FN Thomson Reuters Web of Science™ VR 1.0 PT J AU Chapple, K Markusen, A Schrock, G Yamamoto, D Yu, PK AF Chapple, K Markusen, A Schrock, G Yamamoto, D Yu, PK TI Gauging metropolitan "high-tech" and "I-tech" activity SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE high tech; occupations; city rankings ID HIGH-TECHNOLOGY EMPLOYMENT; ECONOMIC-DEVELOPMENT; VIEW AB In the past few years, a number of new studies have published high-tech rankings of American metropolitan areas that are used by many business consultants and local economic development organizations to advise firms on location strategies. In this article, the authors generate their own rankings based on an occupational definition of "high techness" and compare them with those of four other studies. The results rank larger and older industrial cities, such as Chicago, New York, and even Detroit, higher than many of the smaller places celebrated as high tech, such as Austin. The work demonstrates that the methodology underlying rankings is crucially important to the outcome. By abandoning narrow notions of high tech restricted to maturing technologies in computers, electronics, and telecommunications and instead using science and technology (S&T) occupations as a marker for high tech, it may be possible to tag the innovative potential of emerging sectors, including high-tech services. C1 Univ Calif Berkeley, Berkeley, CA 94720 USA. Univ Minnesota, Hubert H Humphrey Inst Publ Affairs, Project Reg & Ind Econ, Minneapolis, MN 55455 USA. Univ Minnesota, Dept Geog, Minneapolis, MN 55455 USA. Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Chapple, K (reprint author), Univ Calif Berkeley, Berkeley, CA 94720 USA. RI French, Shaun/B-1155-2010 NR 25 TC 45 Z9 47 U1 0 U2 7 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0891-2424 J9 ECON DEV Q JI Econ. Dev. Q. PD FEB PY 2004 VL 18 IS 1 BP 10 EP 29 DI 10.1177/0891242403257948 PG 20 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA 762LU UT WOS:000187974300002 ER PT J AU Chapple, K Markusen, A Schrock, G Yamamoto, D Yu, PK AF Chapple, K Markusen, A Schrock, G Yamamoto, D Yu, PK TI Rejoinder: High-tech rankings, specialization, and relationship to growth SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE high-tech; occupations; city rankings ID AGGLOMERATION; FIRMS AB Our respondents-Cortright and Mayer (2004 [this issue]), Gottlieb (2004 [this issue]), and Mathur (2004 [this issue])-greatly enrich the debate over high-tech rankings, relationship to growth, and specialization. We are grateful to them both for the questions they raise about our work and for the depth of critique they bring to the discussion. All three responses, in particular Gottlieb's, continue our methodological debate, providing valuable insights for both theory and practice. Mathur inspires us to look more deeply at the relationship between high tech and job growth as well as our definition of human capital. We find Cortright and Mayer's views on specialization particularly provocative and Gottlieb's framing of that issue in terms of urbanization and localization economies very useful. The following response takes up these three issues in turn. C1 Univ Calif Berkeley, Berkeley, CA 94720 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Chapple, K (reprint author), Univ Calif Berkeley, Berkeley, CA 94720 USA. RI French, Shaun/B-1155-2010 NR 31 TC 6 Z9 6 U1 0 U2 6 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0891-2424 J9 ECON DEV Q JI Econ. Dev. Q. PD FEB PY 2004 VL 18 IS 1 BP 44 EP 49 DI 10.1177/0891242403260598 PG 6 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA 762LU UT WOS:000187974300006 ER PT J AU Wynne, MA Rodriguez-Palenzuela, D AF Wynne, MA Rodriguez-Palenzuela, D TI Measurement Bias in the HICP: What do we know and what do we need to know? SO JOURNAL OF ECONOMIC SURVEYS LA English DT Article DE Harmonized Index of Consumer Prices; HICP; price measurement ID SUBSTITUTION BIAS; INFLATION; PRICES; INDEX AB The Harmonized Index of Consumer Prices (HICP) is the primary measure of inflation in the euro area, and plays a central role in the policy deliberations of the European Central Bank (ECB). The ECB defines its Treaty mandate of price stability as '... a year-on-year increase in the Harmonised Index of Consumer Prices (HICP) for the euro area of below 2%[...] to be maintained over the medium term.' Among the rationales given for defining price stability as prevailing at some positive measured inflation rate is the possibility that the HICP as published incorporates measurement errors of one sort or another that may cause it to systematically overstate the true rate of inflation in the euro area. This paper reviews what currently is known about the scope of measurement error in the HICP. We conclude that given the vague conceptual framework of the HICP, the scant research on price measurement issues in the EU and the ongoing improvements in the HICP, there is very little scientific basis at this time for a point (or even an interval) estimate of a positive bias in the HICP. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Wynne, MA (reprint author), Fed Reserve Bank Dallas, Dallas, TX 75201 USA. NR 72 TC 6 Z9 6 U1 0 U2 4 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0950-0804 J9 J ECON SURV JI J. Econ. Surv. PD FEB PY 2004 VL 18 IS 1 BP 79 EP 112 DI 10.1111/j.1467-6419.2004.00216.x PG 34 WC Economics SC Business & Economics GA 760RC UT WOS:000187847200003 ER PT J AU Bliss, RR Panigirtzoglou, N AF Bliss, RR Panigirtzoglou, N TI Option-implied risk aversion estimates SO JOURNAL OF FINANCE LA English DT Article ID DENSITY FORECASTS; PRICES; ASSET; EXPECTATIONS; SUBSTITUTION; CONSUMPTION; MANAGEMENT; MARKETS; RETURNS; CRISIS AB Using a utility function to adjust the risk-neutral PDF embedded in cross sections of options, we obtain measures of the risk aversion implied in option prices. Using FTSE 100 and S&P 500 options, and both power and exponential-utility functions, we estimate the representative agent's relative risk aversion (RRA) at different horizons. The estimated coefficients of RRA are all reasonable. The RRA estimates are remarkably consistent across utility functions and across markets for given horizons. The degree of RRA declines broadly with the forecast horizon and is lower during periods of high market volatility. C1 Fed Reserve Bank Chicago, Chicago, IL USA. Bank England, London, England. RP Bliss, RR (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 42 TC 120 Z9 120 U1 3 U2 23 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 2004 VL 59 IS 1 BP 407 EP 446 DI 10.1111/j.1540-6261.2004.00637.x PG 40 WC Business, Finance SC Business & Economics GA 770VR UT WOS:000188752500013 ER PT J AU Bullard, J Waller, CJ AF Bullard, J Waller, CJ TI Central bank design in general equilibrium SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE political economy; monetary policy; time consistency; inflation bias ID MONETARY-POLICY; DISCRETION; MODEL; RULES AB We study the effects of alternative institutional arrangements for the determination of monetary policy in the context of a capital-theoretic, general equilibrium economy. We consider three institutional arrangements for determining monetary policy. The first, unconditional majority voting, always leads to a substantial inflation bias. The second, a simple form of bargaining which we interpret as a policy board, generally improves on the unconditional majority voting outcome. Finally, we consider a constitutional rule which always achieves the social optimum. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. Univ Notre Dame, Dept Econ, Notre Dame, IN 46556 USA. ZEI Bonn, Bonn, Germany. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. EM bullard@stls.frb.org RI Waller, Christopher/I-5755-2016; Bullard, James/L-8120-2016 OI Waller, Christopher/0000-0003-2406-9910; Bullard, James/0000-0002-1142-6803 NR 20 TC 14 Z9 14 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2004 VL 36 IS 1 BP 95 EP 113 DI 10.1353/mcb.2004.0002 PG 19 WC Business, Finance; Economics SC Business & Economics GA 780KR UT WOS:000189380300005 ER PT J AU Cameron, SV Taber, C AF Cameron, SV Taber, C TI Estimation of educational borrowing constraints using returns to schooling SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID FAMILY; IDENTIFICATION; ATTAINMENT; SELECTION; COLLEGE; MODELS; MALES AB This paper measures the importance of borrowing constraints on education decisions. Empirical identification of borrowing constraints is secured by the economic prediction that opportunity costs and direct costs of schooling affect borrowing-constrained and unconstrained persons differently. Direct costs need to be financed during school and impose a larger burden on credit-constrained students. By contrast, gross forgone earnings do not have to be financed. We explore the implications of this idea using four methodologies: schooling attainment models, instrumental variable wage regressions, and two structural economic models that integrate both schooling choices and schooling returns into a unified framework. None of the methods produces evidence that borrowing constraints generate inefficiencies in the market for schooling in the current policy environment. We conclude that, on the margin, additional policies aimed at improving credit access will have little impact on schooling attainment. C1 Columbia Univ, New York, NY 10027 USA. Fed Reserve Bank New York, New York, NY 10045 USA. Northwestern Univ, Evanston, IL 60208 USA. RP Cameron, SV (reprint author), Columbia Univ, New York, NY 10027 USA. RI Shavit, Yossi/A-2034-2012 NR 36 TC 109 Z9 110 U1 0 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 FEB PY 2004 VL 112 IS 1 BP 132 EP 182 DI 10.1086/379937 PN 1 PG 51 WC Economics SC Business & Economics GA 773YX UT WOS:000188953900005 ER PT J AU Gust, C Marquez, J AF Gust, C Marquez, J TI International comparisons of productivity growth: the role of information technology and regulatory practices SO LABOUR ECONOMICS LA English DT Article DE information technology; labour productivity; business regulations; employment protection legislation; international panel data ID EMPLOYMENT PROTECTION; ECONOMY AB While information technology (IT) is credited with the recent acceleration in productivity in the United States, many other industrial countries have not experienced a pickup in productivity growth. To explain this productivity divergence, we use panel data from 1992 to 1999 for 13 industrial countries and find that this divergence is driven in part by differences in both the production and adoption of information technologies. Based on this finding, we proceed to investigate what factors might play a role in explaining differences in IT adoption. Our results support the view that burdensome regulatory environments and, in particular, regulations affecting labour market practices have impeded the adoption of information technologies and have slowed productivity growth in a number of industrial countries. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Gust, C (reprint author), Fed Reserve Board Governors, Washington, DC 20551 USA. EM christopher.j.gust@frb.gov; jaime.marquez@frb.gov NR 45 TC 47 Z9 50 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0927-5371 J9 LABOUR ECON JI Labour Econ. PD FEB PY 2004 VL 11 IS 1 BP 33 EP 58 DI 10.1016/S0927-5371(03)00055-1 PG 26 WC Economics SC Business & Economics GA 770PP UT WOS:000188739400002 ER PT J AU Swanson, ET AF Swanson, ET TI Signal extraction and non-certainty-equivalence in optimal monetary policy rules SO MACROECONOMIC DYNAMICS LA English DT Article DE certainty equivalence; signal extraction; optimal monetary policy ID UNCERTAINTY AB A standard result in the literature on monetary policy rules is that of certainty-equivalence: Given the expected values of the state variables of the economy, policy should be independent of all higher moments of those variables. Some exceptions to this rule have been pointed out in the literature, including restricting the policy response to a limited subset of state variables, or to estimates of the state variables that are biased. In contrast, this paper studies fully optimal policy rules with optimal estimation of state variables. The rules in this framework exhibit certainty-equivalence with respect to estimates of an unobserved state variable ("excess demand") X, but are not certainty-equivalent when (i) X must be estimated by signal extraction and (ii) the optimal rule is expressed as a reduced form that combines policyrnakers' estimation and policy-setting stages. I find that it is optimal for policymakers to attenuate their reaction to a variable about which uncertainty has increased, while responding more aggressively to variables about which uncertainty has not changed. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Swanson, ET (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 71,2000 C St NW, Washington, DC 20551 USA. EM eswanson@frb.gov NR 27 TC 14 Z9 14 U1 0 U2 2 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD FEB PY 2004 VL 8 IS 1 BP 27 EP 50 DI 10.1017/S1365100503020275 PG 24 WC Economics SC Business & Economics GA 766ND UT WOS:000188381700003 ER PT J AU Rich, R Tracy, J AF Rich, R Tracy, J TI Uncertainty and labor contract durations SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID INFLATION UNCERTAINTY; WAGE INDEXATION; UNITED-STATES; EMPIRICAL-ANALYSIS; UNION CONTRACTS; ARCH MODEL; DETERMINANTS; EXPECTATIONS; VARIABILITY; AGREEMENTS AB This paper provides an empirical investigation into the relationship between uncertainty and ex ante U.S. labor contract durations over the period 1970 to 1995. Using a structural identification of aggregate demand and aggregate supply shocks, we find that desired contract durations are shorter during periods of heightened nominal or real uncertainty. This evidence supports the view that labor contract durations respond endogenously to the aggregate uncertainty prevailing at the time they are negotiated, but suggests that risk-sharing concerns are not paramount. The analysis also considers several measures of inflation uncertainty that have appeared in the literature. The results generally corroborate previous findings of an inverse relationship between desired contract durations and the level of inflation uncertainty. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Rich, R (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 44 TC 17 Z9 17 U1 0 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 FEB PY 2004 VL 86 IS 1 BP 270 EP 287 DI 10.1162/003465304323023804 PG 18 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 804UA UT WOS:000220322400017 ER PT J AU Swanson, ET AF Swanson, ET TI Measuring the cyclicality of real wages: How important is the firm's point of view? SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; BEHAVIOR; MODELS; PRICE; TIME AB There is a growing consensus among economists that real wages in the postwar United States have been procyclical, greatly bolstering technology-driven theories of business cycles at the expense of more classical models. This paper makes the point that technological movements in firm's labor demand curves should be tested with a wage that is deflated by the firm's own price of output, with appropriate controls for intermediate inputs, and with respect to the cyclical state of the firm's own industry, as opposed to the state of the aggregate economy. Failure to control for these factors is found to lead to substantial overrejection of the classical model. In detailed industry data, with controls for changes in worker composition, I find that a vast majority of sectors have paid real product wages that vary inversely (that is, countercyclically) with the state of their industry. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Swanson, ET (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 28 TC 2 Z9 2 U1 0 U2 2 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 2004 VL 86 IS 1 BP 362 EP 377 DI 10.1162/003465304323023877 PG 16 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 804UA UT WOS:000220322400024 ER PT J AU Genesove, D Mayer, C AF Genesove, David Mayer, Christopher BE Camerer, CF Loewenstein, G Rabin, M TI Loss-Aversion and Seller Behavior: Evidence from the Housing Market SO ADVANCES IN BEHAVIORAL ECONOMICS SE Roundtable Series in Behavioral Economics LA English DT Article; Book Chapter ID PROSPECT-THEORY; INVESTORS; MODEL C1 [Genesove, David] MIT, Cambridge, MA 02139 USA. [Mayer, Christopher] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. [Mayer, Christopher] Columbia Univ, New York, NY 10027 USA. [Mayer, Christopher] Univ Michigan, Ann Arbor, MI 48109 USA. [Mayer, Christopher] Fed Reserve Bank Boston, Boston, MA USA. RP Genesove, D (reprint author), Hebrew Univ Jerusalem, IL-91905 Jerusalem, Israel. NR 21 TC 0 Z9 0 U1 0 U2 0 PU PRINCETON UNIV PRESS PI PRINCETON PA 41 WILLIAM ST, PRINCETON, NJ 08540 USA BN 978-0-691-11681-5 J9 ROUNDTABLE SER BEHAV PY 2004 BP 633 EP 655 PG 23 WC Economics SC Business & Economics GA BTN89 UT WOS:000287441800025 ER PT J AU Bernanke, BS Reinhart, VR Sack, BP AF Bernanke, BS Reinhart, VR Sack, BP TI Monetary policy alternatives at the zero bound: An empirical assessment SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article ID INTEREST-RATES; TERM STRUCTURE; RECENT EXPERIENCE; DEBT-MANAGEMENT; DEFLATION; LESSONS; YIELDS; BOND C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 71 TC 74 Z9 78 U1 0 U2 21 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA SN 0007-2303 EI 1533-4465 J9 BROOKINGS PAP ECO AC JI Brook. Pap. Econ. Act. PY 2004 IS 2 BP 1 EP 100 PG 100 WC Economics SC Business & Economics GA 900YH UT WOS:000227249700001 ER PT B AU Haughwout, AF AF Haughwout, AF BE Schwartz, AE TI Land taxation in New York City: a general equilibrium analysis SO City Taxes, City Spending: ESSAYS IN HONOR OF DICK NETZER SE STUDIES IN FISCAL FEDERALISM AND STATE-LOCAL FINANCE LA English DT Proceedings Paper CT Conference on City Taxes, City Spending - Essays in Honor of Dick Netzer CY OCT 12, 2001 CL NYU, Wagner Sch Public Serv, New York, NY SP Lincoln Inst Land Policy HO NYU, Wagner Sch Public Serv ID CAPITAL-SKILL COMPLEMENTARITY; PROPERTY-TAX C1 Fed Reserve Bank New York, Res & Market Anal Grp, New York, NY 10045 USA. NR 26 TC 4 Z9 4 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 1-84376-381-8 J9 STUD FISC FED SL FIN PY 2004 BP 73 EP 100 PG 28 WC Economics; Public Administration SC Business & Economics; Public Administration GA BDE81 UT WOS:000233162900004 ER PT J AU Toussaint-Comeau, M Rhine, SLW AF Toussaint-Comeau, M Rhine, SLW TI Tenure choice with location selection: The case of Hispanic neighborhoods in Chicago SO CONTEMPORARY ECONOMIC POLICY LA English DT Article; Proceedings Paper CT 76th Annual Conference of the Western-Economic-Association-International CY JUL 07-08, 2001 CL SAN FRANCISCO, CALIFORNIA SP Western Econ Assoc ID UNITED-STATES; HOUSING TENURE; HOMEOWNERSHIP; IMMIGRANTS; MIGRATION; PATTERNS AB A notable feature of immigration into the United States is the high degree of spatial concentration of different immigrant groups. This article asks the question whether residing in areas with a large proportion of a coethnic group influence the decision to own a home for Hispanics in the Chicago metropolitan area. The results show that Hispanics choose to live in Hispanic enclaves based on relatively homogeneous characteristics, such as recent migration, less English language fluency, and lower income. More years in the United States, higher education attainment, and English language fluency remain strong predictors of homeownership. Individuals are less likely to be homeowners in communities with a larger coethnic concentration, foreign-born residents, or lower-income families. C1 Fed Reserve Bank Chicago, Chicago, IL 60626 USA. RP Toussaint-Comeau, M (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle, Chicago, IL 60626 USA. EM maude.toussaint@chi.frb.org; sherrie.l.rhine@chi.frb.org NR 34 TC 18 Z9 18 U1 1 U2 6 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 JAN PY 2004 VL 22 IS 1 BP 95 EP 110 DI 10.1093/cep/byh008 PG 16 WC Economics; Public Administration SC Business & Economics; Public Administration GA 762GB UT WOS:000187962500008 ER PT B AU Orrenius, PM AF Orrenius, PM BE Durand, J Massey, DS TI The effect of US border enforcement on the crossing behavior of Mexican migrants SO CROSSING THE BORDER: RESEARCH FROM THE MEXICAN MIGRATION PROJECT LA English DT Proceedings Paper CT Binational Conference of the Mexican Migration Project on Crossing the Border CY MAR 15-16, 2002 CL Puerto Vallarta, MEXICO ID IMMIGRATION; MIGRATION; POLICY; DEATH C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX USA. NR 16 TC 9 Z9 9 U1 0 U2 0 PU RUSSELL SAGE FOUNDATION PI NEW YORK PA 112 EAST 64TH STREET, NEW YORK, NY 10021 USA BN 0-87154-288-9 PY 2004 BP 281 EP 298 PG 18 WC Demography; Sociology SC Demography; Sociology GA BCE40 UT WOS:000228852300014 ER PT J AU Farmer, A Stango, V AF Farmer, A Stango, V TI Ask prices, offers, and time to sale in an online exchange SO ECONOMIC INQUIRY LA English DT Article ID REAL-ESTATE; SEARCH AB By examining an online computer exchange, we find that sellers who place higher nonbinding ask prices have higher outstanding offers and remain on the exchange longer, suggesting a willingness to hold out for higher offers. Additionally, higher ask prices deter buyers from making offers. The results are stronger in thinner market segments, suggesting that gains from waiting for a high price are greater when buyers' tastes are idiosyncratic. These relationships are consistent with models in which buyers engage in costly search and suggest that online exchanges may not eliminate the frictions related to bilateral transactions. C1 Univ Arkansas, Walton Coll Business, Dept Econ, Fayetteville, AR 72701 USA. Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Farmer, A (reprint author), Univ Arkansas, Walton Coll Business, Dept Econ, Fayetteville, AR 72701 USA. EM afarmer@walton.uark.edu; victor.stango@chi.frb.org NR 17 TC 2 Z9 2 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 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2004 VL 42 IS 1 BP 14 EP 28 DI 10.1093/ei/cbh041 PG 15 WC Economics SC Business & Economics GA 762GC UT WOS:000187962600002 ER PT J AU Carlson, M AF Carlson, M TI Are branch banks better survivors? Evidence from the depression era SO ECONOMIC INQUIRY LA English DT Article ID GREAT-DEPRESSION; CRISIS AB It is widely argued in the literature on the Great Depression that the prevalence of unit banks aggravated the problem of financial instability that afflicted the United States. This article tests the theory that more widespread branch banking would have reduced financial turbulence by examining the survival of individual branch and unit banks. Results indicate that instead of being more likely to survive, branch banks were more likely to fail. Further investigation suggests that this higher failure rate occurred because branch banks systematically held riskier portfolios than unit banks. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Carlson, M (reprint author), Fed Reserve Board, 20th & Constitut Ave,NW, Washington, DC 20551 USA. EM mark.a.carlson@frb.gov NR 28 TC 18 Z9 19 U1 1 U2 8 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2004 VL 42 IS 1 BP 111 EP 126 DI 10.1093/ei/cbh048 PG 16 WC Economics SC Business & Economics GA 762GC UT WOS:000187962600009 ER PT J AU Poole, W AF Poole, W TI A perspective on US international capital flows/ SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Poole, W (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 0 TC 4 Z9 4 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2004 VL 86 IS 1 BP 1 EP 7 PG 7 WC Business, Finance; Economics SC Business & Economics GA 892FU UT WOS:000226636300001 ER PT J AU Garrett, TA AF Garrett, TA TI Casino gaming and local employment trends SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 16 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 JAN-FEB PY 2004 VL 86 IS 1 BP 9 EP 22 PG 14 WC Business, Finance; Economics SC Business & Economics GA 892FU UT WOS:000226636300002 ER PT J AU Wall, HJ Zoega, G AF Wall, HJ Zoega, G TI U.S regional business cycles and the natural rate of umemployment SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID CYCLICAL UNEMPLOYMENT; SECTORAL SHIFTS; MONETARY-POLICY C1 Fed Reserve Bank St Louis, St Louis, MO USA. Univ Iceland, IS-101 Reykjavik, Iceland. Univ London, Birkbeck Coll, London WC1E 7HU, England. RP Wall, HJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI zoega, gylfi/M-3622-2015 NR 25 TC 3 Z9 3 U1 6 U2 11 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2004 VL 86 IS 1 BP 23 EP 31 PG 9 WC Business, Finance; Economics SC Business & Economics GA 892FU UT WOS:000226636300003 ER PT J AU Chiodo, AJ Guidolin, M Owyang, MT Shimoji, M AF Chiodo, AJ Guidolin, M Owyang, MT Shimoji, M TI Subjective probabilities: Psychological theories and economic applications SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID INSURER STOCK VALUES; ASSET PRICES; FINANCIAL-MARKETS; EQUITY PREMIUM; BAYES RULE; INFLATION; RETURNS; AVAILABILITY; PERSPECTIVE; VOLATILITY C1 Fed Reserve Bank St Louis, St Louis, MO USA. Univ Virginia, Charlottesville, VA 22903 USA. Yokohama Natl Univ, Int Grad Sch Social Sci, Yokohama, Kanagawa, Japan. RP Chiodo, AJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 61 TC 3 Z9 3 U1 2 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2004 VL 86 IS 1 BP 33 EP 47 PG 15 WC Business, Finance; Economics SC Business & Economics GA 892FU UT WOS:000226636300004 ER PT J AU Sarno, L Thornton, DL AF Sarno, L Thornton, DL TI The efficient market hypothesis and identification in structural VARs SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID RATIONAL-EXPECTATIONS MODELS; FEDERAL-FUNDS RATE; MONETARY-POLICY; INTEREST-RATES; MONEY; ANNOUNCEMENTS; INFORMATION; LIQUIDITY 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. NR 35 TC 5 Z9 5 U1 1 U2 6 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2004 VL 86 IS 1 BP 49 EP 60 PG 12 WC Business, Finance; Economics SC Business & Economics GA 892FU UT WOS:000226636300005 ER PT J AU Phelan, C AF Phelan, C TI On the irrelevance of the maturity structure of government debt without commitment SO GAMES AND ECONOMIC BEHAVIOR LA English DT Article AB This paper presents a government debt game with the property that if the timing of debt auctions within a period is sufficiently unfettered, the set of equilibrium outcome paths of real economic variables given the government has access to a rich debt structure is identical to the set of equilibrium outcome paths given the government can issue only one-period debt. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. RP Phelan, C (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55480 USA. NR 5 TC 2 Z9 2 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 0899-8256 J9 GAME ECON BEHAV JI Games Econ. Behav. PD JAN PY 2004 VL 46 IS 1 BP 115 EP 128 DI 10.1016/S0899-8256(03)00053-8 PG 14 WC Economics SC Business & Economics GA 758GY UT WOS:000187627000007 ER PT J AU Calern, PS Hershaff, JE Wachter, SM AF Calern, PS Hershaff, JE Wachter, SM TI Neighborhood patterns of subprime lending: Evidence from disparate cities SO HOUSING POLICY DEBATE LA English DT Article DE discrimination; neighborhood; subprime and predatory lending ID COMMUNITY REINVESTMENT; RACE AB This article estimates a model of prime versus subprime allocation of loans for seven cities in 1997 and 2002; the model is based on both individual loan and neighborhood attributes. Of immediate interest is the effect of neighborhood racial and ethnic composition on the likelihood of receiving a subprime loan. We also allow for the interaction of borrower race and ethnicity with neighborhood attributes. A unique feature of our study is that it provides additional neighborhood controls for the aggregate level of credit risk and the neighborhood level of equity risk. We find some evidence of tightening loan standards in the subprime market over this five-year period. Even with risk controls, the neighborhood minority share is consistently significant and positively related to subprime share in both years. Furthermore, the neighborhood educational level is consistently significant and negatively related to subprime lending. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Univ Penn, Philadelphia, PA 19104 USA. RP Calern, PS (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 25 TC 40 Z9 40 U1 0 U2 1 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 2004 VL 15 IS 3 BP 603 EP 622 PG 20 WC Planning & Development; Urban Studies SC Public Administration; Urban Studies GA 873BS UT WOS:000225254400007 ER PT J AU Rose, AK Spiegel, MM AF Rose, AK Spiegel, MM TI A gravity model of sovereign lending: Trade, default, and credit SO IMF STAFF PAPERS LA English DT Article ID DEBT AB One reason why countries service their external debts is the fear that default might lead to shrinkage of international trade. If so, then creditors should systematically lend more to countries with which they share closer trade links. We develop a simple theoretical model to capture this intuition, then test and corroborate this idea. C1 Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. RP Rose, AK (reprint author), Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA. RI Rose, Andrew/I-1578-2014 OI Rose, Andrew/0000-0003-1100-1212 NR 11 TC 29 Z9 29 U1 0 U2 4 PU INT MONETARY FUND PI WASHINGTON PA 700 19TH ST, NW, WASHINGTON, DC 20431 USA SN 1020-7635 J9 IMF STAFF PAPERS JI IMF Staff Pap. PY 2004 VL 51 SI SI BP 50 EP 63 PG 14 WC Business, Finance; Economics SC Business & Economics GA 851LR UT WOS:000223687100002 ER PT J AU Duttagupta, R Spilimbergo, A AF Duttagupta, R Spilimbergo, A TI What happened to Asian exports during the crisis? SO IMF STAFF PAPERS LA English DT Article ID TIME-SERIES; UNIT-ROOT; MANUFACTURES; CONTAGION; ECONOMIES; TRADE AB After the large exchange rate depreciations following the 1997 East Asian crisis, export volumes from East Asian countries responded with a notable lag. Two main explanations for this lag have been proposed: that contraction in domestic credit affected supply of exports and that "competitive depreciation" by other countries neutralized the effects on demand for exports. This paper considers the plausibility of these two mechanisms using a new monthly database of exports of selected industries. The results indicate that "competitive depreciation" played an important role in the propagation of the East Asian crisis through the trade channel, even at a monthly frequency. C1 Int Monetary Fund, Exchange Regime & Debt & Reserve Management Div, Monetary & Financial Syst Dept, Washington, DC 20431 USA. Int Monetary Fund, Expenditure Policy Div, Fiscal Affairs Dept, Washington, DC 20431 USA. RP Duttagupta, R (reprint author), Int Monetary Fund, Exchange Regime & Debt & Reserve Management Div, Monetary & Financial Syst Dept, Washington, DC 20431 USA. NR 42 TC 7 Z9 7 U1 0 U2 2 PU INT MONETARY FUND PI WASHINGTON PA 700 19TH ST, NW, WASHINGTON, DC 20431 USA SN 1020-7635 J9 IMF STAFF PAPERS JI IMF Staff Pap. PY 2004 VL 51 IS 1 BP 72 EP 95 PG 24 WC Business, Finance; Economics SC Business & Economics GA 821MP UT WOS:000221465300004 ER PT J AU Neumark, D Wascher, W AF Neumark, D Wascher, W TI Minimum wages, labor market institutions, and youth employment: A cross-national analysis SO INDUSTRIAL & LABOR RELATIONS REVIEW LA English DT Article ID JOB SECURITY; UNEMPLOYMENT; EUROPE; SPECIFICATION; INEQUALITY; RIGIDITIES; TESTS AB The authors estimate the employment effects of changes in national minimum wages using a pooled cross-section time-series data set comprising 17 OECD countries for the period 1975-2000. The average effects they find are consistent with the view that minimum wages cause employment losses among youths. However, the evidence also shows considerable variation across countries. In particular, disemployment effects of minimum wages appear to be smaller in countries that have subminimum wage provisions for youths. Regarding other labor market policies and institutions, the authors find that more restrictive labor standards and higher union coverage strengthen the disemployment effects of minimum wages, while employment protection laws and active labor market policies designed to bring unemployed individuals into the work force help to offset these effects. Overall, the disemployment effects of minimum wages are strongest in the countries with the least regulated labor markets. C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. Michigan State Univ, E Lansing, MI 48824 USA. NBER, Cambridge, MA 02138 USA. RP Neumark, D (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. NR 43 TC 47 Z9 47 U1 1 U2 32 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 JAN PY 2004 VL 57 IS 2 BP 223 EP 248 DI 10.2307/4126618 PG 26 WC Industrial Relations & Labor SC Business & Economics GA 766GN UT WOS:000188367400004 ER PT J AU French, E Jones, JB AF French, E Jones, JB TI On the distribution and dynamics of health care costs SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article; Proceedings Paper CT Conference on Social Insurance and Pension Research CY NOV, 2001 CL Aarhus, DENMARK SP Ctr Res Social Integrat & Marginalizat, Graduate Sch Integrat, Product & Welfare, Ctr Analyt Finance, Danish Social Sci Res Council ID LIFE-CYCLE; EARNINGS AB Using data from the Health and Retirement Survey and the Assets and Health Dynamics of the Oldest Old survey, we estimate the stochastic process that determines both the distribution and dynamics of health care costs. We find that the data-generating process for log health costs is well represented as the sum of a white noise process and a highly persistent AR(1) process. We also find that the innovations to this process can be modelled with a normal distribution that has been adjusted to capture the risk of catastrophic health care costs. Simulating this model, we find that in any given year 0.1% of households receive a health cost shock with a present value of at least $125,000. Copyright (C) 2004 John Wiley Sons, Ltd. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. SUNY Albany, Dept Econ, New York, NY USA. RP French, E (reprint author), Fed Reserve Bank Chicago, 11th Floor,230 S LaSalle St, Chicago, IL 60604 USA. EM efrench@frbchi.org NR 21 TC 44 Z9 44 U1 0 U2 4 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0883-7252 J9 J APPL ECONOMET JI J. Appl. Econom. PY 2004 VL 19 IS 6 SI SI BP 705 EP 721 DI 10.1002/jae.790 PG 17 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 878BU UT WOS:000225622300005 ER PT J AU Kim, CJ AF Kim, CJ TI The less-volatile US economy: A Bayesian investigation of timing, breadth, and potential explanations SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Bayes factor; business cycle; stabilization; structural break ID BUSINESS-CYCLE; CHANGE-POINT; TIME-SERIES; OUTPUT; FLUCTUATIONS; TESTS AB Using a Bayesian model comparison strategy, we search for a volatility reduction in U.S. real gross domestic product (GDP) growth within the postwar sample. We find that aggregate real GDP growth has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP. Sales and production growth in many of the components of real GDP display similar reductions in volatility, suggesting the aggregate volatility reduction does not have a narrow source. We also document structural breaks in inflation dynamics that occurred over a similar time frame as the GDP volatility reduction. C1 Korea Univ, Dept Econ, Seoul 136701, South Korea. Univ Washington, Dept Econ, Seattle, WA 98195 USA. Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63102 USA. RP Kim, CJ (reprint author), Korea Univ, Dept Econ, Seoul 136701, South Korea. EM cjkim@korea.ac.kr NR 25 TC 63 Z9 65 U1 2 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 JAN PY 2004 VL 22 IS 1 BP 80 EP 93 DI 10.1198/073500103288619412 PG 14 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 761XD UT WOS:000187940000007 ER PT J AU Prescott, ES AF Prescott, ES TI Computing solutions to moral-hazard programs using the Dantzig-Wolfe decomposition algorithm SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE moral hazard; linear programming; decomposition ID COSTLY STATE VERIFICATION; PRINCIPAL-AGENT PROBLEMS; INDIVISIBLE LABOR; INFORMATION; CONTRACTS; INSURANCE AB Linear programming is an important method for computing solutions to private-information programs. The method is applicable for arbitrary specifications of preferences and technology. Unfortunately, as the cardinality of underlying sets increases, the programs quickly become too large to compute. This paper demonstrates that moral-hazard programs have a structure that allows them to be computed using the Dantzig-Wolfe decomposition algorithm. This algorithm breaks the linear program into subprograms, greatly increasing the size of programs that may be practically computed. Two examples are computed. The role of action lotteries is discussed. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Prescott, ES (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. NR 20 TC 9 Z9 10 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JAN PY 2004 VL 28 IS 4 BP 777 EP 800 DI 10.1016/S0165-1889(03)00053-8 PG 24 WC Economics SC Business & Economics GA 730FX UT WOS:000185819500007 ER PT J AU Mehran, H AF Mehran, H TI Corporate governance in the banking and financial services industries SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Editorial Material ID REPURCHASES C1 Fed Reserve Bank New York, Res & Mkt Anal Grp, New York, NY 10045 USA. RP Mehran, H (reprint author), Fed Reserve Bank New York, Res & Mkt Anal Grp, 33 Liberty St, New York, NY 10045 USA. EM hamid.mehran@ny.frb.org NR 15 TC 1 Z9 1 U1 2 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JAN PY 2004 VL 13 IS 1 BP 1 EP 5 DI 10.1016/j.jfi.2003.06.004 PG 5 WC Business, Finance SC Business & Economics GA 765DE UT WOS:000188251200001 ER PT J AU Hirtle, B AF Hirtle, B TI Stock repurchases and bank holding company performance SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article ID MARKET SHARE REPURCHASES; FREE CASH FLOW; TENDER OFFERS; AGENCY COSTS; DIVIDENDS; CHOICE; POLICY AB Using data from regulatory reports, we examine the relationship between stock repurchases and financial performance for a large sample of bank holding companies. The sample includes both publicly-traded and non-publicly traded banking companies. The primary result is that higher levels of repurchases in one year are associated with higher profitability and a lower share of problem loans in the subsequent year. Our results appear to be driven primarily by bank holding companies with publicly-traded stock, especially those companies whose stock is traded on major exchanges. In assessing the source of the repurchase-performance link, we find evidence suggesting that it may be driven by different factors for different types of bank holding companies. In particular, the evidence is consistent with free-cash-flow considerations for banks traded on major stock exchanges, but only weakly supports this explanation for smaller, closely-held companies. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Hirtle, B (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM beverly.hirtle@ny.frb.org NR 26 TC 2 Z9 2 U1 1 U2 11 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JAN PY 2004 VL 13 IS 1 BP 28 EP 57 DI 10.1016/S1042-9573(03)00028-7 PG 30 WC Business, Finance SC Business & Economics GA 765DE UT WOS:000188251200003 ER PT J AU Gallin, JH AF Gallin, JH TI Net migration and state labor market dynamics SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID UNITED-STATES; DIFFERENTIALS; EQUILIBRIUM; INVESTMENT; MOBILITY; MODELS AB Existing empirical estimates of net migration models are not identified because they lack an explicit measure of expected future conditions. I find that using actual one-period-ahead net migration at the state level to control for expectations reduces the strength of the relationship between current wages and net migration by more than one-third. I use the case of Michigan to show how existing empirical models mischaracterize the response of migration to shocks that are expected to be transitory. I add migration to a labor market model and simulate responses to permanent and transitory demand shocks. C1 Fed Reserve Board, Washington, DC USA. RP Gallin, JH (reprint author), Fed Reserve Board, Washington, DC USA. EM jgallin@frb.gov NR 37 TC 18 Z9 18 U1 0 U2 4 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0734-306X J9 J LABOR ECON JI J. Labor Econ. PD JAN PY 2004 VL 22 IS 1 BP 1 EP 21 DI 10.1086/380401 PG 21 WC Economics; Industrial Relations & Labor SC Business & Economics GA 775HV UT WOS:000189035400001 ER PT J AU Caselli, F Wilson, DJ AF Caselli, F Wilson, DJ TI Importing technology SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Public Policy CY APR 25-26, 2003 CL UNIV ROCHESTER, NEW YORK, NEW YORK HO UNIV ROCHESTER DE equipment imports; R&D; appropriate technology; TFP ID APPROPRIATE TECHNOLOGY; DEVELOPMENT SPILLOVERS; CAPITAL GOODS; GROWTH; TRADE; COUNTRIES AB We look at disaggregated imports of various types of equipment to make inferences on cross-country differences in the composition of equipment investment. We make three contributions. First, we document strikingly large differences in investment composition. Second, we explain the differences as being based on each equipment type's degree of complementarity with other factors whose abundance differs across countries. Third, we show that the composition of capital has the potential to account for some of the large observed differences in TFP across countries. (C) 2003 Elsevier B.V. All rights reserved. C1 NBER, Cambridge, MA 02138 USA. CEPR, London EC1V 7RR, England. Harvard Univ, Cambridge, MA 02138 USA. RP Wilson, DJ (reprint author), Fed Reserve Bank San Francisco, 101 Market St,MS 1130, San Francisco, CA 94105 USA. EM daniel.wilson@sf.frb.org NR 39 TC 56 Z9 56 U1 8 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 JAN PY 2004 VL 51 IS 1 BP 1 EP 32 DI 10.1016/j.jmoneco.2003.07.004 PG 32 WC Business, Finance; Economics SC Business & Economics GA 768MC UT WOS:000188545900001 ER PT J AU Comin, D Hobijn, B AF Comin, D Hobijn, B TI Cross-country technology adoption: making the theories face the facts SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Public Policy CY APR 25-26, 2003 CL UNIV ROCHESTER, NEW YORK, NY HO UNIV ROCHESTER DE economic growth; historical data; technology adoption ID DEVELOPMENT SPILLOVERS; GROWTH; CONVERGENCE; DIFFUSION; BRITISH AB We examine the diffusion of more than 20 technologies across 23 of the world's leading industrial economies. Our evidence covers major technology classes such as textile production, steel manufacture, communications, information technology, transportation, and electricity for the period 1788-2001. We document the common patterns observed in the diffusion of this broad range of technologies. Our results suggest a pattern of trickle-down diffusion that is remarkably robust across technologies. Most of the technologies that we consider originate in advanced economies and are adopted there first. Subsequently, they trickle down to countries that lag economically. Our panel data analysis indicates that the most important. determinants of the speed at which a country adopts technologies are the country's human capital endowment, type of government, degree of openness to trade, and adoption of predecessor technologies. We also find that the overall rate of diffusion has increased markedly since World War II because of the convergence in these variables across countries. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Domest Res Funct, New York, NY 10045 USA. NYU, Dept Econ, New York, NY 10003 USA. RP Hobijn, B (reprint author), Fed Reserve Bank New York, Domest Res Funct, Domest Res 3rd Floor,33 Liberty St, New York, NY 10045 USA. EM bart.hobijn@ny.frb.org NR 54 TC 93 Z9 94 U1 3 U2 19 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2004 VL 51 IS 1 BP 39 EP 83 DI 10.1016/j.jmoneco.2003.07.003 PG 45 WC Business, Finance; Economics SC Business & Economics GA 768MC UT WOS:000188545900003 ER PT J AU Aaronson, D Bostic, RW Huck, P Townsend, R AF Aaronson, D Bostic, RW Huck, P Townsend, R TI Supplier relationships and small business use of trade credit SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE small business finance; ethnic networks; neighborhood networks; adverse selection ID SPATIAL MISMATCH; LOS-ANGELES; DISCRIMINATION; NETWORKS; FINANCE; MODEL AB This paper establishes some unique descriptive statistics about supplier relationships and the use of trade credit among minority small businesses and documents the importance that ethnic and geographic supplier ties play. Using data from a survey of small businesses in two Chicago neighborhoods, we find that the importance may differ across communities. Working with a nearby supplier and, in cases where language appears to be an issue, with a Hispanic supplier are associated with more credit for Hispanic-owned firms. However, no comparable relationships are observed for Black-owned firms. These patterns are generally confirmed using nationally representative data. In addition, the national data suggest that ethnic differences in trade credit outcomes can be partly accounted for by the presence of ethnic- and geographic-based supplier relationships. (C) 2004 Elsevier Inc. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Fed Reserve Bank Chicago, Chicago, IL USA. Univ So Calif, Sch Policy Planning & Dev, Los Angeles, CA 90089 USA. Univ Chicago, Chicago, IL 60637 USA. RP Bostic, RW (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM bostic@usc.edu NR 36 TC 13 Z9 13 U1 3 U2 16 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 2004 VL 55 IS 1 BP 46 EP 67 DI 10.1016/j.jue.2003.02.001 PG 22 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 765XX UT WOS:000188317300003 ER PT J AU Spanakos, A McQuerry, E AF Spanakos, A McQuerry, E TI Political economy in a time of capital outflows: Theory, historical analysis, and prescriptions SO LATIN AMERICAN RESEARCH REVIEW LA English DT Review C1 CUNY Brooklyn Coll, Touro Coll, Brooklyn, NY 11210 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Spanakos, A (reprint author), CUNY Brooklyn Coll, Touro Coll, Brooklyn, NY 11210 USA. NR 12 TC 1 Z9 1 U1 0 U2 1 PU UNIV TEXAS PRESS PI AUSTIN PA BOX 7819, AUSTIN, TX 78713-7819 USA SN 0023-8791 J9 LAT AM RES REV JI Lat. Am. Res. Rev. PY 2004 VL 39 IS 2 BP 258 EP 274 DI 10.1353/lar.2004.0039 PG 17 WC Area Studies SC Area Studies GA 828SU UT WOS:000221994100015 ER PT J AU Chari, VV Jones, LE Marimon, R AF Chari, VV Jones, LE Marimon, R TI Strategic delegation in monetary unions SO MANCHESTER SCHOOL LA English DT Article ID COMMITMENT; DISCRETION; POLICY AB In monetary unions, monetary policy is typically made by delegates of the member countries. This procedure raises the possibility of strategic delegation-that countries may choose the types of delegates to influence outcomes in their favor. We show that without commitment in monetary policy, strategic delegation arises if and only if three conditions are met: shocks affecting individual countries are not perfectly correlated, risk-sharing across countries is imperfect, and the Phillips curve is nonlinear. Moreover, inflation rates are inefficiently high. We argue that ways of solving the commitment problem, including the emphasis on price stability in the agreements constituting the European Union, are especially valuable when strategic delegation is a problem. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. Univ Pompeu Fabra, Barcelona, Spain. RP Chari, VV (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 10 TC 0 Z9 0 U1 0 U2 1 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 1463-6786 J9 MANCH SCH JI Manch. Sch. PY 2004 VL 72 SU S BP 19 EP 33 DI 10.1111/j.1467-9957.2004.00417.x PG 15 WC Economics SC Business & Economics GA 847UQ UT WOS:000223421600002 ER PT B AU Bies, SS AF Bies, SS BE Birio, C Hunter, WC Kaufman, GG Tsatsaronis, K TI Effective market discipline: The roles of auditors, companies, and analysts SO Market Discipline Across Countries and Industries LA English DT Proceedings Paper CT 5th Annual International Conference on Market Discipline - Evidence across Countries and Industries CY OCT 30-NOV 01, 2003 CL Fed Reserve Bank Chicago, Chicago, IL SP Bank Int Settlements, Chicago Fed HO Fed Reserve Bank Chicago C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 0-262-02575-2 PY 2004 BP 17 EP 23 PG 7 WC Business, Finance; Economics SC Business & Economics GA BCL60 UT WOS:000229928800003 ER PT B AU Bliss, RR AF Bliss, RR BE Birio, C Hunter, WC Kaufman, GG Tsatsaronis, K TI Market discipline: Players, processes, and purposes SO Market Discipline Across Countries and Industries LA English DT Proceedings Paper CT 5th Annual International Conference on Market Discipline - Evidence across Countries and Industries CY OCT 30-NOV 01, 2003 CL Fed Reserve Bank Chicago, Chicago, IL SP Bank Int Settlements, Chicago Fed HO Fed Reserve Bank Chicago ID DEPOSIT INSURANCE; FIRM; OWNERSHIP; CONTRACTS; BEHAVIOR; BANKING; COSTS C1 Fed Reserve Bank Chicago, Chicago, IL USA. NR 29 TC 2 Z9 2 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 0-262-02575-2 PY 2004 BP 37 EP 53 PG 17 WC Business, Finance; Economics SC Business & Economics GA BCL60 UT WOS:000229928800005 ER PT B AU Cumming, CM AF Cumming, CM BE Birio, C Hunter, WC Kaufman, GG Tsatsaronis, K TI Comment on policy SO Market Discipline Across Countries and Industries LA English DT Proceedings Paper CT 5th Annual International Conference on Market Discipline - Evidence across Countries and Industries CY OCT 30-NOV 01, 2003 CL Fed Reserve Bank Chicago, Chicago, IL SP Bank Int Settlements, Chicago Fed HO Fed Reserve Bank Chicago C1 Fed Reserve Bank New York, New York, NY 10045 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 0-262-02575-2 PY 2004 BP 417 EP 421 PG 5 WC Business, Finance; Economics SC Business & Economics GA BCL60 UT WOS:000229928800033 ER PT J AU Basu, S Fernald, JG Oulton, N Srinivasan, S AF Basu, S Fernald, JG Oulton, N Srinivasan, S TI The case of the missing productivity growth, or does information technology explain why productivity accelerated in the United States but not in the United Kingdom? SO NBER MACROECONOMICS ANNUAL 2003 SE NBER MACROECONOMICS ANNUAL LA English DT Article ID STOCK-MARKET; ECONOMY; 1990S; ICT; PERFORMANCE; INVESTMENT AB Solow's paradox has disappeared in the United States but remains alive and well in the United Kingdom. In particular, the United Kingdom experienced an information and communications technology (ICT) investment boom in the 1990s, in parallel with the United States, but measured total factor productivity (TFP) has decelerated rather than accelerated in recent years. We ask whether ICT can explain the divergent TFP performance in the two countries. Stories of ICT as a general purpose technology (GPT) suggest that measured TFP should rise in ICT-using sectors (reflecting either unobserved accumulation of intangible organizational capital, spillovers, or both) but perhaps with long lags. Contemporaneously, investments in ICT may in fact be associated with lower TFP because resources are diverted to reorganization and learning. In both the United States and the United Kingdom, we find a strong correlation between ICT use and industry TFP growth. The U.S. results are consistent with GPT stories: the acceleration after the mid-1990s was broadbased-located primarily in ICT-using industries rather than ICT-producing industries. Furthermore, industry TFP growth is positively correlated with industry ICT capital growth in the 1980s and early 1990s. Indeed, as GPT stories would suggest, if we control for past ICT growth, industry TFP growth appears negatively correlated with increases in ICT use in the late 1990s. A somewhat different picture emerges for the United Kingdom. TFP growth does not appear correlated with lagged ICT investment. But TFP growth in the 1990s is strongly and positively associated with the growth of ICT capital services, while being strongly and negatively associated with the growth of ICT investment. If unmeasured investment in complementary capital is correlated with ICT investment, as we argue, then this finding too is consistent with the GPT story. Comparing the first and second halves of the 1990s, however, the net effect of ICT is positive, suggesting that ICT cannot explain the observed TFP slowdown. On the other hand, our results do suggest, albeit tentatively, that the United Kingdom could see an acceleration in TFP growth over the next decade. C1 Univ Michigan, Ann Arbor, MI 48109 USA. Fed Reserve Bank Chicago, NBER, Chicago, IL USA. London Sch Econ, CEP, London, England. Bank England, London, England. RP Basu, S (reprint author), Univ Michigan, Ann Arbor, MI 48109 USA. NR 75 TC 9 Z9 9 U1 0 U2 10 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0889-3365 J9 NBER MACROECON ANN PY 2004 VL 18 BP 9 EP + PG 57 WC Economics SC Business & Economics GA BCC11 UT WOS:000228553600001 ER PT J AU Krueger, D Perri, F AF Krueger, D Perri, F TI On the welfare consequences of the increase in inequality in the United States SO NBER MACROECONOMICS ANNUAL 2003 SE NBER MACROECONOMICS ANNUAL LA English DT Article ID FULL INSURANCE; CONSUMPTION; UNCERTAINTY; FAMILIES; INCOME; RISK AB We investigate the welfare consequences of the stark increase in wage and earnings inequality in the United States over the last 30 years. Our data stems from the Consumer Expenditure Survey, which is the only U.S. dataset that contains information on wages, hours worked, earnings, and consumption for the same cross section of U.S. households. First, we document that, while the cross-sectional variation in wages and disposable earnings has significantly increased, the overall dispersion in consumption has not changed significantly. We also show that households at the bottom of the consumption distribution have increased their working hours to a larger extent than the rest of the population. To assess the magnitude and the incidence of the welfare consequences of these trends, we estimate stochastic processes for earnings, consumption, and leisure that are consistent with observed cross-sectional variability (both within and between education groups) and with household mobility patterns. In a standard lifetime utility framework, using consumption and leisure processes (as opposed to earnings processes) results in fairly robust estimates of these consequences. We find that about 60 percent of U.S. households face welfare losses and that the size of these losses ranges from 1 to 6% of lifetime consumption for different groups. C1 Univ Penn, NBER, Philadelphia, PA 19104 USA. NYU, New York, NY USA. Fed Reserve Bank Minneapolis, NBER, Minneapolis, MN 55480 USA. RP Krueger, D (reprint author), Univ Penn, NBER, Philadelphia, PA 19104 USA. NR 34 TC 0 Z9 0 U1 2 U2 3 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0889-3365 J9 NBER MACROECON ANN PY 2004 VL 18 BP 83 EP + PG 40 WC Economics SC Business & Economics GA BCC11 UT WOS:000228553600004 ER PT J AU King, RG AF King, RG TI Disagreement about inflation expectations - Comment SO NBER MACROECONOMICS ANNUAL 2003 SE NBER MACROECONOMICS ANNUAL LA English DT Editorial Material ID RATIONAL-EXPECTATIONS; DISINFLATION C1 Fed Reserve Bank Richmond, Richmond, VA USA. RP King, RG (reprint author), Boston Univ, NBER, Boston, MA 02215 USA. NR 16 TC 0 Z9 0 U1 2 U2 3 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0889-3365 J9 NBER MACROECON ANN PY 2004 VL 18 BP 248 EP 257 PG 10 WC Economics SC Business & Economics GA BCC11 UT WOS:000228553600011 ER PT J AU Williams, JC AF Williams, JC TI Disagreement about inflation expectations - Comment SO NBER MACROECONOMICS ANNUAL 2003 SE NBER MACROECONOMICS ANNUAL LA English DT Editorial Material ID MACROECONOMIC FORECASTS; REAL-TIME C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Williams, JC (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. RI Williams, John/A-8226-2009 NR 21 TC 3 Z9 3 U1 2 U2 2 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0889-3365 J9 NBER MACROECON ANN PY 2004 VL 18 BP 257 EP 268 PG 12 WC Economics SC Business & Economics GA BCC11 UT WOS:000228553600012 ER PT J AU Kopcke, RW Little, JS Tootell, GMB AF Kopcke, RW Little, JS Tootell, GMB TI How humans behave: Implications for economics and economic policy SO NEW ENGLAND ECONOMIC REVIEW LA English DT Editorial Material AB Economic policymakers attempt to improve the welfare of their citizens, based on assumptions about how people think, feel, and behave, and on what they view as welfare-improving. Economists usually describe economic agents as fully informed and model them as striving to maximize a set of stable preferences. While these assumptions provide a simple framework for analyzing economic activity, actual human behavior has proved more complex. As a result, economists have started looking to psychologists and others who study human behavior for guidance on the decision-making process, the roles of motivation and emotion, and the determinants and measurement of happiness. The 48(th), economic conference sponsored by the Federal Reserve Bank of Boston brought together economists, behavioral scientists, and economic policymakers with the hope of applying insights from psychology and other behavioral disciplines to improve understanding of how people make decisions as individuals and, ultimately, in a macroeconomic setting. The goal of the conference was to help economists and policymakers discover new ways of improving their models, their forecasts, and their economic policy decisions. This article summarizes the conference proceedings. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Kopcke, RW (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM richard.kopcke@bos.frb.org; jane.little@bos.frb.org; geoffrey.tootell@bos.frb.org NR 0 TC 4 Z9 4 U1 0 U2 1 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2004 IS 1 BP 3 EP + PG 4 WC Economics SC Business & Economics GA 848WN UT WOS:000223498900001 ER PT J AU Kodrzycki, YK AF Kodrzycki, YK TI College completion gaps between blacks and whites: What accounts for regional differences? SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article ID FAMILIES AB The educational gap between blacks and whites in the United States is wide and widening at the college graduate level. A less known fact is that the size of this gap differs across the various regions of the country. The difference is especially great for the Northeast, an area known for high average educational achievement. This paper explores the reasons for the differential college completion gaps by race across regions, focusing chiefly on adults between the ages of 25 and 34. Two hypotheses are explored. One is that differential incidence by region of factors determining access to a college education is the principal determinant of the variation in the magnitude of the gaps. The other is that regional college completion gaps reflect ongoing differences among the regions in location preferences between blacks and whites. The study concludes that variation across regions in college completion gaps between blacks and whites is a product both of differences in past factors affecting access to college and of ongoing differences in location preferences of black and white adults. C1 Fed Reserve Bank Boston, Boston, MA 02106 USA. RP Kodrzycki, YK (reprint author), Fed Reserve Bank Boston, Boston, MA 02106 USA. NR 27 TC 1 Z9 1 U1 1 U2 4 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2004 IS 1 BP 37 EP + PG 28 WC Economics SC Business & Economics GA 848WN UT WOS:000223498900010 ER PT J AU Sakellaris, P Wilson, DJ AF Sakellaris, P Wilson, DJ TI Quantifying embodied technological change SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE productivity growth; embodied technological change; equipment investment; plant; producer durable price index ID TECHNICAL CHANGE; UNITED-STATES; BUSINESS-CYCLE; PRODUCTIVITY; GROWTH; INVESTMENT; DYNAMICS; PLANTS AB We estimate the rate of embodied technological change directly from plant-level manufacturing data on current output and input choices along with histories on their vintages of equipment investment. Our estimates range between 8 and 17 percent for the typical US manufacturing plant during the years 1972-1996. Any number in this range is substantially larger than is conventionally accepted with some important implications. First, the role of investment-specific technological change as an engine of growth is even larger than previously estimated. Second, existing producer durable price indices do not adequately account for quality change. As a result, measured capital stock growth is biased. Third, if accurate, the Hulten and Wykoff (198 1, Depreciation Inflation, and the Taxation of Income From Capital; Urban, Washington, DC, pp. 81-125) economic depreciation rates may primarily reflect obsolescence. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. Univ Maryland, Athens Univ Econ & Business, College Pk, MD 20742 USA. RP Wilson, DJ (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 45 TC 27 Z9 29 U1 1 U2 11 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 2004 VL 7 IS 1 BP 1 EP 26 DI 10.1016/S1094-2025(03)00052-8 PG 26 WC Economics SC Business & Economics GA 758GL UT WOS:000187625700001 ER PT J AU Holmes, TJ AF Holmes, TJ TI Step-by-step migrations SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE step-by-step; migration; intermediate input variety ID TECHNOLOGY; GROWTH AB This paper considers a dynamic model of industry location in which there is a tension between two forces. First, there is the agglomerating force of preference of intermediate input variety that tends to keep an industry at its original location. Second, other factors tend to pull the industry in the direction of a new location. In the equilibrium of the model, migration always takes place in the direction of lower costs. The socially efficient migration path can be decentralized as an equilibrium. If the rate of cost reduction is small, the converse that an equilibrium is efficient is also true. (C) 2003 Elsevier Inc. All rights reserved. C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55480 USA. RP Holmes, TJ (reprint author), Univ Minnesota, Dept Econ, 1035 Heller Hall,271 19th Ave S, Minneapolis, MN 55455 USA. NR 15 TC 2 Z9 2 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 2004 VL 7 IS 1 BP 52 EP 68 DI 10.1016/S1094-2025(03)00033-4 PG 17 WC Economics SC Business & Economics GA 758GL UT WOS:000187625700003 ER PT J AU Mills, DC AF Mills, DC TI Mechanism design and the role of enforcement in Freeman's model of payments SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE payments system; discount window ID INFORMATION ECONOMY; MONEY AB Freeman (1996, American Economic Review 86 (5), 1126-1138) is the first to formulate a model in which (i) debts are repaid with money and (ii) there can arise liquidity problems which give rise to a role for a central bank discount window. I ask whether this payment system is truly essential in his model. It is not because there is another mechanism-one without features (i) and (ii)-that works as well. This is because of a strong assumption regarding the enforcement of debt contracts. I then present a slightly different model of enforcement based on collateralized lending where (i) is necessary, but (ii) is not. Published by Elsevier Inc. C1 Fed Reserve Syst, Board Governors, Div Reserve Bank Operat & Payment Syst, Washington, DC 20551 USA. RP Mills, DC (reprint author), Fed Reserve Syst, Board Governors, Div Reserve Bank Operat & Payment Syst, Washington, DC 20551 USA. NR 11 TC 9 Z9 9 U1 0 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2004 VL 7 IS 1 BP 219 EP 236 DI 10.1016/S1094-2025(03)00045-0 PG 18 WC Economics SC Business & Economics GA 758GL UT WOS:000187625700010 ER PT J AU Marquez, J AF Marquez, J TI Productivity, investment, and current accounts: Reassessing the evidence SO REVIEW OF WORLD ECONOMICS LA English DT Article DE productivity; G-7 countries; current account; private investment; FIML; enclogenous growth ID GROWTH AB The most widely accepted explanation for the inverse association between private investments and current accounts (Glick and Rogoff 1995) rests on data for manufactures through 1990. Is this consensus robust to revisions to the national accounts and the expansion of information technologies since 1990? To address this question I replicate their results and I find that post-1990 developments eliminate the support for such a conclusion. I also implement alternative formulations and find, again, a lack of empirical support for their findings. Thus I examine the role of measurement errors and focus on the treatment of the manufacturing sector as representative of the whole economy and the exclusion of the contribution of capital when measuring productivity. Correcting these two measurement errors restores to Glick and Rogoff's conclusion its original strength. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Marquez, J (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM jaime.marquez@frb.gov NR 13 TC 3 Z9 4 U1 0 U2 1 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 1610-2878 J9 REV WORLD ECON JI Rev. World Econ. PY 2004 VL 140 IS 2 BP 282 EP 301 DI 10.1007/BF02663649 PG 20 WC Economics; International Relations SC Business & Economics; International Relations GA 843ZT UT WOS:000223127300005 ER PT J AU DeYoung, R Duffy, D AF DeYoung, R Duffy, D TI The challenges facing community banks SO SOCIETY LA English DT Article C1 Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL USA. Fed Reserve Bank Chicago, Global Supervis & Regulat Unit, Chicago, IL USA. RP DeYoung, R (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL USA. NR 6 TC 1 Z9 1 U1 0 U2 1 PU TRANSACTION PERIOD CONSORTIUM PI PISCATAWAY PA RUTGERS UNIV, DEPT 8010, 35 BERRUE CIRCLE, PISCATAWAY, NJ 08854-8042 USA SN 0147-2011 J9 SOCIETY JI Society PD JAN-FEB PY 2004 VL 41 IS 2 BP 42 EP 52 DI 10.1007/BF02712704 PG 11 WC Social Sciences, Interdisciplinary; Sociology SC Social Sciences - Other Topics; Sociology GA 755VF UT WOS:000187431600008 ER PT S AU Doms, ME Dunn, WE Oliner, SD Sichel, DE AF Doms, Mark E. Dunn, Wendy E. Oliner, Stephen D. Sichel, Daniel E. BE Poterba, JM TI How fast do personal computers depreciate? Concepts and new estimates SO TAX POLICY AND THE ECONOMY, VOL 18 SE Tax Policy and the Economy LA English DT Proceedings Paper CT 18th Tax Policy and the Economy Conference CY NOV, 2003 CL Washington, DC SP Natl Bureau Econ Res, MIT Press ID QUALITY; PRICE AB This paper provides new estimates of depreciation rates for personal computers (PCs) using an extensive database on prices of used PCs. Our results show that PCs lose roughly half their remaining value, on average, with each additional year of use. We decompose that decline into age-related depreciation and a revaluation effect driven by the steep ongoing drop in the constant-quality prices of newly introduced PCs. Our results are directly applicable for measuring the depreciation of PCs in the National Income and Product Accounts (NiPAs) and were incorporated into the December 2003 comprehensive NIPA revision. Regarding tax policy, our estimates suggest that the current tax depreciation schedule for PCs closely tracks their actual loss of value in a zero-inflation environment. However, because the tax code is not indexed for inflation, the tax allowances would be too small in present value for inflation rates above the very low level now prevailing. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 40 TC 5 Z9 5 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0892-8649 BN 978-0-262-66184-3 J9 TAX POL EC PY 2004 VL 18 BP 37 EP 79 PG 43 WC Business, Finance; Economics SC Business & Economics GA BFW56 UT WOS:000245105300002 ER PT J AU Knittel, CR Stango, V AF Knittel, CR Stango, V TI Price ceilings as focal points for tacit collusion: Evidence from credit cards SO AMERICAN ECONOMIC REVIEW LA English DT Article ID JOINT EXECUTIVE-COMMITTEE; STATISTICAL-MODELS; CARTEL STABILITY; MARKET; COMPETITION; DEMAND; WARS AB We test whether a nonbinding price ceiling may serve as a focal point for tacit collusion, using data from the credit card market during the 1980's. Our empirical model can distinguish instances when firms match a binding ceiling from instances when firms tacitly collude at a nonbinding ceiling. The results suggest. that tacit collusion at nonbinding state-level ceilings was prevalent during the early 1980's, but that national integration of the market reduced the sustainability of tacit collusion by the end of the decade. The results highlight a perverse effect of price regulation. C1 Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. Fed Reserve Bank Chicago, Emerging Payments Dept, Chicago, IL 60604 USA. RP Knittel, CR (reprint author), Univ Calif Davis, Dept Econ, 1 Shields Ave, Davis, CA 95616 USA. NR 29 TC 32 Z9 32 U1 0 U2 7 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 2003 VL 93 IS 5 BP 1703 EP 1729 DI 10.1257/000282803322655509 PG 27 WC Economics SC Business & Economics GA 756TJ UT WOS:000187497800012 ER PT J AU Estrella, A AF Estrella, A TI Critical values and p values of bessel process distributions: Computation and application to structural break tests SO ECONOMETRIC THEORY LA English DT Article ID CHANGE-POINT; CROSSING PROBABILITIES; MODELS; INFERENCE; PARAMETER; BOUNDARY AB The p values of structural break tests, when the break date or dates are unknown, must be calculated in terms of the probability distributions of functions of Bessel processes. The literature so far has maintained that direct computation of these p values and of the corresponding critical values is too difficult and has relied on approximations based on simulations, asymptotic expansions, or curve fitting. This paper presents a fast simple method of calculating exact p values and critical values and uses the method to evaluate the accuracy of the various approximations. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Estrella, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. NR 18 TC 12 Z9 12 U1 2 U2 3 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4211 USA SN 0266-4666 J9 ECONOMET THEOR JI Economet. Theory PD DEC PY 2003 VL 19 IS 6 BP 1128 EP 1143 DI 10.1017/S0266466603196107 PG 16 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 736RG UT WOS:000186186500010 ER PT J AU Laubach, T AF Laubach, T TI Signalling commitment with monetary and inflation targets SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE monetary targeting; inflation targeting; signalling; imperfect monitoring ID INCOMPLETE INFORMATION; POLICY; CREDIBILITY; MODEL AB This article studies a two-period game between the public and a central bank about whose ability to commit to an announced target the public is uncertain. The central bank chooses between announcing a target for an intermediate variable (money growth) and its goal variable, inflation. Prior to setting its instrument, the central bank receives private, noisy information about the link between money growth and inflation. Monetary targeting facilitates communication of the central bank's type, in that the probability of separation is always higher than under inflation targeting. This advantage of monetary targets from a dependable central bank's perspective is outweighed for most parameter values by the advantage of inflation targeting in terms of inflation control. If the regime choice is treated as a strategic decision, over a large range of parameter values both central banks choose the regime that a dependable central bank would prefer. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Laubach, T (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 12 TC 3 Z9 3 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD DEC PY 2003 VL 47 IS 6 BP 985 EP 1009 AR PII S0014-2921(02)00232-5 DI 10.1016/S0014-2921(02)00232-5 PG 25 WC Economics SC Business & Economics GA 743XZ UT WOS:000186600000003 ER PT J AU Prescott, ES AF Prescott, ES TI Communication in private-information models: Theory and computation SO GENEVA PAPERS ON RISK AND INSURANCE THEORY LA English DT Article DE private information; communication ID PRE-DECISION INFORMATION; MORAL-HAZARD; ADVERSE SELECTION; MANAGEMENT; EQUILIBRIA; AGENCIES AB Communication and no-communication versions of a two-stage principal-agent model are compared. The models contain a risk-averse agent and two sources of private information, a shock to preferences followed by a productive action. Both models are formulated as linear programs, which are then used to compute solutions to examples. For the communication model, an alternative method of accounting for the utility from off-equilibrium strategies is derived. This method greatly reduces the size of the linear program. For the no-communication model a Revelation-Principle like proof is provided. In simple cases, a sufficient condition for communication to be valuable is derived. In these cases, communication improves risk-sharing in bad states of the world. In more complicated cases, computed examples demonstrate how communication may also alter labor supply. Further examples demonstrate how action and consumption lotteries may separate agents by their shock. C1 Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Prescott, ES (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. NR 21 TC 3 Z9 3 U1 3 U2 9 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0926-4957 J9 GENEVA PAP R I THEOR JI Geneva Pap. Risk Insur. Theory PD DEC PY 2003 VL 28 IS 2 BP 105 EP 130 DI 10.1023/A:1026388604459 PG 26 WC Business, Finance; Economics SC Business & Economics GA 737AK UT WOS:000186206200003 ER PT J AU Kwan, SH AF Kwan, SH TI Impact of deposit rate deregulation in Hong Kong on the market value of commercial banks SO JOURNAL OF BANKING & FINANCE LA English DT Article DE deposit rate deregulation; interest rate rules; Hong kong banks ID FINANCIAL INSTITUTIONS; STOCK RETURNS; ACT AB This paper examines the effects of a series of events leading up to the deregulation of deposit interest rates in Hong Kong on the market value of banks. All the evidence suggests that banks earned rents from deposit interest rate rules (IRRs) and deregulation would lower these rents and hence bank market values. On average, the total abnormal return due to interest rates deregulation was around negative 4%. There is some evidence that large banks and banks with high deposit-to-asset ratio suffered a bigger drop in value, suggesting that these banks enjoyed a bigger subsidy under the IRRs. (C) 2002 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Hong Kong Inst Monetary Res, Hong Kong, Hong Kong, Peoples R China. RP Kwan, SH (reprint author), Fed Reserve Bank San Francisco, Mail Stop 1130,101 Market St, San Francisco, CA 94105 USA. NR 19 TC 5 Z9 5 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 DEC PY 2003 VL 27 IS 12 BP 2231 EP 2248 DI 10.1016/S0378-4266(02)00322-9 PG 18 WC Business, Finance; Economics SC Business & Economics GA 741YF UT WOS:000186487400001 ER PT J AU Chakravorti, S Emmons, WR AF Chakravorti, S Emmons, WR TI Who pays for credit cards? SO JOURNAL OF CONSUMER AFFAIRS LA English DT Article ID PAYMENT SYSTEMS; INTERCHANGE; BEHAVIOR; PRICE; RATES; CASH AB The authors model side payments in a competitive credit-card market. If competitive retailers absorb the cost of accepting credit cards by charging a higher goods price to everyone, then someone must subsidize convenience users of credit cards to prevent them from defecting to merchants who do not accept cards. The side payment could be financed by card users who roll over balances and pay interest. It is rational for them to do so if their subjective discount rates are high enough. Charging different prices to different customers based on the underlying cost of the payment instrument would be more efficient for retailers. However, banks may offer incentives to attract convenience users because some of them may become interest-paying users ("revolvers") in the future. C1 Federal Reserve Bank Chicago, Chicago, IL USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Chakravorti, S (reprint author), Federal Reserve Bank Chicago, Chicago, IL USA. NR 42 TC 12 Z9 13 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 WIN PY 2003 VL 37 IS 2 BP 208 EP 230 PG 23 WC Business; Economics SC Business & Economics GA 754AY UT WOS:000187281600002 ER PT J AU Li, WL Sarte, PDG AF Li, WL Sarte, PDG TI Credit market frictions and their direct effects on US manufacturing fluctuations SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE intermediation; credit market frictions; economic fluctuations ID FINANCIAL INTERMEDIATION; BUSINESS CYCLES; SHOCKS; FIRMS; PROPAGATION; TRENDS AB In this paper, we explore how informational frictions in credit markets directly affect U.S. manufacturing fluctuations. Within the context of a dynamic industry model, we propose a strategy for identifying intermediation costs related to informational asymmetries between lenders and borrowers. The analysis suggests that these costs have been steadily falling over the post-war period. We also present evidence that changes in the cost of intermediation should directly affect output, as opposed to just propagating the effects of other shocks. In particular, we find that shocks to the cost of intermediation account for a larger share of manufacturing output fluctuations at long horizons than at short horizons. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Sarte, PDG (reprint author), Fed Reserve Bank Richmond, Dept Res, POB 27622, Richmond, VA 23261 USA. NR 26 TC 0 Z9 0 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD DEC PY 2003 VL 28 IS 3 BP 419 EP 443 DI 10.1016/S0165-1889(02)00182-3 PG 25 WC Economics SC Business & Economics GA 727KC UT WOS:000185656300001 ER PT J AU Kuttner, KN AF Kuttner, KN TI Inflation targeting: Design, performance, challenges. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Kuttner, KN (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 2003 VL 41 IS 4 BP 1285 EP 1286 PG 2 WC Economics SC Business & Economics GA 759CU UT WOS:000187721400016 ER PT J AU De Fontnouvelle, P Fishe, RPH Harris, JH AF De Fontnouvelle, P Fishe, RPH Harris, JH TI The Behavior of bid-ask spreads and volume in options markets during the competition for listings in 1999 SO JOURNAL OF FINANCE LA English DT Article ID SECURITIES MARKETS; INFORMED TRADERS; SPECIALIST MARKET; EQUITY OPTIONS; INFORMATION; STOCK; PRICE; LIQUIDITY; INSIDER; MAKERS AB In August 1999, U.S. exchanges began to compete directly for order flow in many options that had been exclusively listed on another exchange, shifting 37% of option volume to multiple-listing status by the end of September. Effective and quoted bid-ask spreads decrease significantly after multiple listings with spreads generally maintaining their initial lower levels 1 year later. These results hold for both time series and pooled regressions and are robust. We reject that economies of scale in market making cause the decrease in spreads and support the view that interexchange competition reduces option transaction costs. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. Univ Richmond, Richmond, VA 23173 USA. Univ Delaware, Newark, DE 19716 USA. RP De Fontnouvelle, P (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. RI Harris, Jeffrey/F-2395-2010 NR 46 TC 32 Z9 32 U1 4 U2 14 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 2003 VL 58 IS 6 BP 2437 EP 2463 DI 10.1046/j.1540-6261.2003.00611.x PG 27 WC Business, Finance SC Business & Economics GA 746PT UT WOS:000186755300006 ER PT J AU Draper, P Fung, JKW AF Draper, P Fung, JKW TI Discretionary government intervention and the mispricing of index futures SO JOURNAL OF FUTURES MARKETS LA English DT Article; Proceedings Paper CT 13th Annual Asia-Pacific Futures Research Symposium/International Conference on Derivatives and Risk Management CY FEB 27-28, 2003 CL SHANGHAI, PEOPLES R CHINA ID STOCK INDEX; OCTOBER 1987; HONG-KONG; ARBITRAGE; OPTIONS; MARKETS; INFORMATION; DYNAMICS; PRICES AB This article examines how and to what extent direct market intervention by the Hong Kong government in both the stock and futures markets affected the pricing relationship between the Hang Seng Index futures and the cash index during the period of the Asian financial crisis. The study avoids infrequent trading and nonexecution problems by using tradeable bid and offer quotes for the constituent stocks of the index. The results show that arbitrage efficiency was impeded during, and in the immediate aftermath of, the intervention. The findings suggest that discretionary government action introduces an additional risk factor for arbitrageurs that continues to disrupt normal market processes even after the government ceases to intervene. The continued disruption following the government's actions in the market also stems from a poorly developed stock loan market that impedes short selling, as well as a lack of liquidity in the market. (C) 2003 Wiley Periodicals, Inc. C1 Univ Exeter, Sch Business & Econ, Exeter EX4 4PU, Devon, England. Hong Kong Baptist Univ, Dept Finance & Decis Sci, Hong Kong, Hong Kong, Peoples R China. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Draper, P (reprint author), Univ Exeter, Sch Business & Econ, Streatham Court,Rennes Dr, Exeter EX4 4PU, Devon, England. NR 30 TC 12 Z9 12 U1 0 U2 2 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 2003 VL 23 IS 12 BP 1159 EP 1189 DI 10.1002/fut.10107 PG 31 WC Business, Finance SC Business & Economics GA 737ZG UT WOS:000186261800003 ER PT J AU Barakova, I Bostic, RW Calem, PS Wachter, SM AF Barakova, I Bostic, RW Calem, PS Wachter, SM TI Does credit quality matter for homeownership? SO JOURNAL OF HOUSING ECONOMICS LA English DT Article ID IMPACTS; RATES AB While micro-level household data on wealth and income are available for assessing income-and wealth-based constraints to homeownership, lack of data on household credit ratings has precluded evaluation of credit quality as a potential barrier to homeownership. The study, for the first time, measures the relative importance of credit-, income-, and wealth-based constraints and estimates how the effects of these constraints have evolved over the past decade. The results show that financing constraints continue to have an important impact on potential homebuyers. The wealth constraint has the largest impact, although its importance declined substantially during the 1990s. Credit quality based constraints have become more important barriers to homeownership during the 1990s, mostly reflecting an increase in the number of households with impaired credit quality. Thus, both wealth and credit constraints persist as barriers to the attainment of homeownership. Published by Elsevier Inc. C1 Univ Penn, Wharton Sch, Real Estate Dept, Philadelphia, PA 19104 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Univ So Calif, Los Angeles, CA 90089 USA. RP Wachter, SM (reprint author), Univ Penn, Wharton Sch, Real Estate Dept, Lauder Fisher Hall,Room 303, Philadelphia, PA 19104 USA. NR 18 TC 38 Z9 38 U1 1 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1051-1377 J9 J HOUS ECON JI J. Hous. Econ. PD DEC PY 2003 VL 12 IS 4 BP 318 EP 336 DI 10.1016/j.jhe.2003.09.002 PG 19 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 749GV UT WOS:000186912200003 ER PT J AU Kim, J Kim, SH Levin, A AF Kim, J Kim, SH Levin, A TI Patience, persistence, and welfare costs of incomplete markets in open economies SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE welfare; incomplete markets; patience; persistence; spillovers ID BUSINESS CYCLES; TRADE; GROWTH; SHOCKS; GAINS AB We investigate the welfare implications of alternative financial market structures in a two-country endowment economy model. We obtain an analytic expression for the expected lifetime utility of the representative household when sovereign bonds are the only internationally traded asset, and we compare this welfare level with that obtained under complete asset markets. The welfare cost of incomplete markets is negligible if agents are very patient and shocks are not very persistent, but this cost is dramatically larger if agents are relatively impatient and shocks are highly persistent. For realistic cases in which agents are very patient and shocks are highly persistent, the welfare cost of incomplete markets is highly sensitive to the specific values of these parameters. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Board, Washington, DC 20551 USA. Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. Tufts Univ, Dept Econ, Medford, MA 02155 USA. RP Levin, A (reprint author), Fed Reserve Board, Stop 70,20th & C St NW, Washington, DC 20551 USA. NR 20 TC 12 Z9 12 U1 1 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 DEC PY 2003 VL 61 IS 2 BP 385 EP 396 DI 10.1016/S0022-1996(03)00009-6 PG 12 WC Economics SC Business & Economics GA 737FN UT WOS:000186219900006 ER PT J AU Harrigan, J AF Harrigan, J TI A centennial celebration (1899-1999) SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Book Review C1 Fed Reserve Bank New York, Int Res Dept, New York, NY 10045 USA. RP Harrigan, J (reprint author), Fed Reserve Bank New York, Int Res Dept, 33 Liberty St, New York, NY 10045 USA. NR 5 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD DEC PY 2003 VL 61 IS 2 BP 473 EP 476 DI 10.1016/S0022-1996(03)00048-5 PG 4 WC Economics SC Business & Economics GA 737FN UT WOS:000186219900011 ER PT J AU Spiegel, MM Valderrama, D AF Spiegel, MM Valderrama, D TI Currency boards, dollarized liabilities, and monetary policy credibility SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article; Proceedings Paper CT Conference on Regional and International Implications of the Financial Instability in Latin America CY APR 10-11, 2003 CL UNIV CALIFORNIA SANTA CRUZ, SANTA CRUZ, CA HO UNIV CALIFORNIA SANTA CRUZ DE currency board; default; dollarized liabilities ID CONSTRAINTS; CRISES AB The recent collapse of the Argentine currency board raises new questions about the desirability of formal fixed exchange rate regimes. This paper examines the relative performance of a currency board with costly abandonment in the presence of dollarized liabilities to a fully-discretionary regime. Our results demonstrate that neither regime necessarily dominates with only idiosyncratic firm shocks, but discretion unambiguously dominates with the addition of shocks to the dollar-euro rate. The relatively strong performance of the discretionary regime in this model stems from the benign impact of dollarized liabilities on the monetary authority's time-inconsistency problem. (C) 2003 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM mark.spiegel@sf.frb.org NR 19 TC 1 Z9 1 U1 1 U2 1 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD DEC PY 2003 VL 22 IS 7 BP 1065 EP 1087 DI 10.1016/j.jimonfin.2003.09.010 PG 23 WC Business, Finance SC Business & Economics GA 749JG UT WOS:000186915900008 ER PT J AU Lange, J Sack, B Whitesell, W AF Lange, J Sack, B Whitesell, W TI Anticipations of monetary policy in financial markets SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID TERM STRUCTURE; INTEREST-RATES; EXPECTATIONS HYPOTHESIS; INFORMATION; REGIMES AB In recent years, financial markets appear better able to anticipate Federal Open Market Committee (FOMC) policy changes. Beginning in the late 1980s and early 1990s, longer-term interest rates and futures rates have tended to incorporate movements in the federal funds rate several months in advance, in contrast to the largely contemporaneous response typically observed before that time. After identifying these emerging trends, the paper parses the enhanced predictability into a component that can be attributed to the autoregressive behavior of the funds rate and a nonautoregressive component. The paper considers institutional developments in FOMC policy making that may have contributed to each of these components, including gradualism in adjusting the federal funds rate target and transparency regarding the setting of the target and future policy intentions. C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. NR 19 TC 44 Z9 45 U1 1 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 DEC PY 2003 VL 35 IS 6 BP 889 EP 909 DI 10.1353/mcb.2003.0044 PN 1 PG 21 WC Business, Finance; Economics SC Business & Economics GA 751JN UT WOS:000187063400003 ER PT J AU Peek, J Rosengren, ES Tootell, GMB AF Peek, J Rosengren, ES Tootell, GMB TI Identifying the macroeconomic effect of loan supply shocks SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID MONETARY-POLICY; CREDIT CONDITIONS; INVENTORIES AB The inability to clearly distinguish the effects of shocks to loan supply from those to loan demand has made it difficult to quantify the economic importance of the credit channel in the transmission mechanism of monetary policy. This study provides an innovative approach to identifying loan supply shocks. Three different results confirm that loan supply shocks have been successfully isolated from shifts in loan demand. Our measure is particularly important for explaining inventory movements, the component of GDP most dependent on bank lending; the effect is present even during periods with strong loan demand; and the effect remains even when the unpredictable part of the loan supply shock is isolated. This identification enables us to show that loan supply shocks have had economically important effects on the U.S. economy. C1 Univ Kentucky, Gatton Coll Business & Econ, Lexington, KY 40506 USA. Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Peek, J (reprint author), Univ Kentucky, Gatton Coll Business & Econ, Lexington, KY 40506 USA. NR 16 TC 17 Z9 17 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 DEC PY 2003 VL 35 IS 6 BP 931 EP 946 DI 10.1353/mcb.2003.0046 PN 1 PG 16 WC Business, Finance; Economics SC Business & Economics GA 751JN UT WOS:000187063400005 ER PT J AU Altig, D AF Altig, D TI Comment on "taking intermediation seriously" by Bruce D. Smith SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material ID MONETARY-POLICY; FINANCIAL INTERMEDIATION; INFLATION; GROWTH; CONTRACTS; MODEL C1 Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Fed Reserve Bank Cleveland, Cleveland, OH USA. EM david.e.altig@clev.frb.org NR 29 TC 0 Z9 0 U1 3 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 DEC PY 2003 VL 35 IS 6 BP 1367 EP 1377 DI 10.1353/mcb.2004.0016 PN 2 PG 11 WC Business, Finance; Economics SC Business & Economics GA 834IH UT WOS:000222404300018 ER PT J AU Fuhrer, JC AF Fuhrer, JC TI Comment on "how forward looking is monetary policy'?" by Marc P. Giannoni and Michael Woodford SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material C1 Fed Reserve Bank Boston, Boston, MA USA. RP Fuhrer, JC (reprint author), Fed Reserve Bank Boston, Boston, MA USA. EM jeff.fuhrer@bos.frb.org RI Fuhrer, Jeff/F-8852-2013 NR 3 TC 0 Z9 0 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 DEC PY 2003 VL 35 IS 6 BP 1477 EP 1483 DI 10.1353/mcb.2004.0028 PN 2 PG 7 WC Business, Finance; Economics SC Business & Economics GA 834IH UT WOS:000222404300023 ER PT J AU Chari, VV Kehoe, PJ AF Chari, VV Kehoe, PJ TI Hot money SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID INFORMATIONAL CASCADES; HERD BEHAVIOR; MODEL; CRISES; PAYMENTS; BALANCE; MARKETS; DEBT AB Recent empirical work on financial crises documents that crises tend to occur when macroeconomic fundamentals are weak; but even after conditioning on an exhaustive list of fundamentals, a sizable random component to crises and associated capital flows remains. We develop a model of herd behavior consistent with these observations. Informational frictions together with standard debt default problems lead to volatile capital flows resembling hot money and financial crises. We show that repaying debt during difficult times identifies a government as financially resilient, enhances its reputation, and stabilizes capital flows. Bailing out governments deprives resilient countries of the opportunity to differentiate themselves from the nonresilient. C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Chari, VV (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA. NR 21 TC 34 Z9 34 U1 4 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 DEC PY 2003 VL 111 IS 6 BP 1262 EP 1292 DI 10.1086/378525 PG 31 WC Economics SC Business & Economics GA 745YQ UT WOS:000186719400004 ER PT J AU Shen, P AF Shen, P TI Market timing strategies that worked - Based on the E/P ratio of the S&P 500 and interest rates. SO JOURNAL OF PORTFOLIO MANAGEMENT LA English DT Article ID STOCK RETURNS; INVESTMENT PERFORMANCE; EARNINGS YIELDS; COMMON-STOCKS; PREDICTABILITY; FORECASTS AB There is evidence that a few simple market timing strategies appear to have outperformed a buy-and-hold strategy in the 1970-2000 period. The example here is based on spreads between the E/P ratio of the S&P 500 index and interest rates. Extremely narrow spreads compared to historical ranges appear to predict more frequent market downturns to come. A switching strategy based on extremely narrow spreads and the market index calls for investing in the stock market index unless spreads are narrower than some predefined threshold. Switching strategies like this outperformed the market index in terms of higher mean returns and lower variances. A strategy based on the spread between the E/P ratio and a short-term interest rate comfortably beat the market index in this period, even considering transaction costs. C1 Fed Reserve Bank, Div Res, Kansas City, MO 64198 USA. RP Shen, P (reprint author), Fed Reserve Bank, Div Res, Kansas City, MO 64198 USA. NR 23 TC 11 Z9 11 U1 2 U2 2 PU INSTITUTIONAL INVESTOR INC PI NEW YORK PA 488 MADISON AVENUE, NEW YORK, NY 10022 USA SN 0095-4918 J9 J PORTFOLIO MANAGE JI J. Portf. Manage. PD WIN PY 2003 VL 29 IS 2 BP 57 EP + DI 10.3905/jpm.2003.319873 PG 13 WC Business, Finance SC Business & Economics GA 639NX UT WOS:000180637100005 ER PT J AU Davis, DR Weinstein, DE AF Davis, DR Weinstein, DE TI Why countries trade - Insights from firm-level data SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article; Proceedings Paper CT Conference on New Development in Empirical International Trade CY DEC 10-11, 2002 CL TOKYO, JAPAN ID PRODUCT DIFFERENTIATION; COMPARATIVE ADVANTAGE; ECONOMIC-GEOGRAPHY; INCREASING RETURNS; MONOPOLISTIC COMPETITION; INTERNATIONAL-TRADE; SCALE ECONOMIES; CONTINUUM; COLOMBIA; PATTERN C1 Columbia Univ, New York, NY 10027 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Weinstein, DE (reprint author), Columbia Univ, New York, NY 10027 USA. NR 31 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 DEC PY 2003 VL 17 IS 4 BP 432 EP 447 DI 10.1016/j.jjie.2003.09.007 PG 16 WC Economics; International Relations SC Business & Economics; International Relations GA 754TB UT WOS:000187346700003 ER PT J AU Harrigan, J Vanjani, R AF Harrigan, J Vanjani, R TI Is Japan's trade (still) different? SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article; Proceedings Paper CT Conference on New Development in Empirical International Trade CY DEC 10-11, 2002 CL TOKYO, JAPAN AB Does Japanese trade in manufactured goods differ from the rest-of-the world average and from the US? We use a simple industry-level gravity model and 1981-1998 data to answer this question. We construct a measure of normalized imports by dividing bilateral industry-level imports by the importer's aggregate absorption and the exporter's industry output. We find that Japan imports less than other countries, but also exports less than other countries. Relative to the US, Japanese export performance is half as strong today as it was in the mid-1980s. Bilaterally, Japan is more open to imports from the US than the US is to imports from Japan. This means that the US runs a trade surplus with Japan in normalized imports of manufactured goods. J Japanese Int. Economies 17 (4) (2003) 507-519. International Research Department, Federal Reserve Bank of New York, 33 Liberty Street, New York, NY 10045, USA. Published by Elsevier Inc. C1 Fed Reserve Bank New York, Int Res Dept, New York, NY 10045 USA. RP Harrigan, J (reprint author), Fed Reserve Bank New York, Int Res Dept, 33 Liberty St, New York, NY 10045 USA. NR 10 TC 9 Z9 9 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 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD DEC PY 2003 VL 17 IS 4 BP 507 EP + DI 10.1016/j.jjie.2003.09.008 PG 55 WC Economics; International Relations SC Business & Economics; International Relations GA 754TB UT WOS:000187346700006 ER PT J AU Lansing, KJ Trehan, B AF Lansing, KJ Trehan, B TI Forward-looking behavior and optimal discretionary monetary policy SO ECONOMICS LETTERS LA English DT Article DE monetary policy; inflation targeting; discretion; Taylor rule AB This paper derives a closed-form solution for the optimal discretionary monetary policy in a model that allows for varying degrees of forward-looking behavior. We show that forward-looking behavior can either attenuate or magnify the optimal policy response to inflation and the output gap, depending on which part of the model economy is affected by expectations. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, Dept Res, San Francisco, CA 94120 USA. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, Dept Res, POB 7702, San Francisco, CA 94120 USA. EM kevin.j.lansing@sf.frb.org NR 11 TC 6 Z9 6 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 NOV PY 2003 VL 81 IS 2 BP 249 EP 256 DI 10.1016/S0165-1765(03)00187-3 PG 8 WC Economics SC Business & Economics GA 778ER UT WOS:000189226900014 ER PT J AU Berger, AN AF Berger, AN TI The efficiency effects of a single market for financial services in Europe SO EUROPEAN JOURNAL OF OPERATIONAL RESEARCH LA English DT Article; Proceedings Paper CT Meeting of the EURO-Working-Group-on-Financial-Modeling CY NOV, 2000 CL NEW YORK, NEW YORK SP EURO Work Grp Financial Model DE banks; securities firms; insurance; mergers; efficiency; international finance ID LIFE-INSURANCE INDUSTRY; BANK MERGERS; SMALL BUSINESS; UNITED-STATES; SHAREHOLDER WEALTH; COMMERCIAL-BANKS; PROFIT FUNCTION; CONSOLIDATION; ACQUISITIONS; INSTITUTIONS AB This paper examines the potential efficiency effects of a single market for financial services in Europe. The topics covered include universal banking, the merger and acquisition process itself, cross-border ownership and management of financial institutions, and the effects of consolidation of financial institutions on the supply of relationship lending services to informationally opaque small businesses. The research reviewed here suggests that the creation of a single market for the European financial services industry is not likely to bring about strong efficiency gains and that cross-border efficiency barriers may prevent the single market from becoming a reality. (C) 2002 Elsevier B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Fed Reserve Board, Washington, DC 20551 USA. Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Fed Reserve Board, 20th & C St NW,Mail Stop 153, Washington, DC 20551 USA. NR 116 TC 21 Z9 21 U1 4 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0377-2217 J9 EUR J OPER RES JI Eur. J. Oper. Res. PD NOV 1 PY 2003 VL 150 IS 3 BP 466 EP 481 DI 10.1016/S0377-2217(02)00772-5 PG 16 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA 710DR UT WOS:000184666000002 ER PT J AU Rime, B Stiroh, KJ AF Rime, B Stiroh, KJ TI The performance of universal banks: Evidence from Switzerland SO JOURNAL OF BANKING & FINANCE LA English DT Article DE efficiency; scale economies; distribution free approach; Swiss banks ID COMMERCIAL-BANKS; SCALE ECONOMIES; SCOPE; EFFICIENCY AB This paper examines the performance of Swiss banks from 1996 to 1999. Using a broad definition of bank output, we find evidence of large relative cost and profit inefficiencies in Swiss banks. A more narrow definition that focuses on only traditional activities leads to efficiency estimates that are even lower. We also find evidence of economies of scale for small and mid-size banks, but little evidence that significant scale economies remain for the very largest banks. Finally, evidence on scope economies is weak for the largest banks that are involved in a wide variety of financial activities. Taken together, these results suggest few obvious benefits from the trend toward larger, universal banks in Switzerland. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Swiss Natl Bank, CH-8022 Zurich, Switzerland. RP Stiroh, KJ (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. NR 24 TC 26 Z9 28 U1 4 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 NOV PY 2003 VL 27 IS 11 BP 2121 EP 2150 DI 10.1016/S0378-4266(02)00318-7 PG 30 WC Business, Finance; Economics SC Business & Economics GA 732PR UT WOS:000185955200003 ER PT J AU Waggoner, DF Zha, T AF Waggoner, DF Zha, T TI A Gibbs sampler for structural vector autoregressions SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE simultaneity; importance sampling; Gibbs sampler ID MONETARY-POLICY; VAR-MODELS; SHOCKS; IDENTIFICATION; ECONOMY AB Structural VAR modeling has played an important role in empirical macroeconomics. The importance sampler used in the existing literature, however, can be prohibitively inefficient for obtaining accurate finite-sample inferences. In this paper we develop a Gibbs sampler for Bayesian inferences of structural VARs that restrict the covariance matrix of reduced-form residuals. Our method is computationally efficient in comparison to the existing method and can be readily applied. We show, by examples, that inferences based on the importance sampler can seriously distort economic interpretations. (C) 2002 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. RP Zha, T (reprint author), Fed Reserve Bank Atlanta, Dept Res, 1000 Peachtree St, Atlanta, GA 30309 USA. EM tzha@mindspring.com NR 42 TC 31 Z9 31 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD NOV PY 2003 VL 28 IS 2 BP 349 EP 366 DI 10.1016/S0165-1899(02)00168-9 PG 18 WC Economics SC Business & Economics GA 729NE UT WOS:000185779200007 ER PT J AU Leeper, EM Zha, T AF Leeper, EM Zha, T TI Modest policy interventions SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary policy; identification; forecasting; policy analysis; Lucas critique ID MONETARY-POLICY; OUTPUT; PRICES AB We present a theoretical and empirical framework for computing and evaluating linear projections conditional on hypothetical paths of monetary policy. A modest policy intervention does not significantly shift agents' beliefs about policy regime and does not induce the changes in behavior that Lucas (Carnegie-Rochester Conference Series on Public Policy, Vol. 1, Amsterdam, North-Holland, 1976, pp. 104-130) emphasizes. Applied to an econometric model of U.S. monetary policy, we find that a rich class of interventions routinely considered by the Federal Reserve is modest and their impacts can be reliably forecasted by an identified linear model. Modest interventions can shift projected paths and probability distributions of macro variables in economically meaningful ways. (C) 2003 Elsevier B.V. All rights reserved. C1 Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. RP Leeper, EM (reprint author), Indiana Univ, Dept Econ, 304 Wylie Hall, Bloomington, IN 47405 USA. NR 34 TC 92 Z9 93 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2003 VL 50 IS 8 BP 1673 EP 1700 DI 10.1016/j.jmoneco.2003.01.002 PG 28 WC Business, Finance; Economics SC Business & Economics GA 754TZ UT WOS:000187348900003 ER PT J AU Marimon, R Nicolini, JP Teles, P AF Marimon, R Nicolini, JP Teles, P TI Inside-outside money competition SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE electronic money; inside money; currency competition; reputation; inflation ID TIME CONSISTENCY; MONETARY-POLICY; ECONOMY; CASH AB We study how competition from privately supplied currency substitutes affects monetary equilibria. Whenever currency is inefficiently provided, inside money competition plays a disciplinary role by providing an upper bound on equilibrium inflation rates. Furthermore if "inside monies" can be produced at a sufficiently low cost, outside money is driven out of circulation. Whenever a 'benevolent' government can commit to its fiscal policy, sequential monetary policy is efficient and inside money competition plays no role. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Univ Pompeu Fabra, Barcelona 08005, Spain. Ctr Recerca & Econ Int, Barcelona, Spain. Ctr Referencia & Econ Analit, Barcelona, Spain. Ctr Econ Policy Res, London SW1Y 6LA, England. Natl Bur Econ Res, Cambridge, MA 02138 USA. Univ Torcuato Di Tella, RA-2177 Buenos Aires, DF, Argentina. Banco Portugal, Lisbon, Portugal. Univ Catolica Portubuesa, Lisbon, Portugal. RP Teles, P (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. RI nipe, cef/A-4218-2010; OI Teles, Pedro/0000-0002-1352-4917 NR 16 TC 4 Z9 4 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 NOV PY 2003 VL 50 IS 8 BP 1701 EP 1718 DI 10.1016/j.jmoneco.2003.08.009 PG 18 WC Business, Finance; Economics SC Business & Economics GA 754TZ UT WOS:000187348900004 ER PT J AU Chang, Y Schorfheide, F AF Chang, Y Schorfheide, F TI Labor-supply shifts and economic fluctuations SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE labor-supply shifts; VAR identification; home production; Bayesian econometrics ID HOUSEHOLD PRODUCTION; BUSINESS-CYCLE; ALLOCATION; TIME AB We propose a new VAR identification scheme that distinguishes shifts of and movements along the labor demand schedule to identify labor-supply shocks. According to our VAR analysis of post-war US data, labor-supply shifts account for about 30 percent of the variation in hours and about 15 percent of the output fluctuations at business cycle frequencies. To assess the role of labor-supply shifts in a more structural framework, estimates from a dynamic general equilibrium model with stochastic variation in home production technology are compared to those from the VAR. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. RP Chang, Y (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. NR 19 TC 31 Z9 31 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2003 VL 50 IS 8 BP 1751 EP 1768 DI 10.1016/j.jmoneco.2003.02.001 PG 18 WC Business, Finance; Economics SC Business & Economics GA 754TZ UT WOS:000187348900006 ER PT J AU Barlevy, G AF Barlevy, G TI Credit market frictions and the allocation of resources over the business cycle SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE cleansing; business cycles; job reallocation; credit constraints ID JOB DESTRUCTION; PRODUCTIVITY; FLUCTUATIONS; UNEMPLOYMENT; RECESSIONS; INDUSTRY AB In a seminal paper, Davis and Haltiwanger (1990) demonstrated that recessions are associated with increased job reallocation. The conventional view has interpreted this as evidence of "cleansing": less productive jobs are destroyed in recessions, and resources are reallocated to more productive uses. This paper argues instead that in the presence of credit market frictions, reallocation might go the other way, directing resources from more efficient to less efficient uses. This will occur if more efficient production arrangements are also more vulnerable to credit constraints. I show that this pattern arises endogenously in an equilibrium model, and offer some evidence that firms with higher output per worker tend to borrow more, suggesting they are more vulnerable to credit constrains. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 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 27 TC 22 Z9 22 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 NOV PY 2003 VL 50 IS 8 BP 1795 EP 1818 DI 10.1016/j.jmoneco.2002.11.001 PG 24 WC Business, Finance; Economics SC Business & Economics GA 754TZ UT WOS:000187348900008 ER PT J AU Coughlin, CC Wall, HJ AF Coughlin, CC Wall, HJ TI NAFTA and the changing pattern of state exports SO PAPERS IN REGIONAL SCIENCE LA English DT Article DE NAFTA; state exports; regional integration ID UNITED-STATES; INTERNATIONAL-TRADE; FACTOR ENDOWMENTS; GRAVITY EQUATION; GROWTH; PRODUCTIVITY; PERFORMANCE; POLICY; MODEL; LEVEL AB The trade liberalization associated with NAFTA has affected the pattern of state exports by altering the origin as well as the destination of merchandise exports. We find that NAFTA has increased US merchandise exports to Mexico and Canada by just over 15%, and has increased total US merchandise exports by nearly 8%. We also find that although many states have seen large increases in exports to both Mexico and Canada, others have seen large decreases. NAFTA has also affected states' exports to non-NAFTA regions of the world, tending to decrease exports to Europe and Latin America and increase exports to Asia. States in the northeast regions of the United States have seen the smallest increases in exports in the wake of NAFTA. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. RP Coughlin, CC (reprint author), Fed Reserve Bank St Louis, Div Res, 411 Locust St, St Louis, MO 63102 USA. RI Coughlin, Cletus/K-6860-2016 OI Coughlin, Cletus/0000-0002-8304-2796 NR 52 TC 16 Z9 18 U1 1 U2 9 PU SPRINGER-VERLAG PI NEW YORK PA 175 FIFTH AVE, NEW YORK, NY 10010 USA SN 1056-8190 J9 PAP REG SCI JI Pap. Reg. Sci. PD NOV PY 2003 VL 82 IS 4 BP 427 EP 450 DI 10.1007/s10110-003-0122-x PG 24 WC Economics; Environmental Studies; Geography SC Business & Economics; Environmental Sciences & Ecology; Geography GA 740KC UT WOS:000186400700001 ER PT J AU Hannan, TH Kiser, EK Prager, RA McAndrews, JJ AF Hannan, TH Kiser, EK Prager, RA McAndrews, JJ TI To surcharge or not to surcharge: An empirical investigation of ATM pricing SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article AB This paper investigates depository institutions' decisions whether or not to impose surcharges (direct usage fees) on nondepositors who use their ATMs. In addition to documenting patterns of surcharging, we examine motives for surcharging, including both direct generation of fee revenue and the potential to attract deposit customers who wish to avoid incurring surcharges at an institution's ATMs. Consistent with expectations, we find that the probability of surcharging increases with both the institution's share of market ATMs and the time since surcharging was first allowed in the state, and decreases with increasing local ATM density. Further, we find evidence consistent with the use of surcharges to attract deposit customers who are new to the local banking market, but we find no evidence that larger banks use surcharges as a means to attract existing customers away from smaller local competitors. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Hannan, TH (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 19 TC 19 Z9 19 U1 0 U2 2 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 NOV PY 2003 VL 85 IS 4 BP 990 EP 1002 DI 10.1162/003465303772815880 PG 13 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 739BM UT WOS:000186322400017 ER PT J AU Laubach, T Williams, JC AF Laubach, T Williams, JC TI Measuring the natural rate of interest SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID BUSINESS CYCLES; MONETARY-POLICY; TERM-STRUCTURE; TIME; VARIANCE; OUTPUT; MODEL AB The natural rate of interest-the real interest rate consistent with output equaling its natural rate and stable inflation-plays a central role in macroeconomic theory and monetary policy. Estimation of the natural rate of interest, however, has received little attention. We apply the Kalman filter to estimate jointly time-varying natural rates of interest and output and trend growth. We find a close link between the natural rate of interest and the trend growth rate, as predicted by theory. Estimates of the natural rate of interest, however, are very imprecise and subject to considerable real-time measurement error. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Fed Reserve Bank San Francisco, San Francisco, CA 94106 USA. RP Laubach, T (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RI Williams, John/A-8226-2009 NR 30 TC 125 Z9 128 U1 0 U2 10 PU MIT PRESS PI CAMBRIDGE PA ONE ROGERS ST, CAMBRIDGE, MA 02142-1209 USA SN 0034-6535 EI 1530-9142 J9 REV ECON STAT JI Rev. Econ. Stat. PD NOV PY 2003 VL 85 IS 4 BP 1063 EP 1070 DI 10.1162/003465303772815934 PG 8 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 739BM UT WOS:000186322400022 ER PT J AU Kehoe, TJ AF Kehoe, TJ TI What can we learn from the current crisis in Argentina? SO SCOTTISH JOURNAL OF POLITICAL ECONOMY LA English DT Article; Proceedings Paper CT Conference on Policy Rules: Next Steps CY SEP 19-20, 2002 CL CLARE COLL, CAMBRIDGE, ENGLAND HO CLARE COLL ID LOST DECADE; MEXICO; MODEL AB Currently, Argentina is expericncing what the government describes as a 'great depression.' Using the 'Great Depressions' methodology developed by Cole and Ohanian (1999) and Kehoe and Prescott (2002), we find that the primary determinants of both the boom in Argentina in the 1990s and the subsequent depression were changes in productivity, rather than changes in factor inputs. The timing of events links the boom to the currency-board-like Convertibility Plan and the crisis to its collapse. To gain credibility, the Argentine government took measures to make abandoning the plan more costly. Because the government was unable to enforce fiscal discipline, however, these increased costs failed to make the plan more credible and instead made the crisis far worse when it failed. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Kehoe, TJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 30 TC 10 Z9 10 U1 0 U2 2 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0036-9292 J9 SCOT J POLIT ECON JI Scott. J. Polit. Econ. PD NOV PY 2003 VL 50 IS 5 BP 609 EP 633 DI 10.1111/j.0036-9292.2003.05005002.x PG 25 WC Economics; Political Science SC Business & Economics; Government & Law GA 754QG UT WOS:000187341500006 ER PT J AU Bernheim, BD Carman, KG Gokhale, J Kotlikoff, LJ AF Bernheim, BD Carman, KG Gokhale, J Kotlikoff, LJ TI Are life insurance holdings related to financial vulnerabilities? SO ECONOMIC INQUIRY LA English DT Article ID ANNUITIES AB Using the 1995 Survey of Consumer Finances and an elaborate life-cycle model, the quantify the potential financial impact of each individual's death on his or her survivors and measure the degree to which life insurance moderates these consequences. Life insurance is essentially uncorrelated with financial vulnerability at every stage of the life cycle. As a result, the impact of insurance among at-risk households is modest, and substantial uninsured vulnerabilities are widespread, particularly among younger couples. We also identify a systematic gender bias: For any given level of financial vulnerability, couples provide significantly more protection for wives than for husbands. C1 Stanford Univ, Dept Econ, Stanford, CA 94305 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. Boston Univ, Dept Econ, Boston, MA 02215 USA. RP Kotlikoff, LJ (reprint author), Stanford Univ, Dept Econ, Stanford, CA 94305 USA. EM bernheim@stanford.edu; jgokhale@clev.frb.or; kotlikof@bu.edu NR 20 TC 3 Z9 3 U1 0 U2 1 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 OCT PY 2003 VL 41 IS 4 BP 531 EP 554 DI 10.1093/ei/cbg026 PG 24 WC Economics SC Business & Economics GA 730NH UT WOS:000185836500001 ER PT J AU Ballinger, TP Palumbo, MG Wilcox, NT AF Ballinger, TP Palumbo, MG Wilcox, NT TI Precautionary saving and social learning across generations: An experiment SO ECONOMIC JOURNAL LA English DT Article ID LIQUIDITY CONSTRAINTS; OPTIMAL CONSUMPTION; INCOME; MODELS; LOTTERIES; AUCTIONS; MONEY AB We rise experimental methods to study how individuals solve life cycle 'precautionary savings' tasks. Some results resemble previous experimental work on dynamic optimisation tasks. Within our experiment, however, opportunities exist for Subjects to learn from one another. Subjects participated in three-member 'families'. Second and third 'generation' subjects observe and/or communicate with their 'antecedent' first or second generation Subject. We find that later generations perform significantly better than earlier generations. The results speak to questions concerning the precautionary model of consumption, the modelling of dynamic decision behaviour more generally, and the possible importance of social learning to individual decision-making. C1 Stephen F Austin State Univ, Nacogdoches, TX 75962 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Univ Houston, Houston, TX 77004 USA. RP Ballinger, TP (reprint author), Stephen F Austin State Univ, Nacogdoches, TX 75962 USA. NR 50 TC 28 Z9 28 U1 4 U2 10 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 2003 VL 113 IS 490 BP 920 EP 947 DI 10.1111/1468-0297.t01-1-00158 PG 28 WC Economics SC Business & Economics GA 736PQ UT WOS:000186179600010 ER PT J AU Cecchetti, SG Wynne, MA AF Cecchetti, SG Wynne, MA TI Inflation measurement and the ECB's pursuit of price stability: a first assessment SO ECONOMIC POLICY LA English DT Article; Proceedings Paper CT Economic Policy 2003 Meeting CY APR, 2003 CL ATHENS, GREECE ID OPTIMAL MONETARY-POLICY; INDEX AB The Harmonized Index of Consumer Prices (HICP) is at the core of the monetary policy strategy of the European Central Bank (ECB). It is the basis for the quantitative definition of price stability that is the ECBs principal objective. For operational purposes, in October 1998 the Governing Council of the ECB originally announced that its definition of price stability would be an annual increase in the HICP of 'below 2 percent'. In May 2003, this was changed to 'close to 2 percent'. But is 2% the right number? Our analysis suggests that the answer is no, and that a modest upward redefinition of HICP inflation consistent with price stability, is warranted. We evaluate the ECBs quest for price stablity during the first years Of monetary union from a measurement perspective. That is, we start by considering what the HICP is designed to measure and how accurate it is in terms of its stated objective, and then ask whether there is any sense in which HICP inflation of 2% can be said to be too low. We conclude that the conceptual underpinnings of the HICP remain sufficiently vague so that it is difficult to compare with other indexes or come to any hard conclusions about its accuracy. However, it is possible that the HICP is susceptible to the biases that are known to affect other measures of inflation at the consumer or household level, and if forced to quantify potential bias, a point estimate of 1% strikes us as reasonable. Bias of this magnitude, in conjunction with the inherent noisiness of the headline number and the well-known aversion of central bankers to deflation, lead us to conclude that a target of 2% is in fact too low. C1 Brandeis Univ, Waltham, MA 02254 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank Dallas, Dallas, TX USA. RP Cecchetti, SG (reprint author), Brandeis Univ, Waltham, MA 02254 USA. NR 47 TC 7 Z9 7 U1 0 U2 2 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0266-4658 EI 1468-0327 J9 ECON POLICY JI Econ. Policy PD OCT PY 2003 IS 37 BP 395 EP 434 PG 40 WC Economics SC Business & Economics GA 739WK UT WOS:000186369600004 ER PT J AU Bartolini, L Prati, A AF Bartolini, L Prati, A TI The execution of monetary policy: a tale of two central banks SO ECONOMIC POLICY LA English DT Article; Proceedings Paper CT Economic Policy 2003 Meeting CY APR, 2003 CL ATHENS, GREECE ID RESERVE MANAGEMENT; MONEY MARKET; VOLATILITY AB At the inception of economic and monetary union (EMU), an open question was whether execution of monetary policy by the Eurosystem could effectively stabilize liquidity and short-term interest rates. Potential problems could arise from the central bank's limited knowledge of the new euro area market's response to shocks, and from market participants' limited understanding of the monetary authorities' policy execution framework, which minimizes the central bank's presence in the market and assigns a kg liquidity-stabilization role to standing facilities and to depository institutions' own reserve management. We find that the euro area money market has displayed a remarkable degree of stability since the inception of EMU: overnight euro rates have behaved very similarly to US federal funds rates, which are managed much more actively by the US Federal Reserve. Recent operational changes by both the Eurosystem and the Federal Reserve are leading to convergence in sole of policy execution on the two sides of the Atlantic, and may foster even closer similarity in the next few years. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Int Monetary Fund, Washington, DC 20431 USA. RP Bartolini, L (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 27 TC 4 Z9 4 U1 0 U2 4 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0266-4658 EI 1468-0327 J9 ECON POLICY JI Econ. Policy PD OCT PY 2003 IS 37 BP 435 EP 467 PG 33 WC Economics SC Business & Economics GA 739WK UT WOS:000186369600005 ER PT J AU Garrett, TA AF Garrett, TA TI Aggregated versus disaggregated data in regression analysis: implications for inference SO ECONOMICS LETTERS LA English DT Article DE regression; aggregation; data; inference ID DEMAND SYSTEMS; BIAS AB This note demonstrates why regression coefficients and their statistical significance differ across degrees of data aggregation. Given the frequent use of aggregated data to explain individual behavior, data aggregation can result in misleading conclusions regarding the economic behavior of individuals. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, Div Res, 411 Locust St, St Louis, MO 63102 USA. NR 9 TC 22 Z9 22 U1 1 U2 4 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD OCT PY 2003 VL 81 IS 1 BP 61 EP 65 DI 10.1016/S0165-1765(03)00149-6 PG 5 WC Economics SC Business & Economics GA 730AL UT WOS:000185807000009 ER PT J AU Amato, JD Laubach, T AF Amato, JD Laubach, T TI Rule-of-thumb behaviour and monetary policy SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE rule of thumb; optimal monetary policy; interest rate rules ID RATIONAL-EXPECTATIONS; INFLATION DYNAMICS; HABIT FORMATION; MODEL; PRICES; STICKY; OUTPUT AB We investigate the implications of rule-of-thumb behaviour by consumers or price setters for optimal monetary policy and simple interest rate rules. This behaviour leads to endogenous persistence in output and inflation and alters the policymaker's welfare objective. Our main finding is that highly inertial policy is optimal regardless of what fraction of agents occasionally follow a rule of thumb. We also find that a first-difference version of Taylor's (Carnegie-Rochester Conf. Ser. Public Policy 39 (1993) 195-214) rule generally has desirable properties. By contrast, the coefficients in other optimised simple rules tend to be extremely sensitive with respect to the fraction of rule-of-thumb behaviour. (C) 2002 Elsevier B.V. All rights reserved. C1 Bank Int Settlements, CH-4002 Basel, Switzerland. Board Govenors Fed Reserve Syst, Washington, DC 20551 USA. RP Amato, JD (reprint author), Bank Int Settlements, CH-4002 Basel, Switzerland. EM jeffery.amato@bis.org NR 45 TC 38 Z9 38 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD OCT PY 2003 VL 47 IS 5 BP 791 EP 831 AR PII S0014-2921(02)00270-2 DI 10.1016/S0014-2921(02)00270-2 PG 41 WC Economics SC Business & Economics GA 731FJ UT WOS:000185873600002 ER PT J AU Gavin, WT Mandal, RJ AF Gavin, WT Mandal, RJ TI Evaluating FOMC forecasts SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Article DE Federal Reserve; forecast evaluation; monetary policy ID FEDERAL-RESERVE; ACCURACY; ERRORS AB Monetary policy outcomes have improved since the early 1980s. One factor contributing to the improvement is that Federal Reserve policymakers began reporting economic forecasts to Congress in 1979. These forecasts indicate what the Federal Open Market Committee (FOMC) members think will be the likely consequence of their policies. We evaluate the accuracy of the FOMC forecasts relative to private sector forecasts. the forecasts of the Research Staff at the Board of Governors, and a naive alternative. We find that the FOMC output forecasts were better than the naive model and at least as good as those of the private sector and the Fed staff. The FOMC inflation forecasts were more accurate than the private sector forecasts and the naive model; for the period ending in 1996, however, they were not as accurate as Fed staff inflation forecasts. (C) 2002 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved. C1 Fed Res Bank St Louis, Dept Res, St Louis, MO USA. RP Gavin, WT (reprint author), Fed Res Bank St Louis, Dept Res, POB 442, St Louis, MO USA. EM gavin@stls.frb.org; rachel.j.mandal@stls.frb.org NR 17 TC 26 Z9 26 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 J9 INT J FORECASTING JI Int. J. Forecast. PD OCT-DEC PY 2003 VL 19 IS 4 BP 655 EP 667 DI 10.1016/S0169-2070(02)00075-4 PG 13 WC Economics; Management SC Business & Economics GA 742FR UT WOS:000186507000009 ER PT J AU Gunther, JW Moore, RR AF Gunther, JW Moore, RR TI Early warning models in real time SO JOURNAL OF BANKING & FINANCE LA English DT Article DE early warning models; bank exams; auditing ID INTERNATIONAL DEBT CRISIS; BANK SECURITY RETURNS; INFORMATION; CONTAGION AB Using a unique set of banking data containing both originally reported and subsequently revised financial variables, we find adverse revisions to accounting statements are associated with downgrades in supervisory ratings. To assess the financial significance of the revisions, we compare the ability of the original and revised data to map into exam ratings. The relationship between accounting data and exam results is significantly stronger for revised data than for real-time data. Our findings document significant differences between real-time and revised banking data, highlight the auditing role of bank exams, and provide a more realistic assessment of early warning model accuracy. (C) 2002 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Financial Ind Studies Dept, Dallas, TX 75201 USA. RP Gunther, JW (reprint author), Fed Reserve Bank Dallas, Financial Ind Studies Dept, 2200 N Pearl St, Dallas, TX 75201 USA. NR 18 TC 5 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 2003 VL 27 IS 10 BP 1979 EP 2001 DI 10.1016/S0378-4266(02)00314-X PG 23 WC Business, Finance; Economics SC Business & Economics GA 720CZ UT WOS:000185245100004 ER PT J AU Prati, A Bartolini, L Bertola, G AF Prati, A Bartolini, L Bertola, G TI The overnight interbank market: Evidence from the G-7 and the Euro zone SO JOURNAL OF BANKING & FINANCE LA English DT Article DE interest rates; reserve requirements; central bank operating procedures ID FEDERAL-FUNDS MARKET; TERM INTEREST-RATE; VOLATILITY; BEHAVIOR; RATES; WINDOW; BANKS; COSTS AB We study the interbank markets for overnight loans of the major industrial countries, linking the behavior of short-term interest rates to the operating procedures of these countries' central banks. We find that many of the key behavioral features of US federal funds rates, on which previous studies have focused, are not robust to changes in institutional details, along both cross-sectional and time-series dimensions of the data. Our results indicate that central banks' operating procedures and intervention styles play a crucial role in shaping empirical features of short-term interest rates' day to-to-day behavior in industrial countries. (C) 2003 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. European Univ Inst, I-50016 Fiesole, Italy. Univ Turin, Turin, Italy. RP Prati, A (reprint author), Int Monetary Fund, Res Dept, 700 19th St NW, Washington, DC 20431 USA. NR 30 TC 19 Z9 19 U1 0 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD OCT PY 2003 VL 27 IS 10 BP 2045 EP 2083 DI 10.1016/S0378-4266(02)00320-5 PG 39 WC Business, Finance; Economics SC Business & Economics GA 720CZ UT WOS:000185245100008 ER PT J AU Ahmed, S AF Ahmed, S TI Sources of economic fluctuations in Latin America and implications for choice of exchange rate regimes SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE economic fluctuations; Latin America; exchange rate regimes; dollarization ID OPTIMUM CURRENCY AREAS; DEVELOPING-COUNTRIES; OUTPUT; TRADE; DEVALUATION AB This paper studies the sources of economic fluctuations and their implications for exchange rate regime choice in key Latin American countries. In general, external shocks play a limited role in driving output fluctuations in these countries; this absence of common business cycles undermines the case for fixed exchange rates. On the other hand, although there is some evidence that real exchange rates depreciate in response to adverse external shocks, this depreciation, in turn, tends to contract output in the short ran. This suggests that exchange rate rigidity may not be as costly for these economies as conventional economic theory predicts. Published by Elsevier Science B.V. C1 Fed Reserve Syst, Board Governors, Int Finance Div, Washington, DC 20551 USA. RP Ahmed, S (reprint author), Fed Reserve Syst, Board Governors, Int Finance Div, Mail Stop 24, Washington, DC 20551 USA. NR 40 TC 27 Z9 28 U1 0 U2 4 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 2003 VL 72 IS 1 BP 181 EP 202 DI 10.1016/S0304-3878(03)00073-7 PG 22 WC Economics SC Business & Economics GA 711DG UT WOS:000184723900008 ER PT J AU Bollinger, CR Hotchkiss, JL AF Bollinger, CR Hotchkiss, JL TI The upside potential of hiring risky workers: Evidence from the baseball industry SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID SPORTS; MODEL AB Making use of performance data for baseball players, this article provides empirical evidence in support of Lazear's ( 1998) theoretical predictions that ( 1) risky workers will earn a premium for their upside potential, ( 2) this risk premium will be higher the longer a worker's work life, and ( 3) firms must enjoy some comparative advantage in the labor market to be willing to pay a premium to risky workers. The validity of Lazear's predictions carries implications for wage differentials between young and old workers and between men and women. C1 Univ Kentucky, Lexington, KY 40506 USA. Georgia State Univ, Atlanta, GA 30303 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Bollinger, CR (reprint author), Univ Kentucky, Lexington, KY 40506 USA. NR 23 TC 13 Z9 13 U1 1 U2 2 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0734-306X J9 J LABOR ECON JI J. Labor Econ. PD OCT PY 2003 VL 21 IS 4 BP 923 EP 944 DI 10.1086/377027 PG 22 WC Economics; Industrial Relations & Labor SC Business & Economics GA 734JW UT WOS:000186053000007 ER PT J AU Stango, V AF Stango, V TI Strategic responses to regulatory threat in the credit card market SO JOURNAL OF LAW & ECONOMICS LA English DT Article ID SELF-REGULATION; INDUSTRY; COMPETITION; INFORMATION; PRESSURE; EVENT; FIRM AB Models of endogenous regulatory threat suggest that firms may cut prices in order to ease a threat of regulation. I test the implications of these models using stock market data from an episode of regulatory threat in the credit card market. The data show that the initial threat led to negative abnormal returns for a portfolio of credit card issuers. Consistent with the regulatory threat hypothesis, price cuts announced after the threat led to abnormal returns that are significantly more positive than those following similar cuts outside the period of regulatory threat. This pattern exists not only for those issuers announcing cuts but also for their rivals, which suggests that the cuts reduced an industry-wide threat of regulation. Factors that proxy for issuers' exposure to and influence on the probability of regulation affect the size of these returns, which provides corroborative evidence in favor of the regulatory threat hypothesis. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Stango, V (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NR 25 TC 3 Z9 3 U1 1 U2 5 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 2003 VL 46 IS 2 BP 427 EP 452 DI 10.1086/377291 PG 26 WC Economics; Law SC Business & Economics; Government & Law GA 759PR UT WOS:000187746500004 ER PT J AU Angelini, P Cetorelli, N AF Angelini, P Cetorelli, N TI The effects of regulatory reform on competition in the banking industry SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID EFFICIENCY; OLIGOPOLY; CONDUCT; CREDIT; MODEL; POWER; COST AB The paper analyzes the evolution of competitive conditions in the Italian banking industry using firm-level balance sheet data for the period 1984-1997. Regulatory reform, large-scale consolidation, and competitive pressure from other European countries have changed substantially the banking environment, with potentially offsetting effects on the overall degree of competitiveness. We find that competitive conditions. relatively unchanged until 1992, have improved substantially thereafter, as signaled by the decline in estimated markups. Also, we analyze for the first time the long-run impact of the consolidation process on competition and find no evidence that banks involved in mergers and acquisitions gained market powers at the same time, they exhibit lower than average marginal costs. Finally, after controlling for various factors that may have determined the time pattern of banks' estimated markups, we still detect a significant unexplained drop in our competitive conditions indicators after 1992. Overall, our evidence is consistent with the hypothesis that the deregulation process, which culminated with the implementation of the Second Banking Directive in 1993, significantly contributed to improving bank competition and that it may also have been an important determinant of the consolidation process recorded by the Italian credit system during the 1990s. C1 Fed Reserve Bank Chicago, Dept Res, Chicago, IL USA. NR 46 TC 69 Z9 70 U1 3 U2 14 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 2003 VL 35 IS 5 BP 663 EP 684 DI 10.1353/mcb.2003.0033 PG 22 WC Business, Finance; Economics SC Business & Economics GA 725WE UT WOS:000185564700001 ER PT J AU DeYoung, R AF DeYoung, R TI De novo bank exit SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID SMALL BUSINESS; CONSOLIDATION; PERFORMANCE; EFFICIENCY; FAILURES; SAVINGS AB Newly chartered banks provide an additional credit source for small businesses, but the staying power of new banks can be weak. A multi-state exit model is estimated for U.S. commercial banks chartered between 1980 and 1985 and for a benchmark sample of small established banks. The determinants of failure are similar for both samples, but new bank failure is more sensitive to adverse environmental conditions. The timing of new bank exit-by-failure follows a life-cycle pattern, but the timing of new bank exit-by-acquisition does not. There is mixed evidence on the efficacy of regulations aimed at reducing new bank fragility. C1 Fed Reserve Bank Chicago, Dept Res, Chicago, IL 60604 USA. RP DeYoung, R (reprint author), Fed Reserve Bank Chicago, Dept Res, Chicago, IL 60604 USA. NR 29 TC 20 Z9 21 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 2003 VL 35 IS 5 BP 711 EP 728 DI 10.1353/mcb.2003.0036 PG 18 WC Business, Finance; Economics SC Business & Economics GA 725WE UT WOS:000185564700003 ER PT J AU Stiroh, KJ Strahan, PE AF Stiroh, KJ Strahan, PE TI Competitive dynamics of deregulation: Evidence from US banking SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID BRANCHING RESTRICTIONS; MANUFACTURING PLANTS; PRODUCTIVITY; INDUSTRY; EFFICIENCY; MERGERS; RISK AB This paper examines the impact of increased competition from deregulation on the dynamics of the U.S. banking industry. We find the link between a bank's relative performance and its subsequent market share growth strengthens significantly after deregulation as competitive reallocation effects transfer assets to better performers. Exit dynamics also change in way:; consistent with the disciplinary role of competition. The net effect is a substantial reallocation of market share toward better banks. We conclude that earlier regulation of U.S. banks blunted this market mechanism and seriously hindered the competitive process. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Boston Coll, Carroll Sch Management, Chestnut Hill, MA 02167 USA. RP Stiroh, KJ (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 34 TC 71 Z9 72 U1 1 U2 10 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 2003 VL 35 IS 5 BP 801 EP 828 DI 10.1353/mcb.2003.0040 PG 28 WC Business, Finance; Economics SC Business & Economics GA 725WE UT WOS:000185564700008 ER PT J AU Walsh, CE AF Walsh, CE TI Accountability, transparency, and inflation targeting SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID MONETARY-POLICY; CENTRAL BANKS; CONTRACTS; INDEPENDENCE; CREDIBILITY; PREFERENCES; COMMITMENT; MODEL AB Inflation targeting regimes define a performance measure for the central bank. A regime that places a large (small) weight on achieving the target is analogous to a high- (low-) powered incentive scheme. High-powered incentive structures promote accountability but may distort stabilization policy. The optimal power under inflation targeting is derived under perfect and imperfect information. The fundamental trade-off between accountability and stabilization depends on the degree of transparency, defined as the ability to monitor the central bank's performance. Multiplicative uncertainty increases the optimal weight to place on achieving an inflation target. C1 Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Walsh, CE (reprint author), Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. EM walshc@cats.ucsc.edu NR 56 TC 22 Z9 24 U1 2 U2 5 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2003 VL 35 IS 5 BP 829 EP 849 DI 10.1353/mcb.2003.0041 PG 21 WC Business, Finance; Economics SC Business & Economics GA 725WE UT WOS:000185564700009 ER PT J AU Luttmer, EGJ Mariotti, T AF Luttmer, EGJ Mariotti, T TI Subjective discounting in an exchange economy SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID TEMPORAL BEHAVIOR; ASSET RETURNS; RISK-AVERSION; CONSUMPTION; CHOICE; INCONSISTENCY; SUBSTITUTION; REWARD; GROWTH; MODELS AB This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and consumption-wealth ratios. We provide an analytically convenient continuous-time approximation and show how subjective rates of time preference affect risk-free rates but not instantaneous risk-return trade-offs. Hyperbolic discount factors can be a source of return volatility, but they cannot be used to address asset pricing puzzles related to high-frequency Sharpe ratios. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Ctr Econ Policy Res, London SW1Y 6LA, England. London Sch Econ, London, England. Univ Toulouse, Toulouse, France. RP Luttmer, EGJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 33 TC 18 Z9 20 U1 3 U2 8 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 2003 VL 111 IS 5 BP 959 EP 989 DI 10.1086/376954 PG 31 WC Economics SC Business & Economics GA 724RQ UT WOS:000185500900002 ER PT J AU Polkovnichenko, V AF Polkovnichenko, V TI Human capital and the private equity premium SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article; Proceedings Paper CT Conference on Finance and the Macroeconomy CY OCT 11-12, 2002 CL NEW YORK UNIV, NEW YORK, NEW YORK HO NEW YORK UNIV ID INCOMPLETE MARKETS; PORTFOLIO CHOICE; RISK AB When capital market is imperfect, an entrepreneur has to invest substantial personal funds to start a firm and has to bear large firm-specific risk. Furthermore, if a typical entrepreneur is risk averse, private equity should earn a premium for idiosyncratic risk. In this paper I explore the interaction of human capital with the decision to become an entrepreneur. I calibrate a model of entrepreneurial choice to illustrate a significant attenuating effect of human capital on the premium for firm-specific risk. When an entrepreneur can quit the business and work for hire, the firm-specific risk premium is order of magnitude lower than without this option. While an entrepreneur puts at risk a substantial fraction of financial wealth, she does not commit all human capital to the current business. At stake is only the labor income forgone while managing the firm and the rest of human capital is unaffected by the business risk. Empirical evidence suggests that private equity does not earn any significant premium over publicly traded equity. The model with human capital is consistent with this observation, assuming typical entrepreneur forgoes a small expected return (1.5%) in lieu of intangible benefits of entrepreneurship. (C) 2003 Elsevier Inc. All rights reserved. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Polkovnichenko, V (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. RI de Lima, Andreia/G-8040-2014 NR 19 TC 11 Z9 11 U1 2 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2003 VL 6 IS 4 BP 831 EP 845 DI 10.1016/S1094-2025(03)00051-6 PG 15 WC Economics SC Business & Economics GA 735QC UT WOS:000186125200007 ER PT J AU Baier, S Carlstrom, CT Chami, R Cosimano, TF Fuerst, TS Fullenkamp, C AF Baier, S Carlstrom, CT Chami, R Cosimano, TF Fuerst, TS Fullenkamp, C TI Capital trading, stock trading, and the inflation tax on equity: a note SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article C1 Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. Clemson Univ, Clemson, SC 29631 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. Univ Notre Dame, Notre Dame, IN 46556 USA. Bowling Green State Univ, Bowling Green, OH 43403 USA. Duke Univ, Durham, NC 27706 USA. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 5 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 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD OCT PY 2003 VL 6 IS 4 BP 987 EP 990 DI 10.1016/S1094-2025(03)00035-8 PG 4 WC Economics SC Business & Economics GA 735QC UT WOS:000186125200015 ER PT J AU Adao, B Correia, I Teles, P AF Adao, B Correia, I Teles, P TI Gaps and triangles SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID COUNTERCYCLICAL MONETARY-POLICY AB In this paper, we derive principles of optimal cyclical monetary policy in an economy without capital, with a cash-in-advance restriction on household transactions, and monopolistic firms that set prices one period in advance. The only distortionary policy instruments are the nominal interest rate and the money supply. In this environment it is feasible to undo both the cash-in-advance and price setting restrictions, but not the distortion due to monopolistic competition. We show that it is optimal to follow the Friedman rule, and thus offset the cash-in-advance restriction. We also find that, in general, it is not optimal to undo the price setting restriction, so that a simple criterion of eliminating gaps is not optimal. Sticky prices provide the planner with tools to improve upon a distorted flexible price allocation. C1 CEPR, London, England. Fed Reserve Bank Chicago, Chicago, IL USA. RI nipe, cef/A-4218-2010; OI Correia, Isabel/0000-0001-5568-7055; Adao, Bernardino/0000-0002-5865-3042; Teles, Pedro/0000-0002-1352-4917 NR 15 TC 21 Z9 21 U1 1 U2 5 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD OCT PY 2003 VL 70 IS 4 BP 699 EP 713 DI 10.1111/1467-937X.00263 PG 15 WC Economics SC Business & Economics GA 731QT UT WOS:000185898500001 ER PT J AU Albanesi, S Chari, VV Christiano, LJ AF Albanesi, S Chari, VV Christiano, LJ TI Expectation traps and monetary policy SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID GENERAL EQUILIBRIUM; MONEY; INFLATION; WELFARE; DISCRETION; ECONOMY; GROWTH; CREDIT; MODEL AB Why is inflation persistently high in some periods and low in others? The reason may be the absence of commitment in monetary policy. In a standard model, absence of commitment leads to multiple equilibria, or expectation traps, even without trigger strategies. In these traps, expectations of high or low inflation lead the public to take defensive actions, which then make accommodating those expectations the optimal monetary policy. Under commitment, the equilibrium is unique and the inflation rate is low on average. This analysis suggests that institutions which promote commitment can prevent high inflation episodes from recurring. C1 Duke Univ, Durham, NC 27706 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Northwestern Univ, Evanston, IL 60208 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. Fed Reserve Bank Chicago, Chicago, IL USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Albanesi, S (reprint author), Duke Univ, Durham, NC 27706 USA. NR 22 TC 35 Z9 35 U1 0 U2 6 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 2003 VL 70 IS 4 BP 715 EP 741 DI 10.1111/1467-937X.00264 PG 27 WC Economics SC Business & Economics GA 731QT UT WOS:000185898500002 ER PT J AU Khan, A King, RG Wolman, AL AF Khan, A King, RG Wolman, AL TI Optimal monetary policy SO REVIEW OF ECONOMIC STUDIES LA English DT Article; Proceedings Paper CT Bank-of-Portugal Conference on Monetary Economics CY JUN, 2000 CL LISBON, PORTUGAL SP Bank Portugal ID WELFARE COST; INFLATION; DEMAND; MONEY; EQUILIBRIUM; FRAMEWORK; DYNAMICS; ECONOMY; PRICES AB Optimal monetary policy maximizes the welfare of a representative agent, given frictions in the economic environment. Constructing a model with two sets of frictions-costly price adjustment by imperfectly competitive firms and costly exchange of wealth for goods-we find optimal monetary policy is governed by two familiar principles. First, the average level of the nominal interest rate should be sufficiently low, as suggested by Milton Friedman, that there should be deflation on average. Yet, the Keynesian frictions imply that the optimal nominal interest rate is positive. Second, as various shocks occur to the real and monetary sectors, the price level should be largely stabilized, as suggested by Irving Fisher, albeit around a deflationary trend path. Since expected inflation is roughly constant through time, the nominal interest rate must therefore vary with the Fisherian determinants of the real interest rate. Although the monetary authority has substantial leverage over real activity in our model economy, it chooses real allocations that closely resemble those which would occur if prices were flexible. In our benchmark model, there is some tendency for the monetary authority to smooth nominal and real interest rates. