating procedure. Errors in these forecasts can generate variation in reserve supply and, consequently, the federal funds rate. This paper evaluates the accuracy of these forecasts. The evidence suggests that each agency's forecast contributes to the optimal, i.e., minimum variance, forecast and that the Trading Desk of the Federal Reserve Bank of New York incorporates information from all three of the agency forecasts in conducting daily open market operations. Moreover, these forecasts encompass the forecast of an economic model. Copyright (C) 2004 John Wiley Sons, Ltd. C1 Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63166 USA. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, Dept Res, POB 442, St Louis, MO 63166 USA. EM thornton@stls.frb.org NR 8 TC 1 Z9 1 U1 2 U2 3 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0277-6693 J9 J FORECASTING JI J. Forecast. PD AUG PY 2004 VL 23 IS 5 BP 357 EP 371 DI 10.1002/for.920 PG 15 WC Economics; Management SC Business & Economics GA 850YE UT WOS:000223649500003 ER PT J AU Sack, B AF Sack, B TI Extracting the expected path of monetary policy from futures rate SO JOURNAL OF FUTURES MARKETS LA English DT Article ID TERM STRUCTURE AB Federal funds and eurodollar futures contracts are among the most useful instruments for deriving expectations of the future path of monetary policy However, reading policy expectations from those instruments is complicated by the presence of risk premia. This paper demonstrates how to extract the expected policy path under the assumption that risk premia are constant over time, and under a simple model that allows risk premia to vary. In the latter case, the risk premia are identified under the assumption that policy expectations level out after a long enough horizon. The results provide evidence that the risk premia on these futures contracts vary over time. The impact of this variation is fairly limited for futures contracts with short horizons, but it increases as the horizon of the contracts lengthens. (C) 2004 Wiley Periodicals, Inc. C1 Fed Reserve Board Governors, Div Monetary Affairs, Washington, DC USA. RP Sack, B (reprint author), Fed Reserve Board Governors, Div Monetary Affairs, Washington, DC USA. EM bsack@frb.gov NR 12 TC 13 Z9 13 U1 0 U2 1 PU JOHN WILEY & SONS INC PI HOBOKEN PA 111 RIVER ST, HOBOKEN, NJ 07030 USA SN 0270-7314 J9 J FUTURES MARKETS JI J. Futures Mark. PD AUG PY 2004 VL 24 IS 8 BP 733 EP 754 DI 10.1002/fut.20109 PG 22 WC Business, Finance SC Business & Economics GA 832OL UT WOS:000222276700002 ER PT J AU Andres, J Lopez-Salido, JD Nelson, E AF Andres, J Lopez-Salido, JD Nelson, E TI Tobin's imperfect asset substitution in optimizing general equilibrium SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article; Proceedings Paper CT James Tobin Symposium CY NOV 14-15, 2003 CL Chicago, IL SP Journal Money, Credit & Banking, Fed Reserve Bank Chicago DE imperfect asset substitution; term structure; transmission mechanism of monetary policy ID MONETARY-POLICY; MONEY; PRICES AB In this paper, we present a dynamic optimizing model that allows explicitly for imperfect substitutability between different financial assets. This is specified in a manner which captures Tobin's (1969) view that an expansion of one asset's supply affects both the yield on that asset and the spread or "risk premium" between returns on that asset and alternative assets. Our estimates of this model on U.S. data confirm that some of the observed deviations of long-term rates from the expectations theory of the term structure can be traced to movements in the relative stocks of financial assets. The richer aggregate demand and asset specifications imply that there exists an additional channel of monetary policy. Our results suggest that central bank operations exercise a modest influence on the relative prices of alternative financial securities, and so exert an extra effect on long-term yields and aggregate demand separate from their effect on the expected path of short-term rates. C1 Univ Valencia, E-46003 Valencia, Spain. Bank Spain, Dept Res, Madrid, Spain. CEPR, London, England. Fed Reserve Bank St Louis, St Louis, MO USA. RP Univ Valencia, E-46003 Valencia, Spain. EM Javier.Andres@uv.es; DavidL@bde.es; EdwardNelson@stls.frb.org RI Andres, Javier/K-7793-2014 OI Andres, Javier/0000-0003-0980-4833 NR 41 TC 31 Z9 31 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 AUG PY 2004 VL 36 IS 4 BP 665 EP 690 DI 10.1353/mcb.2004.0061 PG 26 WC Business, Finance; Economics SC Business & Economics GA 850HX UT WOS:000223602900003 ER PT J AU Cole, HL Ohanian, LE AF Cole, HL Ohanian, LE TI New deal policies and the persistence of the great depression: A general equilibrium analysis SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID UNEMPLOYMENT; EXPLANATION AB There are two striking aspects of the recovery from the Great Depression in the United States: the recovery was very weak, and real wages in several sectors rose significantly above trend. These data contrast sharply with neoclassical theory, which predicts a strong recovery with low real wages. We evaluate the contribution to the persistence of the Depression of New Deal cartelization policies designed to limit competition and increase labor bargaining power. We develop a model of the bargaining process between labor and firms that occurred with these policies and embed that model within a multisector dynamic general equilibrium model. We find that New Deal cartelization policies are an important factor in accounting for the failure of the economy to recover back to trend. C1 Univ Calif Los Angeles, Los Angeles, CA 90024 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Cole, HL (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. NR 30 TC 120 Z9 120 U1 3 U2 16 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD AUG PY 2004 VL 112 IS 4 BP 779 EP 816 DI 10.1086/421169 PG 38 WC Economics SC Business & Economics GA 838FR UT WOS:000222699400003 ER PT J AU Barrow, L Rouse, CE AF Barrow, L Rouse, CE TI Using market valuation to assess public school spending SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE school choice; education spending; efficiency; competition; Tiebout ID EDUCATION-FINANCE REFORM; INCOME-DISTRIBUTION; QUALITY MATTER; UNITED-STATES; CLASS SIZE; EFFICIENCY; PRODUCTIVITY; RESOURCES; UNIONS; SECTOR AB We examine whether school expenditures are valued by potential residents and whether the current level of public school provision is inefficient by estimating the effect of state education aid on residential property values. We find evidence that, overall, state aid is valued by potential residents and that school districts do not overspend on education. However, we find that districts may overspend in areas where residents have fewer schooling options but find no difference in efficiency by the degree of district unionization. One interpretation of these results is that increased competition may reduce overspending on public schools in some areas. (C) 2003 Elsevier B.V. All rights reserved. C1 Princeton Univ, Firestone Lib, Ind Relat Sect, Princeton, NJ 08544 USA. Econ Res Fed Reserve Bank Chicago, Chicago, IL 60404 USA. RP Rouse, CE (reprint author), Princeton Univ, Firestone Lib, Ind Relat Sect, Princeton, NJ 08544 USA. EM rouse@princeton.edu NR 32 TC 30 Z9 31 U1 1 U2 8 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD AUG PY 2004 VL 88 IS 9-10 BP 1747 EP 1769 DI 10.1016/S0047-2727(03)00024-0 PG 23 WC Economics SC Business & Economics GA 831HK UT WOS:000222185300004 ER PT J AU Edison, HJ Warnock, FE AF Edison, HJ Warnock, FE TI US investors' emerging market equity portfolios: A security-level analysis SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article; Proceedings Paper CT Symposium on Global Linkages CY JAN 30-31, 2003 CL Washington, DC SP Int Monetary Fund ID HOME BIAS; UNITED-STATES; INSTITUTIONAL INVESTORS; CROSS-LISTINGS; ASSET PRICES; INFORMATION; INVESTMENT; EQUILIBRIUM; OWNERSHIP; HOLDINGS AB We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. We document that at a point in time U.S. portfolios are tilted towards firms that are large, have fewer restrictions on foreign ownership, or are cross-listed on a U.S. exchange. The size of the cross-listing effect is striking. In contrast to the well-documented under-weighting of foreign stocks, emerging market equities that are cross-listed on a U.S. exchange are incorporated into U.S. portfolios at full international CAPM weights. Our results suggest that information asymmetries play an important role in equity home bias and that the benefits of international risk sharing are limited to select firms. C1 Int Monetary Fund, Washington, DC 20431 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Edison, HJ (reprint author), Int Monetary Fund, Washington, DC 20431 USA. RI Edison, Hali/A-7550-2009 NR 53 TC 31 Z9 31 U1 1 U2 7 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD AUG PY 2004 VL 86 IS 3 BP 691 EP 704 DI 10.1162/0034653041811671 PG 14 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 850TR UT WOS:000223636100005 ER PT J AU Ahmed, S Levin, A Wilson, BA AF Ahmed, S Levin, A Wilson, BA TI Recent US macroeconomic stability: Good policies, good practices, or good luck? SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article AB The volatility of U.S. real GDP growth since 1984 has been markedly lower than over the previous quarter century. We utilize frequency-domain and VAR methods to distinguish among competing explanations for this reduction: improvements in monetary policy, better business practices, and a fortuitous reduction in exogenous disturbances. We find that reduced innovation variances account for much of the decline in aggregate output volatility, suggesting that good luck is the most likely explanation. Good practices and good policy appear to have played a more important role in explaining the post-1984 decline in the volatility of consumer price inflation. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Ahmed, S (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 16 TC 87 Z9 88 U1 0 U2 5 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD AUG PY 2004 VL 86 IS 3 BP 824 EP 832 DI 10.1162/0034653041811662 PG 9 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 850TR UT WOS:000223636100014 ER PT J AU Saiz, A Zoido, E AF Saiz, A Zoido, E TI Curriculum mandates and skills in adulthood: the case of foreign languages SO ECONOMICS LETTERS LA English DT Article DE skill formation; high school curriculum; college admission and graduation requirements; human capital; returns to education AB High school foreign language (FL) requirements have a positive impact on the second language proficiency of adult college graduates. College entry and graduation requirements are also effective. The results demonstrate a link between school curriculum and subject-specific skills later in life. (C) 2003 Elsevier B.V. All rights reserved. C1 Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA USA. LECG, Madrid, Spain. RP Saiz, A (reprint author), Univ Penn, Wharton Sch, 310 Lauder Fischer Hall,256 S 37th St, Philadelphia, PA 19104 USA. EM saiz@wharton.upenn.edu NR 9 TC 1 Z9 1 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 JUL PY 2004 VL 84 IS 1 BP 1 EP 8 DI 10.1016/j.econlet.2003.11.008 PG 8 WC Economics SC Business & Economics GA 828RV UT WOS:000221991400001 ER PT J AU Piger, JM Thornton, DL AF Piger, JM Thornton, DL TI Untitled SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Piger, JM (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM jeremy.m.piger@stls.frb.org RI Piger, Jeremy/I-7643-2012 OI Piger, Jeremy/0000-0001-6592-9986 NR 0 TC 2 Z9 2 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 JUL-AUG PY 2004 VL 86 IS 4 BP 3 EP 13 PG 11 WC Business, Finance; Economics SC Business & Economics GA 893UP UT WOS:000226745200001 ER PT J AU Levin, AT Natalucci, FM Piger, JM AF Levin, AT Natalucci, FM Piger, JM TI The macroeconomic effects of inflation tareting SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 28th Annual Economic Policy Conference of the Federal Reserve Bank of St Louis CY OCT 16-17, 2003 CL St Louis, MO ID TRANSITION ECONOMIES; EMERGING-MARKET; MONETARY-POLICY; TERM STRUCTURE; PERSISTENCE; MODELS C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Levin, AT (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, 20th St & Constitut NW, Washington, DC 20551 USA. EM fabio.m.natalucci@frb.gov; jeremy.m.picrer@stls.frb.org RI Piger, Jeremy/I-7643-2012 OI Piger, Jeremy/0000-0001-6592-9986 NR 65 TC 88 Z9 89 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 JUL-AUG PY 2004 VL 86 IS 4 BP 51 EP 80 PG 30 WC Business, Finance; Economics SC Business & Economics GA 893UP UT WOS:000226745200004 ER PT J AU Faust, J Henderson, DW AF Faust, J Henderson, DW TI Is inflation targeting best-practice monetary policy? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 28th Annual Economic Policy Conference of the Federal Reserve Bank of St Louis CY OCT 16-17, 2003 CL St Louis, MO ID INFORMATION; CONTRACTS; RULES; WAGE C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Fed Reserve Syst, Board Governors, Div Int Finance, 20th St & Constitut NW, Washington, DC 20551 USA. EM jon.faust@frb.gov; dale.henderson@frb.gov NR 73 TC 27 Z9 28 U1 2 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2004 VL 86 IS 4 BP 117 EP 143 PG 27 WC Business, Finance; Economics SC Business & Economics GA 893UP UT WOS:000226745200008 ER PT J AU Covitz, DM Harrison, P AF Covitz, DM Harrison, P TI Do banks time bond issuance to trigger disclosure, due diligence, and investor scrutiny? SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE bond issuance; disclosure; due diligence; financial institutions ID UNDERWRITER CERTIFICATION; SHELF REGISTRATION; STOCK-PRICES; MARKET; INFORMATION; PERFORMANCE; DISCIPLINE; KNOWS; DEBT AB This paper tests a new hypothesis that bank managers issue public debt, at least in part, to convey positive, private information and refrain from issuance to hide negative, private information. This "positive selection" hypothesis is tested against the traditional "adverse selection" hypothesis. We find evidence for "positive selection," using ratings migrations, equity returns, bond issuance, and balance sheet data for US bank holding companies. The results add to our understanding of "market discipline" in monitoring bank holding companies and also inform upon how proposed regulatory requirements that banking organizations frequently issue public debt might augment "market discipline." (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Covitz, DM (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 89,20th & C St NW, Washington, DC 20551 USA. EM dcovitz@frb.gov NR 39 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 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JUL PY 2004 VL 13 IS 3 BP 299 EP 323 DI 10.1016/j.jfi.2003.10.001 PG 25 WC Business, Finance SC Business & Economics GA 830CY UT WOS:000222100400001 ER PT J AU Chari, VV AF Chari, VV TI Comment on: "An empirical analysis of the economic impact of federal terrorism reinsurance" SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minnesota, Minneapolis, MN 54401 USA. RP Chari, VV (reprint author), Univ Minnesota, Dept Econ, 271 19th Ave S, Minneapolis, MN 55455 USA. EM chari@res.mpls.frb.fed.us NR 0 TC 1 Z9 1 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2004 VL 51 IS 5 BP 899 EP 902 DI 10.1016/j.jmoneco.2004.04.004 PG 4 WC Business, Finance; Economics SC Business & Economics GA 849AA UT WOS:000223508300002 ER PT J AU Sarte, PDG AF Sarte, PDG TI Comment on: "Cities under stress" SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. RP Sarte, PDG (reprint author), Fed Reserve Bank Richmond, Dept Res, POB 27622, Richmond, VA 23261 USA. EM pierre.sarte@rich.frb.org NR 8 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2004 VL 51 IS 5 BP 929 EP 933 DI 10.1016/j.jmoneco.2004.04.008 PG 5 WC Business, Finance; Economics SC Business & Economics GA 849AA UT WOS:000223508300004 ER PT J AU Lacker, JM AF Lacker, JM TI Payment system disruptions and the federal reserve following September 11, 2001 SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Central bank; Federal reserve; monetary policy; discount window; payment system; September 11; banking crises; daylight credit ID SETTLEMENT AB The monetary and payment system consequences of the September 11, 2001, terrorist attacks and the Federal Reserve's response are reviewed. Interbank payment disruptions appear to be a central feature of many US banking crises, and interbank payment disruptions seem likely to recur. Federal Reserve credit extension following September 11 succeeded in massively increasing the supply of banks' balances to satisfy the disruption-induced increase in demand and thereby ameliorate the effects of the shock. Relatively benign banking conditions helped make Fed credit policy manageable. An interbank payment disruption that coincided with less-favorable banking conditions could be more difficult to manage, given current daylight credit policies. Paying interest on reserves would facilitate improvements in daylight credit policy. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. RP Lacker, JM (reprint author), Fed Reserve Bank Richmond, Dept Res, POB 27622, Richmond, VA 23261 USA. EM jeffrey.lacker@rich.frb.org NR 82 TC 17 Z9 17 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 JUL PY 2004 VL 51 IS 5 BP 935 EP 965 DI 10.1016/j.jmoneco.2004.04.005 PG 31 WC Business, Finance; Economics SC Business & Economics GA 849AA UT WOS:000223508300005 ER PT J AU Eckstein, Z Tsiddon, D AF Eckstein, Z Tsiddon, D TI Macroeconomic consequences of terror: theory and the case of Israel SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE macroeconomic consequences; terror ID NUCLEAR-WAR AB This paper analyzes the effect of terror on the economy. Terror endangers life such that the value of the future relative to the present is reduced. Hence, due to a rise in terror activity, investment goes down, and in the long run income and consumption go down as well. Governments can offset terror by putting tax revenues into the production of security. Facing a tide in terror, a government that acts optimally increases the proportion of output spent on defense, but does not fully offset the tide. Thus, when terror peaks the long run equilibrium with an optimizing government is of lower output and welfare. Next, we show that this theory of terror and the economy, helps to understand changes in trend and business cycle of the Israeli economy. The estimates show that terror has a large impact on the aggregate economy. Continued terror, at the level of the death toll by about the same size as due to car accidents, is expected to decrease annual consumption per capita by about 5% in 2004. Had Israel not suffered from terror during the last 3 years, we estimate that the output per capita would have been 10% higher than it is today. (C) 2004 Elsevier B.V. All rights reserved. C1 Eitan Berglas Sch Econ, IL-69978 Tel Aviv, Israel. Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. CEPR, London EC1 V7RR, England. RP Eckstein, Z (reprint author), Eitan Berglas Sch Econ, IL-69978 Tel Aviv, Israel. EM eckstein@post.tau.ac.il; tsiddon@post.tau.ac.il NR 16 TC 107 Z9 108 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 JUL PY 2004 VL 51 IS 5 BP 971 EP 1002 DI 10.1016/j.jmoneco.2004.05.001 PG 32 WC Business, Finance; Economics SC Business & Economics GA 849AA UT WOS:000223508300007 ER PT J AU Blomberg, SB Hess, GD Orphanides, A AF Blomberg, SB Hess, GD Orphanides, A TI The macroeconomic consequences of terrorism SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE growth; conflict; terrorism ID GROWTH; EQUILIBRIUM; WAR AB We perform an empirical investigation of the macroeconomic consequences of international terrorism and interactions with alternative forms of collective violence. Our analysis is based on a rich unbalanced panel data set with annual observations on 177 countries from 1968 to 2000, which brings together information from the Penn World Table data set, the ITERATE data set for terrorist events, and data sets of external and internal conflict. We explore these data with cross-sectional and panel growth regression analysis and a structural VAR model. We find that, on average, the incidence of terrorism may have an economically significant negative effect on growth, albeit one that is considerably smaller and less persistent than that associated with either external wars or internal conflict. As well, terrorism is associated with a redirection of economic activity away from investment spending and towards government spending. However, our investigation also suggests important differences both regarding the incidence and the economic consequences of terrorism among different sets of countries. In OECD economies, in particular, terrorist incidents are considerably more frequent than in other nations, but the negative influence of these incidents on growth is smaller. (C) 2004 Published by Elsevier B.V. C1 Claremont Mckenna Coll, Dept Econ, Claremont, CA 91711 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Blomberg, SB (reprint author), Claremont Mckenna Coll, Dept Econ, Claremont, CA 91711 USA. EM bblomberg@mckenna.edu NR 40 TC 95 Z9 95 U1 5 U2 12 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2004 VL 51 IS 5 BP 1007 EP 1032 DI 10.1016/j.jmoneco.2004.04.001 PG 26 WC Business, Finance; Economics SC Business & Economics GA 849AA UT WOS:000223508300009 ER PT J AU Han, S AF Han, S TI Discrimination in lending: Theory and evidence SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE economics of discrimination; mortgage lending; default ID CREDIT MARKETS; LOAN PERFORMANCE; FINANCIAL SERVICES; CULTURAL AFFINITY; MORTGAGE CREDIT; OWNED BANKS; RACE; DEFAULT; INFORMATION; MODELS AB Using a general equilibrium model of credit market discrimination, I find that both taste-based discrimination and statistical discrimination have similar predictions for the intergroup differences in loan terms. The commonly held view has been that if taste-based discrimination exists, loans approved to minority borrowers will have higher expected profitability than those to majorities with comparable credit background. I show that the validity of this profitability view depends crucially on how expected loan profitability is measured. I also show that taste-based discrimination must exist if loans to minority borrowers have higher expected rates of return or lower expected rates of default loss than those to majorities with the same exogenous characteristics observed by lender at the time of loan originations. My analysis suggests that the valid method to test for taste-based discrimination should be reduced-form regressions. Empirically, I fail to find supporting evidence for the existence of taste-based discrimination. C1 Fed Reserve Board, Washington, DC USA. RP Han, S (reprint author), Fed Reserve Board, Washington, DC USA. EM Song.Han@frb.gov NR 89 TC 9 Z9 9 U1 3 U2 23 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5638 J9 J REAL ESTATE FINANC JI J. Real Estate Financ. Econ. PD JUL PY 2004 VL 29 IS 1 BP 5 EP 46 DI 10.1023/B:REAL.0000027199.22889.65 PG 42 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 819RA UT WOS:000221331100001 ER PT J AU Carlino, G Coulson, NE AF Carlino, G Coulson, NE TI Compensating differentials and the social benefits of the NFL SO JOURNAL OF URBAN ECONOMICS LA English DT Article ID PROFESSIONAL SPORTS; QUALITY; LIFE; FRANCHISES AB We use hedonic rent and wage equations to measure compensating differentials in central cities and metropolitan areas with franchises of the National Football League. Rents are about 8 percent higher in the central cities, but this impact may not carry over to broader geographical areas. Wages are about 2 percent lower in areas with teams, but the standard error on this parameter is large. The central city results indicate that sports franchises appear to be a public good. Once these quality-of-life benefits are included in the calculus, the large public expenditure on new stadiums appears to be a good investment for cities and their residents. (C) 2004 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19104 USA. Penn State Univ, Dept Econ, University Pk, PA 16802 USA. RP Carlino, G (reprint author), Fed Reserve Bank Philadelphia, Dept Res, 10 Independence Mall, Philadelphia, PA 19104 USA. EM jerry.carlino@phil.frb.org NR 22 TC 61 Z9 61 U1 1 U2 17 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 2004 VL 56 IS 1 BP 25 EP 50 DI 10.1016/j.jue.2004.03.001 PG 26 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 835TR UT WOS:000222508900002 ER PT J AU Cutler, DM Johnson, R AF Cutler, DM Johnson, R TI The birth and growth of the social insurance state: Explaining old age and medical insurance across countries SO PUBLIC CHOICE LA English DT Article ID ETHNIC DIVISIONS; BUDGET AB We examine the factors leading to creation and growth of national Old-Age Insurance (OAI) and Health Insurance schemes. None of the theories we test fit the data very well. There is weak evidence that the probability of adopting a system declines in a country's wealth and in the ethnic heterogeneity of its population. Catholic countries are more likely to create earnings-related OAI systems. The growth of OAI spending since 1960 has varied considerably across countries, with fast growth in countries emerging from dictatorship and non-English speaking countries. We conclude that social insurance can be politically expedient for many different reasons. C1 Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Cutler, DM (reprint author), Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. EM richard.johnson@kc.frb.org NR 53 TC 17 Z9 17 U1 1 U2 4 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0048-5829 J9 PUBLIC CHOICE JI Public Choice PD JUL PY 2004 VL 120 IS 1-2 BP 87 EP 121 DI 10.1023/B:PUCH.0000035859.20258.e0 PG 35 WC Economics; Political Science SC Business & Economics; Government & Law GA 840QZ UT WOS:000222875700005 ER PT J AU Kocherlakota, NR AF Kocherlakota, NR TI Figuring out the impact of hidden savings on optimal unemployment insurance SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article ID REPEATED MORAL HAZARD AB In this paper, I consider the problem of optimal unemployment insurance in a world in which the unemployed agent's job-finding effort is unobservable and his level of savings is unobservable. I show that the first-order approach is not always valid for this problem, and I argue that the available recursive procedures are not currently computationally feasible. Nonetheless, for the case in which the disutility of effort is linear, I am able to provide a complete characterization of the optimal contract: the agent's consumption is constant while he is unemployed, and jumps up to a higher constant and history-independent level of consumption when he finds a job. (C) 2004 Elsevier Inc. All rights reserved. C1 Stanford Univ, Stanford, CA 94305 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NBER, Cambridge, MA 02138 USA. RP Kocherlakota, NR (reprint author), Stanford Univ, Stanford, CA 94305 USA. EM nkocher@stanford.edu NR 14 TC 33 Z9 33 U1 0 U2 1 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2004 VL 7 IS 3 BP 541 EP 554 DI 10.1016/j.red.2004.01.003 PG 14 WC Economics SC Business & Economics GA 831VL UT WOS:000222224400002 ER PT J AU De Nardi, M AF De Nardi, M TI Wealth inequality and intergenerational links SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID LIFE-CYCLE ECONOMIES; TRANSFERS; ACCUMULATION; INHERITANCE; CONSUMPTION; MOBILITY; INCOME; TAXES AB Previous work has had difficulty generating household saving behaviour that makes the distribution of wealth much more concentrated than that of tabour earnings, and that makes the richest households hold onto large amounts of wealth, even during very old age. I construct a quantitative, general equilibrium, overlapping-generations model in which parents and children are linked by accidental and voluntary bequests and by earnings ability. I show that voluntary bequests can explain the emergence of large estates, while accidental bequests alone cannot, and that adding earnings persistence within families increases wealth concentration even more. I also show that the introduction of a bequest motive generates lifetime savings profiles more consistent with the data. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP De Nardi, M (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 46 TC 92 Z9 92 U1 5 U2 29 PU REVIEW OF ECONOMIC STUDIES LTD PI OXFORD PA C/O BASIL BLACKWELL LTD, 108 COWLEY RD, PO BOX 805, OXFORD OX4 1JF, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JUL PY 2004 VL 71 IS 3 BP 743 EP 768 PG 26 WC Economics SC Business & Economics GA 843TP UT WOS:000223109800006 ER PT J AU Taylor, JE Kim, J AF Taylor, JE Kim, J TI The pre- and postwar price-output paradox revisited SO SOUTHERN ECONOMIC JOURNAL LA English DT Article ID GROWTH; INFLATION; LESSONS AB This article addresses past findings of a change in the sign of the price-output correlation in the pre-and post-World War II eras. This "paradox" can be resolved by taking into account the changing direction of price movements, deflation to inflation, during the two time periods. There is, in fact, a consistently negative correlation between the absolute value of price level changes and changes in output in both time periods and throughout the entire sample. This finding offers empirical support to economic theories espousing the benefits of price stability. C1 Cent Michigan Univ, Dept Econ, Mt Pleasant, MI 48859 USA. Fed Reserve Board, Div Monetary Affairs, Washington, DC 20551 USA. RP Taylor, JE (reprint author), Cent Michigan Univ, Dept Econ, 321 Sloan Hall, Mt Pleasant, MI 48859 USA. EM Taylo2je@cmich.edu; Jinill.Kim@frb.gov NR 15 TC 0 Z9 0 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 JUL PY 2004 VL 71 IS 1 BP 163 EP 169 DI 10.2307/4135318 PG 7 WC Economics SC Business & Economics GA 841BI UT WOS:000222903900013 ER PT J AU Gruben, WC Mcleod, D AF Gruben, WC Mcleod, D TI The openness-inflation puzzle revisited SO APPLIED ECONOMICS LETTERS LA English DT Article AB Dynamic panel estimates show the negative relation between trade openness and inflation found by Romer (Quarterly Journal of Economics, (VIII, 869-903, 1993) but questioned by Terra (Quarterly Journal of Economics, (XIII, 641-48, 1998) became more robust in the 1990s, both among high income OECD and developing countries. Trade openness was also associated with less variable inflation during the 1990s and had a stronger disinflation effect in economies with floating exchange rates. C1 Fordham Univ, Dept Econ, Bronx, NY 10458 USA. Fed Reserve Bank Dallas, Ctr Latin Amer Econ, Dallas, TX 75201 USA. RP Mcleod, D (reprint author), Fordham Univ, Dept Econ, 441 E Fordham Rd, Bronx, NY 10458 USA. EM mcleod@fordham.edu NR 9 TC 14 Z9 15 U1 1 U2 3 PU ROUTLEDGE TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1350-4851 J9 APPL ECON LETT JI Appl. Econ. Lett. PD JUN 15 PY 2004 VL 11 IS 8 BP 465 EP 468 DI 10.1080/1350485042000244477 PG 4 WC Economics SC Business & Economics GA 837CS UT WOS:000222605900001 ER PT J AU Durham, JB AF Durham, JB TI Economic growth and institutions: Some sensitivity analyses, 1961-2000 SO INTERNATIONAL ORGANIZATION LA English DT Article ID POLITICAL FOUNDATIONS; GOVERNANCE STRUCTURES; SECURE MARKETS; STOCK MARKETS; PERFORMANCE; DEMOCRACIES; CONSTITUTIONS; DETERMINANTS; ECONOMETRICS; REGRESSIONS AB Do institutions help explain macroeconomic performance? This article addresses two issues. First, especially given the practical implications of the literature, measurement of institutions should avoid tautologies, and therefore this study uses econometrics to estimate the effect of objectively measurable institutions such as labor market organization, financial development, fiscal federalism, and political regime-type. Second, the growing literature on these promising factors, in turn, is unfortunately incommensurable because previous studies fail to control for other institutional and, in some cases, standard economic variables. Given data on up to ninety-four countries from 1961 through 2000, extreme-bound analysis (EBA), an econometric technique that addresses the sensitivity of previous findings to alternative assumptions about model specification, suggests that some institutions associated with the organization of labor and capital are robust correlates of investment. Few data support the view that variables related to the organization of the state, including fiscal federalism and political regime-type, affect macroeconomic performance. C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Durham, JB (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. EM j.benson.durham@frb.gov NR 64 TC 4 Z9 4 U1 2 U2 3 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4211 USA SN 0020-8183 J9 INT ORGAN JI Int. Organ. PD SUM PY 2004 VL 58 IS 3 BP 485 EP 529 DI 10.1017/S0020818304583030 PG 45 WC International Relations; Political Science SC International Relations; Government & Law GA 848DK UT WOS:000223447300003 ER PT J AU Estrella, A AF Estrella, A TI The cyclical behavior of optimal bank capital SO JOURNAL OF BANKING & FINANCE LA English DT Article DE value at risk; bank regulation ID RISK-MANAGEMENT; FINANCIAL INSTITUTIONS; AGENCY COSTS; INVESTMENT; DEMAND; CREDIT; CHOICE AB This paper presents a dynamic model of optimal bank capital in which the bank optimizes over costs associated with failure, holding capital, and flows of external capital. The solution to the infinite-horizon stochastic optimization problem is related to period-by-period value at risk (var) in which the optimal probability of failure is endogenously determined. Over a cycle, var is positively correlated with optimal flows of external capital, but negatively correlated with optimal net changes in capital and the optimal level of total capital. Analysis of this pattern suggests that a regulatory minimum requirement based on var, if binding, is likely to be procyclical. The model points to several ways of reducing this problem. For example, a var-based requirement makes more sense if it is applied to external capital flows than if it is applied to the total level of capital. US commercial bank data since 1984 are generally consistent with the model. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Capital Markets Funct, New York, NY 10045 USA. RP Estrella, A (reprint author), Fed Reserve Bank New York, Capital Markets Funct, 33 Liberty St, New York, NY 10045 USA. EM arturo.estrella@ny.frb.org NR 49 TC 36 Z9 39 U1 3 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 JUN PY 2004 VL 28 IS 6 BP 1469 EP 1498 DI 10.1016/S0378-4266(03)00130-4 PG 30 WC Business, Finance; Economics SC Business & Economics GA 820OG UT WOS:000221398600012 ER PT J AU Hogarth, JM Anguelov, CE Lee, J AF Hogarth, JM Anguelov, CE Lee, J TI Why don't households have a checking account? SO JOURNAL OF CONSUMER AFFAIRS LA English DT Article ID MODEL AB Using the Surveys of Consumer Finance from 1989 to 2001, this study explores households' reasons for not having a checking account. Reasons have changed over time, shifting away from account features and toward human capital and institutional reasons. We also find that reasons for not having an account are related to income, race/ethnicity, marital status/gender, planning horizon, education, previous account experience, and credit history. We suggest potential responses for community educators, firms, and policy makers. C1 Fed Reserve Board, Washington, DC USA. Ohio State Univ, Dept Consumer & Text Sci, Columbus, OH 43210 USA. RP Hogarth, JM (reprint author), Fed Reserve Board, Washington, DC USA. EM jeanne.m.hogarth@frb.gov NR 61 TC 15 Z9 15 U1 2 U2 5 PU AMER COUNCIL CONSUMER INTEREST PI AMES PA 415 S DUFF AVE, STE C, AMES, IA 50010-6600 USA SN 0022-0078 J9 J CONSUM AFF JI J. Consum. Aff. PD SUM PY 2004 VL 38 IS 1 BP 1 EP 34 PG 34 WC Business; Economics SC Business & Economics GA 853NL UT WOS:000223834200001 ER PT J AU Dennis, R AF Dennis, R TI Solving for optimal simple rules in rational expectations models SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE discretion; precommitment; operational policy rules ID OPTIMAL MONETARY-POLICY; PERSPECTIVE; INFLATION; ECONOMY; GROWTH AB This paper presents algorithms that solve for optimal simple monetary policy rules in rational expectations models with precommitment and discretion. The algorithms are applied to the models in Fuhrer (J. Money, Credit, Banking 29 (1997) 214), Clarida et al. (J. Econ. Lit. 37 (1999) 1661) and Rudebusch (Econ. J. 112 (2002) 402) to examine the efficiency properties of operational policy rules. We show that optimized Taylor-type rules preform well in these models, but that, aside from the Fuhrer-Moore model, this result is sensitive to whether the central bank can respond to current period shocks. Taylor-type rules that are operational in the sense that they do not respond to current period information are found to be highly inefficient in the Rudebusch model and in the Clarida et al. (1999) model. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, Econ Res, San Francisco, CA 94105 USA. RP Fed Reserve Bank San Francisco, Econ Res, 101 Market St,Mail Stop 1130, San Francisco, CA 94105 USA. EM richard.dennis@sf.frb.org NR 51 TC 14 Z9 14 U1 0 U2 1 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 2004 VL 28 IS 8 BP 1635 EP 1660 DI 10.1016/S0165-1889(03)00097-6 PG 26 WC Economics SC Business & Economics GA 803XY UT WOS:000220265000009 ER PT J AU Holmes, TJ Stevens, JJ AF Holmes, TJ Stevens, JJ TI Geographic concentration and establishment size: analysis in an alternative economic geography model SO JOURNAL OF ECONOMIC GEOGRAPHY LA English DT Article DE geographic concentration; establishment size; transportation costs; new economic geography ID TRADE; SCALE; COMPETITION; MARKET AB Big cities specialize in services rather than manufacturing. Big-city establishments in services are larger than the national average, whereas those in manufacturing are smaller. We propose an explanation of these and other related facts. The theory is developed in an economic geography model that is an alternative to the standard Dixit-Stiglitz structure. In our tractable structure, which has potentially wider application, firms have monopoly power in local markets but are price takers in export markets. C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. EM holmes@econ.umn.edu; john.j.stevens@frb.gov RI Stevens, John/H-4326-2012 NR 21 TC 19 Z9 21 U1 0 U2 4 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1468-2702 J9 J ECON GEOGR JI J. Econ. Geogr. PD JUN PY 2004 VL 4 IS 3 BP 227 EP 250 DI 10.1093/jnlecg/lbh018 PG 24 WC Economics; Geography SC Business & Economics; Geography GA 833AX UT WOS:000222309900001 ER PT J AU Hornstein, A AF Hornstein, A TI The macroeconomics of imperfect competition and nonclearing markets: A dynamic general equilibrium approach. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank Richmond, Richmond, VA 23261 USA. RP Hornstein, A (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23261 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD JUN PY 2004 VL 42 IS 2 BP 513 EP 515 PG 3 WC Economics SC Business & Economics GA 836EZ UT WOS:000222539700016 ER PT J AU Nakamura, L AF Nakamura, L TI Jimmy Carter's economy: Policy in an age of limits. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Nakamura, L (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD JUN PY 2004 VL 42 IS 2 BP 515 EP 516 PG 2 WC Economics SC Business & Economics GA 836EZ UT WOS:000222539700017 ER PT J AU Foote, C Block, W Crane, K Gray, S AF Foote, C Block, W Crane, K Gray, S TI Economic policy and prospects in Iraq SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. Council Econ Advisers, Washington, DC USA. RAND Corp, Virginia Off, Arlington, VA USA. Bank England, London, England. RP Foote, C (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM chris.foote@bos.frb.org; William_D_Block@cea.eap.gov; Keith_Crane@rand.org; Simon.Gray@bankofengland.co.uk NR 22 TC 16 Z9 16 U1 0 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD SUM PY 2004 VL 18 IS 3 BP 47 EP 70 DI 10.1257/0895330042162395 PG 24 WC Economics SC Business & Economics GA 862ON UT WOS:000224500600003 ER PT J AU Carlstrom, CT AF Carlstrom, CT TI Comments on "Optimal fiscal and monetary policy under imperfect competition" SO JOURNAL OF MACROECONOMICS LA English DT Editorial Material C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. EM charles.t.carlstrom@clev.frb.org NR 4 TC 0 Z9 0 U1 0 U2 1 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD JUN PY 2004 VL 26 IS 2 BP 219 EP 222 DI 10.1016/j.jmacro.2003.11.003 PG 4 WC Economics SC Business & Economics GA 822CE UT WOS:000221511300004 ER PT J AU Guerrieri, L AF Guerrieri, L TI Comments on "Monetary policy rules and exchange rate flexibility in a simple dynamic general equilibrium model" SO JOURNAL OF MACROECONOMICS LA English DT Editorial Material ID CONTRACTS C1 Fed Reserve Board, Div Int Finance, Trade & Quantitat Studies Sect, Washington, DC 20551 USA. RP Guerrieri, L (reprint author), Fed Reserve Board, Div Int Finance, Trade & Quantitat Studies Sect, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM luca.guerrieri@frb.gov NR 8 TC 0 Z9 0 U1 0 U2 0 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD JUN PY 2004 VL 26 IS 2 BP 315 EP 317 DI 10.1016/j.jmacro.2003.11.007 PG 3 WC Economics SC Business & Economics GA 822CE UT WOS:000221511300011 ER PT J AU Nelson, E Nikolov, K AF Nelson, E Nikolov, K TI Monetary policy and stagflation in the UK SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE output gap; stagflation; monetary policy rules; Great Inflation ID INFLATION; FRAMEWORK; DYNAMICS; PRICES AB The volatile behavior of inflation, output, and interest rates in the United Kingdom prior to the 1990s helps discriminate between rival explanations for the outbreak of stagflation. We examine alternative hypotheses with a New Keynesian model of aggregate demand and inflation determination, estimated on quarterly UK data for 1959-2000. Our model features IS and Phillips curves based on optimizing behavior, and fully incorporates the distinction between detrended output and the output gap stressed by optimizing analysis. Using simulations of our model as well as information on the "real-time" views of policymakers, we test alternative explanations for the outbreak of inflation in the United Kingdom in the 1960s and 1970s. We find that inaccurate estimates of the degree of excess demand in the economy contributed significantly to the outbreak. But we also find a major role for the failure at the time to recognize the importance of monetary policy, as opposed to nonmonetary devices, in controlling inflation. C1 Fed Reserve Bank St Louis, London, England. London Sch Econ, London, England. RP Fed Reserve Bank St Louis, London, England. EM edward.nelson@stls.frb.org; k.o.nikolov@lse.ac.uk NR 40 TC 19 Z9 19 U1 1 U2 7 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 2004 VL 36 IS 3 BP 293 EP 318 DI 10.1353/mcb.2004.0058 PN 1 PG 26 WC Business, Finance; Economics SC Business & Economics GA 833US UT WOS:000222366200001 ER PT J AU Kozicki, S Hoffman, B AF Kozicki, S Hoffman, B TI Rounding error: A distorting influence on index data SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE errors-in-variables; real-time data; inflation uncertainty; inflation variance ID INFLATION UNCERTAINTY; HETEROSCEDASTICITY; VARIABLES; MODELS; OUTPUT AB Rounding error is an important source of measurement error that is common in index data. The problem can be traced to rounding that occurs to limit the number of digits after the decimal place to be reported in rebased index data. Rounding error introduces distortions that affect variance properties, alter the lag distributions of time series models, and cause a systematic bias in estimated coefficients. For instance, spuriously choppy inflation rates are obtained when constructed using the official CPI, rebased with 1982-84 = 100. Fortunately, the distortions can be generally avoided by using versions of data that have greater precision. C1 Fed Reserve Bank Kansas, Kansas City, KS USA. Univ Calif San Diego, San Diego, CA 92103 USA. RP Kozicki, S (reprint author), Fed Reserve Bank Kansas, Kansas City, KS USA. EM sharon.kozicki@kc.frb.org; dhoffma@ucsd.edu NR 30 TC 11 Z9 11 U1 0 U2 2 PU OHIO STATE UNIV PRESS PI COLUMBUS PA 1050 CARMACK RD, COLUMBUS, OH 43210 USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2004 VL 36 IS 3 BP 319 EP 338 DI 10.1353/mcb.2004.0056 PN 1 PG 20 WC Business, Finance; Economics SC Business & Economics GA 833US UT WOS:000222366200002 ER PT J AU Demiralp, S Jorda, O AF Demiralp, S Jorda, O TI The response of term rates to fed announcements SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE announcement effect; term structure; rational expectations ID MONETARY-POLICY; REGRESSION; MODEL; IDENTIFICATION; MARKET AB In February 4, 1994 the Federal Reserve began the practice of announcing changes in the targeted level for the federal funds rate immediately after such decisions were made. This paper investigates to what extent the policy of "the announcement" affected a key ingredient in the monetary transmission mechanism: the term structure of nominally risk-free, Treasury securities. We find that term rates react much more in unison during announcement days than at any other time. Moreover, the practice of circumscribing almost all changes in the federal funds rate target to Federal Open Market Committee (FOMC) meeting dates regiments the formation of market expectations in the overnight rate and the price discovery process of term rates, thus facilitating the Fed's goal of controlling long-term rates. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. RP Demiralp, S (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM selva.demiralp@frb.gov; ojorda@ucdavis.edu RI Demiralp, Selva/L-6650-2016 OI Demiralp, Selva/0000-0003-4087-168X NR 21 TC 23 Z9 23 U1 0 U2 6 PU OHIO STATE UNIV PRESS PI COLUMBUS PA 1050 CARMACK RD, COLUMBUS, OH 43210 USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2004 VL 36 IS 3 BP 387 EP 405 DI 10.1353/mcb.2004.0054 PN 1 PG 19 WC Business, Finance; Economics SC Business & Economics GA 833US UT WOS:000222366200005 ER PT J AU Berger, AN Demirguc-Kunt, A Levine, R Haubrich, JG AF Berger, AN Demirguc-Kunt, A Levine, R Haubrich, JG TI Bank concentration and competition: An evolution in the making SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article; Proceedings Paper CT Conference on Bank Concentration and Competition CY MAY 21-23, 2003 CL Cleveland, OH SP Fed Reserve Bank Cleveland DE financial institutions; banks; concentration; competition; market structure; regulation ID STRUCTURE-PERFORMANCE RELATIONSHIP; PROFIT-STRUCTURE RELATIONSHIP; SMALL BUSINESS; MARKET-POWER; CREDIT AVAILABILITY; FINANCIAL DEPENDENCE; ECONOMIC-GROWTH; TOBIN-Q; INDUSTRY; CONSOLIDATION AB The consolidation of banks around the world in recent years is intensifying public policy debates on the influences of concentration and competition on the performance of banks. In light of these developments, this paper first reviews the existing literature on the impact of bank concentration and competition. Second, the paper summarizes the main findings of the papers in this special issue of the JMCB within the context of this active literature. Finally, the paper suggests some directions for future research. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. World Bank, Dev Res Grp, Washington, DC 20433 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM aberger@frb.gov; ademirguckunt@worldbank.org; rlevine@csom.umn.edu; jhaubrich@clev.frb.org NR 109 TC 114 Z9 116 U1 2 U2 22 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 2004 VL 36 IS 3 BP 433 EP 451 DI 10.1353/mcb.2004.0040 PN 2 PG 19 WC Business, Finance; Economics SC Business & Economics GA 833UT UT WOS:000222366300001 ER PT J AU Cetorelli, N AF Cetorelli, N TI Real effects of bank competition SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article; Proceedings Paper CT Conference on Bank Concentration and Competition CY MAY 21-23, 2003 CL Cleveland, OH SP Fed Reserve Bank Cleveland DE bank competition; market structure; firm size; firm size distribution ID CAPITAL STRUCTURE; FINANCIAL DEPENDENCE; MARKET COMPETITION; ECONOMIC-GROWTH; INDUSTRY; ENTREPRENEURSHIP; EXIT; LAW AB Does banking market power contribute to the formation of nonfinancial industries populated by few, large firms, or does it instead enhance industry entry? Theoretical arguments could be made to support either side. The banking industry of European Union (EU) countries has been significantly deregulated in the early 1990s. Under the old regime, cross-border expansions were heavily constrained, while after deregulation, banks from EU countries have instead been allowed to branch freely into other EU countries. Concurrently to the process of deregulation, European banking industries have also experienced a significant process of consolidation. Exploiting such significant innovations affecting the banking industries of EU countries, this paper explores whether changes in bank competition have in fact played a role on the market structure of nonfinancial industries. Empirical evidence is derived from a panel of manufacturing industries in 29 OECD countries, both EU and non-EU members, adopting a methodology that allows controlling for other determinants of industry market structure common across industries, across countries or related to time passing. The evidence suggests that the overall process of enhanced competition in EU banking markets has led to markets in nonfinancial sectors characterized by lower average firm size. C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Cetorelli, N (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM ncetorelli@ucdavis.edu NR 41 TC 45 Z9 46 U1 0 U2 7 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 2004 VL 36 IS 3 BP 543 EP 558 DI 10.1353/mcb.2004.0043 PN 2 PG 16 WC Business, Finance; Economics SC Business & Economics GA 833UT UT WOS:000222366300008 ER PT J AU Ergungor, OE AF Ergungor, OE TI Comment on "Bank competition and access to finance: International evidence" by Thorsten Beck, Asli Demirguc-Kunt, and Vojislav Maksimovic SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material DE bank competition; bank concentration; financing obstacles ID ASYMMETRIC INFORMATION; INDUSTRY C1 Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Ergungor, OE (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH USA. EM ozgur.e.ergungor@clev.frb.org NR 9 TC 1 Z9 1 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 JUN PY 2004 VL 36 IS 3 BP 649 EP 654 DI 10.1353/mcb.2004.0046 PN 2 PG 6 WC Business, Finance; Economics SC Business & Economics GA 833UT UT WOS:000222366300015 ER PT J AU Bisin, A Topa, G Verdier, T AF Bisin, A Topa, G Verdier, T TI Religious intermarriage and socialization in the United States SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID MULTIPLE EQUILIBRIA; TRANSMISSION; MARRIAGE; PARENTS; MODEL; COMMITMENT; BELIEFS; FAMILY; CHOICE AB This paper presents an empirical analysis of a choice-theoretic model of cultural transmission. In particular, we use data from the General Social Survey to estimate the structural parameters of a model of marriage and child socialization along religious lines in the United States. The observed intermarriage and socialization rates are consistent with Protestants, Catholics, and Jews having a strong preference for children who identify with their own religious beliefs and making costly decisions to influence their children's religious beliefs. Our estimates imply dynamics of the shares of religious traits in the population that are in sharp contrast with the predictions obtained by linear extrapolations from current intermarriage rates. C1 NYU, New York, NY 10003 USA. Fed Reserve Bank New York, New York, NY 10045 USA. Ctr Econ Policy Res, London SW1Y 6LA, England. RP Bisin, A (reprint author), NYU, New York, NY 10003 USA. NR 55 TC 76 Z9 76 U1 2 U2 20 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 2004 VL 112 IS 3 BP 615 EP 664 DI 10.1086/383101 PG 50 WC Economics SC Business & Economics GA 826CS UT WOS:000221807200004 ER PT J AU Chang, YS Nam, J Rhee, C AF Chang, YS Nam, J Rhee, C TI Trends in unemployment rates in Korea: A search-matching model interpretation SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article DE unemployment rates in Korea; job-finding rates; job-separation rates; sectoral shifts ID CYCLICAL UNEMPLOYMENT; SECTORAL SHIFTS; JOB DESTRUCTION; CREATION; GROWTH AB We investigate the steady decline in aggregate unemployment rates in Korea since the 1960s. We argue that a pronounced decrease in the intensity of reallocation shocks, which resulted in a downward trend in the natural rate of unemployment, has been an important factor in this decline. Our claim is based on a structural search-matching model, the times series of job-separation and job-finding rates, and sectoral-shift measures that we construct from a micro data for the past three decades. J. Japanese Int. Economies 18 (2) (2004) 241-263. Research Department, Federal Reserve Bank of Richmond, Richmond, VA 2326 1, USA; Korea Labor Institute, Seoul, South Korea; Division of Economics, Seoul National University, Seoul, South Korea. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. Korea Labor Inst, Seoul, South Korea. Seoul Natl Univ, Div Econ, Seoul, South Korea. RP Chang, YS (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. EM yongsung.chang@rich.frb.org NR 22 TC 2 Z9 2 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 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD JUN PY 2004 VL 18 IS 2 BP 241 EP 263 DI 10.1016/S0889-1583(03)00048-0 PG 23 WC Economics; International Relations SC Business & Economics; International Relations GA 824FO UT WOS:000221671700005 ER PT J AU Nelson, E Schwartz, AJ AF Nelson, E Schwartz, AJ TI An Interview with Anna J Schwartz SO MACROECONOMIC DYNAMICS LA English DT Editorial Material DE monetary history; NBER ID MONETARY-POLICY; UNITED-STATES; MONEY C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Nelson, E (reprint author), Fed Reserve Bank St Louis, 411 Locust St, St Louis, MO 63102 USA. EM edward.nelson@stls.frb.org NR 116 TC 2 Z9 2 U1 2 U2 8 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4211 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD JUN PY 2004 VL 8 IS 3 BP 395 EP 417 DI 10.1017/S1365100504030202 PG 23 WC Economics SC Business & Economics GA 826LE UT WOS:000221829800005 ER PT J AU Amuedo-Dorantes, C Mach, T Clapp, JD AF Amuedo-Dorantes, C Mach, T Clapp, JD TI The impact of schools on juvenile substance initiation and use SO PREVENTION SCIENCE LA English DT Article DE schools; substance use; governance ID DRUG-USE; ABUSE PREVENTION; YOUNG ADULTHOOD; MARIJUANA USE; ALCOHOL-USE; YOUTH; ADOLESCENCE; BEHAVIOR; WAGES; RISK AB We use data from the two rounds of the NLSY97 and the corresponding QED data to examine the effectiveness of school endowments and curricula in targeting juvenile use of tobacco, alcohol, and marijuana. Our results support the notion that schools matter in reducing juvenile involvement in substance use. Higher discretionary dollars per pupil are linked to reduced rates of juvenile initiation and repetitive use rates of cigarettes and marijuana. Additionally, school curricula, as indicated by the implementation of year round classes and some innovative and after-school programs-such as gifted and talented, attendance monitoring, homework hot-line, international baccalaureate, extended-day, and mentoring, programs, affect both juvenile initiation to tobacco and alcohol use and juvenile repetitive use of tobacco and alcohol. In particular, we find that juvenile initiation to cigarette use is approximately between 2 percentage points and 3 percentage points lower among youths attending schools with gifted and talented and international baccalaureate programs. In addition, juvenile repetitive cigarette use is approximately 54%, 52%, and 48% lower among youths attending schools offering year round classes, international baccalaureate, and twenty-first century programs, respectively. Finally, juvenile initiation to alcohol use and juvenile repetitive use of alcohol are approximately 3% and 20% lower, respectively, among youths in schools offering gifted and talented programs. In sum, while these programs are not implemented to address substance use problems among the student body, we find that the implementation of these programs is often accompanied by a reduction in juvenile initiation and repetitive substance use. C1 San Diego State Univ, Dept Econ, San Diego, CA 92182 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Amuedo-Dorantes, C (reprint author), San Diego State Univ, Dept Econ, 5500 Campanile Dr, San Diego, CA 92182 USA. EM camuedod@mail.sdsu.edu NR 31 TC 4 Z9 4 U1 0 U2 2 PU KLUWER ACADEMIC/PLENUM PUBL PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 1389-4986 J9 PREV SCI JI Prev. Sci. PD JUN PY 2004 VL 5 IS 2 BP 91 EP 99 DI 10.1023/B:PREV.0000023079.30466.23 PG 9 WC Public, Environmental & Occupational Health SC Public, Environmental & Occupational Health GA 833CG UT WOS:000222313400002 PM 15134314 ER PT J AU Steelman, A AF Steelman, A TI The test of time: Coping with legislative term limits SO PUBLIC CHOICE LA English DT Book Review C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. RP Steelman, A (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd St, Richmond, VA 23219 USA. NR 7 TC 0 Z9 0 U1 0 U2 0 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0048-5829 J9 PUBLIC CHOICE JI Public Choice PD JUN PY 2004 VL 119 IS 3-4 BP 465 EP 467 DI 10.1023/B:PUCH.0000033481.52972.68 PG 3 WC Economics; Political Science SC Business & Economics; Government & Law GA 833OF UT WOS:000222346600009 ER PT J AU Gowrisankaran, G Stavins, J AF Gowrisankaran, G Stavins, J TI Network externalities and technology adoption lessons from electronic payments SO RAND JOURNAL OF ECONOMICS LA English DT Article ID COMPETITION AB We analyze the extent of network externalities for the automated clearinghouse (ACH) electronic payments system using a panel dataset on bank adoption and usage of ACH. We develop three methods. The first examines the clustering of ACH adoption. The second examines the impact of market concentration and the size of competitors on ACH adoption. The third examines the impact of ACH adoption by small branches of large banks on local competitors. These methods separately identify network externalities from technological advancement, peer-group effects, economies of scale, and market power We find evidence that the network externalities are moderately large. C1 Washington Univ, St Louis, MO 63110 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Gowrisankaran, G (reprint author), Washington Univ, St Louis, MO 63110 USA. EM gautam-gowrisankaran@nber.org; joanna.stavins@bos.frb.org NR 19 TC 66 Z9 66 U1 0 U2 15 PU RAND PI LAWRENCE PA 810 EAST 10TH ST, LAWRENCE, KS 66044 USA SN 0741-6261 J9 RAND J ECON JI Rand J. Econ. PD SUM PY 2004 VL 35 IS 2 BP 260 EP 276 DI 10.2307/1593691 PG 17 WC Economics SC Business & Economics GA 848RJ UT WOS:000223484500004 ER PT J AU Cleveland, WP AF Cleveland, WP TI Stability and consistency of seasonally adjusted aggregates and their component patterns SO STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS LA English DT Article; Proceedings Paper CT Workshop on the Studies in Nonlinear Dynamics and Econometrics CY JUN 06-09, 2003 CL Bressanone, ITALY AB In situations where groups of economic time series are likely to have seasonal dynamics in common, use of seasonal information across series in estimating their seasonal factors should improve the seasonal factor estimates for individual series. Such information sharing can also be the basis for consistent seasonal adjustment of combinations of series. It also provides information about dominant seasonal patterns in component series. A methodology based on principal component analysis, developed earlier by the author with Eric Bartelsman, is applied to series of price indexes and production indexes from EU countries. Evidence of common structure is revealed. The implications of common estimation of seasonal factors are explored. C1 Fed Reserve Board, Ind Output Sect, Washington, DC 20551 USA. RP Cleveland, WP (reprint author), Fed Reserve Board, Ind Output Sect, Washington, DC 20551 USA. EM wcleveland@frb.gov NR 10 TC 0 Z9 0 U1 0 U2 1 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 805 CAMELIA ST, SECOND FLOOR, BERKELEY, CA 94710 USA SN 1081-1826 J9 STUD NONLINEAR DYN E JI Stud. Nonlinear Dyn. Econom. PD JUN PY 2004 VL 8 IS 2 AR 15 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 838DA UT WOS:000222692300015 ER PT J AU Greenspan, A AF Greenspan, A TI Risk and uncertainty in monetary policy SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Joint Meeting of the Society-of-Government-Economists/116th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2004 CL San Diego, CA SP Soc Govt Economists, Amer Econ Assoc C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Greenspan, A (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA. NR 1 TC 73 Z9 76 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 2004 VL 94 IS 2 BP 33 EP 40 DI 10.1257/0002828041301551 PG 8 WC Economics SC Business & Economics GA 834PN UT WOS:000222423100008 ER PT J AU Bernanke, BS Reinhart, VR AF Bernanke, BS Reinhart, VR TI Conducting monetary policy at very low short-term interest rates SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Joint Meeting of the Society-of-Government-Economists/116th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2004 CL San Diego, CA SP Soc Govt Economists, Amer Econ Assoc C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 13 TC 76 Z9 77 U1 2 U2 10 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 2004 VL 94 IS 2 BP 85 EP 90 DI 10.1257/0002828041302118 PG 6 WC Economics SC Business & Economics GA 834PN UT WOS:000222423100017 ER PT J AU Atkeson, A Kehoe, PJ AF Atkeson, A Kehoe, PJ TI Deflation and depression: Is there an empirical link? SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Joint Meeting of the Society-of-Government-Economists/116th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2004 CL San Diego, CA SP Soc Govt Economists, Amer Econ Assoc ID RULE C1 Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55401 USA. Univ Minnesota, Minneapolis, MN 55455 USA. RP Atkeson, A (reprint author), Univ Calif Los Angeles, Dept Econ, Bunche Hall 9381, Los Angeles, CA 90095 USA. NR 12 TC 17 Z9 17 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 2004 VL 94 IS 2 BP 99 EP 103 DI 10.1257/0002828041301588 PG 5 WC Economics SC Business & Economics GA 834PN UT WOS:000222423100019 ER PT J AU Bassetto, M AF Bassetto, M TI Negative nominal interest rates SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Joint Meeting of the Society-of-Government-Economists/116th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2004 CL San Diego, CA SP Soc Govt Economists, Amer Econ Assoc C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Bassetto, M (reprint author), Univ Minnesota, Dept Econ, 271 19th Ave S, Minneapolis, MN 55455 USA. OI Bassetto, Marco/0000-0001-8325-8450 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 2004 VL 94 IS 2 BP 104 EP 108 DI 10.1257/0002828041302064 PG 5 WC Economics SC Business & Economics GA 834PN UT WOS:000222423100020 ER PT J AU Kocherlakota, NR AF Kocherlakota, NR TI Wedges and taxes SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Joint Meeting of the Society-of-Government-Economists/116th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2004 CL San Diego, CA SP Soc Govt Economists, Amer Econ Assoc ID TAXATION C1 Stanford Univ, Dept Econ, Stanford, CA 94305 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Kocherlakota, NR (reprint author), Stanford Univ, Dept Econ, Stanford, CA 94305 USA. NR 7 TC 11 Z9 11 U1 0 U2 5 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2004 VL 94 IS 2 BP 109 EP 113 DI 10.1257/0002828041302127 PG 5 WC Economics SC Business & Economics GA 834PN UT WOS:000222423100021 ER PT J AU Bergoeing, R Kehoe, TJ Strauss-Kahn, V Yi, KM AF Bergoeing, R Kehoe, TJ Strauss-Kahn, V Yi, KM TI Why is manufacturing trade rising even as manufacturing output is falling? SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Joint Meeting of the Society-of-Government-Economists/116th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2004 CL San Diego, CA SP Soc Govt Economists, Amer Econ Assoc ID VERTICAL SPECIALIZATION; WORLD-TRADE; GROWTH C1 Univ Chile, Ctr Econ Aplicada, Santiago, Chile. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. INSEAD, F-77305 Fontainebleau, France. Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Bergoeing, R (reprint author), Univ Chile, Ctr Econ Aplicada, Av Republ 701, Santiago, Chile. NR 9 TC 6 Z9 7 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 2004 VL 94 IS 2 BP 134 EP 138 DI 10.1257/0002828041302299 PG 5 WC Economics SC Business & Economics GA 834PN UT WOS:000222423100025 ER PT J AU Broda, C Weinstein, DE AF Broda, C Weinstein, DE TI Variety growth and world welfare SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Joint Meeting of the Society-of-Government-Economists/116th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2004 CL San Diego, CA SP Soc Govt Economists, Amer Econ Assoc C1 Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. Columbia Univ, Dept Econ, New York, NY 10027 USA. NBER, Cambridge, MA 02138 USA. RP Broda, C (reprint author), Fed Reserve Bank New York, Res Dept, 33 Liberty St, New York, NY 10045 USA. NR 8 TC 38 Z9 38 U1 1 U2 8 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2004 VL 94 IS 2 BP 139 EP 144 DI 10.1257/0002828041301443 PG 6 WC Economics SC Business & Economics GA 834PN UT WOS:000222423100026 ER PT J AU Eaton, J Kortum, S Kramarz, F AF Eaton, J Kortum, S Kramarz, F TI Dissecting trade: Firms, industries, and export destinations SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Joint Meeting of the Society-of-Government-Economists/116th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2004 CL San Diego, CA SP Soc Govt Economists, Amer Econ Assoc ID PRODUCTIVITY C1 NYU, Dept Econ, New York, NY 10003 USA. NBER, Cambridge, MA 02138 USA. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. CREST, INSEE, F-92245 Malakoff, France. RP Eaton, J (reprint author), NYU, Dept Econ, 269 Mercer St, New York, NY 10003 USA. EM jonathan.eaton@nyu.edu; kortum@econ.umn.edu; kramarz@ensae.fr NR 10 TC 148 Z9 152 U1 4 U2 16 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2004 VL 94 IS 2 BP 150 EP 154 DI 10.1257/0002828041301560 PG 5 WC Economics SC Business & Economics GA 834PN UT WOS:000222423100028 ER PT J AU Bitler, MP Gelbach, JB Hoynes, HW Zavodny, M AF Bitler, MP Gelbach, JB Hoynes, HW Zavodny, M TI The impact of welfare reform on marriage and divorce SO DEMOGRAPHY LA English DT Article ID UNITED-STATES; UNION FORMATION; MARITAL-STATUS; UNWED MOTHERS; LABOR-MARKET; INCOME; FERTILITY; DECISIONS; EARNINGS; MODEL AB The goal of the 1996 Personal Responsibility and Work Opportunity Reconciliation Act was to end needy parents' dependence on governmental benefits, in part by promoting marriage. The prereform welfare system was widely believed to discourage marriage because it provided benefits primarily to single mothers. However, welfare reform may have actually decreased the incentives to be married by giving women greater financial independence via the program's new emphasis on work. This article uses vital statistics data on marriages and divorces during 1989-2000 to examine the role of welfare reform (state waivers and implementation of Temporary Assistance to Needy Families) and other state-level variables on flows into and out of marriage. The results indicate that welfare reform has led to fewer new divorces and fewer new marriages, although the latter result is sensitive to specification and the choice of data. C1 Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. RAND Corp, Santa Monica, CA 90406 USA. Univ Maryland, College Pk, MD 20742 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Hoynes, HW (reprint author), Univ Calif Davis, Dept Econ, 1 Shields Ave, Davis, CA 95616 USA. EM hwhoynes@ucdavis.edu NR 53 TC 66 Z9 66 U1 3 U2 10 PU POPULATION ASSN AMER PI WASHINGTON PA 1722 N ST NW, WASHINGTON, DC 20036 USA SN 0070-3370 J9 DEMOGRAPHY JI Demography PD MAY PY 2004 VL 41 IS 2 BP 213 EP 236 DI 10.1353/dem.2004.0011 PG 24 WC Demography SC Demography GA 824PF UT WOS:000221697800002 PM 15209038 ER PT J AU Poole, W AF Poole, W TI Best. guesses and surprises SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Meeting of the Charlotte-Economics-Club CY FEB 25, 2004 CL Charlotte, NC SP Charlotte Econ Club C1 Fed Reserve Bank, St Louis, MO USA. RP Poole, W (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 7 TC 4 Z9 4 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2004 VL 86 IS 3 BP 1 EP 7 PG 7 WC Business, Finance; Economics SC Business & Economics GA 893UN UT WOS:000226745000001 ER PT J AU Kliesen, KL Schmid, FA AF Kliesen, KL Schmid, FA TI Monetary policy actions, macroeconomic data releases, and inflation expectations SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID BOND PRICES; MARKET AB This article analyzes how announced surprises in monetary policy actions and macroeconomic data releases affect the average rate of inflation that economic agents expect to prevail over the 10-year period following the surprise. The analysis also addresses the effect of Federal Reserve communication and surprises in monetary policy actions on perceived inflation risk over this 10-year period. The study shows that surprises in macroeconomic data releases and monetary policy actions indeed affect the expected rate of inflation. Further. there is evidence that surprises in monetary policy actions increase perceived inflation risk, whereas Federal Reserve communication reduces it. C1 Fed Reserve Bank, St Louis, MO USA. RP Kliesen, KL (reprint author), Fed Reserve Bank, St Louis, MO USA. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 19 TC 7 Z9 7 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 MAY-JUN PY 2004 VL 86 IS 3 BP 9 EP + PG 14 WC Business, Finance; Economics SC Business & Economics GA 893UN UT WOS:000226745000002 ER PT J AU Guo, H AF Guo, H TI A rational pricing explanation for the failure of the CAPM SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID EFFICIENT CAPITAL-MARKETS; EXPECTED STOCK RETURNS; GENERALIZED-METHOD; SAMPLE PROPERTIES; ASSET PRICES; RISK; MODELS; CONSUMPTION; MOMENTS; HYPOTHESIS AB Many authors have found that the capital asset pricing model (CAPM) does not explain stock returns-possibility because it is only a special case of Merton's (1973) intertemporal CAPM under the assumption of constant investment opportunities (e.g.. a constant expected equity premium). This paper explains the progress that has been made by dropping the assumption that expected returns are constant. First. the evidence on the predictability of returns is summarized; then, an example from Campbell (1993) is used to show how time-varying expected returns can lead to the rejection of the CAPM. C1 Fed Reserve Bank, St Louis, MO USA. RP Guo, H (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 52 TC 0 Z9 0 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2004 VL 86 IS 3 BP 23 EP + PG 12 WC Business, Finance; Economics SC Business & Economics GA 893UN UT WOS:000226745000003 ER PT J AU Bullard, JB Russell, S AF Bullard, JB Russell, S TI How costly is sustained low inflation for the US economy? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID REAL INTEREST-RATES; LONG-RUN; GROWTH-MODEL; FINANCIAL INTERMEDIATION; AGGREGATE FLUCTUATIONS; INTERNATIONAL EVIDENCE; GENERAL EQUILIBRIUM; ASSET RETURNS; MONEY; CONSUMPTION AB The authors study the welfare cost of inflation in a general equilibrium life-cycle model that includes households that live for many periods, production and capital, simple monetary and financial sectors, and a fairly elaborate government sector. The government's taxation of capital income is not indexed for inflation. They find that a plausibly calibrated version of this model has a steady state that matches a variety of facts about the postwar U.S. economy. They use the model to estimate the welfare cost of permanent, policy-induced changes in the inflation rate and find that most of the costs of inflation are direct and indirect consequences of the fact that inflation increases the effective tax rate on capital income. The cost estimates are an order of magnitude larger than other estimates in the literature. C1 Fed Reserve Bank, St Louis, MO USA. Indiana Univ Purdue Univ, Indianapolis, IN 46202 USA. RP Bullard, JB (reprint author), Fed Reserve Bank, St Louis, MO USA. RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 60 TC 7 Z9 8 U1 1 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2004 VL 86 IS 3 BP 35 EP + PG 34 WC Business, Finance; Economics SC Business & Economics GA 893UN UT WOS:000226745000004 ER PT J AU Boldrin, M Levine, DK AF Boldrin, M Levine, DK TI 2003 Lawrence R. Klein lecture the case against intellectual monopoly SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID GROWTH; ECONOMIES AB In the modern theory of growth, monopoly plays a crucial role both as a cause and an effect of innovation. Innovative firms, it is argued, would have insufficient incentive to innovate should the prospect of monopoly power not be present. This theme of monopoly runs throughout the theory of growth, international trade, and industrial organization. We argue that monopoly is neither needed for, nor a necessary consequence of innovation. In particular, intellectual property is not necessary for, and may hurt more than help, innovation and growth. We argue that, as a practical matter, it is more likely to hurt. C1 Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. RP Boldrin, M (reprint author), Univ Calif Los Angeles, Dept Econ, 8283 Bunche Hall,Box 951477, Los Angeles, CA 90095 USA. EM david@dklevine.com NR 26 TC 25 Z9 25 U1 0 U2 2 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD MAY PY 2004 VL 45 IS 2 BP 327 EP 350 DI 10.1111/j.1468-2354.2004.00128.x PG 24 WC Economics SC Business & Economics GA 816DM UT WOS:000221090600001 ER PT J AU Del Negro, M Schorfheide, F AF Del Negro, M Schorfheide, F TI Priors from general equilibrium models for vars SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID TIME-SERIES MODELS; VECTOR AUTOREGRESSIONS; FLUCTUATIONS AB This article uses a simple New Keynesian dynamic stochastic general equilibrium model as a prior for a vector autoregression, and shows that the resulting model is competitive with standard benchmarks in terms of forecasting, and can be used for policy analysis. C1 Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA USA. RP Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM schorf@ssc.upenn.edu NR 36 TC 134 Z9 135 U1 0 U2 7 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 MAY PY 2004 VL 45 IS 2 BP 643 EP 673 DI 10.1111/j.1468-2354.2004.00139.x PG 31 WC Economics SC Business & Economics GA 816DM UT WOS:000221090600012 ER PT J AU Coe, PJ Nason, JM AF Coe, PJ Nason, JM TI Long-run monetary neutrality and long-horizon regressions SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID ARIMA FRAMEWORK; STOCK RETURNS; SUPERNEUTRALITY; POLICY AB A prominent test of long-run monetary neutrality (LRMN) involves regressing long-horizon output growth on long-horizon money growth. We obtain limited support for LRMN with this test in long-annual Australian, Canadian, UK and US samples. Although empirical confidence intervals yield evidence in favour of LRMN, Monte Carlo experiments reveal the power of this test is near its size. Thus, this test is unlikely to detect important deviations from LRMN. These problems arise because the long-horizon regression test of LRMN relies on estimates of the covariance of long-horizon output growth and long-horizon money growth. Copyright (C) 2004 John Wiley Sons, Ltd. C1 Univ Calgary, Dept Econ, Calgary, AB T2N 1N4, Canada. Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Coe, PJ (reprint author), Univ Calgary, Dept Econ, 2500 Univ Dr NW, Calgary, AB T2N 1N4, Canada. EM pcoe@ucalgary.ca NR 28 TC 10 Z9 10 U1 0 U2 3 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0883-7252 J9 J APPL ECONOM JI J. Appl. Econom. PD MAY-JUN PY 2004 VL 19 IS 3 BP 355 EP 373 DI 10.1002/jae.749 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 832PB UT WOS:000222278300004 ER PT J AU Broda, C AF Broda, C TI Terms of trade and exchange rate regimes in developing countries SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE exchange rate regimes; exchange rate flexibility; terms-of-trade shocks ID BUSINESS CYCLES; OPEN-ECONOMY; PANEL-DATA; FLUCTUATIONS; MODELS; TESTS AB Since Friedman [Essays in Positive Economics, University of Chicago Press, Chicago (1953) 157-203] an advantage often attributed to flexible exchange rate regimes over fixed regimes is their ability to insulate more effectively the economy against real shocks. I use a post-Bretton Woods sample (1973-96) of 75 developing countries to assess whether the responses of real GDP, real exchange rates, and prices to terms-of-trade shocks differ systematically across exchange rate regimes. I find that responses are significantly different across regimes in a way that supports Friedman's hypothesis. The paper also examines the importance of terms-of-trade shocks in explaining the overall variance of output and prices in developing countries. (C) 2003 Published by Elsevier B.V. C1 Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. RP Broda, C (reprint author), Fed Reserve Bank New York, Res Dept, 33 Liberty St, New York, NY 10045 USA. EM christian.broda@ny.frb.org NR 37 TC 83 Z9 84 U1 2 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAY PY 2004 VL 63 IS 1 BP 31 EP 58 DI 10.1016/S0022-1996(03)00043-6 PG 28 WC Economics SC Business & Economics GA 822UG UT WOS:000221565200002 ER PT J AU Craig, B Waller, CJ AF Craig, B Waller, CJ TI Dollarization and currency exchange SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE money; dollarization; search ID INDIVISIBLE MONEY; MATCHING MODEL; SEARCH MODEL; FIAT MONEY; PRICES AB We use a dual currency money search model to study dollarization. Agents hold portfolios consisting of two currencies, one of which is risky. We use numerical methods to solve for the steady-state distributions of currency portfolios, transaction patterns, and value functions. As risk increases, agents increasingly use the safe currency as a medium of exchange-dollarization occurs. Furthermore, the safe currency trades for multiple units of the risky currency. This type of currency exchange, and the corresponding nominal exchange rate, are often observed in black market or unofficial Currency exchange markets in developing countries. Due to decentralized trading, a distribution of exchange rates arises, whose mean and variance change in predictable ways when Currency risk increases. (C) 2003 Elsevier B.V. All rights reserved. C1 Univ Notre Dame, Dept Econ & Econometr, Notre Dame, IN 46556 USA. Fed Reserve Bank Cleveland, Dept Res, Cleveland, OH 44101 USA. RP Waller, CJ (reprint author), Univ Notre Dame, Dept Econ & Econometr, Notre Dame, IN 46556 USA. EM cwaller@nd.edu RI Waller, Christopher/I-5755-2016 OI Waller, Christopher/0000-0003-2406-9910 NR 25 TC 12 Z9 12 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2004 VL 51 IS 4 BP 671 EP 689 DI 10.1016/j.jmoneco.2003.10.002 PG 19 WC Business, Finance; Economics SC Business & Economics GA 821YF UT WOS:000221498600001 ER PT J AU Leduc, S Sill, K AF Leduc, S Sill, K TI A quantitative analysis of oil-price shocks, systematic monetary policy, and economic downturns SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE oil; monetary policy; recessions ID BUSINESS-CYCLE; RATIONAL-EXPECTATIONS; RULES; ENERGY; MODELS; MACROECONOMY; COMPETITION; INCREASES; MONEY AB Are the recessionary consequences of oil-price shocks due to oil-price shocks themselves or to the monetary policy that responds to them? We investigate this question in a calibrated general equilibrium model in which oil use is tied to capital utilization. The response to an oil-price shock is examined under a variety of monetary policy specifications. Under our benchmark calibration, which approximates the Federal Reserve's behavior since 1979, monetary policy contributes about 40 percent to the drop in output following a rise in oil prices. Moreover, none of the commonly proposed policies we examine completely offsets the recessionary consequences of oil shocks. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. RP Sill, K (reprint author), Fed Reserve Bank Philadelphia, Dept Res, 10 Independence Mall, Philadelphia, PA 19106 USA. EM keith.sill@phil.frb.org NR 28 TC 82 Z9 83 U1 2 U2 12 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 2004 VL 51 IS 4 BP 781 EP 808 DI 10.1016/j.jmoneco.2003.09.004 PG 28 WC Business, Finance; Economics SC Business & Economics GA 821YF UT WOS:000221498600005 ER PT J AU Weiler, S Seidl, A AF Weiler, S Seidl, A TI What's in a name? Extracting econometric drivers to assess the impact of National Park designation SO JOURNAL OF REGIONAL SCIENCE LA English DT Article AB Public land designations are often primarily political decisions that may also have substantial local economic impacts. This paper econometrically estimates the visitation effect of the conversion of National Monuments to National Parks through the eight designation changes that have occurred between 1979 and 2000. The study finds robust and significant impacts of such conversions, yielding 11,642 additional visitors annually, even after controlling for likely site acreage expansion and other site visitation trends. Furthermore, these new visitors do not appear to occur at the expense of visitation at alternative sites. Using these findings, the paper explores the local economic impact of the Great Sand Dunes conversion on Colorado's San Luis Valley. C1 Fed Reserve Bank, Ctr Study Rural Amer, Kansas City, MO 64198 USA. Colorado State Univ, Dept Agr & Resource Econ, Ft Collins, CO 80523 USA. RP Weiler, S (reprint author), Fed Reserve Bank, Ctr Study Rural Amer, Kansas City, MO 64198 USA. EM Stephan.Weiler@kc.frb.org; Andrew.Seidl@colostate.edu NR 20 TC 14 Z9 15 U1 2 U2 7 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD MAY PY 2004 VL 44 IS 2 BP 245 EP 262 DI 10.1111/j.0022-4146.2004.00336.x PG 18 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 831PV UT WOS:000222207800003 ER PT J AU French, E AF French, E TI The labor supply response to (mismeasured but) predictable wage changes SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID INTERTEMPORAL SUBSTITUTION; IMPLICIT CONTRACTS; MICRO DATA; MARKET; INSTRUMENTS; EARNINGS; MODELS; WEAK AB Most panel data studies of intertemporal labor supply assume classical measurement error. Recent validation studies refute this assumption. In this study I address nonclassical measurement error explicitly. I use data on males from the Panel Study of Income Dynamics Validation Study to purge measurement error from the Panel Study of Income Dynamics. I find a large amount of predictable wage variation in the data, even after allowing for measurement error. However, there is almost no labor supply response to these predictable wage changes. Therefore, failure to control for nonclassical measurement error cannot explain the low estimated labor supply elasticities in other papers. C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP French, E (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 23 TC 15 Z9 15 U1 1 U2 6 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2004 VL 86 IS 2 BP 602 EP 613 DI 10.1162/003465304323031148 PG 12 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 819FA UT WOS:000221298700011 ER PT J AU Driscoll, JC Holden, S AF Driscoll, John C. Holden, Steinar TI FAIRNESS AND INFLATION PERSISTENCE SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID UNEMPLOYMENT; SATISFACTION; DECISION; BEHAVIOR; DYNAMICS; RANGE AB We argue that peoples' concern for fairness may explain an unsolved puzzle in macroeconomics: the persistence of inflation. We extend a 1990 wage-contracting model of Bhaskar in which workers' disutility from being paid less than other workers exceeds their utility from being paid more. This model generates a continuum of equilibria over a range of wages and unemployment rates. If workers' expectations are based on the past behavior of wage growth, these beliefs will be self-fulfilling, generating inflation persistence within, but not outside of, this range. Based on quarterly U.S. data over the period 1955-2000, we find evidence that inflation is more persistent between unemployment rates of 4.7 and 6.5% than outside these bounds. (JEL: E31, E3, E5) C1 [Driscoll, John C.] Fed Reserve Board, Washington, DC 20551 USA. [Holden, Steinar] Univ Oslo, N-0316 Oslo, Norway. [Holden, Steinar] Norges Bank, Oslo, Norway. RP Driscoll, JC (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM John.C.Driscoll@frb.gov; steinar.holden@econ.uio.no NR 30 TC 6 Z9 7 U1 1 U2 3 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 5 PY 2004 VL 2 IS 2-3 BP 240 EP 251 DI 10.1162/154247604323067952 PG 12 WC Economics SC Business & Economics GA V31UF UT WOS:000208907800006 ER PT J AU Adao, B Teles, P Correia, I AF Adao, Bernardino Teles, Pedro Correia, Isabel TI THE MONETARY TRANSMISSION MECHANISM: IS IT RELEVANT FOR POLICY? SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article AB We study environments with sticky prices, wages, or portfolios where it is feasible and optimal to use monetary policy to replicate the allocation under full flexibility. In these environments the optimal policy does not depend on the scope of the frictions. In this sense, the strength of the monetary transmission mechanism is irrelevant for the conduct of monetary policy. So, asymmetries in the strength of the transmission mechanisms do not impose a cost on a common policy. (JEL: E31, E41, E58, E62) C1 [Teles, Pedro] Fed Reserve Bank Chicago, Chicago, IL USA. [Teles, Pedro; Correia, Isabel] Univ Catolica Portuguesa, Lisbon, Portugal. [Teles, Pedro; Correia, Isabel] CEPR, London, England. EM mihcarvalho@bportugal.pt OI Correia, Isabel/0000-0001-5568-7055; Adao, Bernardino/0000-0002-5865-3042; Teles, Pedro/0000-0002-1352-4917 NR 6 TC 2 Z9 2 U1 0 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 5 PY 2004 VL 2 IS 2-3 BP 310 EP 319 DI 10.1162/154247604323068014 PG 10 WC Economics SC Business & Economics GA V31UF UT WOS:000208907800012 ER PT J AU Christiano, LJ Vigfusson, R Eichenbaum, M AF Christiano, Lawrence J. Vigfusson, Robert Eichenbaum, Martin TI THE RESPONSE OF HOURS TO A TECHNOLOGY SHOCK: EVIDENCE BASED ON DIRECT MEASURES OF TECHNOLOGY SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article AB We investigate what happens to hours worked after a positive shock to technology, using the aggregate technology series computed in Basu, Fernald, and Kimball (1999). We conclude that hours worked rise after such a shock. (JEL: E24, E32, O3) C1 [Christiano, Lawrence J.; Eichenbaum, Martin] Northwestern Univ, Evanston, IL 60208 USA. [Vigfusson, Robert] Board Governors Fed Reserve Syst, Washington, DC USA. RP Christiano, LJ (reprint author), Northwestern Univ, Evanston, IL 60208 USA. EM l-christiano@northwestern.edu; robert.j.vigfusson@frb.gov; eich@northwestern.edu NR 21 TC 30 Z9 31 U1 0 U2 3 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 5 PY 2004 VL 2 IS 2-3 BP 381 EP 395 DI 10.1162/154247604323068078 PG 15 WC Economics SC Business & Economics GA V31UF UT WOS:000208907800018 ER PT J AU Kaufman, GG AF Kaufman, GG TI Depositor liquidity and loss sharing in bank failure resolutions SO CONTEMPORARY ECONOMIC POLICY LA English DT Article AB Bank failures are widely feared because depositors may suffer losses in the value of their deposits and restrictions in access to their deposits. In the United States, this is not true for insured deposits, which are made fully available to depositors almost immediately. But both problems may occur for uninsured deposits. One way to mitigate liquidity loss to uninsured depositors is to make the estimated recovery value of their deposits quickly available to them by the Federal Deposit Insurance Corporation (FDIC). Such a policy would greatly enhance the FDIC's ability to resolve large bank insolvencies without having to protect uninsured depositors through too-big-to-fail policies. C1 Loyola Univ, Coll Business Adm, Chicago, IL 60611 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Kaufman, GG (reprint author), Loyola Univ, Coll Business Adm, Chicago, IL 60611 USA. EM gkaufma@luc.edu NR 41 TC 6 Z9 6 U1 1 U2 4 PU WESTERN ECONOMIC ASSOC INT PI HUNTINGTON BEACH PA 7400 CENTER AVE SUITE 109, HUNTINGTON BEACH, CA 92647-3039 USA SN 1074-3529 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD APR PY 2004 VL 22 IS 2 BP 237 EP 249 DI 10.1093/cep/byh017 PG 13 WC Economics; Public Administration SC Business & Economics; Public Administration GA 808QS UT WOS:000220584200007 ER PT J AU Dodson, ME Garrett, TA AF Dodson, ME Garrett, TA TI Inefficient education spending in public school districts: A case for consolidation? SO CONTEMPORARY ECONOMIC POLICY LA English DT Article ID STOCHASTIC FRONTIER MODEL; EFFICIENCY; COMPETITION; STUDENTS; COST AB This article estimates scale economies for Arkansas school districts. Large economies of scale exist in teacher salary and supply costs, as well as total costs. The results. suggest that districts, especially rural districts, would experience measurable cost savings from consolidation. The authors simulate a hypothetical rural school district consolidation to obtain cost-saving estimates from consolidation. Simulations indicate that districts could save an average of 34% in average variable. costs. At the state level, consolidation of rural districts in Arkansas could annually save $40 million. However, consolidation of school districts may increase various implicit costs to students and local communities. C1 Univ Cent Arkansas, Dept Econ Finance & Insurance & Risk Management, Conway, AR 72032 USA. Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Dodson, ME (reprint author), Univ Cent Arkansas, Dept Econ Finance & Insurance & Risk Management, Conway, AR 72032 USA. EM tom.a.garrett@stls.frb.org NR 30 TC 6 Z9 6 U1 1 U2 5 PU WESTERN ECONOMIC ASSOC INT PI HUNTINGTON BEACH PA 7400 CENTER AVE SUITE 109, HUNTINGTON BEACH, CA 92647-3039 USA SN 1074-3529 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD APR PY 2004 VL 22 IS 2 BP 270 EP 280 DI 10.1093/cep/byh019 PG 11 WC Economics; Public Administration SC Business & Economics; Public Administration GA 808QS UT WOS:000220584200009 ER PT J AU Cassou, SP Lansing, KJ AF Cassou, SP Lansing, KJ TI Growth effects of shifting from a graduated-rate tax system to a flat tax SO ECONOMIC INQUIRY LA English DT Article ID ENDOGENOUS GROWTH; FISCAL-POLICY; ECONOMIC-GROWTH; OECD COUNTRIES; MODEL; UNCERTAINTY; TAXATION; INVESTMENT; REFORM; INCOME AB We compute the growth effects of adopting a revenue-neutral flat tax for both a human capital-based endogenous growth model and a standard neoclassical growth model. Long-run growth effects are decomposed into the parts attributable to the flattening of the marginal tax schedule, the full expensing of physical-capital investment, and the elimination of double taxation of business income. The most important element of the reform is the flattening of the marginal tax schedule. Without this element, the combined effects of the other parts of the reform can actually reduce long-run growth. In the years immediately following the reform, the transition dynamics implied by the neoclassical growth model are quite similar to that of the endogenous growth model. C1 Kansas State Univ, Dept Econ, Manhattan, KS 66506 USA. Fed Reserve Bank San Francisco, Dept Res, San Francisco, CA 94120 USA. RP Cassou, SP (reprint author), Kansas State Univ, Dept Econ, 327 Waters Hall, Manhattan, KS 66506 USA. EM scassou@ksu.edu; kevin.j.lansing@sf.frb.org NR 58 TC 17 Z9 17 U1 0 U2 21 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD APR PY 2004 VL 42 IS 2 BP 194 EP 213 DI 10.1093/ei/cbh054 PG 20 WC Economics SC Business & Economics GA 808NR UT WOS:000220576300002 ER PT J AU Adrian, T Gros, D AF Adrian, T Gros, D TI The degree of openness and the cost of fixing exchange rate SO ECONOMICS LETTERS LA English DT Article DE optimum currency area; exchange rate regime; EMU ID OPTIMUM CURRENCY AREAS AB Fixing the exchange rate entails costs in terms of suboptimal output if nominal wages are sticky. It is generally assumed that these costs decrease with the degree of openness. We demonstrate that they are either non-monotonic or increasing in openness. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Ctr European Policy Studies, Brussels, Belgium. 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 10 TC 0 Z9 0 U1 0 U2 6 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD APR PY 2004 VL 83 IS 1 BP 141 EP 146 DI 10.1016/j.econlet.2003.11.001 PG 6 WC Economics SC Business & Economics GA 804CT UT WOS:000220277500021 ER PT J AU Durham, JB AF Durham, JB TI Absorptive capacity and the effects of foreign direct investment and equity foreign portfolio investment on economic growth SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE foreign direct investment; equity foreign portfolio investment; economic growth; financial development ID ASIAN FINANCIAL CRISIS; CORPORATE GOVERNANCE; STOCK MARKETS; LIBERALIZATION; REGRESSIONS; ANOMALIES; COUNTRIES; OUTLIERS AB This study examines the effects of foreign direct investment (FDI) and equity foreign portfolio investment (EFPI) on economic growth using data on 80 countries from 1979 through 1998. The results largely suggest that lagged FDI and EFPI do not have direct, unmitigated positive effects on growth, but some data are consistent with the view that the effects of FDI and EFPI are contingent on the 'absorptive capacity' of host countries, with particular respect to financial or institutional development. Moreover, extreme bound analysis (EBA) of significant results indicates that the estimates are robust compared to other empirical studies on growth. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Durham, JB (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Mail Stop 71, Washington, DC 20551 USA. EM j.benson.durham@frb.gov NR 42 TC 91 Z9 92 U1 1 U2 20 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 2004 VL 48 IS 2 BP 285 EP 306 AR PII S0014-2921(02)00264-7 DI 10.1016/S0014-2921(02)00264-7 PG 22 WC Economics SC Business & Economics GA 800RJ UT WOS:000220045100003 ER PT J AU Berlin, M Mester, LJ AF Berlin, M Mester, LJ TI Retail credit risk management and measurement: An introduction to the special issue SO JOURNAL OF BANKING & FINANCE LA English DT Editorial Material C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. RP Berlin, M (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Ten Independence Mall, Philadelphia, PA 19106 USA. EM loretta.mester@phil.frb.org NR 0 TC 0 Z9 0 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 APR PY 2004 VL 28 IS 4 BP 721 EP 725 DI 10.1016/j.jbankfin.2003.10.003 PG 5 WC Business, Finance; Economics SC Business & Economics GA 800QK UT WOS:000220042600001 ER PT J AU Perli, R Nayda, WI AF Perli, R Nayda, WI TI Economic and regulatory capital allocation for revolving retail exposures SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Conference on Retail Credit Risk Management and Measurement CY APR 29-30, 2003 CL Fed Reserve Bank Philadelphia, Philadelphia, PA HO Fed Reserve Bank Philadelphia DE capital allocation; credit risk models; revolving retail exposures; future margin income AB We present two internal capital allocation models and compare the capital ratios they generate with those prescribed by the latest revision of Basel's New Capital Accord proposal for advanced retail portfolios, which allows for explicit future margin income recognition. Given a test portfolio of credit card exposures that we assemble, we find that Basel's ratios are closer to those generated by our models for low credit risk segments. We attribute the discrepancies to the different ways Basel and our models account for future margin income, to Basel's assumptions about asset correlations and to one model taking macroeconomic conditions into account. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Capital One Financial Corp, Mclean, VA USA. RP Perli, R (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 75, Washington, DC 20551 USA. EM roberto.perli@frb.gov; bill.nayda@capitalone.com NR 22 TC 12 Z9 15 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD APR PY 2004 VL 28 IS 4 BP 789 EP 809 DI 10.1016/j.jbankfin.2003.10.007 PG 21 WC Business, Finance; Economics SC Business & Economics GA 800QK UT WOS:000220042600005 ER PT J AU Avery, RB Calem, PS Canner, GB AF Avery, RB Calem, PS Canner, GB TI Consumer credit scoring: Do situational circumstances matter? SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Conference on Retail Credit Risk Management and Measurement CY APR 29-30, 2003 CL Fed Reserve Bank Philadelphia, Philadelphia, PA HO Fed Reserve Bank Philadelphia DE credit scoring; consumer credit; credit risk AB Although credit history scoring offers benefits to lenders and borrowers, failure to consider situational circumstances raises important statistical issues that may affect the ability of scoring systems to accurately quantify an individual's credit risk. Evidence from a national sample of credit reporting agency records suggests that failure to consider measures of local economic circumstances and individual trigger events when developing credit history scores can diminish the potential effectiveness of such models. There are practical difficulties, however, associated with developing scoring models that incorporate situational data, arising largely because of inherent limitations of the credit reporting agency databases used to build scoring models. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Calem, PS (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Stop 153, Washington, DC 20551 USA. EM pcalem@frb.gov NR 4 TC 37 Z9 39 U1 3 U2 12 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD APR PY 2004 VL 28 IS 4 BP 835 EP 856 DI 10.1016/j.jbankfin.2003.10.009 PG 22 WC Business, Finance; Economics SC Business & Economics GA 800QK UT WOS:000220042600007 ER PT J AU Pesaran, MH Schuermann, T Weiner, SM AF Pesaran, MH Schuermann, T Weiner, SM TI Modeling regional interdependencies using a global error-correcting macroeconometric model SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE credit loss distribution; global interdependencies; global macroeconometric modeling; global vector error-correcting model; risk management ID IMPULSE-RESPONSE ANALYSIS; CREDIT RISK MODELS; LONG-RUN; ECONOMIC-FLUCTUATIONS; MULTIVARIATE MODELS; STOCHASTIC TRENDS; PARTIAL SYSTEMS; UNIT-ROOT; COINTEGRATION; PANELS AB Financial institutions are ultimately exposed to macroeconomic fluctuations in the global economy. This article proposes and builds a compact global model capable of generating forecasts for a core set of macroeconomic factors (or variables) across a number of countries. The model explicitly allows for the interdependencies that exist between national and international factors. Individual region-specific vector error-correcting models are estimated in which the domestic variables are related to corresponding foreign variables constructed exclusively to match the international trade pattern of the country under consideration. The individual country models are then linked in a consistent and cohesive manner to generate forecasts for all of the variables in the world economy simultaneously. The global model is estimated for 25 countries grouped into 11 regions using quarterly data over 1979Q1-1999Q1. The degree of regional interdependencies is investigated via generalized impulse responses where the effects of shocks to a given variable in a given country on the rest of the world are provided. The model is then used to investigate the effects of various global risk scenarios on a bank's loan portfolio. C1 Univ Cambridge, Cambridge CB2 1TN, England. Univ So Calif, Los Angeles, CA 90089 USA. Fed Reserve Bank New York, New York, NY USA. Alliance Capital Management LP, New York, NY USA. RP Pesaran, MH (reprint author), Univ Cambridge, Cambridge CB2 1TN, England. EM MHP1@cam.ac.uk; til.schuermann@ny.frb.org; scott_weiner@acml.com NR 57 TC 169 Z9 171 U1 1 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 APR PY 2004 VL 22 IS 2 BP 129 EP 162 DI 10.1198/073500104000000019 PG 34 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 806XZ UT WOS:000220467900001 ER PT J AU Dennis, R Lopez, JA AF Dennis, R Lopez, JA TI Untitled - Comment SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Editorial Material ID BANKS C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Dennis, R (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St, San Francisco, CA 94105 USA. NR 17 TC 1 Z9 1 U1 0 U2 0 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 2004 VL 22 IS 2 BP 165 EP 169 DI 10.1198/073500104000000037 PG 5 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 806XZ UT WOS:000220467900003 ER PT J AU Pesaran, MH Schuermann, T Weiner, SM AF Pesaran, MH Schuermann, T Weiner, SM TI Untitled - Rejoinder SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Editorial Material ID MODELS C1 Univ Cambridge, Cambridge CB2 1TN, England. Univ So Calif, Los Angeles, CA 90089 USA. Fed Reserve Bank New York, New York, NY 10045 USA. Alliance Capital Management LP, New York, NY USA. RP Pesaran, MH (reprint author), Univ Cambridge, Cambridge CB2 1TN, England. EM MHP1@cam.ac.uk; til.schuermann@ny.frb.org; scott_weiner@acml.com NR 6 TC 2 Z9 2 U1 0 U2 0 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 2004 VL 22 IS 2 BP 175 EP 181 DI 10.1198/073500104000000064 PG 7 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 806XZ UT WOS:000220467900006 ER PT J AU Ennis, HM AF Ennis, HM TI Macroeconomic fluctuations and bargaining SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE dynamic bargaining; decentralized exchange; sunspots; wage bargaining; monetary exchange ID EQUILIBRIUM; SEARCH; MODEL; MONEY; PRICES AB I study the limit rule for bilateral bargaining when agents recognize that the aggregate economy (and thus the match surplus) follows a finite-state Poisson process. The rule derived in this paper is of special importance for decentralized exchange economies with bargaining. Two simple applications are presented to illustrate this fact. The first example is a model of wage bargaining and trade externalities. I show that in such situations sophisticated bargaining tends to increase the volatility of the wage bill. The second example is based on the Kiyotaki-Wright model of money. I explain how equilibrium prices depend in a fundamental way on the dynamic bargaining solution. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. RP Ennis, HM (reprint author), Fed Reserve Bank Richmond, Dept Res, POB 27622, Richmond, VA 23261 USA. EM huberto.ennis@rich.frb.org NR 20 TC 2 Z9 2 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 APR PY 2004 VL 115 IS 2 BP 322 EP 340 DI 10.1016/S0022-0531(03)00226-6 PG 19 WC Economics SC Business & Economics GA 808LL UT WOS:000220570500005 ER PT J AU Lopez, JA AF Lopez, JA TI The empirical relationship between average asset correlation, firm probability of default, and asset size SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article; Proceedings Paper CT Joint JFI-BIS Conference CY MAY, 2002 CL Basel, SWITZERLAND DE credit risk; Basel II; average asset correlation; probability of default AB The asymptotic single risk factor approach is a framework for determining regulatory capital charges for credit risk, and it has become an integral part of the second Basel Accord. Within this approach, a key parameter is the average asset correlation. We examine the empirical relationship between this parameter, firm probability of default and firm asset size measured by the book value of assets. Using data from year-end 2000, credit portfolios consisting of US, Japanese, and European firms are analyzed. The empirical results suggest that average asset correlation is a decreasing function of probability of default and an increasing function of asset size. The results suggest that these factors may need to be accounted for in the final calculation of regulatory capital requirements for credit fisk. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Res Bank San Francisco, Econ Res Dept, San Francisco, CA 94705 USA. RP Lopez, JA (reprint author), Fed Res Bank San Francisco, Econ Res Dept, 101 Mkt St, San Francisco, CA 94705 USA. EM jose.a.lopez@sf.frb.org NR 16 TC 41 Z9 42 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 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD APR PY 2004 VL 13 IS 2 BP 265 EP 283 DI 10.1016/S1042-9573(03)00045-7 PG 19 WC Business, Finance SC Business & Economics GA 811ZK UT WOS:000220809600009 ER PT J AU Baier, SL Dwyer, GP Tamura, R AF Baier, SL Dwyer, GP Tamura, R TI Does opening a stock exchange increase economic growth? SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article; Proceedings Paper CT Conference on Banking, Development and Structural Change CY MAY, 2003 CL Helsinki, FINLAND SP JIMF, Bank Finland DE economic growth; stock exchange; efficiency; productivity; financial deepening ID INTERNATIONAL COMPARISONS; SET AB We examine the connection between the creation of stock exchanges and economic growth with a new set of data on economic growth that spans a longer time period than generally available. We find that economic growth increases relative to the rest of the world after a stock exchange opens. Our evidence indicates that increased growth of productivity is the primary way that a stock exchange increases the growth rate of output, rather than all increase in the growth rate of physical capital. We also find that financial deepening is rapid before the creation of a stock exchange and slower subsequently. (C) 2004 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. Clemson Univ, Clemson, SC 29634 USA. RP Dwyer, GP (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM gdwyer@dwyerecon.com NR 25 TC 10 Z9 10 U1 1 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 APR PY 2004 VL 23 IS 3 BP 311 EP 331 DI 10.1016/j.jimonfin.2004.01.001 PG 21 WC Business, Finance SC Business & Economics GA 814XD UT WOS:000221006500002 ER PT J AU Berger, AN Buch, CM DeLong, G DeYoung, R AF Berger, AN Buch, CM DeLong, G DeYoung, R TI Exporting financial institutions management via foreign direct investment mergers and acquisitions SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article; Proceedings Paper CT Conference on Banking, Development and Structural Change CY MAY, 2003 CL Helsinki, FINLAND SP JIMF, Bank Finland DE foreign direct investment; financial institutions; mergers and acquisitions ID BORDER BANK MERGERS; UNITED-STATES; COMPETITIVE VIABILITY; INTERNATIONAL-TRADE; TECHNICAL CHANGE; INFORMATION; EFFICIENCY; SCALE; CONSOLIDATION; INDUSTRY AB We test the relevance of the new trade theory and the traditional theory of comparative advantage for explaining the geographic patterns of international M&As of financial institutions between 1985 and 2000. The data provide statistically significant support for both theories. We also find evidence that the U.S. has idiosyncratic comparative advantages at both exporting and importing financial institutions management. (C) 2004 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. CUNY Bernard M Baruch Coll, New York, NY 10010 USA. Kiel Inst World Econ, D-24105 Kiel, Germany. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Wharton Financial Inst Ctr, Washington, DC 20551 USA. RP DeYoung, R (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM robert.deyoung@frbchi.org NR 67 TC 36 Z9 37 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 APR PY 2004 VL 23 IS 3 BP 333 EP 366 DI 10.1016/j.jimonfin.2004.01.002 PG 34 WC Business, Finance SC Business & Economics GA 814XD UT WOS:000221006500003 ER PT J AU Aaronson, D French, E AF Aaronson, D French, E TI The effect of part-time work on wages: Evidence from the social security rules SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID LABOR SUPPLY MODEL; LIFE-CYCLE MODEL; REGRESSION; EMPLOYMENT; EARNINGS; OFFERS AB This article identifies the part-time wage effect, using hours variation caused by the social security rules. We show that work hours and wages drop sharply at ages 62 and 65. We argue that the hours decline causes the wage decline, resulting in a 25% wage penalty for men who cut their work week from 40 to 20 hours. However, we find little evidence for such an effect among women. We also show that models that fail to account for the joint determination of hours and wages will understate the labor supply response to a tax change by about 26%. C1 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 NR 28 TC 24 Z9 24 U1 1 U2 14 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0734-306X J9 J LABOR ECON JI J. Labor Econ. PD APR PY 2004 VL 22 IS 2 BP 329 EP 352 DI 10.1086/381252 PG 24 WC Economics; Industrial Relations & Labor SC Business & Economics GA 824DQ UT WOS:000221665000003 ER PT J AU Driscoll, JC AF Driscoll, JC TI Does bank lending affect output? Evidence from the US states SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE bank lending; US states; money demand; credit ID MONETARY-POLICY; REAL ACTIVITY; PANEL-DATA; CREDIT; TRANSMISSION; MONEY; AGGREGATE; DEMAND; CRISIS; CRUNCH AB This paper uses a panel of state-level data to test whether changes in bank loan Supply affect Output. Since the U.S. states are small open economics with fixed exchange rates, state-specific shocks to money demand are automatically accommodated, leading to changes in lending if banks rely on deposits as a source of funding. Using, these shocks as in instrumental variable, I find that shocks to money demand have large and statistically significant effects on the supply of bank loans, but loans have small, often negative and statistically insignificant effects on output. (C) 2004 Elsevier B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Fed Reserve Syst, Washington, DC 20551 USA. RP Driscoll, JC (reprint author), Fed Reserve Syst, Board Governors, Fed Reserve Syst, 20th & Constitut Ave NW,Mail Stop 75, Washington, DC 20551 USA. EM john_driscoll@alum.mit.edu NR 47 TC 30 Z9 30 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 2004 VL 51 IS 3 BP 451 EP 471 DI 10.1016/j.jmoneco.2004.01.001 PG 21 WC Business, Finance; Economics SC Business & Economics GA 813UY UT WOS:000220933200001 ER PT J AU Orphanides, A AF Orphanides, A TI Monetary policy rules, macroeconomic stability, and inflation: A view from the trenches SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE monetary policy rules; real-time data; Greenbook forecasts; stagflation ID REAL-TIME AB I estimate a forward-looking monetary policy reaction function for the Federal Reserve for the periods before and after Paul Volcker's appointment as Chairman in 1979, using information that was available to the FOMC in real time from 1966 to 1995. The results suggest broad similarities in policy and point to a forward-looking approach to policy consistent with a strong reaction to inflation forecasts during both periods. This contradicts the hypothesis, based on analysis with ex post constructed data, that the instability of the Great Inflation was the result of weak FOMC policy responses to expected inflation. A difference is that prior to Volcker's appointment, policy was too activist in reacting to perceived output gaps that retrospectively proved overambitious. Drawing on contemporaneous accounts of FOMC policy, I discuss the implications of the findings for alternative explanations of the Great Inflation and the improvement in macroeconomic stability since then. C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. EM athanasios.orphanides@frb.gov NR 64 TC 92 Z9 93 U1 0 U2 9 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 APR PY 2004 VL 36 IS 2 BP 151 EP 175 DI 10.1353/mcb.2004.0013 PG 25 WC Business, Finance; Economics SC Business & Economics GA 815WG UT WOS:000221071800001 ER PT J AU Allen, L Jagtiani, J Peristiani, S Saunders, A AF Allen, L Jagtiani, J Peristiani, S Saunders, A TI The role of bank advisors in mergers and acquisitions SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE relationship banking; investment bank advisors; certification effect; conflict of interest effect; mergers; acquisitions ID CONFLICT-OF-INTEREST; GLASS-STEAGALL ACT; CORPORATE-CONTROL; INVESTMENT-BANKING; ACQUIRING FIRMS; SHAREHOLDERS WEALTH; TENDER OFFERS; FEE CONTRACTS; MARKET; PERFORMANCE AB This paper looks at the role of commercial banks and investment banks as financial advisors. In their role as lenders and advisors, banks can be viewed as serving a certification function. However, banks acting as both lenders and advisors face a potential conflict of interest that may mitigate or offset any certification effect. Overall, we find evidence of a net certification effect for target firms but conflicts of interest for acquirers. In particular, target firms earn higher abnormal returns when the target's own bank is hired as merger advisor. consistent with the bank's role as certifier of the (more informationally opaque) target's value to the acquirer. In contrast, we find no net certification role for acquirers. There are at least two possible reasons for this. First, certification of value may be less important for acquirers because it is the target firm that must be priced in a merger. Second, acquirers may utilize commercial bank advisors in order to obtain access to bank loans to finance activities in the postmerger period. Thus, an acquirer may choose its own bank (with whom it has had a prior lending relationship) as an advisor in a merger. However, this choice weakens the certification effect and creates a potential conflict of interest because the advisor's merger advice may be distorted by considerations related to the bank's past and future lending activity. C1 CUNY Bernard M Baruch Coll, Zicklin Sch Business, New York, NY 10010 USA. Fed Reserve Bank, Kansas City, KS USA. Fed Reserve Bank New York, Res & Market Anal Grp, New York, NY 10045 USA. NYU, Stern Sch Business, New York, NY USA. RP Allen, L (reprint author), CUNY Bernard M Baruch Coll, Zicklin Sch Business, New York, NY 10010 USA. EM Linda_Allen@baruch.cuny.edu; Julapa.Jagtiani@kc.frb.org; Steve.Peristiani@ny.frb.org; Asaunder@stern.ny.edu NR 54 TC 26 Z9 26 U1 6 U2 21 PU OHIO STATE UNIV PRESS PI COLUMBUS PA 1050 CARMACK RD, COLUMBUS, OH 43210 USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD APR PY 2004 VL 36 IS 2 BP 197 EP 224 DI 10.1353/mcb.2004.0008 PG 28 WC Business, Finance; Economics SC Business & Economics GA 815WG UT WOS:000221071800003 ER PT J AU Huang, KXD Liu, Z AF Huang, KXD Liu, Z TI Input-output structure and nominal rigidity: The persistence problem revisited SO MACROECONOMIC DYNAMICS LA English DT Article DE input-output structure; staggered nominal contracts; business-cycle persistence ID STICKY PRICE MODELS; BUSINESS-CYCLE; VERTICAL SPECIALIZATION; STAGGERED CONTRACTS; CYCLICAL BEHAVIOR; UNITED-STATES; WORLD-TRADE; LABOR; MARKET; DEMAND AB This paper revisits an important issue concerning the persistent real effect of a shock to monetary policy. Although recent sentiment has shifted away from price stickiness toward wage stickiness in explaining persistence, the present paper shows that introducing an input-output structure tends to make the former an equally important monetary transmission mechanism. Under staggered wage setting, the well-known relative-wage effect is the only source of endogenous sluggishness in wage, and thus price, adjustments, regardless of whether there is an intermediate input. Under staggered price setting, relative wages are constant, but the presence of an intermediate input creates a real-wage effect that prevents nominal wages from deviating too much from a sticky intermediate-input price. Meanwhile, stickiness in the intermediate-input price translates directly into sluggishness in marginal-cost movement. This reinforces the endogenous rigidity in the nominal wages and makes firms' pricing decisions even more rigid. Thus, although it makes no difference in output dynamics under staggered wage setting, the input-output structure improves the ability of staggered price setting in generating persistence. As a consequence, the conventional wisdom on the equivalence of price and wage staggering may continue to hold for some reasonable parameter values. C1 Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. Emory Univ, Atlanta, GA 30322 USA. RP Huang, KXD (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 925 Grand Blvd, Kansas City, MO 64198 USA. EM kevin.huang@kc.frb.org NR 51 TC 10 Z9 10 U1 2 U2 5 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4211 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2004 VL 8 IS 2 BP 188 EP 206 DI 10.1017/S1365100503030025 PG 19 WC Economics SC Business & Economics GA 817DY UT WOS:000221159400003 ER PT J AU Campbell, JR Fisher, JDM AF Campbell, JR Fisher, JDM TI Idiosyncratic risk and aggregate employment dynamics SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE idiosyncratic risk; plant life cycle; employment dynamics; adjustment costs; business cycle volatility ID BUSINESS CYCLES; UNITED-STATES; REALLOCATION; FLUCTUATIONS; FLEXIBILITY; INVESTMENT AB This paper studies how idiosyncratic productivity risk impacts aggregate employment dynamics when there is a trade-off between workers' productivity and costs of job creation and destruction. In our analysis, increasing idiosyncratic risk induces a producer to move workers out of structured jobs that are costly to create and destroy and towards less productive but more flexible unstructured positions. This substitution leaves the producer's total employment more responsive to both idiosyncratic and aggregate disturbances. If all of an industry's producers respond to heightened idiosyncratic risk in this way, then industry-wide employment can respond more to a given aggregate shock. We apply this insight to connect differences between young and old manufacturing plants' aggregate employment dynamics with their corresponding differences in idiosyncratic variability. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Chicago, Econ Res, Chicago, IL 60604 USA. NBER, Cambridge, MA 02138 USA. RP Campbell, JR (reprint author), Fed Reserve Bank Chicago, Econ Res, 230 S LaSalle St, Chicago, IL 60604 USA. EM jcampbell@frbchi.org; jfisher@frbchi.org NR 16 TC 9 Z9 10 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2004 VL 7 IS 2 BP 331 EP 353 DI 10.1016/S1094-2025(03)00057-7 PG 23 WC Economics SC Business & Economics GA 807XS UT WOS:000220534800004 ER PT J AU Alvarez, F Kehoe, PJ Neumeyer, PA AF Alvarez, F Kehoe, PJ Neumeyer, PA TI The time consistency of optimal monetary and fiscal policies SO ECONOMETRICA LA English DT Article DE Friedman rule; maturity structure; time inconsistency; sustainable plans ID SUSTAINABLE PLANS; ECONOMY AB We show that optimal monetary and fiscal policies are time consistent for a class of economies often used in applied work, economies appealing because they are consistent with the growth facts. We establish our results in two steps. We first show that for this class of economies, the Friedman rule of setting nominal interest rates to zero is optimal under commitment. We then show that optimal policies are time consistent if the Friedman rule is optimal. For our benchmark economy in which the time consistency problem is most severe, the converse also holds: if optimal policies. are time consistent, then the Friedman rule is optimal. C1 Univ Chicago, Dept Econ, Chicago, IL 60636 USA. Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55401 USA. Univ torcuato Di Tella, Dept Econ, RA-1428 Buenos Aires, DF, Argentina. RP Alvarez, F (reprint author), Univ Chicago, Dept Econ, 1126 E 59th St, Chicago, IL 60636 USA. EM f-alvarez1@uchicago.edu; pkehoe@res.mpls.frb.fed.us; paneumeyer@utdt.edu NR 12 TC 21 Z9 23 U1 0 U2 13 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD MAR PY 2004 VL 72 IS 2 BP 541 EP 567 DI 10.1111/j.1468-0262.2004.00500.x PG 27 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 776NH UT WOS:000189121700007 ER PT J AU Wall, HJ AF Wall, HJ TI Entrepreneurship and the deregulation of banking SO ECONOMICS LETTERS LA English DT Article DE banking deregulation; entrepreneurship AB This paper presents evidence that banking deregulation led to decreases in entrepreneurship in some US regions and to increases in others. This is contrary to recent research that found an unambiguous positive relationship. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Wall, HJ (reprint author), Fed Reserve Bank St Louis, Div Res, 411 Locust St, St Louis, MO 63166 USA. EM wall@stls.frb.org NR 9 TC 11 Z9 11 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 MAR PY 2004 VL 82 IS 3 BP 333 EP 339 DI 10.1016/j.econlet.2003.08.006 PG 7 WC Economics SC Business & Economics GA 778KX UT WOS:000189241700006 ER PT J AU Huntington, HG Brown, SPA AF Huntington, HG Brown, SPA TI Energy security and global climate change mitigation SO ENERGY POLICY LA English DT Article DE global climate change; energy security AB Industrialized countries may reduce their costs of meeting carbon constraints if they penalize fuels not only on the basis of their carbon intensity but also on the basis of their import-export status. Simulations of these policies show that participating industrialized countries can reduce their costs and hence increase their willingness to participate. However, they will impose higher costs on the world, because the most carbon-intensive fuels will not be taxed most heavily. Such a bias creates a "how" inefficiency in addition to the "where" and "when" inefficiency created by current international agreements to control greenhouse gas emissions. Although countries have always had such incentives, these considerations must be more fully acknowledged in today's energy markets, after September 2001. (C) 2003 Published by Elsevier Science Ltd. C1 Stanford Univ, Energy Modeling Forum, Terman Ctr 448, Stanford, CA 94305 USA. Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75222 USA. RP Huntington, HG (reprint author), Stanford Univ, Energy Modeling Forum, Terman Ctr 448, Stanford, CA 94305 USA. EM hillh@stanford.edu; stephen.p.brown@dal.frb.org NR 3 TC 12 Z9 12 U1 1 U2 2 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0301-4215 J9 ENERG POLICY JI Energy Policy PD MAR PY 2004 VL 32 IS 6 BP 715 EP 718 DI 10.1016/S0301-4215(03)00105-8 PG 4 WC Energy & Fuels; Environmental Sciences; Environmental Studies SC Energy & Fuels; Environmental Sciences & Ecology GA 761JC UT WOS:000187896900002 ER PT J AU Poole, W AF Poole, W TI A perspective on US international trade SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material ID GROWTH C1 Fed Reserve Bank, St Louis, MO USA. RP Poole, W (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 8 TC 4 Z9 4 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2004 VL 86 IS 2 BP 1 EP 7 PG 7 WC Business, Finance; Economics SC Business & Economics GA 892FW UT WOS:000226636500001 ER PT J AU Garrett, TA Wagner, GA AF Garrett, TA Wagner, GA TI State government finances: World War II to the current crises SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID LOTTERIES; TAX C1 Fed Reserve Bank, St Louis, MO USA. Duquesne Univ, AJ Palumbo Sch Business, Pittsburgh, PA 15219 USA. RP Garrett, TA (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 28 TC 9 Z9 9 U1 1 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2004 VL 86 IS 2 BP 9 EP 25 PG 17 WC Business, Finance; Economics SC Business & Economics GA 892FW UT WOS:000226636500002 ER PT J AU Neely, CJ AF Neely, CJ TI The federal reserve responds to crises: September 11th was not the first SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY RULES; RETURNS C1 Fed Reserve Bank, St Louis, MO USA. RP Neely, CJ (reprint author), Fed Reserve Bank, St Louis, MO USA. RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 39 TC 5 Z9 5 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2004 VL 86 IS 2 BP 27 EP 42 PG 16 WC Business, Finance; Economics SC Business & Economics GA 892FW UT WOS:000226636500003 ER PT J AU McCallum, BT Nelson, E AF McCallum, BT Nelson, E TI Timeless perspective vs. discretionary monetary policy in forward-looking models SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID RATIONAL-EXPECTATIONS; INFLATION; RULES C1 Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank, St Louis, MO USA. RP Carnegie Mellon Univ, Pittsburgh, PA 15213 USA. NR 43 TC 40 Z9 41 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 MAR-APR PY 2004 VL 86 IS 2 BP 43 EP 56 PG 14 WC Business, Finance; Economics SC Business & Economics GA 892FW UT WOS:000226636500004 ER PT J AU Thornton, DL AF Thornton, DL TI The Fed and short-term rates: Is it open market operations, open mouth operations or interest rate smoothing? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE federal funds rate target; monetary policy; open market operations; open mouth operations ID FUNDS RATE TARGET; MONETARY-POLICY; FEDERAL-FUNDS; INFORMATION AB It is widely believed that the Fed controls the federal funds rate by altering the degree of pressure in the reserve market through open market operations when it changes its target for the funds rate. Recently, however, several analysts have suggested that the Fed need not conduct open market operations to change the funds rate. Rather, they argue it is sufficient that the Fed indicate its desire for the funds rate. This paper notes that there is yet a third alternative. the interest-rate-smoothing hypothesis, that suggests that the Fed does not move rates per se but, rather, smooths the transition of rates to the new equilibrium required by economic shocks. This paper tests the open market and open mouth alternatives using a methodology first used by Cook and Hahn [Journal of Monetary Economics (1989a) 331]. Finding no evidence that either open market operations or open mouth operations can account for the close relationship between the funds rate and the funds rate target, a variety of evidence consistent with the interest-rate-smoothing hypothesis is considered. The results suggest that many changes in the Fed's funds rate target are an endogenous response to economic events and suggest that an alternative way to identify exogenous changes in policy is to identify exogenous changes in the Fed's funds rate target. (C) 2002 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, PO 442, St Louis, MO 63166 USA. EM thornton@stls.frb.org NR 63 TC 17 Z9 18 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2004 VL 28 IS 3 BP 475 EP 498 DI 10.1016/S0378-4266(02)00409-0 PG 24 WC Business, Finance; Economics SC Business & Economics GA 772EJ UT WOS:000188828000003 ER PT J AU Calem, PS LaCour-Little, M AF Calem, PS LaCour-Little, M TI Risk-based capital requirements for mortgage loans SO JOURNAL OF BANKING & FINANCE LA English DT Article DE capital; mortgage; credit risk ID CREDIT RISK; MODELS AB We contribute to the debate over the reform of the Basel Accord by developing risk-based capital requirements for mortgage loans held in portfolio by financial intermediaries. Our approach employs simulation of both economic variables that affect default incidence and conditional loss probability distributions. Results indicate that appropriate capital charges for credit risk vary substantially with loan characteristics and portfolio geographic diversification. Hence, rules that offer little risk differentiation, including the current Basel I regime and "standardized" approach proposed in Basel II result in significant divergence between regulatory and economic capital. These results highlight the incentive problems inherent in simplified methods of capital regulation. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. Wells Fargo Home Mortgage Inc, San Francisco, CA USA. Washington Univ, St Louis, MO 63130 USA. RP Calem, PS (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. EM pcalem@frb.gov NR 16 TC 45 Z9 46 U1 2 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 MAR PY 2004 VL 28 IS 3 BP 647 EP 672 DI 10.1016/S0378-4266(03)00039-6 PG 26 WC Business, Finance; Economics SC Business & Economics GA 772EJ UT WOS:000188828000011 ER PT J AU Paulson, AL Townsend, R AF Paulson, AL Townsend, R TI Entrepreneurship and financial constraints in Thailand SO JOURNAL OF CORPORATE FINANCE LA English DT Article DE entrepreneurship; financial constraints; Thailand ID LIQUIDITY CONSTRAINTS; LENDING RELATIONSHIPS AB We use new data from rural and semi-urban Thailand to examine how financial constraints affect entrepreneurial activity. The analysis uses nonparametric and reduced form techniques. The results indicate that financial constraints play an important role in shaping, the patterns of entrepreneurship in Thailand: In particular, wealthier households are more likely to start businesses. Wealthier households are also more likely to invest more in their businesses and face fewer constraints. We also provide evidence that financial constraints place greater restrictions on entrepreneurial activity in the poor Northeast compared to the more developed Central region:2003 (C) Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Univ Chicago, Chicago, IL 60637 USA. RP Paulson, AL (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM anna.paulson@chi.frb.org NR 15 TC 51 Z9 55 U1 2 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0929-1199 J9 J CORP FINANC JI J. Corp. Financ. PD MAR PY 2004 VL 10 IS 2 BP 229 EP 262 DI 10.1016/S0929-1199(03)00056-7 PG 34 WC Business, Finance SC Business & Economics GA 808LJ UT WOS:000220570300001 ER PT J AU Bollerslev, T Zhou, H AF Bollerslev, T Zhou, H TI Estimating stochastic volatility diffusion using conditional moments of integrated volatility (vol 109, pg 33, 2002) SO JOURNAL OF ECONOMETRICS LA English DT Correction C1 Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. Duke Univ, Dept Econ, Durham, NC 27708 USA. NBER, Cambridge, MA 02138 USA. RP Zhou, H (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. EM hao.zhou@frb.gov NR 1 TC 1 Z9 1 U1 1 U2 2 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD MAR PY 2004 VL 119 IS 1 BP 221 EP 222 DI 10.1016/j.jeconom.2003.10.016 PG 2 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 800MC UT WOS:000220031400009 ER PT J AU Frame, WS White, LJ AF Frame, WS White, LJ TI Empirical studies of financial innovation: Lots of talk, little action SO JOURNAL OF ECONOMIC LITERATURE LA English DT Article ID TECHNOLOGY ADOPTION; DEBT OFFERS; BANK ENTRY; DIFFUSION; MARKET; DETERMINANTS; PERFORMANCE; ADVANTAGES; EXCESSES; CREDIT C1 NYU, Stern Sch Business, New York, NY 10012 USA. RP Frame, WS (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. NR 91 TC 53 Z9 57 U1 3 U2 14 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 2004 VL 42 IS 1 BP 116 EP 144 DI 10.1257/002205104773558065 PG 29 WC Economics SC Business & Economics GA 814DH UT WOS:000220954900003 ER PT J AU Stiroh, K AF Stiroh, K TI Productivity, inequality, and the digital economy: A transatlantic perspective. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank New York, New York, NY USA. RP Stiroh, K (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 1 TC 0 Z9 0 U1 2 U2 7 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 2004 VL 42 IS 1 BP 218 EP 219 PG 2 WC Economics SC Business & Economics GA 814DH UT WOS:000220954900041 ER PT J AU Ferguson, RW Wascher, WL AF Ferguson, RW Wascher, WL TI Distinguished lecture on economics in government: Lessons from past productivity booms SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article; Proceedings Paper CT Joint Meeting of the Society-of-Government-Economists/116th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2004 CL San Diego, CA SP Soc Govt Economists, Amer Econ Assoc ID GROSS NATIONAL PRODUCT; BUSINESS-CYCLE; UNITED-STATES; GROWTH; TECHNOLOGY; PARADOX C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Ferguson, RW (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. NR 79 TC 8 Z9 8 U1 7 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD SPR PY 2004 VL 18 IS 2 BP 3 EP 28 DI 10.1257/0895330041371286 PG 26 WC Economics SC Business & Economics GA 834ID UT WOS:000222403900001 ER PT J AU Burnside, C Eichenbaum, M Fisher, JDM AF Burnside, C Eichenbaum, M Fisher, JDM TI Fiscal shocks and their consequences SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE fiscal policy; business cycles; growth model; habit formation; investment adjustment costs ID WORLD-WAR-II; BUSINESS-CYCLE; UNITED-STATES; ECONOMIC-ACTIVITY; FACTOR INCOMES; TAX RATES; MACROECONOMICS; CONSUMPTION; RETURNS; POLICY AB This paper investigates the response of hours worked and real wages to fiscal policy shocks in the post-World-War 11 US. We identify these shocks with exogenous changes in military purchases and argue that they lead to a persistent increase in government purchases and tax rates on capital and labor income, and a persistent rise in aggregate hours worked as well as declines in real wages. The shocks are also associated with short lived rises in aggregate investment and small movements in private consumption. We describe and implement a methodology for assessing whether standard neoclassical models can account for the consequences of a fiscal policy shock. Simple versions of the neoclassical model can account for the qualitative effects of a fiscal shock. Once we allow for habit formation and investment adjustment costs, the model can also account reasonably well for the quantitative effects of a fiscal shock. (C) 2003 Elsevier Inc. All rights reserved. C1 Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. Fed Res Bank Chicago, Res Dept, Chicago, IL 60604 USA. RP Eichenbaum, M (reprint author), Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. EM burnside@virginia.edu; eich@nwu.edu; jfisher@frbchi.org NR 27 TC 120 Z9 122 U1 2 U2 14 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD MAR PY 2004 VL 115 IS 1 BP 89 EP 117 DI 10.1016/S0022-0531(03)00252-7 PG 29 WC Economics SC Business & Economics GA 777NA UT WOS:000189183400004 ER PT J AU Ivanova, A Kehoe, TJ AF Ivanova, A Kehoe, TJ TI Financial crises, liquidity, and the international monetary system. SO JOURNAL OF ECONOMICS-ZEITSCHRIFT FUR NATIONALOKONOMIE LA English DT Book Review C1 Int Monetary Fund, Washington, DC 20431 USA. Univ Minnesota, Minneapolis, MN USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Ivanova, A (reprint author), Int Monetary Fund, Washington, DC 20431 USA. NR 3 TC 0 Z9 0 U1 0 U2 0 PU SPRINGER-VERLAG WIEN PI VIENNA PA SACHSENPLATZ 4-6, PO BOX 89, A-1201 VIENNA, AUSTRIA SN 0931-8658 J9 J ECON JI J. Econ.-Z. Natl.okon. PD MAR PY 2004 VL 81 IS 3 BP 297 EP 302 DI 10.1007/s00712-003-0050-x PG 7 WC Economics SC Business & Economics GA 806UO UT WOS:000220459000010 ER PT J AU Flannery, MJ Kwan, SH Nimalendran, M AF Flannery, MJ Kwan, SH Nimalendran, M TI Market evidence on the opaqueness of banking firms' assets SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE banks; microstructure; opacity ID BID-ASK SPREAD; SECURITIES MARKETS; EARNINGS ANNOUNCEMENTS; STOCK TRADES; INFORMATION; COMPONENTS; PRICE; UNCERTAINTY; DEBT; REPUTATION AB We assess the market microstructure properties of U.S. banking firms' equity, to determine whether they exhibit more or less evidence of asset opaqueness than similar-sized nonbanking firms. The evidence indicates that large bank holding companies (BHC), traded on the NYSE, have very similar trading properties to their matched nonfinancial firms. In contrast, smaller BHCs, traded on NASDAQ, trade much less frequently despite having very similar spreads. Analysis of HIES earnings forecasts indicates that banking assets are not unusually opaque; they are simply boring. The implications for regulatory policy and future market microstructure research are discussed. (C) 2003 Elsevier B.V. All rights reserved. C1 Univ Florida, Dept Finance, Grad Sch Business Adm, Gainesville, FL 32611 USA. Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Flannery, MJ (reprint author), Univ Florida, Dept Finance, Grad Sch Business Adm, Box 117168, Gainesville, FL 32611 USA. EM flannery@ufl.edu NR 61 TC 69 Z9 69 U1 17 U2 24 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD MAR PY 2004 VL 71 IS 3 BP 419 EP 460 DI 10.1016/S0304-405X(03)00185-5 PG 42 WC Business, Finance; Economics SC Business & Economics GA 803YD UT WOS:000220265500001 ER PT J AU Clark, TE AF Clark, TE TI Can out-of-sample forecast comparisons help prevent overfitting? SO JOURNAL OF FORECASTING LA English DT Article DE forecasts; overfitting; model selection; causality ID PREDICTIVE ABILITY; STOCK RETURNS; TESTS; SELECTION; MODELS; CONSUMPTION; INFLATION; INFERENCE; ACCURACY; CRITERIA AB This paper shows that out-of-sample forecast comparisons can help prevent data mining-induced overfitting. The basic results are drawn from simulations of a simple Monte Carlo design and a real data-based design similar to those used in some previous studies. In each simulation, a general-to-specific procedure is used to arrive at a model. If the selected specification includes any of the candidate explanatory variables, forecasts from the model are compared to forecasts from a benchmark model that is nested within the selected model. In particular, the competing forecasts are tested for equal MSE and encompassing. The simulations indicate most of the post-sample tests are roughly correctly sized. Moreover, the tests have relatively good power, although some are consistently more powerful than others. The paper concludes with an application, modelling quarterly US inflation. Copyright (C) 2004 John Wiley Sons, Ltd. C1 Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. RP Clark, TE (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 925 Grand Blvd, Kansas City, MO 64198 USA. EM todd.e.clark@kc.frb.org NR 45 TC 28 Z9 31 U1 2 U2 7 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0277-6693 J9 J FORECASTING JI J. Forecast. PD MAR PY 2004 VL 23 IS 2 BP 115 EP 139 DI 10.1002/for.904 PG 25 WC Economics; Management SC Business & Economics GA 805RH UT WOS:000220382900004 ER PT J AU Neumark, D Schweitzer, M Wascher, W AF Neumark, D Schweitzer, M Wascher, W TI Minimum wage effects throughout the wage distribution SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID FAST-FOOD INDUSTRY; NEW-JERSEY; EMPLOYMENT; PENNSYLVANIA; LABOR; LAWS AB This paper provides evidence on a wide set of margins along which labor markets can adjust in response to increases in the minimum wage, including wages, hours, employment, and ultimately labor income. Not surprisingly, the evidence indicates that low-wage workers are most strongly affected, while higher-wage workers are little affected. Workers who initially earn near the minimum wage experience wage gains. Nevertheless, their hours and employment decline, and the combined effect of these changes on earned income suggests adverse consequences, on net, for low-wage workers. C1 Michigan State Univ, E Lansing, MI 48824 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Neumark, D (reprint author), Michigan State Univ, E Lansing, MI 48824 USA. NR 24 TC 49 Z9 50 U1 1 U2 20 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 2004 VL 39 IS 2 BP 425 EP 450 DI 10.2307/3559021 PG 26 WC Economics; Industrial Relations & Labor SC Business & Economics GA 821KJ UT WOS:000221459000006 ER PT J AU Ahearne, AG Griever, WL Warnock, FE AF Ahearne, AG Griever, WL Warnock, FE TI Information costs and home bias: an analysis of US holdings of foreign equities SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE information asymmetries; investor protection; accounting standards; portfolio choice ID MARKET EQUILIBRIUM; HIGH TURNOVER; INVESTMENT; OWNERSHIP AB We test extant hypotheses of the home bias in equity holdings using high quality cross-border holdings data and quantitative measures of barriers to international investment. The effects of direct barriers to international investment, when statistically significant, are not economically meaningful. More important are information asymmetries that owe to the poor quality and low credibility of financial information in many countries. While a direct measure of information costs is not available, some foreign firms have reduced these costs by publicly listing their securities in the United States, where investor protection regulations elicit standardized, credible financial information. A proxy for the reduction in information asymmetries-the portion of a country's market that has a public US listing-is a major determinant of a country's weight in US investors' portfolios. Foreign countries whose firms do not alleviate information costs by opting into the US regulatory environment are more severely underweighted in US equity portfolios. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Warnock, FE (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Stop 42A,20th & C St NW, Washington, DC 20551 USA. EM frank.warnock@frb.gov NR 45 TC 178 Z9 181 U1 1 U2 18 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAR PY 2004 VL 62 IS 2 BP 313 EP 336 DI 10.1016/S0022-1996(03)00015-1 PG 24 WC Economics SC Business & Economics GA 778NB UT WOS:000189246700004 ER PT J AU Bassetto, M Kocherlakota, N AF Bassetto, M Kocherlakota, N TI On the irrelevance of government debt when taxes are distortionary SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Ricardian equivalence; government debt; distortionary taxes ID BUDGET DEFICITS; FISCAL-POLICY; RESTRICTIONS AB We consider a government that can only raise funds by levying distortionary taxes. We allow the government to collect taxes in a given period that are based on incomes earned in previous periods. We show that once we do so, given any debt path, the government can adjust its tax policy so as to attain that debt path without affecting equilibrium allocations or prices. (C) 2003 Elsevier B.V. All rights reserved. C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. Stanford Univ, Dept Econ, Stanford, CA 94305 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Bassetto, M (reprint author), Univ Minnesota, Dept Econ, 271 19th Ave S, Minneapolis, MN 55455 USA. EM bassetto@econ.umn.edu OI Bassetto, Marco/0000-0001-8325-8450 NR 12 TC 10 Z9 10 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 MAR PY 2004 VL 51 IS 2 BP 299 EP 304 DI 10.1016/j.jmoneco.2002.12.001 PG 6 WC Business, Finance; Economics SC Business & Economics GA 800MB UT WOS:000220031300004 ER PT J AU Amato, JD Laubach, T AF Amato, JD Laubach, T TI Implications of habit formation for optimal monetary policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE habit formation; optimal monetary policy; interest rate rules ID CONSUMPTION; FRAMEWORK; PRICES; GROWTH AB We study the implications for optimal monetary policy of introducing habit formation in consumption into a general equilibrium model with sticky prices. Habit formation affects the model's endogenous dynamics through its effects on both aggregate demand and households' supply of output. We show that the objective of monetary policy consistent with welfare maximization includes output stabilization, as well as inflation and output gap stabilization. We find that the variance of output increases under optimal policy, even though it acquires a higher implicit weight in the welfare function. We also find that a simple interest rate rule nearly achieves the welfare-optimal allocation, regardless of the degree of habit formation. In this rule, the optimal responses to inflation and the lagged interest rate are both declining in the size of the habit, although super-inertial policies remain optimal. (C) 2003 Elsevier B.V. All rights reserved. C1 Bank Int Settlements, CH-4002 Basel, Switzerland. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Amato, JD (reprint author), Bank Int Settlements, CH-4002 Basel, Switzerland. EM jeffery.amato@bis.org NR 20 TC 41 Z9 41 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2004 VL 51 IS 2 BP 305 EP 325 DI 10.1016/j.jmoneco.2003.05.002 PG 21 WC Business, Finance; Economics SC Business & Economics GA 800MB UT WOS:000220031300005 ER PT J AU Carlstrom, CT Fuerst, TS AF Carlstrom, CT Fuerst, TS TI Learning and the central bank SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE real indeterminacy; monetary models; E-stability ID MONETARY-POLICY RULES; REAL INDETERMINACY; MODELS AB It is well known that sunspot equilibria may arise under an interest rate operating procedure in which the central bank varies the nominal rate with movements in future inflation (a forward-looking Taylor rule). This paper demonstrates that these sunspot equilibria may be learnable in the sense of E-stability. (C) 2003 Published by Elsevier B.V. C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. Bowling Green State Univ, Bowling Green, OH 43403 USA. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM charles.t.carlstrom@clev.frb.org NR 16 TC 15 Z9 15 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2004 VL 51 IS 2 BP 327 EP 338 DI 10.1016/j.jmoneco.2003.05.003 PG 12 WC Business, Finance; Economics SC Business & Economics GA 800MB UT WOS:000220031300006 ER PT J AU Martin, A AF Martin, A TI Optimal pricing of intraday liquidity SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE liquidity provision; intraday interest rate; moral hazard ID GROSS SETTLEMENT; FRIEDMAN RULE; SYSTEMS; RISK AB This paper presents a general equilibrium model where intraday liquidity is needed because the timing of payments is uncertain. A necessary and sufficient condition for an equilibrium to be efficient is that the nominal intraday interest rate be zero, even when the overnight rate is strictly positive. Because a market for liquidity may not achieve efficiency, this creates a role for the central bank. I allow for the possibility of moral hazard and study policies commonly used by central banks to reduce their exposure to risk. I show collateralized lending achieves the efficient allocation, while, for certain parameters, caps cannot prevent moral hazard. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Martin, A (reprint author), Fed Reserve Bank Kansas City, 925 Grand Blvd, Kansas City, MO 64198 USA. EM antoine.martin@kc.frb.org NR 16 TC 18 Z9 19 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2004 VL 51 IS 2 BP 401 EP 424 DI 10.1016/j.jmoneco.2003.07.007 PG 24 WC Business, Finance; Economics SC Business & Economics GA 800MB UT WOS:000220031300009 ER PT J AU Ross, SL Tootell, GMB AF Ross, SL Tootell, GMB TI Redlining, the Community Reinvestment Act, and private mortgage insurance SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE Community Reinvestment Act; private mortgage insurance; redlining; mortgage lending; discrimination ID NEIGHBORHOOD; BOSTON; MODEL AB This paper examines whether neighborhood racial or income composition influences a lender's treatment of mortgage applications. Recent studies have found little evidence of differential treatment based on either the racial or income composition of the neighborhood, once the specification accounts for neighborhood risk factors. This paper suggests that lenders may favor applicants from Community Reinvestment Act (CRA)-protected neighborhoods if they obtain private mortgage insurance (PMI) and that this behavior may mask lender redlining of low-income and minority neighborhoods. For loan applicants who are not covered by PMI, this paper finds strong evidence that applications for units in low-income neighborhoods are less likely to be approved, and some evidence that applications for units in minority neighborhoods are less likely to be approved, regardless of the race of the applicant. This pattern is not visible in earlier studies because lenders appear to treat applications from these neighborhoods more favorably when the applicant obtains PMI. (C) 2002 Elsevier Inc. All rights reserved. C1 Univ Connecticut, Dept Econ, Storrs, CT 06269 USA. Fed Reserve Bank Boston, Boston, MA 02106 USA. RP Ross, SL (reprint author), Univ Connecticut, Dept Econ, Storrs, CT 06269 USA. EM ross@sp.uconn.edu; geoff.tootell@bos.frb.org NR 23 TC 29 Z9 30 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 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAR PY 2004 VL 55 IS 2 BP 278 EP 297 DI 10.1016/S0094-1190(02)00508-9 PG 20 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 800NK UT WOS:000220034800004 ER PT J AU Carlino, GA DeFina, RH AF Carlino, GA DeFina, RH TI How strong is co-movement in employment over the business cycle? Evidence from state/sector data SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE regional business cycles; sectoral co-movement; regional employment ID SECTORAL SHOCKS; COMMON TRENDS; FLUCTUATIONS; STATES AB This study measures the extent of co-movement in employment across states and sectors at business-cycle frequencies. The strength of co-movement is quantified using the cohesion measure developed by Croux, Forni, and Reichlin (Rev. Econ. Statist. 83 (2001) 232). The data indicate that cohesion is generally positive for the state/sector pairs, although the distributions mass around relatively low values. The results suggest that cohesion has risen over time and that cohesion increases with spatial aggregation. Evidence reveals that the measured degree of co-movement is sensitive to the chosen periodicity of the data and that there is much greater cohesion across states for a given sector than across different sectors within a state. An investigation into the sources of cross-state variation in cohesion reveals that important determinants include the share of state employment in manufacturing, the different effects of monetary policy actions on each state's employment, and the degree of sectoral diversity within a state. (C) 2003 Published by Elsevier Inc. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. Villanova Univ, Dept Econ, Villanova, PA 19085 USA. RP Carlino, GA (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM jerry.carlino@phil.frb.org NR 39 TC 16 Z9 16 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 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAR PY 2004 VL 55 IS 2 BP 298 EP 315 DI 10.1016/S0094-1190(03)00084-6 PG 18 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 800NK UT WOS:000220034800005 ER PT J AU Edgerton, J Haughwout, AF Rosen, R AF Edgerton, J Haughwout, AF Rosen, R TI Institutions, tax structure and state-local fiscal stress SO NATIONAL TAX JOURNAL LA English DT Article ID VARIABILITY; GROWTH AB We discuss budgetary institutions and the evolution of tax systems the state and local sector, drawing on evidence from New York City. An increasing reliance on personal income taxes and a corresponding de-emphasis on property taxes have made the city's tax revenues significantly less stable and more sensitive to flucuations in the city's economy. Nonetheless, adjusting the personal income tax rate to smooth revenues over the business cycle may be an effective way of transferring cyclical shocks from an actor who faces borrowing constraints (the city or state) factors who do not face such constraints (upper income taxpayers). C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Edgerton, J (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 13 TC 2 Z9 2 U1 3 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 MAR PY 2004 VL 57 IS 1 BP 147 EP 158 PG 12 WC Business, Finance; Economics SC Business & Economics GA 806ER UT WOS:000220417700008 ER EF