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. Boston Univ, Boston, MA 02215 USA. Fed Reserve Bank Richmond, Richmond, VA 23219 USA. NBER, Cambridge, MA 02138 USA. RP Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 46 TC 100 Z9 100 U1 1 U2 13 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 EI 1467-937X J9 REV ECON STUD JI Rev. Econ. Stud. PD OCT PY 2003 VL 70 IS 4 BP 825 EP 860 DI 10.1111/1467-937X.00269 PG 36 WC Economics SC Business & Economics GA 731QT UT WOS:000185898500007 ER PT J AU Bernard, AB Eaton, J Jensen, JB Kortum, S AF Bernard, AB Eaton, J Jensen, JB Kortum, S TI Plants and productivity in international trade SO AMERICAN ECONOMIC REVIEW LA English DT Article ID MONOPOLISTIC COMPETITION; MANUFACTURING PLANTS; DYNAMICS; COLOMBIA; EXPORT; MODEL AB We reconcile trade theory with plant-level export behavior, extending the Ricardian model to accommodate many countries, geographic barriers, and imperfect competition. Our model captures qualitatively basic facts about U.S. plants: (i) productivity dispersion, (ii) higher productivity among exporters, (iii) the small fraction who export, (iv) the small fraction earned from exports among exporting plants, and (v) the size advantage of exporters. Fitting the model to bilateral trade among the United States and 46 major trade partners, we examine the impact of globalization and dollar appreciation on productivity, plant entry and exit, and labor turnover in U.S. manufacturing. C1 Dartmouth Coll, Amos Tuck Sch Business Adm, Hanover, NH 03755 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. NYU, Dept Econ, New York, NY 10003 USA. Inst Int Econ, Washington, DC 20036 USA. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Bernard, AB (reprint author), Dartmouth Coll, Amos Tuck Sch Business Adm, 100 Tuck Hall, Hanover, NH 03755 USA. EM andrew.b.bernard@dartmouth.edu; jonathan.eaton@nyu.edu; jbjensen@iie.com; kortum@econ.umn.edu RI Bernard, Andrew/G-9809-2011 NR 24 TC 646 Z9 653 U1 11 U2 65 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 2003 VL 93 IS 4 BP 1268 EP 1290 DI 10.1257/000282803769206296 PG 23 WC Economics SC Business & Economics GA 727DF UT WOS:000185640700012 ER PT J AU Evans, CL AF Evans, CL TI The economic significance of national border effects SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INTERNATIONAL-TRADE; PROVINCES; OECD AB To address the economic significance of national border effects, this paper provides evidence on two fundamental questions: (1) Do large border effects arise because of high perceived-price wedges between foreign and domestic products, or because imports and domestic goods are very close substitutes?; and (2) If price wedges are important, do they reflect distortionary barriers to trade or do they arise from nondistortionary factors, such as differences in transactions costs or product characteristics? I conclude that, while border effects may imply barriers, welfare costs, and a role for policy, distortions are probably not as substantial as initial border results suggested. C1 Fed Reserve Syst, Washington, DC USA. RP Evans, CL (reprint author), Fed Reserve Syst, 20th & C St NW, Washington, DC USA. NR 53 TC 70 Z9 71 U1 2 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2003 VL 93 IS 4 BP 1291 EP 1312 DI 10.1257/000282803769206304 PG 22 WC Economics SC Business & Economics GA 727DF UT WOS:000185640700013 ER PT J AU Holden, S Driscoll, JC AF Holden, S Driscoll, JC TI Inflation persistence and relative contracting SO AMERICAN ECONOMIC REVIEW LA English DT Article ID DYNAMICS C1 Univ Oslo, Dept Econ, N-0317 Oslo, Norway. Fed Reserve Board, Washington, DC 20551 USA. RP Holden, S (reprint author), Univ Oslo, Dept Econ, Box 1095, N-0317 Oslo, Norway. NR 13 TC 8 Z9 8 U1 1 U2 7 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 2003 VL 93 IS 4 BP 1369 EP 1372 DI 10.1257/000282803769206340 PG 4 WC Economics SC Business & Economics GA 727DF UT WOS:000185640700017 ER PT J AU Nagaraja, HN Barlevy, G AF Nagaraja, HN Barlevy, G TI Characterizations using record moments in a random record model and applications SO JOURNAL OF APPLIED PROBABILITY LA English DT Article DE moment sequence; record spacing; order statistics; geometric distribution; job search model ID ORDER-STATISTICS; DISTRIBUTIONS; VALUES AB We consider a random record model from a continuous parent X with cumulative distribution function F, where the number of available observations is geometrically distributed. We show that, if E(\X\) is finite, then so is E(\R-n\) whenever R-n, the nth upper record value, exists. We prove that appropriately chosen subsequences of E(R-n) characterize F and subsequences of E(R-n - Rn-1) identify F up to a location shift. We discuss some applications to the identification of wage-offer distributions in job search models. C1 Ohio State Univ, Dept Stat, Columbus, OH 43210 USA. RP Nagaraja, HN (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, 230 S LaSalle St, Chicago, IL 60604 USA. NR 11 TC 5 Z9 5 U1 0 U2 0 PU APPLIED PROBABILITY TRUST PI SHEFFIELD PA THE UNIVERSITY, SCHOOL MATHEMATICS STATISTICS, SHEFFIELD S3 7RH, ENGLAND SN 0021-9002 J9 J APPL PROBAB JI J. Appl. Probab. PD SEP PY 2003 VL 40 IS 3 BP 826 EP 833 DI 10.1239/jap/1059060910 PG 8 WC Statistics & Probability SC Mathematics GA 718LG UT WOS:000185147100025 ER PT J AU Spiegel, MM AF Spiegel, MM TI Malaysian eclipse: Economic crisis and recovery SO JOURNAL OF COMPARATIVE ECONOMICS LA English DT Book Review C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. NR 2 TC 0 Z9 0 U1 0 U2 0 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0147-5967 EI 1095-7227 J9 J COMP ECON JI J. Comp. Econ. PD SEP PY 2003 VL 31 IS 3 BP 593 EP 594 DI 10.1016/S0147-5967(03)00048-9 PG 2 WC Economics SC Business & Economics GA 726XN UT WOS:000185627000014 ER PT J AU Nelson, E AF Nelson, E TI Monetary theory and policy experience. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Res Bank St Louis, St Louis, MO 63102 USA. RP Nelson, E (reprint author), Fed Res Bank St Louis, St Louis, MO 63102 USA. NR 1 TC 0 Z9 0 U1 0 U2 1 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 2003 VL 41 IS 3 BP 914 EP 915 PG 2 WC Economics SC Business & Economics GA 726AN UT WOS:000185575200016 ER PT J AU Glick, R AF Glick, R TI Financial liberalization: How far, how fast? SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Res Bank San Francisco, San Francisco, CA 94105 USA. RP Glick, R (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 SEP PY 2003 VL 41 IS 3 BP 918 EP 919 PG 2 WC Economics SC Business & Economics GA 726AN UT WOS:000185575200019 ER PT J AU Johnson, R AF Johnson, R TI A comparison of the constant-tax rule and a standard fiscal reaction rule in the IMF's MULTIMOD model SO JOURNAL OF POLICY MODELING LA English DT Article DE computational techniques; forecasting and simulation; fiscal policy; optimal taxation; government debt ID POLICY AB Numerical macroeconomic models require fiscal reaction rules to prevent government debt from exploding. Present rules impose arbitrary, backward-looking reaction of taxes to deviations of the debt ratio from a target. A comparison between the constant-future-tax-rate rule and a standard fiscal rule in the IMF's MULTIMOD model suggests that the constant-future-tax-rate rule will generally induce smoother and hence preferable paths of consumption. This result suggests the constant-future-tax-rate rule may provide a better basis for forecasting and for policy than existing fiscal rules based on simple targets for the ratio of the deficit of debt to GDP. (C) 2003 Society for Policy Modeling. Published by Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Kansas City, Div Res, Kansas City, MO 64198 USA. RP Johnson, R (reprint author), Fed Reserve Bank Kansas City, Div Res, 925 Grand Blvd, Kansas City, MO 64198 USA. NR 11 TC 3 Z9 3 U1 0 U2 1 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 0161-8938 J9 J POLICY MODEL JI J. Policy Model. PD SEP PY 2003 VL 25 IS 6-7 BP 639 EP 653 DI 10.1016/S0161-8938(03)00058-9 PG 15 WC Economics SC Business & Economics GA 743MW UT WOS:000186577100007 ER PT J AU Faust, J Rogers, JH Swanson, E Wright, JH AF Faust, Jon Rogers, John H. Swanson, Eric Wright, Jonathan H. TI PREFACE SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article C1 [Faust, Jon; Rogers, John H.; Swanson, Eric; Wright, Jonathan H.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Faust, J (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM jon.faust@frb.gov; john.h.rogers@frb.gov; eric.t.swanson@frb.gov; jonathan.h.wright@frb.gov NR 25 TC 25 Z9 27 U1 0 U2 0 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 2003 VL 1 IS 5 BP 1031 EP 1057 DI 10.1162/jeea.2003.1.5.iii PG 27 WC Economics SC Business & Economics GA V31UC UT WOS:000208907500001 ER PT J AU Hoshi, T Spiegel, MM AF Hoshi, T Spiegel, MM TI Special Conference issue on Financial Issues in the Pacific Basin Region - Introduction SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Editorial Material C1 Univ Calif San Diego, San Diego, CA 92103 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Hoshi, T (reprint author), Univ Calif San Diego, San Diego, CA 92103 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD SEP PY 2003 VL 17 IS 3 BP 229 EP 232 DI 10.1016/S0889-1583(03)00040-6 PG 4 WC Economics; International Relations SC Business & Economics; International Relations GA 715GX UT WOS:000184963900001 ER PT J AU Brewer, E Genay, H Hunter, WC Kaufman, GG AF Brewer, E Genay, H Hunter, WC Kaufman, GG TI The value of banking relationships during a financial crisis: Evidence from failures of Japanese banks SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article; Proceedings Paper CT Conference on Financial Issues in the Pacific Basin Region CY SEP 26-27, 2002 CL SAN FRANCISCO, CALIFORNIA SP Ctr Pacific Basin Monetary & Econ Studies, Fed Reserve Bank ID FIRM PERFORMANCE; INVESTMENT; CREDIT; BORROWERS; MULTIPLE; SYSTEM; HEALTH; SHOCKS; EVENT; COSTS AB Previous literature suggests that banking relationships can enhance the value of client firms in the presence of asymmetric information problems. Hence, severance of banking ties due to a bank failure can have adverse consequences for the clients of the failed bank. In this paper, we provide evidence on the value of banking relationships by examining the impact of three large bank failures in Japan on their clients and the clients of surviving banks. We find that, as in previous studies, the market value of customers of the failed banks is adversely affected on the date of the failure announcements. In addition, the effects are related to the financial characteristics of both the client firms and their primary banks. Firms that have greater access to alternative sources of funding experience a less severe adverse impact from bank failure announcements. Similarly, clients of banks that are more profitable, better capitalized, and have lower loan loss reserves suffer less from the failure announcements. However, we also find that these effects are not significantly different from the effects experienced by all firms in the economy. That is, the bank failures represent "bad news" for all firms in the economy, not just for the customers of the failed banks. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Loyola Univ, Chicago, IL 60611 USA. RP Genay, H (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. NR 45 TC 12 Z9 12 U1 0 U2 7 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD SEP PY 2003 VL 17 IS 3 BP 233 EP 262 DI 10.1016/S0889-1583(03)00024-8 PG 30 WC Economics; International Relations SC Business & Economics; International Relations GA 715GX UT WOS:000184963900002 ER PT J AU Spiegel, MM Yamori, N AF Spiegel, MM Yamori, N TI The impact of Japan's financial stabilization laws on bank equity values SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article; Proceedings Paper CT Conference on Financial Issues in the Pacific Basin Region CY SEP 26-27, 2002 CL SAN FRANCISCO, CALIFORNIA SP Ctr Pacific Basin Monetary & Econ Studies, Fed Reserve Bank DE Japan; bank regulation; financial stabilization ID COMMERCIAL-BANKS; INSTITUTIONS; RETURNS; SAVINGS; RISK; ACT AB In the fall of 1998, two important financial regulatory reform acts were passed in Japan. The Financial Reconstruction Act created a bridge bank scheme and provided funds for the resolution of failed banks. The Rapid Recapitalization Act provided funds for the assistance of troubled banks. These acts provided government assistance to the banking sector and called for reforms aimed at strengthening the regulatory environment. Using an event study framework, we examine the anticipated impact of these regulatory reforms. Our evidence suggests that the Financial Reconstruction Act was expected to hurt large banks, while the anticipated impact of the act by financial strength was mixed. In contrast, the anticipated impact of the Rapid Recapitalization Act was expected to be antireform, as news favorable to its passage disproportionately favored large and weak Japanese banks. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94120 USA. Nagoya Univ, Nagoya, Aichi, Japan. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, 101 Market St,Mail Stop 1130,POB 7702, San Francisco, CA 94120 USA. OI Yamori, Nobuyoshi/0000-0002-4145-0476 NR 22 TC 6 Z9 6 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 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD SEP PY 2003 VL 17 IS 3 BP 263 EP 282 DI 10.1016/S0889-1583(03)00006-6 PG 20 WC Economics; International Relations SC Business & Economics; International Relations GA 715GX UT WOS:000184963900003 ER PT J AU Smith, DC AF Smith, DC TI Loans to Japanese borrowers SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article; Proceedings Paper CT Conference on Financial Issues in the Pacific Basin Region CY SEP 26-27, 2002 CL SAN FRANCISCO, CALIFORNIA SP Ctr Pacific Basin Monetary & Econ Studies, Fed Reserve Bank ID FIRM PERFORMANCE; BANKS; INVESTMENT; LIQUIDITY; COSTS AB This paper examines the characteristics of loans to Japanese borrowers using a relatively unexplored, contract-specific data set. I find that Japanese banks charge less on loans to Japanese borrowers than do foreign banks, holding constant many of the risk characteristics of the borrower. Moreover, Japanese banks vary pricing less across these risks than do foreign banks, suggesting that Japanese banks tend not to distinguish good risks from bad. Taken together, the results suggest that problems at Japanese banks stem from the behavior of the banks themselves, not simply from poor economic conditions. I also document a significant shortening in the maturity structure of Japanese loans in the late 1990s. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Smith, DC (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 19 20th & C St NW, Washington, DC 20551 USA. NR 35 TC 11 Z9 11 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 2003 VL 17 IS 3 BP 283 EP 304 DI 10.1016/S0889-1583(03)00043-1 PG 22 WC Economics; International Relations SC Business & Economics; International Relations GA 715GX UT WOS:000184963900004 ER PT J AU Kay, SJ AF Kay, SJ TI Vital connections: Politics, social security, and inequality in Chile. SO LATIN AMERICAN POLITICS AND SOCIETY LA English DT Book Review C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Kay, SJ (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 6 TC 0 Z9 0 U1 0 U2 1 PU UNIV MIAMI PI CORAL GABLES PA J INTERAMER STUD WORLD AFF PO BOX 248123, CORAL GABLES, FL 33124-3010 USA SN 1531-426X J9 LAT AM POLIT SOC JI Latin Amer. Polit. Soc. PD FAL PY 2003 VL 45 IS 3 BP 149 EP 153 DI 10.2307/3177164 PG 5 WC Area Studies; International Relations; Political Science SC Area Studies; International Relations; Government & Law GA 716YG UT WOS:000185057000008 ER PT J AU Gomis-Porqueras, P Smith, BD AF Gomis-Porqueras, P Smith, BD TI Seasonality and monetary policy SO MACROECONOMIC DYNAMICS LA English DT Article DE seasonal fluctuations; monetary policy; nominal interest rates; inflation rates ID BUSINESS CYCLES; BANKING; PANICS AB Seasonal fluctuations are as large as cyclical fluctuations. Monetary policy in the United States has dealt with seasonality by smoothing nominal rates of interest. The original motivation for this was that seasonality in nominal interest rates put recurring strain on the banking system. We build a model of monetary policy in the presence of seasonality that puts financial market conditions in the foreground. Our findings are as follows. Insulating nominal rates of interest or rates of inflation from seasonal variation are the basis for a formula for generating indeterminacy of equilibria and excess volatility. Preventing seasonality in the rate of monetary growth does not suffer from this problem. Moreover, under any method for conducting monetary policy, the setting of the target value of the monetary instrument will affect the degree of seasonal variability in most endogenous variables. This is a new channel by which monetary policy can have real effects. The case for eliminating seasonality in nominal rates of interest is strongest when seasonal impulses derive from shifts in money demand. It is weakest when seasonal impulses derive from the real sector. C1 Univ Miami, Dept Econ, Coral Gables, FL 33124 USA. Univ Texas, Austin, TX 78712 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Gomis-Porqueras, P (reprint author), Univ Miami, Dept Econ, Coral Gables, FL 33124 USA. RI Gomis Porqueras, Pedro/G-6347-2010 NR 27 TC 4 Z9 4 U1 1 U2 5 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4221 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD SEP PY 2003 VL 7 IS 4 BP 477 EP 502 DI 10.1017/S1365100502020102 PG 26 WC Economics SC Business & Economics GA 719UY UT WOS:000185224500001 ER PT J AU Thornton, DL AF Thornton, DL TI Monetary policy transparency: Transparent about what? SO MANCHESTER SCHOOL LA English DT Article; Proceedings Paper CT Conference on Transparency in Monetary Policy CY MAY 10, 2002 CL LONDON, ENGLAND SP Money, Macro & Finance Res Grp, Econ & Social Res Council ID RATIONAL EXPECTATIONS; EUROLAND AB This paper puts the issue of monetary policy transparency into a broad economic perspective. In so doing, it narrows the focus from that which frequently appears in this literature. The analysis is predicated on the assertion that the sole economic argument for transparency is policy effectiveness-transparency is desirable if it enhances the effectiveness of policy and is not if it does not. In cases where transparency neither enhances nor impairs the effectiveness of policy, the case for transparency can be argued on non-economic grounds. This analysis has implications for several policy/transparency issues. Important among these is the assumption in this literature that inflation and output must be viewed by policymakers as substitutes. I suggest that policyrnakers might generate a better inflation/output outcome if they thought of inflation and output objectives as complements rather than substitutes. 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 39 TC 10 Z9 10 U1 0 U2 1 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 1463-6786 J9 MANCH SCH JI Manch. Sch. PD SEP PY 2003 VL 71 IS 5 BP 478 EP 497 DI 10.1111/1467-9957.00363 PG 20 WC Economics SC Business & Economics GA 724WZ UT WOS:000185512400002 ER PT J AU Amromin, G Liang, N AF Amromin, G Liang, N TI Hedging employee stock options, corporate taxes, and debt SO NATIONAL TAX JOURNAL LA English DT Article ID DETERMINANTS; POLICIES; FIRMS AB This study explores two effects of employee stock options on tax incentives to issue debt. The deduction of option from taxable income creates a non-debt tax shield, reducing the incentive to issue debt. In contrast, the grant of options also creates a demand for hedging unexpected stock price increases, and firms have a tax-based incentive to hedge by borrowing to repurchase shares. Empirical tests for a sample of large S&P 500 firms from 1995 to 2001 present evidence consistent with both effects, and the increase in debt through hedging more than offsets the effect from reducing marginal tax rates for high tax rate firms. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Amromin, G (reprint author), Fed Reserve Board, Washington, DC 20551 USA. RI Amromin, Gene/B-7425-2011 NR 33 TC 1 Z9 1 U1 2 U2 3 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 J9 NATL TAX J JI Natl. Tax J. PD SEP PY 2003 VL 56 IS 3 BP 513 EP 533 PG 21 WC Business, Finance; Economics SC Business & Economics GA 729YG UT WOS:000185802100005 ER PT J AU Amromin, G Smith, P AF Amromin, G Smith, P TI What explains early withdrawals from retirement accounts? Evidence from a panel of taxpayers SO NATIONAL TAX JOURNAL LA English DT Article ID SUM PENSION DISTRIBUTIONS AB We use data from a ten-year panel of individual tax returns to investigate the circumstances under which households choose to incur a 10 percent penalty in order to gain early access to retirement accounts. We attempt to link the likelihood of early withdrawals to shocks experienced by households at the time of withdrawal and to the availability of non-retirement assets. Our findings indicate that penalized withdrawals are significantly more likely among households that experience adverse shocks, and that the effect of shocks is amplified for households with low levels of non-retirement financial wealth. In particular, we find that job loss, income shocks, divorce, and home purchases increase the likelihood of early ESP withdrawals by an average of 3 to 10 points each, with significantly stronger increases among the poorest households. We conclude that a significant portion of early withdrawals from retirement accounts reflects consumption-smoothing behavior by liquidity-constrained households who experience financial shocks, rather than squandering of pension assets. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Amromin, G (reprint author), Fed Reserve Board Governors, Washington, DC 20551 USA. RI Amromin, Gene/B-7425-2011 NR 9 TC 7 Z9 7 U1 0 U2 3 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 J9 NATL TAX J JI Natl. Tax J. PD SEP PY 2003 VL 56 IS 3 BP 595 EP 612 PG 18 WC Business, Finance; Economics SC Business & Economics GA 729YG UT WOS:000185802100010 ER PT J AU Gabriel, SA Mattey, JP Wascher, WL AF Gabriel, SA Mattey, JP Wascher, WL TI Compensating differentials and evolution in the quality-of-life among US states SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE quality-of-life; compensating differentials ID URBAN AREAS; RENTS; WAGES AB This paper provides estimates of evolution in quality-of-life rankings for U.S. states over the 1981-1990 period. Our findings indicate that the quality-of-life rankings are relatively stable across model specifications and over time for certain poorly ranked, densely-populated midwestern and eastern industrial states and also for other high quality-of-life rural western states. However, we find substantial deterioration in quality-of-life rankings in some states that experienced rapid population growth during the decade. Reduced spending on infrastructure, increased traffic congestion, and air pollution account for the bulk of the deterioration in quality-of-life in these states. As would be expected, improvement in those same factors is shown to result in marked ascension in quality-of-life ranks among other states. (C) 2002 Elsevier B.V. All rights reserved. C1 Univ So Calif, USC Lusk Ctr Real Estate, Marshall Sch Business, Los Angeles, CA 90089 USA. Univ So Calif, USC Lusk Ctr Real Estate, Sch Policy Planning & Dev, Los Angeles, CA 90089 USA. Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. Board Governors Fed Reserve Syst, Div Res & Stat, Macroecon Anal Sect, Washington, DC USA. RP Gabriel, SA (reprint author), Univ So Calif, USC Lusk Ctr Real Estate, Marshall Sch Business, 650 Childs Way,RGL 331, Los Angeles, CA 90089 USA. NR 15 TC 47 Z9 48 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD SEP PY 2003 VL 33 IS 5 BP 619 EP 649 DI 10.1016/S0166-0462(02)00007-8 PG 31 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 710FX UT WOS:000184671100005 ER PT J AU Orrenius, PM Zavodny, M AF Orrenius, PM Zavodny, M TI Do amnesty programs reduce undocumented immigration? Evidence from IRCA SO DEMOGRAPHY LA English DT Article ID UNITED-STATES; CONTROL ACT; ILLEGAL IMMIGRATION; BORDER ENFORCEMENT; LABOR-MARKET; REFORM; WORKERS; MIGRANTS; EARNINGS; WAGES AB This article examines whether mass legalization programs reduce future undocumented immigration. We focus on the effects of the 1986 Immigration Reform and Control Act, which granted amnesty to nearly 2.7 million undocumented immigrants. We report that apprehensions of persons attempting to cross the U.S.-Mexico border illegally declined immediately following passage of the law but returned to normal levels during the period when undocumented immigrants could file for amnesty and the years thereafter Our findings suggest that the amnesty program did not change long-term patterns of undocumented immigration from Mexico. C1 Fed Reserve Bank Dallas, Dept Res, Dallas, TX 75201 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. Occidental Coll, Los Angeles, CA 90041 USA. RP Orrenius, PM (reprint author), Fed Reserve Bank Dallas, Dept Res, 2200 N Pearl St, Dallas, TX 75201 USA. NR 24 TC 35 Z9 35 U1 1 U2 7 PU POPULATION ASSN AMER PI WASHINGTON PA 1722 N ST NW, WASHINGTON, DC 20036 USA SN 0070-3370 J9 DEMOGRAPHY JI Demography PD AUG PY 2003 VL 40 IS 3 BP 437 EP 450 DI 10.2307/1515154 PG 14 WC Demography SC Demography GA 712GF UT WOS:000184789200003 PM 12962057 ER PT J AU Koenig, EF AF Koenig, EF TI Is the markup a useful real-time predictor of inflation? SO ECONOMICS LETTERS LA English DT Article DE inflation; markup; forecasts; real-time ID POLICY AB Unlike their revised counterparts, real-time markup data fail to improve the performance of a simple Phillips-curve inflation forecasting equation and have little predictive power beyond that of survey measures of inflation expectations. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Koenig, EF (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. NR 11 TC 2 Z9 2 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 AUG PY 2003 VL 80 IS 2 BP 261 EP 267 DI 10.1016/S0165-1765(03)00099-5 PG 7 WC Economics SC Business & Economics GA 703ZK UT WOS:000184313100019 ER PT J AU Ball, L Croushore, D AF Ball, L Croushore, D TI Expectations and the effects of monetary policy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID RATIONAL-EXPECTATIONS; HYPOTHESIS; INFLATION; FORECASTS; TRANSITORY; TESTS; TIME AB This paper examines the predictive power of shifts in monetary policy, as measured by changes in the real federal funds rate, for output, inflation, and survey expectations of these variables. We find that policy shifts have larger effects on actual output than on expected output; thus, policy predicts errors in output expectations. a violation of rational expectations. Policy shifts do not predict errors in inflation expectations. We explain these results with a model in which agents systematically underestimate the effects of policy on aggregate demand. This model helps to explain the real effects of policy. C1 Johns Hopkins Univ, Baltimore, MD 21218 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Ball, L (reprint author), Johns Hopkins Univ, Baltimore, MD 21218 USA. EM lball@jhu.edu; dean.croushore@phil.frb.org NR 25 TC 10 Z9 11 U1 1 U2 4 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2003 VL 35 IS 4 BP 473 EP 484 DI 10.1353/mcb.2003.0024 PG 12 WC Business, Finance; Economics SC Business & Economics GA 706WD UT WOS:000184477300001 ER PT J AU Brewer, E Genay, H Hunter, WC Kaufman, GG AF Brewer, E Genay, H Hunter, WC Kaufman, GG TI Does the Japanese stock market price bank-risk? Evidence from financial firm failures SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID EFFECT HYPOTHESIS; PERFORMANCE; DISCLOSURE; CONTAGION; EVENT AB The ability of the Japanese stock market to appropriately price the riskiness of Japanese financial firms has been frequently questioned, particularly in light of Japan's widespread financial distress in recent years and poor disclosure requirements. This paper examines the response in equity returns of Japanese banks to the failure of four commercial banks and two securities firms between 1995 and 1998. Using event study methodology, the analysis finds that share prices of surviving banks on the whole responded unfavorably to the failures and that financially weaker survivors were more adversely affected. This suggests that, despite the distress and alleged opaqueness, bank shareholders were able to use available indicators of financial condition both to incorporate new information quickly into stock prices and to differentiate among banks. C1 Fed Reserve Bank Chicago, Chicago, IL USA. Loyola Univ, Chicago, IL 60611 USA. RP Brewer, E (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 30 TC 16 Z9 16 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 AUG PY 2003 VL 35 IS 4 BP 507 EP 543 DI 10.1353/mcb.2003.0026 PG 37 WC Business, Finance; Economics SC Business & Economics GA 706WD UT WOS:000184477300003 ER PT J AU Fratantoni, M Schuh, S AF Fratantoni, M Schuh, S TI Monetary policy, housing, and heterogeneous regional markets SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID BABY BOOM; MODELS; SHOCKS; FUNDS; AGGREGATION; DYNAMICS AB We quantify the importance of heterogeneity for monetary policy using a new heterogeneous-agent VAR (HAVAR) model that integrates national monetary/financial markets with regional housing markets via the mortgage rate. Although the HAVAR model has linear regional VARs, its aggregate impulse responses exhibit two nonlinearities: (1) time variation, stemming from aggregation over heterogeneous regions, and (2) state dependence on initial economic conditions in regions. Thus, monetary policy has "long and variable lags" because monetary transmission depends on the extent and nature of regional heterogeneity, which both vary over time. The model is estimated with data for U.S. regions from 1986 to 1996 and simulated to show how coastal housing booms might influence the efficacy of monetary policy. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. EM Michael_Fratantoni@fanniemae.com; Scott.Schuh@bos.frb.org NR 62 TC 38 Z9 39 U1 2 U2 10 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2003 VL 35 IS 4 BP 557 EP 589 DI 10.1353/mcb.2003.0029 PG 33 WC Business, Finance; Economics SC Business & Economics GA 706WD UT WOS:000184477300005 ER PT J AU Kahn, CM McAndrews, J Roberds, W AF Kahn, CM McAndrews, J Roberds, W TI Settlement risk under gross and net settlement SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID SYSTEMIC RISK; CONTAGION; LIQUIDITY AB Previous comparative analyses of gross and net settlement have focused on the credit risk of the central counterparty in net settlement arrangements and on the incentives for participants to alter the risk of their portfolios under net settlement. By modeling the trading economy that generates the demand for payment services, we are able to show some largely unexplored advantages of net settlement. We find that net settlement can prevent certain gridlock situations, which may arise in gross settlement in the absence of delivery versus payment requirements. In addition, we show that net settlement can economize on collateral requirements and avoid trading delays. C1 Univ Illinois, Dept Econ, Chicago, IL 60680 USA. Univ Illinois, Dept Finance, Chicago, IL 60680 USA. Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Kahn, CM (reprint author), Univ Illinois, Dept Econ, Chicago, IL 60680 USA. NR 32 TC 15 Z9 16 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 AUG PY 2003 VL 35 IS 4 BP 591 EP 608 DI 10.1353/mcb.2003.0030 PG 18 WC Business, Finance; Economics SC Business & Economics GA 706WD UT WOS:000184477300006 ER PT J AU Saiz, A AF Saiz, A TI Room in the kitchen for the melting pot: Immigration and rental prices SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID LABOR-MARKET AB This paper studies the response of housing markets to immigration shocks. Following Card (1990), 1 examine the changes in rental prices in Miami and three comparison groups after the Mariel boatlift. This exogenous immigration shock added an extra 9% to Miami's renter population in 1980. I find that rents increased from 8% to 11% more in Miami than in the comparison groups between 1979 and 1981. By 1983 the rent differential was still 7%. Rental units of higher quality were not affected by the immigration shock. Units occupied by low-income Hispanic residents in 1979 experienced an extra 8% differential hike with respect to other low-income units. Relative housing prices moved in the opposite direction from rents in the short run. C1 Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Saiz, A (reprint author), Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. NR 38 TC 53 Z9 53 U1 0 U2 6 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 2003 VL 85 IS 3 BP 502 EP 521 DI 10.1162/003465303322369687 PG 20 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 715JB UT WOS:000184967400002 ER PT J AU Carroll, CD Dynan, KE Krane, SD AF Carroll, CD Dynan, KE Krane, SD TI Unemployment risk and precautionary wealth: Evidence from households' balance sheets SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID LIFE-CYCLE; CONSUMPTION; INSURANCE; SAVINGS; INCOME AB This paper examines precautionary behavior by relating job-loss risk to household net worth. We use existing best practice and some new strategies to deal with some problematic issues inherent in this literature regarding proxying uncertainty, instrumentation, and incorporating theoretical restrictions. We do not find precautionary variation in the wealth holdings of households with low permanent income, but do find precautionary effects for moderate and higher-income households. When the dependent variable is total net worth, these findings are robust to several alternative specifications. But we do not find precautionary responses in subaggregates of wealth that exclude home equity. C1 Johns Hopkins Univ, Baltimore, MD 21218 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Carroll, CD (reprint author), Johns Hopkins Univ, Baltimore, MD 21218 USA. NR 37 TC 44 Z9 44 U1 3 U2 12 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 2003 VL 85 IS 3 BP 586 EP 604 DI 10.1162/003465303322369740 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 715JB UT WOS:000184967400008 ER PT J AU Croushore, D Stark, T AF Croushore, D Stark, T TI A real-time data set for macroeconomists: De oes the data vintage matter? SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID MONETARY-POLICY; INCOME; MONEY AB This paper uses a real-time data set to analyze data revisions and to test the robustness of published econometric results. The data set consists of vintages, or snapshots, of the major macroeconomic data available at quarterly intervals in real time. The paper illustrate why such data may matter, examines the properties of several of the variables in the data set across vintages, and examines key empirical papers in macroeconomics, investigating their robustness to different vintages. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Stark, T (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 29 TC 56 Z9 56 U1 0 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 2003 VL 85 IS 3 BP 605 EP 617 DI 10.1162/003465303322369759 PG 13 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 715JB UT WOS:000184967400009 ER PT J AU Koenig, EF Dolmas, S Piger, J AF Koenig, EF Dolmas, S Piger, J TI The use and abuse of real-time data in economic forecasting SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID INFORMATION; MODELS AB We distinguish between three different strategies for estimating forecasting equations with real-time data and argue that the most popular approach should generally be avoided. The point is illustrated with a model that uses current-quarter monthly industrial production, employment, and retail sales data to predict real GDP growth. When the model is estimated using either of our two alternative methods, its out-of-sample forecasting performance is superior to that obtained using conventional estimation and compares favorably with that of the Blue Chip consensus. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Koenig, EF (reprint author), Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RI Piger, Jeremy/I-7643-2012 OI Piger, Jeremy/0000-0001-6592-9986 NR 26 TC 58 Z9 58 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 2003 VL 85 IS 3 BP 618 EP 628 DI 10.1162/003465303322369768 PG 11 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 715JB UT WOS:000184967400010 ER PT J AU Estrella, A Rodrigues, AP Schich, S AF Estrella, A Rodrigues, AP Schich, S TI How stable is the predictive power of the yield curve? Evidence from Germany and the United States SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID MATURITY TERM STRUCTURE; FUTURE INFLATION; STRUCTURAL-CHANGE; GENERALIZED-METHOD; FINANCIAL SPREADS; MODELS; INFORMATION; VARIABLES; GROWTH; MULTICOUNTRY AB Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We use recent econometric techniques for break testing to examine whether the empirical relationships are in fact stable. We consider continuous models, which predict either economic growth or inflation, and binary models, which predict either recessions or inflationary pressure. In each case, we draw on evidence from Germany and the United States. Models that predict real activity are somewhat more stable than those that predict inflation, and binary models are more stable than continuous models. The model that predicts recessions is stable over our full sample period in both Germany and the United States. C1 Fed Reserve Bank New York, New York, NY 10045 USA. OECD, Paris, France. Deutsche Bundesbank, Berlin, Germany. RP Estrella, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 53 TC 67 Z9 67 U1 1 U2 10 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 2003 VL 85 IS 3 BP 629 EP 644 DI 10.1162/003465303322369777 PG 16 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 715JB UT WOS:000184967400011 ER PT J AU Kiley, MT AF Kiley, MT TI Why is inflation low when productivity growth is high? SO ECONOMIC INQUIRY LA English DT Article ID OUTPUT AB Inflation has been low when productivity growth has been high. This occurs because the Federal Reserve has not adjusted nominal income growth in response to changes in productivity growth, implying that an acceleration in trend productivity growth leads to a deceleration in inflation. The model's predictions are confirmed: (1) Inflation should fall when trend productivity growth rises, and (2) nominal income and wage growth should not change with trend productivity. The model also implies that productivity growth enters a Phillips curve relationship as a proxy for inflation expectations. Thus, estimates of the NAIRU should fall when productivity growth accelerates. C1 Org Econ Cooperat & Dev, F-75016 Paris, France. Fed Reserve Board, Washington, DC 20551 USA. RP Kiley, MT (reprint author), Org Econ Cooperat & Dev, 2 Rue Andre Pascal, F-75016 Paris, France. RI Kiley, Michael/H-1132-2012; OI Kiley, Michael/0000-0003-0427-0131 NR 39 TC 4 Z9 4 U1 0 U2 2 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 JUL PY 2003 VL 41 IS 3 BP 392 EP 406 DI 10.1093/ei/cbg016 PG 15 WC Economics SC Business & Economics GA 700MW UT WOS:000184116600003 ER PT J AU Garrett, TA Sobel, RS AF Garrett, TA Sobel, RS TI The political economy of FEMA disaster payments SO ECONOMIC INQUIRY LA English DT Article; Proceedings Paper CT Annual Meeting of the Southern-Economic-Association CY 2001 CL TAMPA, FLORIDA SP So Econ Assoc ID POLICY; MODEL AB We find that presidential and congressional influences affect the rate of disaster declaration and the allocation of FEMA disaster expenditures across states. States politically important to the president have a higher rate of disaster declaration by the president, and disaster expenditures are higher in states having congressional representation on FEMA oversight committees. Election year impacts are also found. Our models predict that nearly half of all disaster relief is motivated politically rather than by need. The findings reject a purely altruistic model of FEMA assistance and question the relative effectiveness of government versus private disaster relief. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. W Virginia Univ, Dept Econ, Morgantown, WV 26506 USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO 63102 USA. NR 24 TC 85 Z9 86 U1 2 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 JUL PY 2003 VL 41 IS 3 BP 496 EP 509 DI 10.1093/ei/cbg023 PG 14 WC Economics SC Business & Economics GA 700MW UT WOS:000184116600010 ER PT J AU Durham, JB AF Durham, JB TI Monetary policy and stock price returns SO FINANCIAL ANALYSTS JOURNAL LA English DT Article DE economics : relationship of economic activity to the investment process; economics : macroeconomics ID DISCOUNT RATE CHANGES; SECURITY RETURNS; ANOMALIES AB Some studies have argued that monetary policy affects stock market performance over monthly or quarterly horizons, which has important implications for both investors and central bankers. Previous findings, however, are not robust to the sensitivity analysis reported here. For example, division of the sample period into subperiods and use of rolling regressions for the time-series data indicate that for the vast majority of countries (including the United States), the relationship largely vanished in more recent periods. Also, panel regressions that incorporate cross-sectional variance among the 16 countries suggest that the relationship between monetary policy and stock returns is weak or nonexistent. Analysis of excess stock price return, as opposed to raw return, also indicates no relationship. Finally, alternative measures of monetary policy indicate no correlation between easing/tightening cycles and stock returns. 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 16 TC 7 Z9 7 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 2003 VL 59 IS 4 BP 26 EP + DI 10.2469/faj.v59.n4.2543 PG 11 WC Business, Finance SC Business & Economics GA 710VV UT WOS:000184704300004 ER PT J AU Gordy, MB AF Gordy, MB TI A risk-factor model foundation for ratings-based bank capital rules SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE capital allocation; banking regulation; value-at-risk ID EXPECTED SHORTFALL AB I demonstrate that ratings-based capital rules, including both the current Basel Accord and its proposed revision, can be reconciled with the general class of credit value-at-risk models. Each exposure's contribution to VaR is portfolio-invariant only if (a) dependence across exposures is driven by a single systematic risk factor, and (b) no exposure accounts for more than an arbitrarily small share of total portfolio exposure. Analysis of rates of convergence to asymptotic VaR leads to a simple and accurate portfolio-level add-on charge for undiversified idiosyncratic risk. There is no similarly simple way to address violation of the single factor assumption. (C) 2003 Elsevier Inc. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Fed Reserve Syst, Div Res & Stat, Washington, DC 20551 USA. RP Gordy, MB (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. OI Gordy, Michael/0000-0002-5229-4608 NR 31 TC 200 Z9 206 U1 7 U2 24 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JUL PY 2003 VL 12 IS 3 BP 199 EP 232 DI 10.1016/S1042-9573(03)00040-8 PG 34 WC Business, Finance SC Business & Economics GA 714BG UT WOS:000184892000001 ER PT J AU Levin, AT Williams, JC AF Levin, AT Williams, JC TI Robust monetary policy with competing reference models SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE model uncertainty; robust control; optimal control; Bayesian control ID TRUE MODEL; UNCERTAINTY; RULES; COORDINATION; OPTIMIZATION; TAYLOR; AGREE AB The existing literature on robust monetary policy rules has largely focused on the case in which the policymaker has a single reference model while the true economy lies within a specified neighborhood of the reference model. In this paper, we show that such rules may perform very poorly in the more general case in which non-nested models represent competing perspectives about controversial issues such as expectations formation and inflation persistence. Using Bayesian and minimax strategies, we then consider whether any simple rule can provide robust performance across such divergent representations of the economy. We find that a robust outcome is attainable only in cases where the objective function places substantial weight on stabilizing both output and inflation; in contrast, we are unable to find a robust policy rule when the sole policy objective is to stabilize inflation. We analyze these results using a new diagnostic approach, namely, by quantifying the fault tolerance of each model economy with respect to deviations from optimal policy. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Levin, AT (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW, Washington, DC 20551 USA. EM andrew.levin@frb.gov RI Williams, John/A-8226-2009 NR 70 TC 63 Z9 64 U1 0 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2003 VL 50 IS 5 BP 945 EP 975 DI 10.1016/S0304-3932(03)00059-X PG 31 WC Business, Finance; Economics SC Business & Economics GA 717ZH UT WOS:000185120300001 ER PT J AU Orphanides, A AF Orphanides, A TI Historical monetary policy analysis and the Taylor rule SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie Rochester Conference on Public Policy CY NOV 22-23, 2002 CL PITTSBURGH, PENNSYLVANIA DE monetary policy; Taylor rule ID STABILIZATION POLICY; OUTPUT-GAP; REAL-TIME; INFLATION; INFORMATION; STABILITY; MODEL AB This study examines the usefulness of the Taylor-rule framework as an organizing device for describing the policy debate and evolution of monetary policy in the United States. Monetary policy during the 1920s and since the 1951 Treasury-Federal Reserve Accord can be broadly interpreted in terms of this framework with rather surprising consistency. In broad terms, during these periods policy has been generally formulated in a forward-looking manner with price stability and economic stability serving as implicit or explicit guides. As early as the 1920s, measures of real economic activity relative to "normal" or "potential" supply appear to have influenced policy analysis and deliberations. Confidence in such measures as guides for activist monetary policy proved counterproductive at times, resulting in excessive activism, such as during the Great Inflation and at the brink of the Great Depression. Policy during the past two decades is broadly consistent with natural growth targeting variants of the Taylor rule that exhibit less activism. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Orphanides, A (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. NR 96 TC 121 Z9 122 U1 0 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2003 VL 50 IS 5 BP 983 EP 1022 DI 10.1016/S0304-3932(03)00065-5 PG 40 WC Business, Finance; Economics SC Business & Economics GA 717ZH UT WOS:000185120300003 ER PT J AU Laxton, D Pesenti, P AF Laxton, D Pesenti, P TI Monetary rules for small, open, emerging economies SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie Rochester Conference on Public Policy CY NOV 22-23, 2002 CL PITTSBURGH, PENNSYLVANIA DE monetary policy; Taylor rule; flexible exchange rates; transition countries; emerging markets ID STICKY-PRICE MODELS; OPTIMIZING MODEL; STABILITY; WELFARE; POLICY; TRADE AB This paper develops a variant of the IMF's Global Economic Model suitable to analyze macroeconomic dynamics in open economies, and uses it to assess the effectiveness of Taylor rules and inflation-forecast-based (IFB) rules in stabilizing variability in output and inflation. Our findings suggest that a simple IFB rule that does not rely upon any direct estimates of the equilibrium real interest rate and places a relatively high weight on the inflation forecast may perform better in small open economies than conventional Taylor rules. (C) 2003 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Int Monetary Fund, Washington, DC 20431 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Pesenti, P (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. NR 58 TC 66 Z9 68 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 JUL PY 2003 VL 50 IS 5 BP 1109 EP 1146 DI 10.1016/S0304-3932(03)00057-6 PG 38 WC Business, Finance; Economics SC Business & Economics GA 717ZH UT WOS:000185120300009 ER PT J AU Erceg, CJ AF Erceg, CJ TI Comment on: Monetary rules for small, open, emerging economies SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material ID POLICY C1 Fed Reserve Board, Washington, DC 20551 USA. RP Erceg, CJ (reprint author), Fed Reserve Board, Mail Stop 42 B,20th & C St NW, Washington, DC 20551 USA. 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 2003 VL 50 IS 5 BP 1147 EP 1152 DI 10.1016/S0304-3932(03)00058-8 PG 6 WC Business, Finance; Economics SC Business & Economics GA 717ZH UT WOS:000185120300010 ER PT J AU Jorgenson, DW Ho, MS Stiroh, KJ AF Jorgenson, DW Ho, MS Stiroh, KJ TI Lessons from the US growth resurgence SO JOURNAL OF POLICY MODELING LA English DT Article; Proceedings Paper CT 115th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2003 CL WASHINGTON, D.C. SP Amer Econ Assoc DE information technology; total factor productivity; productivity growth ID INFORMATION TECHNOLOGY C1 Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Jorgenson, DW (reprint author), Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. NR 20 TC 16 Z9 16 U1 1 U2 3 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 0161-8938 J9 J POLICY MODEL JI J. Policy Model. PD JUL PY 2003 VL 25 IS 5 BP 453 EP 470 DI 10.1016/S0161-8938(03)00040-1 PG 18 WC Economics SC Business & Economics GA 704RM UT WOS:000184353700004 ER PT J AU Oliner, SD Sichel, DE AF Oliner, SD Sichel, DE TI Information technology and productivity: where are we now and where are we going? (Reprinted from Federal Reserve Bank of Atlanta Economic Review, Third Quarter 2002) SO JOURNAL OF POLICY MODELING LA English DT Reprint DE information technology; labor productivity; multifactor productivity ID GROWTH C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Oliner, SD (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 40 TC 23 Z9 25 U1 1 U2 2 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 0161-8938 J9 J POLICY MODEL JI J. Policy Model. PD JUL PY 2003 VL 25 IS 5 BP 477 EP 503 DI 10.1016/S0161-8938(03)00042-5 PG 27 WC Economics SC Business & Economics GA 704RM UT WOS:000184353700006 ER PT J AU Neely, CJ Weller, PA Corbae, D AF Neely, CJ Weller, PA Corbae, D TI Endogenous realignments in a target zone SO OXFORD ECONOMIC PAPERS-NEW SERIES LA English DT Article ID EXCHANGE-RATE DYNAMICS; DEVALUATION RISK; PRICE INERTIA; MODELS; EXPECTATIONS AB We examine the effects of endogenously determined realignment expectations in a model of a target zone with sluggish price adjustment. We allow these expectations to be based on a policy rule which generates an increasing probability of realignment as output moves away from full employment. For realistic parameter values, relatively small misalignments of the currency band lead to strongly skewed conditional distributions for the nominal exchange rate, thus generating pressures for realignment. The reason for this is that the speed of adjustment in the absence of realignments is rather slow. Even infrequent realignments significantly increase the speed of adjustment. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. Univ Iowa, Dept Finance, Henry B Tippie Coll Business, Iowa City, IA 52242 USA. Univ Texas, Austin, TX 78712 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Neely, Christopher/D-3636-2012; Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 22 TC 1 Z9 1 U1 0 U2 4 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0030-7653 J9 OXFORD ECON PAP JI Oxf. Econ. Pap.-New Ser. PD JUL PY 2003 VL 55 IS 3 BP 494 EP 511 DI 10.1093/oep/55.3.494 PG 18 WC Economics SC Business & Economics GA 700WP UT WOS:000184134400005 ER PT J AU Dunn, WE AF Dunn, WE TI The effects of precautionary saving motives on (S,s) bands for home purchases SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE precautionary saving; income uncertainty; housing demand ID INCOME HYPOTHESIS; DURABLE GOODS; CONSUMPTION; ADJUSTMENT AB In a buffer-stock model with both nondurable and durable goods, the optimal policy for consumption of the durable good follows an (S,s) rule, where the precise trigger point at which the consumer decides to make a purchase depends on both the anticipated risk of unemployment and the available stock of liquid assets. In this paper I evaluate whether microeconomic data are consistent with this type of behavior by examining the relationship between income uncertainty, liquid assets and the characteristics of the (S,s) bands for home purchases using data from the Panel Study of Income Dynamics. The results demonstrate that, as predicted by the model, the home purchase trigger values are negatively related to the level of income uncertainty faced by households. In addition, liquid assets held by the household before and after a home purchase are significant and positively related to both the home purchase trigger and target values, suggesting that households are indeed concerned about their balance sheet positions after the home purchase takes place. Although the target values do not seem to be affected by uncertainty, there is some evidence that the overall (S,s) bandwidth widens in response to greater income uncertainty. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Dunn, WE (reprint author), Fed Reserve Syst, Board Governors, Stop 82, Washington, DC 20551 USA. EM wdunn@frb.gov NR 17 TC 1 Z9 1 U1 2 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD JUL PY 2003 VL 33 IS 4 BP 467 EP 488 DI 10.1016/S0166-0462(02)00057-1 PG 22 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 692XY UT WOS:000183686600005 ER PT J AU Golosov, M Kocherlakota, N Tsyvinski, A AF Golosov, M Kocherlakota, N Tsyvinski, A TI Optimal indirect and capital taxation SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID MORAL HAZARD; PRIVATE INFORMATION; TAX STRUCTURE; INCOME; MODEL; MULTIPERIOD; INSURANCE; SHOCKS; DESIGN AB We consider an environment in which agents' skills are private information and follow arbitrary stochastic processes. We prove that it is typically Pareto optimal for an individual's marginal benefit of investing in capital to exceed his marginal cost of doing so. This wedge is consistent with a positive tax on capital income. We also prove that it is Pareto optimal for the marginal rate of substitution between any two consumption goods to equal the marginal rate of transformation. This lack of a wedge is consistent with uniform taxation of consumption goods within a period. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Stanford Univ, Stanford, CA 94305 USA. RP Golosov, M (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 32 TC 133 Z9 134 U1 0 U2 11 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 2003 VL 70 IS 3 BP 569 EP 587 DI 10.1111/1467-937X.00256 PG 19 WC Economics SC Business & Economics GA 700KH UT WOS:000184110800005 ER PT J AU McTeer, RD AF McTeer, RD TI Reflections and confessions of an erstwhile economist SO SOUTHERN ECONOMIC JOURNAL LA English DT Article; Proceedings Paper CT 71st Annual Meeting of the Southern-Economic-Association CY NOV 25, 2002 CL NEW ORLEANS, LOUISIANA SP SO Econ Assoc AB Bob McTeer reflects on some of the people and events that have influenced his thinking and his career as a central banker. He also discusses some of the issues he has encountered along the way, including free trade, productivity growth, inflation, monetarism, unemployment, and budget deficits. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP McTeer, RD (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. NR 5 TC 0 Z9 0 U1 0 U2 2 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 2003 VL 70 IS 1 BP 3 EP 10 PG 8 WC Economics SC Business & Economics GA 700XD UT WOS:000184135700001 ER PT J AU Saving, JL AF Saving, JL TI A single welfare benefit level for Europe? Efficiency implications of policy harmonization in a federal system SO SOUTHERN ECONOMIC JOURNAL LA English DT Article AB Within the European Union, it has been suggested that greater economic integration will help European economies regardless of the kind of integration Europe chooses to pursue. In this paper, I examine economic integration in the context of redistributive policy and find that the effects of such integration are crucially dependent upon the level of redistribution to be adopted as a common policy, with higher welfare benefit levels associated with lower levels of federation output. This suggests that the case for policy harmonization at a generous level must rest on equity rather than efficiency considerations. C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Saving, JL (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. NR 11 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 2003 VL 70 IS 1 BP 184 EP 194 DI 10.2307/1061639 PG 11 WC Economics SC Business & Economics GA 700XD UT WOS:000184135700012 ER PT J AU Levin, A Wieland, V Williams, JC AF Levin, A Wieland, V Williams, JC TI The performance of forecast-based monetary policy rules under model uncertainty SO AMERICAN ECONOMIC REVIEW LA English DT Article ID RATIONAL-EXPECTATIONS; MACROECONOMIC MODEL; TRUE MODEL; COORDINATION; STABILITY; AGREE AB We investigate the performance of forecast-based monetary policy rules using five macroeconomic models that reflect a wide range of views on aggregate dynamics. We identify the key characteristics of rules that are robust to model uncertainty; such rules respond to the one-year-ahead inflation forecast and to the current output gap and incorporate a substantial degree of policy inertia. In contrast, rules with longer forecast horizons are less robust and are prone to generating indeterminacy. Finally, we identify a robust benchmark rule that performs very well in all five models over a wide range of policy preferences. C1 Fed Reserve Bd, Washington, DC 20551 USA. Univ Frankfurt, D-60054 Frankfurt, Germany. RP Levin, A (reprint author), Fed Reserve Bd, 20th & C Streets NW, Washington, DC 20551 USA. EM andrew.levin@frb.gov; wieland@wiwi.uni-frankfurt.de; john.c.williams@sf.frb.org RI Williams, John/A-8226-2009 NR 87 TC 80 Z9 80 U1 0 U2 13 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD JUN PY 2003 VL 93 IS 3 BP 622 EP 645 DI 10.1257/000282803322157016 PG 24 WC Economics SC Business & Economics GA 694XF UT WOS:000183799900007 ER PT J AU Dee, TS Sela, RJ AF Dee, TS Sela, RJ TI The fatality effects of highway speed limits by gender and age SO ECONOMICS LETTERS LA English DT Article DE speed limits; traffic fatalities; age; gender ID RESOURCE-ALLOCATION; SAFETY AB This study presents panel-based evidence on the overall fatality consequences of recent speed-limit increases in the United States. The results suggest that higher speed limits had highly heterogeneous effects, generally increasing fatalities among women and the elderly but reducing them among males. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Swarthmore Coll, Dept Econ, Swarthmore, PA 19081 USA. NBER, Swarthmore, PA 19081 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Dee, TS (reprint author), Swarthmore Coll, Dept Econ, Swarthmore, PA 19081 USA. NR 16 TC 22 Z9 22 U1 1 U2 5 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD JUN PY 2003 VL 79 IS 3 BP 401 EP 408 DI 10.1016/S0165-1765(03)00026-0 PG 8 WC Economics SC Business & Economics GA 677NT UT WOS:000182815000016 ER PT J AU Dueker, MJ Fischer, AM AF Dueker, MJ Fischer, AM TI Fixing Swiss potholes - The importance and cyclical nature of improvements SO ECONOMICS LETTERS LA English DT Article DE maintenance and repair; improvements; capital utilization AB This note sheds new light on the dynamic properties of maintenance and repair and examines the behavior of an additional form of capital spending-that of improvements. The analysis examines a unique long-run data set on Swiss road spending. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Swiss Natl Bank, CH-8022 Zurich, Switzerland. CEPR, CH-8022 Zurich, Switzerland. Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Fischer, AM (reprint author), Swiss Natl Bank, CH-8022 Zurich, Switzerland. NR 7 TC 1 Z9 1 U1 0 U2 3 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD JUN PY 2003 VL 79 IS 3 BP 409 EP 415 DI 10.1016/S0165-1765(03)00031-4 PG 7 WC Economics SC Business & Economics GA 677NT UT WOS:000182815000017 ER PT J AU Sarno, L Thornton, DL AF Sarno, L Thornton, DL TI The dynamic relationship between the federal funds rate and the Treasury bill rate: An empirical investigation SO JOURNAL OF BANKING & FINANCE LA English DT Article DE interest rates; term structure; equilibrium correction; nonlinear dynamics ID TRANSITION AUTOREGRESSIVE MODELS; INTEREST-RATE MOVEMENTS; TERM STRUCTURE; MONETARY-POLICY; YIELD SPREADS; EXPECTATIONS HYPOTHESIS; COINTEGRATION VECTORS; UNIT ROOTS; MARKET; EQUILIBRIUM AB This article examines the dynamic relationship between two key US money market interest rates-the federal funds rate (FF) and the 3-month Treasury bill rate. Using daily data over the period from 1974 to 1999, we find a long-run relationship between these two rates that is remarkably stable across monetary policy regimes of interest rate and monetary aggregate targeting. Employing a nonlinear asymmetric vector equilibrium correction model, which is novel in this context, we find that most of the adjustment toward the long-run equilibrium occurs through the FF. In turn, there is strong evidence for the existence of significant asymmetries and nonlinearities in interest rate dynamics that have implications for the conventional view of interest rate behavior. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. Univ Warwick, Warwick Business Sch, Finance Grp, Coventry CV4 7AL, W Midlands, England. Ctr Econ Policy Res, London EC1V 7RR, England. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. NR 71 TC 38 Z9 38 U1 1 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD JUN PY 2003 VL 27 IS 6 BP 1079 EP 1110 DI 10.1016/S0378-4266(02)00246-7 PG 32 WC Business, Finance; Economics SC Business & Economics GA 681EW UT WOS:000183024800004 ER PT J AU Black, HA Boehm, TP DeGennaro, RP AF Black, HA Boehm, TP DeGennaro, RP TI Is there discrimination in mortgage pricing? The case of overages SO JOURNAL OF BANKING & FINANCE LA English DT Article DE overage; mortgage; discrimination; lending; race ID BANK AB Mortgage overage pricing is little understood by consumers and has received little academic scrutiny. We consider the impact of the market power of individual loan officers on overages paid by borrowers, particularly minorities. We include numerous borrower and lender characteristics unavailable previously. We find that minorities who purchase homes pay larger overages than whites, but our evidence suggests that this traces to differences in the pools of borrowers rather than to racial discrimination. We conclude that a more effective way to eliminate racial differences in overages is to increase minorities' ability to bargain rather than to enact additional anti-discrimination laws. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Univ Tennessee, Stokely Management Ctr 423, Knoxville, TN 37996 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP DeGennaro, RP (reprint author), Univ Tennessee, Stokely Management Ctr 423, Knoxville, TN 37996 USA. NR 17 TC 15 Z9 15 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 JUN PY 2003 VL 27 IS 6 BP 1139 EP 1165 DI 10.1016/S0378-4266(02)00250-9 PG 27 WC Business, Finance; Economics SC Business & Economics GA 681EW UT WOS:000183024800007 ER PT J AU Waggoner, DF Zha, T AF Waggoner, DF Zha, T TI Likelihood preserving normalization in multiple equation models SO JOURNAL OF ECONOMETRICS LA English DT Article DE normalization; zero-density hyperplane; likelihood shape AB Issues associated with normalization in the vector autoregression literature have been largely unexplored. We show that different normalization rules can have material consequences for statistical inferences of impulse responses. The correct normalization for recursive models turns out to be, in general, inappropriate for nonrecursive models. We show that inadequate normalization rules may confound various statistical and economic interpretations. We develop a general normalization rule that preserves the likelihood shape and maintains coherent economic interpretations for both recursive and nonrecursive models. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. RP Zha, T (reprint author), Fed Reserve Bank Atlanta, Dept Res, 1000 Peachtree St NE, Atlanta, GA 30309 USA. NR 20 TC 25 Z9 26 U1 0 U2 7 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD JUN PY 2003 VL 114 IS 2 BP 329 EP 347 DI 10.1016/S0304-4076(03)00087-3 PG 19 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 670VQ UT WOS:000182430200006 ER PT J AU Velde, F AF Velde, F TI Government equity and money: John Law's system of 1720 SO JOURNAL OF ECONOMIC HISTORY LA English DT Meeting Abstract C1 Fed Reserve Bank Chicago, Chicago, IL USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4221 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD JUN PY 2003 VL 63 IS 2 BP 565 EP 565 PG 1 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 699WH UT WOS:000184078600037 ER PT J AU Scherer, FM AF Scherer, FM TI Patents, citations & innovations: A window on the knowledge economy. SO JOURNAL OF ECONOMICS-ZEITSCHRIFT FUR NATIONALOKONOMIE LA English DT Book Review C1 Princeton Univ, Princeton, NJ 08544 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Scherer, FM (reprint author), Princeton Univ, Princeton, NJ 08544 USA. NR 1 TC 0 Z9 0 U1 0 U2 3 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 JUN PY 2003 VL 79 IS 2 BP 201 EP 204 DI 10.1007/s00712-003-0604-y PG 5 WC Economics SC Business & Economics GA 694MM UT WOS:000183778400006 ER PT J AU Warnock, FE AF Warnock, FE TI Exchange rate dynamics and the welfare effects of monetary policy in a two-country model with home-product bias SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE beggar-thy-neighbor; purchasing power parity; dynamic optimizing model; exchange rate overshooting ID MONOPOLISTIC COMPETITION; MONEY; MACROECONOMICS; DEMAND; PRICE AB International spillovers and exchange rate dynamics are examined in a two-country dynamic optimizing model that nests Obstfeld and Rogoff (1995) and allows for home-product bias in consumption patterns. Allowing for home bias changes the results in three ways. Wealth transfers associated with net foreign asset positions induce movements in the real exchange rate and produce large short-run and small long-run deviations from consumption-based purchasing power parity. Interest rates, both real and nominal, can differ across countries; home bias is a necessary but not sufficient condition for Dornbusch (1976) type exchange rate overshooting And the welfare effects of monetary policy depend not only on world demand but also on the expenditure-switching effect of an exchange rate depreciation; expansionary monetary policy is beggar-thy-neighbor' if individuals have strong preferences for domestic goods. Published by Elsevier Science Ltd. 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, Washington, DC 20551 USA. EM frank.warnock@frb.gov NR 31 TC 19 Z9 19 U1 1 U2 5 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD JUN PY 2003 VL 22 IS 3 BP 343 EP 363 DI 10.1016/S0261-5606(03)00011-1 PG 21 WC Business, Finance SC Business & Economics GA 684QC UT WOS:000183217200002 ER PT J AU Fisher, LA Huh, HS Tallman, EW AF Fisher, LA Huh, HS Tallman, EW TI Permanent income and transitory variation in investment and output SO JOURNAL OF MACROECONOMICS LA English DT Article DE permanent income; transitory shocks; structural VEC; exogeneity ID RUN IDENTIFYING RESTRICTIONS; LONG-RUN; COINTEGRATION; HYPOTHESIS; REALITY; PRICES; MODELS; MONEY AB We use the permanent income hypothesis as the framework to analyze a number of results from recent empirical macroeconomic research. First, we demonstrate that the "productivity" shock isolated in both the three- and six-variable models of King et al. [Am. Econ. Rev. 81 (1991) 819] depend mainly on the time-series behavior of the reduced form consumption residual. A permanent income hypothesis interpretation of this finding is that consumption fully reflects the implications of long-lived shocks for the common stochastic trend in consumption, investment and output. Further, for the three-variable model, shocks to consumption have permanent effects on the levels of the series while shocks to investment and output have only transitory effects, given that consumption is ordered first in a causal ordering. The permanent income interpretation is that shocks to productivity are changes in permanent income, and hence, are fully reflected through consumption decisions. From this perspective, consumption shocks are proxies for the changes in permanent income generated from the "productivity" shocks. The results complement the findings in Hall [J. Polit. Economy 96 (1978) 339], Campbell [Econometrica 55 (1987) 1249] and generalizes Cochrane's [Quart. J. Econ. 109 (1994) 241] analysis to a model that includes investment. (C) 2003 Elsevier Science Inc. All rights reserved. C1 Univ New S Wales, Sch Econ, Sydney, NSW 2052, Australia. Hallym Univ, Sch Econ, Chunchon 200702, Kangwon Do, South Korea. Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Fisher, LA (reprint author), Univ New S Wales, Sch Econ, Sydney, NSW 2052, Australia. NR 17 TC 1 Z9 1 U1 0 U2 3 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 2003 VL 25 IS 2 BP 149 EP 168 DI 10.1016/S0164-0704(03)00023-5 PG 20 WC Economics SC Business & Economics GA 679BR UT WOS:000182901600001 ER PT J AU Zavodny, M AF Zavodny, M TI Race, wages, and assimilation among Cuban immigrants SO POPULATION RESEARCH AND POLICY REVIEW LA English DT Article DE Cuba; immigrants; race ID UNITED-STATES; BLACK IMMIGRANTS; COHORT QUALITY; EARNINGS; MIGRATION; AMERICA; EXILES; LABOR AB This study uses data from the 1980 and 1990 Census and the 1994-2000 Current Population Survey to examine the determinants of earnings among male Cuban immigrants in the U. S. by race. Nonwhite Cuban immigrants earn about 15 percent less than whites, on average. Much of the racial wage gap is due to differences in educational attainment, age at migration, and years in the U. S., but the gap remains at almost 4 percent after controlling for such factors. Nonwhite Cuban immigrants also have lower returns to education than whites. A comparison to white, non-Hispanic U. S. natives indicates that nonwhite Cubans not only earn less initially than white Cubans on arrival in the U. S., but also do not significantly close the racial earnings gap over time. C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Zavodny, M (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St, Atlanta, GA 30309 USA. NR 37 TC 6 Z9 6 U1 0 U2 3 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0167-5923 J9 POPUL RES POLICY REV JI Popul. Res. Policy Rev. PD JUN PY 2003 VL 22 IS 3 BP 201 EP 219 DI 10.1023/A:1026025024501 PG 19 WC Demography SC Demography GA 730JM UT WOS:000185827700001 ER PT J AU Wu, T AF Wu, T TI Stylized facts on nominal term structure and business cycles: an empirical VAR study SO APPLIED ECONOMICS LA English DT Article AB This paper examines the importance of various macroeconomic shocks in explaining the movement of the term structure of nominal bond yields in the post-war USA, as well as the channels through which such macro-shocks influence the yield curve, using a structural Vector Autoregressive (VAR) model. The results show that the monetary-policy and the aggregate-supply shocks are important determinants of the nominal term structure. Moreover, the monetary-policy innovations have a large but transitory effect on the nominal bond yields, primarily by changing the slope of the yield curve, and the aggregate-supply shocks from private sector have a more persistent effect on the level of the yield curve, but have little effect on the slope of the yield curve. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Wu, T (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St, San Francisco, CA 94105 USA. NR 6 TC 11 Z9 11 U1 0 U2 3 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 MAY 20 PY 2003 VL 35 IS 8 BP 901 EP 906 DI 10.1080/0003684022000018204 PG 6 WC Economics SC Business & Economics GA 688EL UT WOS:000183420400004 ER PT J AU Baxter, M Kouparitsas, MA AF Baxter, M Kouparitsas, MA TI Trade structure, industrial structure, and international business cycles SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 115th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2003 CL WASHINGTON, D.C. SP American Economic Assoc ID GROWTH C1 Boston Univ, Boston, MA 02215 USA. Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Baxter, M (reprint author), Boston Univ, 270 Bay State Rd, Boston, MA 02215 USA. NR 11 TC 2 Z9 2 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 2003 VL 93 IS 2 BP 51 EP 56 DI 10.1257/000282803321946796 PG 6 WC Economics SC Business & Economics GA 687CC UT WOS:000183357400007 ER PT J AU Hotchkiss, JL Pitts, MM AF Hotchkiss, JL Pitts, MM TI At what level of labor-market intermittency are women penalized? SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 115th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2003 CL WASHINGTON, D.C. SP American Economic Assoc C1 Georgia State Univ, Andrew Young Sch Policy Studies, Dept Econ, Atlanta, GA 30303 USA. Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Hotchkiss, JL (reprint author), Georgia State Univ, Andrew Young Sch Policy Studies, Dept Econ, Atlanta, GA 30303 USA. NR 7 TC 4 Z9 4 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 2003 VL 93 IS 2 BP 233 EP 237 DI 10.1257/000282803321947100 PG 5 WC Economics SC Business & Economics GA 687CC UT WOS:000183357400038 ER PT J AU McGrattan, ER Prescott, EC AF McGrattan, ER Prescott, EC TI Average debt and equity returns: Puzzling? SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 115th Annual Meeting of the American-Economic-Association CY JAN 03-05, 2003 CL WASHINGTON, D.C. SP American Economic Assoc C1 Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. NBER, Cambridge, MA 02138 USA. Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. RP McGrattan, ER (reprint author), Fed Reserve Bank Minneapolis, Res Dept, 90 Hennepin Ave, Minneapolis, MN 55480 USA. NR 12 TC 37 Z9 38 U1 3 U2 11 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2003 VL 93 IS 2 BP 392 EP 397 DI 10.1257/000282803321947407 PG 6 WC Economics SC Business & Economics GA 687CC UT WOS:000183357400068 ER PT J AU Christiano, LJ Fitzgerald, TJ AF Christiano, LJ Fitzgerald, TJ TI The band pass filter SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID BUSINESS CYCLES; TIME AB We develop optimal finite-sample approximations for the band pass filter. These approximations include one-sided filters that can be used in real time. Optimal approximations depend upon the details of the time series representation that generates the data. Fortunately, for U.S. macroeconomic data, getting the details exactly right is not crucial. A simple approach, based on the generally false assumption that the data are generated by a random walk, is nearly optimal. We use the tools discussed here to document a new fact: There has been a significant shift in the money-inflation relationship before and after 1960. C1 St Olaf Coll, Fed Reserve Bank Minneapolis, Dept Econ, Northfield, MN 55057 USA. Northwestern Univ, Fed Reserve Bank Minneapolis, Evanston, IL 60208 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Fitzgerald, TJ (reprint author), St Olaf Coll, Fed Reserve Bank Minneapolis, Dept Econ, 1520 St Olaf Ave,Holland Hall 414, Northfield, MN 55057 USA. NR 30 TC 286 Z9 298 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 MAY PY 2003 VL 44 IS 2 BP 435 EP 465 DI 10.1111/1468-2354.t01-1-00076 PG 31 WC Economics SC Business & Economics GA 687DM UT WOS:000183360800003 ER PT J AU Li, WL Weinberg, J AF Li, WL Weinberg, J TI Firm-specific learning and the investment behavior of large and small firms SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID MONETARY-POLICY; EQUILIBRIUM; MONEY; INDUSTRY; PLANTS; SHOCKS; GROWTH; ENTRY; EXIT AB We examine a model of size distribution and growth of firms where firms learn about idiosyncratic productivity parameters through their production experience. Aggregate shocks, by adding noise to learning at the firm level, can produce different responses across firms. In particular, young firms, which are smaller on average than older firms and more uncertain about their productivity, can ''overreact" to aggregate shocks. Such differences across firm sizes and ages, which arise here in a model with perfect financial markets, are often attributed to financial frictions that hit small and large firms differently. C1 Fed Resserv Bank Richmond, Board Governors, Fed Reserve Syst, Richmond, VA 23261 USA. RP Weinberg, J (reprint author), Fed Resserv Bank Richmond, Board Governors, Fed Reserve Syst, POB 27622, Richmond, VA 23261 USA. NR 25 TC 2 Z9 2 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 MAY PY 2003 VL 44 IS 2 BP 599 EP 625 DI 10.1111/1468-2354.t01-1-00082 PG 27 WC Economics SC Business & Economics GA 687DM UT WOS:000183360800009 ER PT J AU Amato, JD Laubach, T AF Amato, JD Laubach, T TI Estimation and control of an optimization-based model with sticky prices and wages SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE nominal wage and price rigidity; minimum distance estimation; interest rate rules ID MONETARY-POLICY AB This paper provides estimates of an optimization-based equilibrium model with sticky prices and wages. The estimated model is used to analyse the welfare properties of various interest rate rules for conducting monetary policy. An important feature of this model is that it involves a tradeoff between the variances of price and wage inflation and the output gap. This tradeoff implies that it is desirable for the monetary authority to respond to wage inflation, in addition to price inflation, output, and past interest rates, when setting the current interest rate. The issue whether wages and prices can be indexed to steady-state inflation has important implications both for the characterization of optimal interest rate rules and interest rate volatility. In particular, optimal policy in the presence of indexation induces implausibly high steady-state inflation. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Bank Int Settlements, CH-4002 Basel, Switzerland. RP Laubach, T (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 77, Washington, DC 20551 USA. EM tlaubach@frb.gov NR 27 TC 44 Z9 44 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAY PY 2003 VL 27 IS 7 BP 1181 EP 1215 AR PII S0165-1889(02)00021-0 DI 10.1016/S0165-1889(02)00021-0 PG 35 WC Economics SC Business & Economics GA 648HJ UT WOS:000181144600002 ER PT J AU Zhou, RL AF Zhou, RL TI Does commodity money eliminate the indeterminacy of equilibrium? SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE commodity money; random-matching; indeterminacy of equilibrium ID RANDOM-MATCHING MODEL AB Previous studies have shown that a random-matching model with divisible fiat money and without constraint on agents' money inventories possesses a continuum of stationary single-price equilibria. Wallace (J. Econom. Theory 81 (1998) 223) conjectures that the indeterminacy can be eliminated by the use of commodity money. Instead, I find that in a similar random-matching model with dividend-yielding commodity money, a continuum of stationary singleprice equilibria exists when the utility of dividend is not too high. This result casts doubt on the conventional belief that the indeterminacy of monetary equilibrium is be caused only by the nominal nature of money. (C) 2003 Elsevier Science (USA). All rights reserved. C1 Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60690 USA. RP Zhou, RL (reprint author), Fed Reserve Bank Chicago, Res Dept, POB 834, Chicago, IL 60690 USA. NR 11 TC 7 Z9 7 U1 0 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD MAY PY 2003 VL 110 IS 1 BP 176 EP 190 DI 10.1016/S0022-0531(03)00007-3 PG 15 WC Economics SC Business & Economics GA 687HT UT WOS:000183371200008 ER PT J AU Stiroh, KJ AF Stiroh, KJ TI Technological innovation and economic perfonnance. SO JOURNAL OF ECONOMICS-ZEITSCHRIFT FUR NATIONALOKONOMIE LA English DT Book Review C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Stiroh, KJ (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 1 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 MAY PY 2003 VL 79 IS 1 BP 100 EP 104 DI 10.1007/s007120300020 PG 5 WC Economics SC Business & Economics GA 693UF UT WOS:000183736200008 ER PT J AU Anderson, PM Butcher, KF Levine, PB AF Anderson, PM Butcher, KF Levine, PB TI Maternal employment and overweight children SO JOURNAL OF HEALTH ECONOMICS LA English DT Article DE employment; overweight; socioeconomic status; childhood obesity; matemal employment ID CHILDHOOD OBESITY; PARENTAL OBESITY; YOUNG ADULTHOOD; ADOLESCENTS; RISK AB This paper seeks to determine whether a causal relationship exists between maternal employment and childhood weight problems. We use matched mother-child data from the National Longitudinal Survey of Youth (NLSY) and employ econometric techniques to control for observable and unobservable differences across individuals and families that may influence both children's weight and their mothers' work patterns. Our results indicate that a child is more likely to be overweight if his/her mother worked more hours per week over the child's life. Analyses by subgroups show that it is higher socioeconomic status mothers whose work intensity is particularly deleterious for their children's overweight status. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Wellesley Coll, Dept Econ, Wellesley, MA 02481 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Dartmouth Coll, Dept Econ, Hanover, NH 03755 USA. Fed Reserve Bank Chicago, Dept Res, Chicago, IL 60604 USA. RP Anderson, PM (reprint author), Wellesley Coll, Dept Econ, Wellesley, MA 02481 USA. NR 40 TC 220 Z9 221 U1 1 U2 20 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-6296 J9 J HEALTH ECON JI J. Health Econ. PD MAY PY 2003 VL 22 IS 3 BP 477 EP 504 DI 10.1016/S0167-6296(03)00022-5 PG 28 WC Economics; Health Care Sciences & Services; Health Policy & Services SC Business & Economics; Health Care Sciences & Services GA 670VV UT WOS:000182430600008 PM 12683963 ER PT J AU Engel, C Rogers, JH Rose, AK AF Engel, C Rogers, JH Rose, AK TI Empirical exchange rate models SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Editorial Material C1 Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA. RP Engel, C (reprint author), Univ Wisconsin, Dept Econ, 1180 Observ Dr, Madison, WI 53706 USA. RI Rose, Andrew/I-1578-2014 OI Rose, Andrew/0000-0003-1100-1212 NR 0 TC 3 Z9 3 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAY PY 2003 VL 60 IS 1 BP 1 EP 2 DI 10.1016/S0022-1996(02)00073-9 PG 2 WC Economics SC Business & Economics GA 674CB UT WOS:000182618100001 ER PT J AU Faust, J Rogers, JH Wright, JH AF Faust, J Rogers, JH Wright, JH TI Exchange rate forecasting: the errors we've really made SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Empirical Exchange Rate Models CY SEP 28-29, 2001 CL MADISON, WISCONSIN SP Univ Wisconsin, Ctr World Affairs & Global Econ, Univ Wisconsin Sch Business, Ctr Int Business & Econ Res DE monetary model; real time data; random walk ID REAL-TIME DATA; MONETARY FUNDAMENTALS; PREDICTABILITY; ADJUSTMENT; MODELS AB We examine the real-time forecasting performance of standard exchange rate models, using dozens of different vintages of data. Favorable evidence of long-horizon exchange rate predictability for the DM and Yen found in Mark (American Economic Review 1995;85:201-218) is present in only a two-year window of data vintages around that originally used. Approximately one-third of the improved forecasting performance over a random walk is eventually undone by data revisions. We also find the models consistently perform better using original release data than fully-revised data, and sometimes forecast better using real-time forecasts of future fundamentals instead of actual future fundamentals, contradicting a cherished presumption dating back to Meese and Rogoff (Journal of International Economics 1983;14:3-24). (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Rogers, JH (reprint author), Fed Reserve Board, Mail Stop 22, Washington, DC 20551 USA. NR 29 TC 83 Z9 85 U1 0 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 MAY PY 2003 VL 60 IS 1 BP 35 EP 59 DI 10.1016/S0022-1996(02)00058-2 PG 25 WC Economics SC Business & Economics GA 674CB UT WOS:000182618100003 ER PT J AU Yi, KM AF Yi, KM TI Barriers to riches SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Book Review ID ECONOMIC-GROWTH C1 Fed Reserve Bank New York, Int Res Dept, New York, NY 10045 USA. RP Yi, KM (reprint author), Fed Reserve Bank New York, Int Res Dept, 33 Liberty St,3rd Floor, New York, NY 10045 USA. NR 9 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAY PY 2003 VL 60 IS 1 BP 223 EP 228 DI 10.1016/S0022-1996(02)00043-0 PG 6 WC Economics SC Business & Economics GA 674CB UT WOS:000182618100011 ER PT J AU Christiano, LJ Vigfusson, RJ AF Christiano, LJ Vigfusson, RJ TI Maximum likelihood in the frequency domain: the importance of time-to-plan SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE frequency domain; time-to-build; time-to-plan; investment; business cycles; likelihood ratio; phase angle ID RATIONAL-EXPECTATIONS MODELS; BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; APPROXIMATION ERRORS; MONETARY-POLICY; SHOCKS; BUILD; SEASONALITY AB We illustrate the use of various frequency-domain tools for estimating and testing dynamic, stochastic general equilibrium models. We show how to exploit the well-known fact that the log, Gaussian density function has a linear decomposition in the frequency domain. We also propose a new resolution to the problem that the phase angle between two variables is not uniquely determined. These methods are applied to the analysis of business cycles. Our substantive findings confirm existing results in the literature, which suggest that time-to-plan in the investment technology has a potentially useful role to play in business cycle analysis. (C) 2003 Published by Elsevier Science B.V. C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. RP Vigfusson, RJ (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Mail Stop 42-B, Washington, DC 20551 USA. NR 45 TC 16 Z9 16 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2003 VL 50 IS 4 BP 789 EP 815 DI 10.1016/S0304-3932(03)00033-3 PG 27 WC Business, Finance; Economics SC Business & Economics GA 695DW UT WOS:000183816700003 ER PT J AU Peek, J Rosengren, ES Tootell, GMB AF Peek, J Rosengren, ES Tootell, GMB TI Does the federal reserve possess an exploitable informational advantage? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary policy; informational advantage; bank supervision ID MONEY SUPPLY RULE; MONETARY-POLICY; RATIONAL EXPECTATIONS; INTEREST-RATES; MODEL; DISCRETION; CONTRACTS; TARGET AB This paper provides evidence that the Federal Reserve has an informational advantage over the public that can, be exploited to improve activist monetary policy. The informational superiority does not result from the Fed having earlier access to publicly released financial data. Instead, this advantage is generated by confidential supervisory knowledge about troubled, non-publicly traded institutions. As a result, this information can remain confidential for an extended period, since these banks have neither the desire to fully disclose the extent of their financial troubles, nor the requirement to do so. The informational advantage is both statistically significant and economically important, providing a potential justification for activist monetary policy. Published by Elsevier Science B.V. C1 Fed Reserve Bank Boston, Res Dept, Boston, MA 02106 USA. Fed Reserve Bank Boston, Bank Supervis & Regulat Dept T10, Boston, MA 02106 USA. Univ Kentucky, Gatton Coll Business & Econ, Lexington, KY 40506 USA. RP Tootell, GMB (reprint author), Fed Reserve Bank Boston, Res Dept, T-8,600 Atlantic Ave, Boston, MA 02106 USA. EM geoff.tootell@bos.frb.org NR 30 TC 10 Z9 10 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2003 VL 50 IS 4 BP 817 EP 839 DI 10.1016/S0304-3932(03)00038-2 PG 23 WC Business, Finance; Economics SC Business & Economics GA 695DW UT WOS:000183816700004 ER PT J AU De Fiore, F Teles, P AF De Fiore, F Teles, P TI The optimal mix of taxes on money, consumption and income SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Friedman rule; inflation tax; transactions technology ID OPTIMAL INFLATION TAX; FRIEDMAN RULE; DEMAND; TAXATION; QUANTITY; FINANCE AB We determine the optimal combination of taxes on money, consumption and income in transactions technology models where exogenous government expenditures must be financed with distortionary taxes. We show that the optimal policy does not tax money, regardless of whether the government can use as alternative fiscal instruments an income tax, a consumption tax, or the two taxes jointly. These results are at odds with recent literature. We argue that the reason for this divergence is an inappropriate specification of the transactions technology adopted in the literature. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. European Cent Bank, Directorate Gen Res, D-60311 Frankfurt, Germany. Ctr Econ Policy Res, London, England. Banco Portugal, Lisbon, Portugal. Univ Catolica Portuguesa, Lisbon, Portugal. RP Teles, P (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 S LaSalle St, Chicago, IL 60604 USA. RI nipe, cef/A-4218-2010; OI Teles, Pedro/0000-0002-1352-4917 NR 21 TC 5 Z9 5 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2003 VL 50 IS 4 BP 871 EP 887 DI 10.1016/S0304-3932(03)00034-5 PG 17 WC Business, Finance; Economics SC Business & Economics GA 695DW UT WOS:000183816700006 ER PT J AU Duarte, M AF Duarte, M TI Why don't macroeconomic quantities respond to exchange rate variability? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE exchange rate regime; international business cycle; nominal rigidities; pricing to market; incomplete asset markets ID BUSINESS CYCLES; RATE DYNAMICS; POLICY; MODELS AB Empirical studies comparing fixed and flexible exchange rate regimes document that countries moving from pegged to floating systems experience a systematic and dramatic rise in the variability of the real exchange rate. However, there is very little evidence that the behavior of other macroeconomic variables varies systematically with the exchange rate regime. This paper seeks to resolve this puzzle: We examine the effects of the exchange rate regime in a dynamic general equilibrium model with nominal goods prices set in the buyer's currency and incomplete asset markets. The model predicts a sharp increase in the volatility of the real exchange rate when moving from pegged to floating rates, while this pattern is not observed for other. variables. The model also predicts a higher commovement of variables across countries under fixed rather than under flexible rates, a prediction that accords with recent empirical studies. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. RP Duarte, M (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd St, Richmond, VA 23219 USA. RI nipe, cef/A-4218-2010 NR 28 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 MAY PY 2003 VL 50 IS 4 BP 889 EP 913 DI 10.1016/S0304-3932(03)00035-7 PG 25 WC Business, Finance; Economics SC Business & Economics GA 695DW UT WOS:000183816700007 ER PT J AU Erceg, CJ Levin, AT AF Erceg, CJ Levin, AT TI Imperfect credibility and inflation persistence SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary policy; disinflation; sacrifice ratio; signal extraction ID MONETARY-POLICY; RATIONAL-EXPECTATIONS; DISINFLATION; MODELS; WAGE; CONTRACTS; PRICES AB In this paper, we formulate a dynamic general equilibrium model with staggered nominal contracts, in which households and firms use optimal filtering to disentangle persistent and transitory shifts in the monetary policy rule. The calibrated model accounts quite well for the dynamics of output and inflation during the Volcker disinflation, and implies a sacrifice ratio very close to the estimated value. Our approach indicates that inflation persistence and substantial costs of disinflation can be generated in an optimizing-agent framework, without relaxing the assumption of rational expectations or relying on arbitrary modifications to the aggregate supply relation. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Levin, AT (reprint author), Fed Reserve Board, 20th & C St NW,Stop 70, Washington, DC 20551 USA. EM andrew.levin@frb.gov NR 67 TC 119 Z9 120 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 MAY PY 2003 VL 50 IS 4 BP 915 EP 944 DI 10.1016/S0304-3932(03)00036-9 PG 30 WC Business, Finance; Economics SC Business & Economics GA 695DW UT WOS:000183816700008 ER PT J AU Ono, Y AF Ono, Y TI Outsourcing business services and the role of central administrative offices SO JOURNAL OF URBAN ECONOMICS LA English DT Article ID CITY AB In this paper, I study whether there is any evidence that the market scale surrounding a central administrative office (CAO) has any relation to a firm's cost-effectiveness in procuring business services. By linking plant-level data from the 1992 Annual Survey of Manufactures with CAO information from the Survey of Auxiliary Establishments, I examine manufacturing plants' practice of outsourcing services in relation to the size of the local service market surrounding the plant and that surrounding the plant's CAO. I found evidence which suggests that the greater the size of local market surrounding a CAO, the higher the plant's probability of relying on the CAO for outsourcing advertising, bookkeeping and accounting, and legal services. (C) 2003 Elsevier Science (USA). All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Ono, Y (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle, Chicago, IL 60604 USA. NR 28 TC 32 Z9 32 U1 1 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAY PY 2003 VL 53 IS 3 BP 377 EP 395 DI 10.1016/S0094-1190(03)00006-8 PG 19 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 684VP UT WOS:000183227500004 ER PT J AU Rigobon, R Sack, B AF Rigobon, R Sack, B TI Measuring the reaction of monetary policy to the stock market SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article AB Movements in the stock market can have a significant impact on the macroeconomy and are therefore likely to be an important factor in the determination of monetary policy. However, little is known about the magnitude of the Federal Reserve's reaction to the stock market, in part because the simultaneous response of equity prices to interest rates makes it difficult to estimate. This paper uses an identification technique based on the heteroskedasticity of stock market returns to measure the reaction of monetary policy to the stock market. We find a significant policy response, with a 5 percent rise (fall) in the S&P 500 index increasing the likelihood of a 25 basis point tightening (easing) by about a half. C1 MIT, Alfred P Sloan Sch Management, Cambridge, MA 02139 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Rigobon, R (reprint author), MIT, Alfred P Sloan Sch Management, Cambridge, MA 02139 USA. NR 14 TC 149 Z9 151 U1 1 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 MAY PY 2003 VL 118 IS 2 BP 639 EP 669 DI 10.1162/003355303321675473 PG 31 WC Economics SC Business & Economics GA 679FM UT WOS:000182910100007 ER PT J AU Wright, JH AF Wright, JH TI Detecting lack of identification in GMM SO ECONOMETRIC THEORY LA English DT Article ID ASSET PRICING-MODELS; MOMENTS ESTIMATORS; GENERALIZED-METHOD; SAMPLE PROPERTIES; TESTS AB This paper proposes a test of the null of underidentification in the nonlinear-in-parameters generalized method of moments model. It can be thought of as a nonlinear analog of the usual linear instrumental variables first-stage F-test. It can be used as a diagnostic to warn a researcher when conventional asymptotic theory is unlikely to work well. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Wright, JH (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM jonathan.h.wright@frb.gov NR 13 TC 20 Z9 20 U1 0 U2 3 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4211 USA SN 0266-4666 J9 ECONOMET THEOR JI Economet. Theory PD APR PY 2003 VL 19 IS 2 BP 322 EP 330 DI 10.1017/S0266466603192055 PG 9 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 658LP UT WOS:000181722700006 ER PT J AU Tallman, EW Tang, DP Wang, P AF Tallman, EW Tang, DP Wang, P TI Nominal and real disturbances and money demand in Chinese hyperinflation SO ECONOMIC INQUIRY LA English DT Article ID RELATIVE PRICE; INFLATION; ECONOMY AB This article reexamines the dynamics of hyperinflation by allowing variability in the relative price of capital goods in units of consumption goods that reflects interactions between the real and monetary sectors. The theory generates empirically testable implications that suggest expanding the standard Caganian money demand function to include both anticipated inflation and relative price effects in a nonlinear fashion. Employing data from the post-WWII Chinese hyperinflationary episode, the empirical findings suggest that conventional econometric investigations of money demand during hyperinflation overlook important nonlinear interactions between real and monetary activities and, hence, underestimate the welfare costs of hyperinflation. (JEL E31, E41). C1 Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. Hong Kong Univ Sci & Technol, Div Social Sci, Kowloon, Hong Kong, Peoples R China. Vanderbilt Univ, Natl Bur Econ Res, Dept Econ, Nashville, TN 37235 USA. RP Tallman, EW (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St, Atlanta, GA 30309 USA. NR 20 TC 4 Z9 4 U1 0 U2 3 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 APR PY 2003 VL 41 IS 2 BP 234 EP 249 DI 10.1093/ei/cbg004 PG 16 WC Economics SC Business & Economics GA 666BD UT WOS:000182155000004 ER PT J AU Zavodny, M AF Zavodny, M TI Technology and job separation among young adults, 1980-98 SO ECONOMIC INQUIRY LA English DT Article ID UNITED-STATES; WAGE STRUCTURE; TRENDS; STABILITY; WORKERS; LABOR; INSTABILITY; COMPUTERS AB This analysis uses data from the National Longitudinal Survey of Youth during the period 1980-98 to examine the relationship between the likelihood that a worker remains at the same job for two years and several measures of technology usage at the industry level. The relationship between job separation and technology usage is generally negative. Quits (not involuntary job loss) generally account for the negative relationship between job separation and technology. Some results suggest that less educated workers are more likely than college graduates to lose jobs in technologyintensive industries. (JEL J63, O33). C1 Fed Reserve Bank Atlanta, Atlanta, GA 30306 USA. Occidental Coll, Dept Econ, Los Angeles, CA 90041 USA. RP Zavodny, M (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA 30306 USA. NR 29 TC 4 Z9 4 U1 0 U2 4 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 APR PY 2003 VL 41 IS 2 BP 264 EP 278 DI 10.1093/ei/cbg006 PG 15 WC Economics SC Business & Economics GA 666BD UT WOS:000182155000006 ER PT J AU Kamin, SB Klau, M AF Kamin, SB Klau, M TI A multi-country comparison of the linkages between inflation and exchange rate competitiveness SO INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS LA English DT Article DE inflation; exchange rates AB This paper compares the response of inflation to changes in exchange rate competitiveness in various regions of the world. The paper first presents evidence that an empirical relationship between the rate of inflation and the level of the real exchange rate holds for a large set of countries. It then demonstrates that the responsiveness of inflation to the real exchange rate has been much higher in Latin America than in Asian or industrialized countries. This difference in inflationary responsiveness is not fully explained either by the prior history of inflation or by the extent of openness to foreign trade. Copyright (C) 2003 John Wiley Sons, Ltd. C1 Fed Reserve Board, Washington, DC 20551 USA. Bank Int Settlements, Basel, Switzerland. RP Kamin, SB (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 17 TC 4 Z9 5 U1 0 U2 3 PU JOHN WILEY & SONS LTD PI W SUSSEX PA BAFFINS LANE CHICHESTER, W SUSSEX PO19 1UD, ENGLAND SN 1076-9307 J9 INT J FINANC ECON JI Int. J. Financ. Econ. PD APR PY 2003 VL 8 IS 2 BP 167 EP 184 DI 10.1002/ijfe.205 PG 18 WC Business, Finance SC Business & Economics GA 669LL UT WOS:000182352700005 ER PT J AU Bullard, J Smith, BD AF Bullard, J Smith, BD TI Intermediaries and payments instruments SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE private money; banknotes; intermediation; monetary theory; endogenous volatility ID NATIONAL-BANKING-SYSTEM; INTEREST-RATES; MONEY; EXCHANGE AB We study an economy in which intermediaries have incentives to issue circulating liabilities as part of an equilibrium. We show that, with arbitrarily small transactions costs, only the liabilities of intermediaries will circulate, and not those of other private sector agents. Therefore, our model connects intermediation activity with the issuance of payments media, a connection that has not been made in earlier literature. We use our model to suggest a resolution of the "banknote underissue puzzle" of Cagan (in: D. Carson (Ed.), Banking and Monetary Studies, Richard D. Irwin Publishing, Homewood, IL, 1963). (C) 2003 Elsevier Science (USA). All rights reserved. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. Univ Texas, Dept Econ, Austin, TX 78712 USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, Res Dept, 411 Locust St, St Louis, MO 63102 USA. RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 16 TC 8 Z9 8 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 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD APR PY 2003 VL 109 IS 2 BP 172 EP 197 DI 10.1016/S0022-0531(03)00013-9 PG 26 WC Economics SC Business & Economics GA 678QB UT WOS:000182877000003 ER PT J AU Bech, ML Garratt, R AF Bech, ML Garratt, R TI The intraday liquidity management game SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE payments; real-time gross settlement; liquidity; prisoner's dilemma; stag hunt ID GROSS SETTLEMENT SYSTEMS AB We use a game theoretical framework to analyze the intraday behavior of banks with respect to settlement of interbank claims in a real-time gross settlement setting. The game played by banks depends upon the intraday credit policy of the central bank and it encompasses two well-known game theoretical paradigms: the prisoner's dilemma and the stag hunt. The former arises in a collateralized credit regime where banks have an incentive to postpone payments when daylight liquidity is costly, an outcome that is socially inefficient. The latter arises in a priced credit regime where the postponement of payments can be socially efficient. Banks are risk neutral, but we show that most of the results are unaffected by risk aversion. (C) 2003 Elsevier Science (USA). All rights reserved. C1 Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Garratt, R (reprint author), Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA. NR 21 TC 41 Z9 43 U1 0 U2 9 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD APR PY 2003 VL 109 IS 2 BP 198 EP 219 DI 10.1016/S0022-0531(03)00016-4 PG 22 WC Economics SC Business & Economics GA 678QB UT WOS:000182877000004 ER PT J AU Ennis, HM Keister, T AF Ennis, HM Keister, T TI Economic growth, liquidity, and bank runs SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE banking panics; deposit contracts; capital formation; endogenous growth; sunspot equilibrium; equilibrium selection ID PANICS AB We construct an endogenous growth model in which bank runs occur with positive probability in equilibrium. In this setting, a bank run has a permanent effect on the levels of the capital stock and of output. In addition, the possibility of a run changes the portfolio choices of depositors and of banks, and thereby affects the long-run growth rate. These facts imply that both the occurrence of a run and the mere possibility of runs in a given period have a large impact on all future periods. A bank run in our model is triggered by sunspots, and we consider two different equilibrium selection rules. In the first, a run occurs with a fixed, exogenous probability, while in the second the probability of a run is influenced by banks' portfolio choices. We show that when the choices of an individual bank affect the probability of a run on that bank, the economy both grows faster and experiences fewer runs. (C) 2003 Elsevier Science (USA). All rights reserved. C1 ITAM, Ctr Invest Econ, Mexico City 10700, DF, Mexico. Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. RP Keister, T (reprint author), ITAM, Ctr Invest Econ, Av Camino Santa Teresa 930, Mexico City 10700, DF, Mexico. RI Keister, Todd/B-5951-2008 NR 26 TC 23 Z9 23 U1 2 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD APR PY 2003 VL 109 IS 2 BP 220 EP 245 DI 10.1016/S0022-0531(03)00014-0 PG 26 WC Economics SC Business & Economics GA 678QB UT WOS:000182877000005 ER PT J AU Gunther, JW Moore, RR AF Gunther, JW Moore, RR TI Loss underreporting and the auditing role of bank exams SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article; Proceedings Paper CT Conference on the Impact of Economic Slowdowns on Financial Institutions and their Regulators CY 2002 CL BOSTON, MASSACHUSETTS DE bank exams; auditing; accounting restatements ID INTERNATIONAL DEBT CRISIS; SECURITY RETURNS; INFORMATION; CONTAGION AB Using a unique set of banking data containing both originally-reported and subsequently-revised financial variables, we study accounting restatements. Our results indicate the worse a bank's financial condition, the more likely it is for originally-reported data to understate financial losses. Also, we find supervisory exams have an important role in uncovering financial problems and prompting accounting restatements to correct loss underreporting. While revisions are directly related to financial difficulties, exam-based restatements are evident at even the earliest stages of deterioration, indicating substantial accounting misstatements-at both banks and other types of companies-can occur well outside severe business circumstances. (C) 2003 Elsevier Science (USA). All rights reserved. C1 Fed Reserve Bank Dallas, Financial Ind Studies Dept, Dallas, TX 75201 USA. RP Gunther, JW (reprint author), Fed Reserve Bank Dallas, Financial Ind Studies Dept, 2200 N Pearl St, Dallas, TX 75201 USA. NR 22 TC 14 Z9 14 U1 0 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD APR PY 2003 VL 12 IS 2 BP 153 EP 177 DI 10.1016/S1042-9573(03)00015-9 PG 25 WC Business, Finance SC Business & Economics GA 695DR UT WOS:000183816300004 ER PT J AU Kamin, SB Ericsson, NR AF Kamin, SB Ericsson, NR TI Dollarization in post-hyperinflationary Argentina SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE Argentina; broad money; cointegration; currency substitution; dollarization; error correction; hyperinflation; irreversibility; money demand; ratchet effect ID CURRENCY SUBSTITUTION; DEVELOPING-COUNTRIES; LATIN-AMERICA; DEMAND; MEXICO; MONEY; MODEL; RISK AB This paper analyzes the continued dollarization of the Argentine economy, which experienced a rapid decline in inflation following its hyperinflations of the 1980s. First, a measure of dollar currency circulating in Argentina is developed, thereby improving upon previous studies of dollarization and currency substitution that focused on dollar deposit holdings only. Second, cointegration analysis of peso money demand in Argentina finds a negative 'ratchet effect' from inflation. The reduction in peso money demand attributable to the ratchet mirrors the estimated stock of all dollar assets held domestically by Argentine residents, consistent with the hypothesis of irreversible dollarization. Published by Elsevier Science Ltd. C1 Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Ericsson, NR (reprint author), Fed Reserve Board, Div Int Finance, Stop 20,2000 C St, Washington, DC 20551 USA. NR 52 TC 13 Z9 14 U1 1 U2 11 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 2003 VL 22 IS 2 BP 185 EP 211 DI 10.1016/S0261-5606(02)00103-1 PG 27 WC Business, Finance SC Business & Economics GA 667CQ UT WOS:000182213600002 ER PT J AU Neely, CJ Weller, PA AF Neely, CJ Weller, PA TI Intraday technical trading in the foreign exchange market SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE technical analysis; trading rule; genetic programming; exchange rate; high frequency ID VOLATILITY; RATES; RULES AB This paper examines the out-of-sample performance of intraday technical trading strategies selected using two methodologies, a genetic program and an optimized linear forecasting model. When realistic transaction costs and trading hours are taken into account, we find no evidence of excess returns to the trading rules derived with either methodology. Thus, our results are consistent with market efficiency. We do find, however, that the trading rules discover some remarkably stable patterns in the data. (C) 2003 Elsevier Science Ltd. All rights reserved. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. Univ Iowa, Dept Finance, Henry B Tippie Coll Business Adm, Iowa City, IA 52242 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. RI Neely, Christopher/D-3636-2012; Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 25 TC 38 Z9 38 U1 1 U2 7 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD APR PY 2003 VL 22 IS 2 BP 223 EP 237 DI 10.1016/S0261-5606(02)00101-8 PG 15 WC Business, Finance SC Business & Economics GA 667CQ UT WOS:000182213600004 ER PT J AU Dotsey, M Hornstein, A AF Dotsey, M Hornstein, A TI Should a monetary policymaker look at money? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Monetary Policy Under Incomplete Information CY OCT 12-DEC 14, 2000 CL GERZENSEE, SWITZERLAND SP Swiss National Bank, Study Ctr Gerzensee DE time-consistent monetary policy; asymmetric incomplete information; sticky prices AB This paper examines whether monetary indicators are useful in implementing optimal discretionary monetary policy when the policymaker has incomplete information about the environment. We find that money does not contain useful information for the policymaker, if we calibrate the model to the U.S. economy. If money demand were to be appreciably less variable, observations on money could be useful in response to productivity shocks but would be harmful in response to money-demand shocks. We provide an incomplete information example where equilibrium welfare declines when the money-demand volatility decreases. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Hornstein, A (reprint author), Fed Reserve Bank Richmond, Res Dept, POB 27622, Richmond, VA 23261 USA. EM andreas.hornstein@rich.frb.org NR 24 TC 15 Z9 15 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2003 VL 50 IS 3 BP 547 EP 579 DI 10.1016/S0304-3932(03)00025-4 PG 33 WC Business, Finance; Economics SC Business & Economics GA 692GZ UT WOS:000183654300004 ER PT J AU Orphanides, A AF Orphanides, A TI Monetary policy evaluation with noisy information SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Monetary Policy Under Incomplete Information CY OCT 12-DEC 14, 2000 CL GERZENSEE, SWITZERLAND SP Swiss National Bank, Study Ctr Gerzensee DE policy evaluation; Taylor rule; optimal control; observation noise; inflation targeting; natural growth targeting ID REAL-TIME; RULES AB This study investigates the implications of noisy information regarding the measurement of economic activity for the evaluation of monetary policy. Using a simple model of the U.S. economy, I show that failing to account for the actual level of information noise in the historical data provides a seriously distorted picture of feasible macroeconomic outcomes and produces inefficient policy rules. Naive adoption of policies identified as efficient when this difficulty is ignored results in macroeconomic performance worse than actual experience. When the noise content of the data is properly taken into account, policy reactions are cautious and less sensitive to the apparent imbalances in the unfiltered data. The resulting policy prescriptions reflect the recognition that excessively activist policy can increase rather than decrease economic instability. C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Orphanides, A (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. NR 50 TC 82 Z9 84 U1 4 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2003 VL 50 IS 3 BP 605 EP 631 DI 10.1016/S0304-3932(03)00027-8 PG 27 WC Business, Finance; Economics SC Business & Economics GA 692GZ UT WOS:000183654300006 ER PT J AU Orphanides, A AF Orphanides, A TI The quest for prosperity without inflation SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Monetary Policy Under Incomplete Information CY OCT 12-DEC 14, 2000 CL GERZENSEE, SWITZERLAND SP Swiss National Bank, Study Ctr Gerzensee DE great inflation; Arthur Burns; FOMC; activist monetary policy; Taylor rule; prudent policy rule; real-time data; potential output; full employment ID MONETARY-POLICY RULES; REAL-TIME AB In recent years, activist monetary policy rules responding to inflation and the level of economic activity have been advanced as a means of achieving effective output stabilization without inflation. Advocates of such policies suggest that their flexibility may yield substantial stabilization benefits while avoiding the excesses of overzealous discretionary fine-tuning such as is thought to characterize the experience of the 1960s and 1970s. In this study I present evidence suggesting that these conclusions are misguided. Using an estimated model, I show that when informational limitations are properly accounted for, activist policies would not have averted the Great Inflation but instead would have resulted in worse macroeconomic performance than the actual historical experience. The problem can be attributed, in large part, to the counterproductive reliance of these policies on the output gap. The analysis suggests that the dismal economic outcomes of the Great Inflation may have resulted from an unfortunate pursuit of activist policies in the face of bad measurement, specifically, overoptimistic assessments of the output gap associated with the productivity slowdown of the late 1960s and early 1970s. C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Orphanides, A (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. NR 65 TC 103 Z9 103 U1 0 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2003 VL 50 IS 3 BP 633 EP 663 DI 10.1016/S0304-3932(03)00028-X PG 31 WC Business, Finance; Economics SC Business & Economics GA 692GZ UT WOS:000183654300007 ER PT J AU Berger, AN AF Berger, AN TI The economic effects of technological progress: Evidence from the banking industry SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Review ID SCALE EFFICIENCY; COMPETITIVE VIABILITY; FINANCIAL INNOVATIONS; DEPOSIT INSURANCE; HOLDING COMPANIES; TECHNICAL CHANGE; PROFIT FUNCTION; UNITED-STATES; US BANKING; RISK AB This paper examines technological progress and its effects in the banking industry. Banks are intensive users of both IT and financial technologies, and have a wealth of data available that may be helpful for the general understanding of the effects of technological change. The research suggests improvements in costs and lending capacity due to improvements in "back-office" technologies, as well as consumer benefits from improved "front-office" technologies. The research also suggests significant overall productivity increases in terms of improved quality and variety of banking services. In addition, the research indicates that technological progress likely helped facilitate consolidation of the industry. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 105 TC 94 Z9 94 U1 6 U2 12 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 2003 VL 35 IS 2 BP 141 EP 176 DI 10.1353/mcb.2003.0009 PG 36 WC Business, Finance; Economics SC Business & Economics GA 661BU UT WOS:000181872000001 ER PT J AU Rolnick, AJ Weber, WE AF Rolnick, AJ Weber, WE TI The big problem of small change SO JOURNAL OF POLITICAL ECONOMY LA English DT Book Review C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. RP Rolnick, AJ (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 7 TC 0 Z9 0 U1 0 U2 4 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD APR PY 2003 VL 111 IS 2 BP 459 EP 463 DI 10.1086/367685 PG 5 WC Economics SC Business & Economics GA 652LC UT WOS:000181379800007 ER PT J AU Bottoms, BL Nysse-Carris, KL Harris, T Tyda, K AF Bottoms, BL Nysse-Carris, KL Harris, T Tyda, K TI Jurors' perceptions of adolescent sexual assault victims who have intellectual disabilities SO LAW AND HUMAN BEHAVIOR LA English DT Article DE eyewitness testimony; children; adolescents; child sexual abuse; intellectual disability; juror decision making ID MENTAL-RETARDATION; CHILDRENS CREDIBILITY; EYEWITNESS TESTIMONY; HANDICAPPED-CHILDREN; JURY SIMULATIONS; ABUSE TRIAL; ATTITUDES; WITNESSES; ADULTS; IMPACT AB Children and adolescents with intellectual disabilities are especially likely to be sexually abused. Even so, their claims are not likely to be heard in court, possibly because people assume that jurors will not believe them. We tested this assumption in a mock-trial study in which 160 men and women watched videotaped excerpts from an actual trial. As predicted, when the 16-year-old sexual assault victim was portrayed as "mildly mentally retarded" instead of as "having average intelligence," jurors were more likely to vote guilty and had more confidence in the defendant's guilt; considered the victim to be more credible and the defendant to be less credible as witnesses; and rated the victim as more honest, less capable of fabricating the sexual abuse accusation, and less likely to have fabricated the sexual abuse accusation. Men and women were affected similarly by the disability manipulation, but women were generally more pro-prosecution in their case judgments and perceptions than were men. Finally, jurors who had more liberal views toward persons with disabilities were more likely than other jurors to make pro-prosecution judgments on measures of guilt. Implications for psychological theory and the law are discussed. C1 Univ Illinois, Dept Psychol MC 285, Chicago, IL 60607 USA. Univ Chicago, Natl Opin Res Ctr, Chicago, IL 60637 USA. Fed Reserve Bank Chicago, Chicago, IL USA. River Oak Ctr Children, Sacramento, CA USA. RP Bottoms, BL (reprint author), Univ Illinois, Dept Psychol MC 285, 1007 W Harrison St, Chicago, IL 60607 USA. NR 82 TC 26 Z9 26 U1 2 U2 8 PU KLUWER ACADEMIC/PLENUM PUBL PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0147-7307 J9 LAW HUMAN BEHAV JI Law Hum. Behav. PD APR PY 2003 VL 27 IS 2 BP 205 EP 227 DI 10.1023/A:1022551314668 PG 23 WC Law; Psychology, Social SC Government & Law; Psychology GA 649JP UT WOS:000181204900006 PM 12733422 ER PT J AU Carlstrom, CT Fuerst, TS AF Carlstrom, CT Fuerst, TS TI Money growth rules and price level determinacy SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article ID IN-ADVANCE ECONOMY; MONETARY ECONOMY; UTILITY-FUNCTION; MODEL; EQUILIBRIA; DYNAMICS; POLICY AB Do exogenous money growth rules produce price level determinacy? This is a classic topic in monetary theory. This paper contributes to this literature by examining the effect of money demand timing. The paper demonstrates how conditions for determinacy vary depending upon whether the theoretical model uses "cash-in-advance" timing or "cash-when-I'm-done" timing. This issue is addressed in an endowment economy and a standard production economy. (C) 2003 Elsevier Science (USA). 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), Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. NR 21 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 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2003 VL 6 IS 2 BP 263 EP 275 DI 10.1016/S1094-2025(03)00010-3 PG 13 WC Economics SC Business & Economics GA 674JH UT WOS:000182633300001 ER PT J AU Kamstra, MJ Kramer, LA Levi, MD AF Kamstra, MJ Kramer, LA Levi, MD TI Winter blues: A SAD stock market cycle SO AMERICAN ECONOMIC REVIEW LA English DT Article ID SEASONAL AFFECTIVE-DISORDER; SENSATION-SEEKING; DEPRESSION; VOLATILITY; JANUARY; BEHAVIOR; RETURN; MOOD; HETEROSKEDASTICITY; ANTARCTICA C1 Atlanta Fed Reserve Bank, Atlanta, GA 30309 USA. Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada. Univ British Columbia, Fac Commerce & Business Adm, Vancouver, BC V6T 1Z2, Canada. RP Kamstra, MJ (reprint author), Atlanta Fed Reserve Bank, 1000 Peachtree St NE, Atlanta, GA 30309 USA. RI Kramer, Lisa/H-9079-2012 NR 58 TC 168 Z9 171 U1 7 U2 34 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 2003 VL 93 IS 1 BP 324 EP 343 DI 10.1257/000282803321455322 PG 20 WC Economics SC Business & Economics GA 663FB UT WOS:000181994600020 ER PT J AU Bernheim, BD Forni, L Gokhale, J Kotlikoff, LJ AF Bernheim, BD Forni, L Gokhale, J Kotlikoff, LJ TI The mismatch between life insurance holdings and financial vulnerabilities: Evidence from the health and retirement study SO AMERICAN ECONOMIC REVIEW LA English DT Article ID ANNUITIES C1 Stanford Univ, Dept Econ, Stanford, CA 94305 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Bank Italy, I-00184 Rome, Italy. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. Boston Univ, Dept Econ, Boston, MA 02215 USA. RP Bernheim, BD (reprint author), Stanford Univ, Dept Econ, Stanford, CA 94305 USA. EM bernheim@leland.stanford.edu; Forni.Lorenzo@INSEDIA.InterBusiness.IT; ajgokhale@stratos.net; kotlikof@bu.edu NR 21 TC 23 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 MAR PY 2003 VL 93 IS 1 BP 354 EP 365 DI 10.1257/000282803321455340 PG 12 WC Economics SC Business & Economics GA 663FB UT WOS:000181994600022 ER PT J AU Dennis, R AF Dennis, R TI Exploring the role of the real exchange rate in Australian monetary policy SO ECONOMIC RECORD LA English DT Article ID INFLATION; ECONOMY; MODEL AB An important issue in small open-economies is whether policymakers should respond to exchange rate movements when they formulate monetary policy. Micro-founded models tend to suggest that there is little to be gained from responding to exchange rate movements, and the literature has largely concluded that such a response is unnecessary, or even undesirable. This paper examines this issue using an estimated model of the Australian economy. In contrast to micro-founded models, according to this model policymakers should allow for movements in the real exchange rate and the terms-of-trade when they set interest rates. Further, taking real exchange rate movements into account appears even more important with price. level targeting than with inflation targeting. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Dennis, R (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, Mail Stop 1130,101 Market St, San Francisco, CA 94105 USA. EM Richard.Dennis@sf.frb.org NR 39 TC 10 Z9 11 U1 0 U2 4 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0013-0249 J9 ECON REC JI Econ. Rec. PD MAR PY 2003 VL 79 IS 244 BP 20 EP 38 DI 10.1111/1475-4932.00076 PG 19 WC Economics SC Business & Economics GA 663XN UT WOS:000182032300002 ER PT J AU Dolmas, J AF Dolmas, J TI A note on the potential pitfalls in estimating a 'wealth effect' on consumption from aggregate data SO ECONOMICS LETTERS LA English DT Article DE consumption; wealth effect AB This paper illustrates, by means of a simple equilibrium example, the problems in estimating a 'wealth effect' on consumption using only aggregate data on consumption and wealth. While the example echoes criticisms that date back to early work by the Cowles Commission, a spate of recent papers on this topic suggest that the lessons from that earlier literature have not been learned. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Res Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Dolmas, J (reprint author), Fed Res Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. NR 6 TC 1 Z9 1 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 MAR PY 2003 VL 78 IS 3 BP 437 EP 441 AR PII S0165-1765(02)00249-5 DI 10.1016/S0165-1765(02)00249-5 PG 5 WC Economics SC Business & Economics GA 643HQ UT WOS:000180856200021 ER PT J AU Longhofer, SD Santos, JAC AF Longhofer, SD Santos, JAC TI The paradox of priority SO FINANCIAL MANAGEMENT LA English DT Article ID TRADE CREDIT; IMPERFECT INFORMATION; MULTIPLE INVESTORS; DEBT CONTRACTS; MARKETS; SENIORITY; LIQUIDATION; ASYMMETRY; DESIGN AB The ubiquity of bank seniority is now a widely accepted fact in the academic literature. At the same time, trade creditors are sometimes granted a purchase money security interest in the materials or equipment they provide the firm. These two conflicting facts present a puzzle: Why would banks willingly give up a valuable priority claim on the firm, but only with respect to a subset of the firms assets? We propose a resolution to this paradox of priority by arguing that trade creditors are better able to liquidate the materials they supply to a firm. When trade creditors have a security interest in these assets, their claims are state-contingent, and therefore dependent on the value of the assets pledged as collateral. ;Surprisingly, this ability of trade creditors to more effciently liquidate the materials they supply to afirm also makes it desirable to subordinate the non-collateralized portion of their claims. Doing so increases the face value of a trade creditor's claim for a given level of borrowing, thereby increasing the "liquidation bang" from each trade credit buck. This combined priority structure maximizes social welfare by reducing the firms overall cost of funding. C1 Wichita State Univ, Wichita, KS 67260 USA. Fed Reserve Bank New York, New York, NY USA. RP Longhofer, SD (reprint author), Wichita State Univ, Wichita, KS 67260 USA. RI Santos, Joao/B-6135-2009; nipe, cef/A-4218-2010 NR 41 TC 15 Z9 15 U1 1 U2 7 PU FINANCIAL MANAGEMENT ASSOC PI TAMPA PA UNIV SOUTH FLORIDA, COLL BUSINESS ADMINISTRATION, 4202 E FOWLER, TAMPA, FL 33620 USA SN 0046-3892 J9 FINANC MANAGE JI Financ. Manage. PD SPR PY 2003 VL 32 IS 1 BP 69 EP 81 DI 10.2307/3666204 PG 13 WC Business, Finance SC Business & Economics GA 654DG UT WOS:000181478200003 ER PT J AU So, KC Tang, C Zavala, R AF So, KC Tang, C Zavala, R TI Models for improving team productivity at the Federal Reserve Bank SO INTERFACES LA English DT Article DE organizational studies : productivity; financial institutions : banks AB To compete with other check-processing services, the Federal Reserve Bank (FRB) needs new mechanisms for providing low-cost, high-quality service to its customers. Specifically, the FRB must have the right supply of workers at the right time to handle uncertain check arrivals and complete processing them on time. We developed one deterministic optimization model and one simulation model that are valuable for managing teams. The first model, corroborated by a pilot study, confirms that the FRB can achieve higher productivity by changing from a serial-line configuration to a team structure. The second model enables managers to configure different teams and their work schedules effectively. The FRB in Los Angeles used these two models as a planning tool in reconfiguring its check-processing unit in 2000. Implementing these two models at the Los Angeles branch of the FRB saves $1 million annually and increases productivity by 24.3 percent. C1 Univ Calif Irvine, Grad Sch Management, Irvine, CA 92697 USA. Univ Calif Los Angeles, Anderson Sch Management, Los Angeles, CA 90095 USA. Fed Reserve Bank, Los Angeles, CA 90015 USA. RP So, KC (reprint author), Univ Calif Irvine, Grad Sch Management, Irvine, CA 92697 USA. OI tang, christopher/0000-0001-9597-7620 NR 7 TC 3 Z9 3 U1 0 U2 2 PU INST OPERATIONS RESEARCH MANAGEMENT SCIENCES PI LINTHICUM HTS PA 901 ELKRIDGE LANDING RD, STE 400, LINTHICUM HTS, MD 21090-2909 USA SN 0092-2102 J9 INTERFACES JI Interfaces PD MAR-APR PY 2003 VL 33 IS 2 BP 25 EP 36 DI 10.1287/inte.33.2.25.14471 PG 12 WC Management; Operations Research & Management Science SC Business & Economics; Operations Research & Management Science GA 674PT UT WOS:000182645700003 ER PT J AU Downie, D Nosal, E AF Downie, D Nosal, E TI A strategic approach to hedging and contracting SO INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION LA English DT Article AB This paper provides a new rationale for hedging that is based, in part, on non-competitive behavior in product markets. We identify a set of conditions which imply that a firm may want to hedge. Empirically, these conditions are not inconsistent with what is observed in the market place. The conditions are: (i) firms have some market power in their product market, (ii) firms have limited liability, and (iii) firms can contract to sell their output at a specified price before all factors which can affect their profitability are known. For some parameter specifications, however, our model predicts that firms will not want to hedge. This result is as important as our hedging results since, in practice, although a large fraction of firms do hedge their cash flows, a substantial number of firms do not. (C) 2002 Elsevier Science B.V. All rights reserved. C1 RBC Financial Grp, Grp Risk Management, Toronto, ON M5J 2J5, Canada. Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. RP Downie, D (reprint author), RBC Financial Grp, Grp Risk Management, 13th Floor S Tower,Royal Bank Plaza, Toronto, ON M5J 2J5, Canada. NR 15 TC 0 Z9 0 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-7187 J9 INT J IND ORGAN JI Int. J. Ind. Organ. PD MAR PY 2003 VL 21 IS 3 BP 399 EP 417 AR PII S0167-7187(02)00039-5 DI 10.1016/S0167-7187(02)00039-5 PG 19 WC Economics SC Business & Economics GA 648CU UT WOS:000181132900005 ER PT J AU Toussaint-Comeau, M AF Toussaint-Comeau, M TI The occupational attainment of Caribbean immigrants in the United States, Canada, and England. SO JOURNAL OF AMERICAN ETHNIC HISTORY LA English DT Book Review C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Toussaint-Comeau, M (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 1 TC 0 Z9 0 U1 0 U2 4 PU TRANSACTION PERIOD CONSORTIUM PI PISCATAWAY PA RUTGERS UNIV, DEPT 8010, 35 BERRUE CIRCLE, PISCATAWAY, NJ 08854-8042 USA SN 0278-5927 J9 J AM ETHNIC HIST JI J. Am. Ethn. Hist. PD SPR PY 2003 VL 22 IS 3 BP 98 EP 99 PG 2 WC Ethnic Studies; History SC Ethnic Studies; History GA 685LQ UT WOS:000183265400010 ER PT J AU Berger, AN Dai, QL Ongena, S Smith, DC AF Berger, AN Dai, QL Ongena, S Smith, DC TI To what extent will the banking industry be globalized? A study of bank nationality and reach in 20 European nations SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Conference on Markets and Institutions Global Perspectives CY DEC 17-19, 2001 CL SYDNEY, AUSTRALIA SP Univ New S Wales, Sch Banking Finance DE bank; globalization; Europe; mergers ID UNITED-STATES; FOREIGN; CONSOLIDATION; SERVICES; MERGERS; COUNTRY; MARKET AB We model two dimensions of bank globalization - bank nationality (a bank from the firm's host nation, its home nation, or a third nation) and bank reach (a global, regional,or local bank) using a two-stage nested multinomial logit model. Our data set includes over 2000 foreign affiliates of multinational corporations operating in 20 European nations and over 250 banks that serve them. We find that these firms frequently use host nation banks for cash management services, and that bank reach may be strongly influenced by this choice of bank nationality. Our results suggest limits to the degree of future bank. globalization. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA. Norwegian Sch Management, N-1301 Sandvika, Norway. Tilburg Univ, Dept Finance, NL-5000 LE Tilburg, Netherlands. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 153,20th & C Sts NW, Washington, DC 20551 USA. RI nipe, cef/A-4218-2010 NR 34 TC 42 Z9 42 U1 2 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 MAR PY 2003 VL 27 IS 3 BP 383 EP 415 AR PII S0378-4266(02)00386-2 DI 10.1016/S0378-4266(02)00386-2 PG 33 WC Business, Finance; Economics SC Business & Economics GA 648JY UT WOS:000181149100002 ER PT J AU Hughes, JP Lang, WW Mester, LJ Moon, CG Pagano, MS AF Hughes, JP Lang, WW Mester, LJ Moon, CG Pagano, MS TI Do bankers sacrifice value to build empires? Managerial incentives, industry consolidation, and financial performance SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Conference on Markets and Institutions Global Perspectives CY DEC 17-19, 2001 CL SYDNEY, AUSTRALIA SP Univ New S Wales, Sch Banking Finance DE consolidation; acquisitions; managerial incentives; efficiency; agency problems; corporate control; stochastic frontier ID INVESTMENT OPPORTUNITY SET; RISK-TAKING; CORPORATE-CONTROL; COMPENSATION POLICIES; ADDITIONAL EVIDENCE; CAPITAL STRUCTURE; BANKING INDUSTRY; COMMERCIAL-BANKS; EQUITY OWNERSHIP; ASSET SALES AB Bank consolidation is a global phenomenon that may enhance stakeholders' value if managers do not sacrifice value to build empires. We find strong evidence of managerial entrenchment at US bank holding companies that have higher levels of managerial ownership, better growth opportunities, poorer financial performance, and smaller asset size. At banks without entrenched management, both asset acquisitions and sales are associated with improved performance. At banks with entrenched management, sales are related to smaller improvements while acquisitions are associated with worse performance. Consistent with scale economies, an increase in assets by internal growth is associated with better performance at most banks. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. Rutgers State Univ, Dept Econ, New Brunswick, NJ 08901 USA. Off Comptroller Currency, Washington, DC 20219 USA. Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA. Hanyang Univ, Coll Business & Econ, Dept Econ, Seongdong Gu, Seoul 133791, South Korea. Villanova Univ, Coll Commerce & Finance, Villanova, PA 19085 USA. RP Hughes, JP (reprint author), Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. RI Moon, Choon-Geol/C-1768-2017 OI Moon, Choon-Geol/0000-0002-2933-9150 NR 47 TC 30 Z9 30 U1 4 U2 16 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2003 VL 27 IS 3 BP 417 EP 447 AR PII S0378-4266(02)00385-0 DI 10.1016/S0378-4266(02)00385-0 PG 31 WC Business, Finance; Economics SC Business & Economics GA 648JY UT WOS:000181149100003 ER PT J AU Kwan, SH AF Kwan, SH TI Operating performance of banks among Asian economies: An international and time series comparison SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Conference on Markets and Institutions Global Perspectives CY DEC 17-19, 2001 CL SYDNEY, AUSTRALIA SP Univ New S Wales, Sch Banking Finance DE Asian banking; bank production; bank efficiency; operating performance; Asian financial crisis ID GROWTH; EFFICIENCY; FINANCE AB After controlling for loan quality, liquidity, capitalization, and output mix, per unit bank operating costs are found to vary significantly across Asian countries and over time. Further analysis reveals that the country rankings of per unit labor and physical capital costs are highly correlated, suggesting that there exist systematic differences in bank operating efficiency across Asian countries. However, this measure of operating efficiency is found to be unrelated to the degree of openness of the banking sector. Asian bank operating costs were found to decline from 1992 to 1997, indicating that banks were improving their operating performance over time. Since 1997, the run-up in operating costs coincided with the Asian financial crisis, suggesting that banks were incurring additional costs in dealing with their problem loans while output was declining simultaneously. Moreover, the labor cost share is found to decline significantly between 1997 and 1999, indicating that banks were able to cut their labor force after the financial crisis but were less flexible to reduce physical capital input. Furthermore, significant differences in labor cost share are detected across countries, suggesting that different countries have different bank production functions. The variations in labor cost share are significantly positively related to the country's financial services wage rate, suggesting that banks using relatively more labor in a particular country is due to the labor force productivity, rather than labor being cheap. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, Econ Res, San Francisco, CA 94105 USA. RP Kwan, SH (reprint author), Fed Reserve Bank San Francisco, Econ Res, Mail Stop 1130,101 Market St, San Francisco, CA 94105 USA. NR 24 TC 20 Z9 20 U1 3 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2003 VL 27 IS 3 BP 471 EP 489 AR PII S0378-4266(02)00384-9 DI 10.1016/S0378-4266(02)00384-9 PG 19 WC Business, Finance; Economics SC Business & Economics GA 648JY UT WOS:000181149100005 ER PT J AU Rappaport, J Sachs, JD AF Rappaport, J Sachs, JD TI The United States as a coastal nation SO JOURNAL OF ECONOMIC GROWTH LA English DT Article DE economic growth; population density; productivity; quality of life ID QUALITY-OF-LIFE; URBAN AREAS; CITIES; GROWTH; POPULATION; MIGRATION; MARKETS AB US economic activity is overwhelmingly concentrated at its ocean and Great Lakes coasts, reflecting a large contribution from coastal proximity to productivity and quality of life. Extensively controlling for correlated natural attributes and initial conditions decisively rejects that the coastal concentration of economic activity is spurious or just derives from historical forces long since dissipated. Measuring proximity based on coastal attributes that contribute to either productivity or quality of life, but not to both, suggests that the coastal concentration derives primarily from a productivity effect but also, increasingly, from a quality of life effect. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64111 USA. Columbia Univ, Earth Inst, New York, NY 10027 USA. RP Rappaport, J (reprint author), Fed Reserve Bank Kansas City, 925 Grand Blvd, Kansas City, MO 64111 USA. NR 57 TC 115 Z9 116 U1 4 U2 18 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 1381-4338 J9 J ECON GROWTH JI J. Econ. Growth PD MAR PY 2003 VL 8 IS 1 BP 5 EP 46 DI 10.1023/A:1022870216673 PG 42 WC Economics SC Business & Economics GA 656YA UT WOS:000181637600001 ER PT J AU Lebow, DE Rudd, JB AF Lebow, DE Rudd, JB TI Measurement error in the Consumer Price Index: Where do we stand? SO JOURNAL OF ECONOMIC LITERATURE LA English DT Article ID EXPENDITURE SURVEY; SUBSTITUTION BIAS C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Lebow, DE (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 83 TC 34 Z9 34 U1 1 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 2003 VL 41 IS 1 BP 159 EP 201 DI 10.1257/002205103321544729 PG 43 WC Economics SC Business & Economics GA 657ZD UT WOS:000181696300004 ER PT J AU Green, EJ Lin, P AF Green, EJ Lin, P TI Implementing efficient allocations in a model of financial intermediation SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE financial intermediation; bank run; implementation AB In a finite-trader version of the Diamond and Dybvig (J. Polit. Econ. 91 (1983) 401) model, the ex ante efficient allocation is implementable by a direct mechanism (i.e., each trader announces the type of his own ex post preference) in which truthful revelation is the strictly dominant strategy for each trader. When the model is modified by formalizing the sequential-service constraint (cf. Wallace (Fed. Reserve Bank Minneapolis Quart. Rev. 12 (1988) 3)), the truth-telling equilibrium implements the symmetric, ex ante efficient allocation with respect to iterated elimination of strictly dominated strategies. (C) 2002 Elsevier Science (USA). All rights reserved. C1 Lingnan Univ, Dept Econ, Tuen Mun, Hong Kong, Peoples R China. Fed Reserve Bank Chicago, Dept Res, Chicago, IL 60604 USA. RP Lin, P (reprint author), Lingnan Univ, Dept Econ, Tuen Mun, Hong Kong, Peoples R China. NR 12 TC 43 Z9 44 U1 4 U2 8 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD MAR PY 2003 VL 109 IS 1 BP 1 EP 23 AR PII S0022-0531(02)00017-0 DI 10.1016/S0022-0531(02)00017-0 PG 23 WC Economics SC Business & Economics GA 674BX UT WOS:000182617700001 ER PT J AU Stefanadis, C AF Stefanadis, C TI Sunk costs, contestability, and the latent contract market SO JOURNAL OF ECONOMICS & MANAGEMENT STRATEGY LA English DT Article ID VERTICAL INTEGRATION; PRICE-DISCRIMINATION; INDUSTRY STRUCTURE; ENTRY; FORECLOSURE; BUYERS AB The idea that, an industry with sunk costs may be contestable even in the absence of long-term contracts has received little attention informal economic theory yet is sometimes popular among practitioners. This paper formally illustrates the argument. In an infinitely repeated game, there exists a class of contestable outcomes in which the monopolist sells only on the spot market and charges low prices along the equilibrium path to prevent customers from resorting to long-term contracts. The crucial test for contestability is the level of transaction costs in the latent contract market. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Stefanadis, C (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 24 TC 1 Z9 1 U1 0 U2 2 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 1058-6407 J9 J ECON MANAGE STRAT JI J. Econ. Manage. Strategy PD SPR PY 2003 VL 12 IS 1 BP 119 EP 138 DI 10.1162/105864003321220751 PG 20 WC Economics; Management SC Business & Economics GA 653TY UT WOS:000181454200005 ER PT J AU Gibson, MS AF Gibson, MS TI Is corporate governance ineffective in emerging markets? SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID TOP EXECUTIVE TURNOVER; FIRM PERFORMANCE; OWNERSHIP; JAPAN; FINANCE AB I test whether corporate governance is ineffective in emerging markets by estimating the link between CEO turnover and firm performance for over 1,200 firms in eight emerging markets. I find two main results. First, CEOs of emerging market firms are more likely to lose their jobs when their firm's performance is poor, suggesting that corporate governance is not ineffective in emerging markets. Second, for the subset of firms with a large domestic shareholder, there is no link between CEO turnover and firm performance. For this subset of emerging market firms, corporate governance appears to be ineffective. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Gibson, MS (reprint author), Fed Reserve Board, Mail Stop 91, Washington, DC 20551 USA. NR 37 TC 56 Z9 62 U1 0 U2 11 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 MAR PY 2003 VL 38 IS 1 BP 231 EP 250 DI 10.2307/4126771 PG 20 WC Business, Finance; Economics SC Business & Economics GA 652YK UT WOS:000181408300011 ER PT J AU Dueker, M Miller, TW AF Dueker, M Miller, TW TI Directly measuring early exercise premiums using american and European S&P 500 Index options SO JOURNAL OF FUTURES MARKETS LA English DT Article ID WILDCARD OPTIONS; MARKET; VOLATILITY; LIQUIDITY; FUTURES; TESTS AB The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor's 500 Index from April 2, 1986 through June 20, 1986. This unique time period allows for a direct measurement of the early exercise premium in American-style index options. In this study, using ask quotes, we find average early exercise premiums ranging from 5.04 to 5.90% for calls, and from 7,97 to 10.86% for puts. Additionally, we are able to depict it potentially useful functional form of the early exercise premium. As in previous Studies, we Find some instances of negative early exercise premiums. However, it trading simulation shows that traders must be able to trade within the bid-ask spread to profit from these apparent arbitrage Opportunities. (C) 2003 Wiley Periodicals, Inc. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Miller, TW (reprint author), Washington Univ, John M Olin Sch Business, Campus Box 1133, St Louis, MO 63130 USA. NR 38 TC 2 Z9 2 U1 0 U2 4 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 MAR PY 2003 VL 23 IS 3 BP 287 EP 313 DI 10.1002/fut.10063 PG 27 WC Business, Finance SC Business & Economics GA 640WT UT WOS:000180711900004 ER PT J AU Klevmarken, NA Lupton, JP Stafford, FP AF Klevmarken, NA Lupton, JP Stafford, FP TI Wealth dynamics in the 1980s and 1990s - Sweden and the United States SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID INCOME DYNAMICS; MOBILITY; QUALITY; PANEL AB Given differences in public saving programs between Sweden and the United States, an examination of household private stealth accumulation in these two countries can be, enlightening. In this paper we examine wealth inequality and mobility in Sweden curd the United States over the past decade. We show that stealth inequality has been significantly greater in the United States than in Sweden and, while remaining relatively constant since the mid-1980s in Sweden, has increased in the United States. In addition to less inequality and a higher median wealth, we also show that stealth quintile mobility in the 1990s has been 25.7 percent higher in Sweden, as measured by Shorrocks' index. Noting the role of various demographic components in shaking the patterns of stealth mobility as well Its the importance of the initial wealth distribution, we utililize a matching algorithm that controls for these differences. Watching on the initial wealth distribution alone accounts for most of the mobility difference between the two countries and Yields a Shorrocks' index in the United States 11.1 percent less than that in Sweden. Adjusting for the large degree of imputation in the Swedish data, the U.S. index is only 3.4 percent to 6.1 percent less than that of Sweden. Along with exploring the role of racial composition differences, we conclude that demographic variation between Sweden and the United States plays very little role in explaining wealth mobility beyond that explained by the initial wealth distribution. Despite the higher quintile mobility in Sweden, dollar mobility is still higher in the United States. C1 Uppsala Univ, SE-75120 Uppsala, Sweden. Fed Reserve Syst, Washington, DC 20551 USA. Univ Michigan, Ann Arbor, MI 48109 USA. RP Klevmarken, NA (reprint author), Uppsala Univ, SE-75120 Uppsala, Sweden. NR 26 TC 6 Z9 6 U1 1 U2 5 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 2003 VL 38 IS 2 BP 322 EP 353 DI 10.2307/1558747 PG 32 WC Economics; Industrial Relations & Labor SC Business & Economics GA 664WZ UT WOS:000182088600004 ER PT J AU Klein, MW Schuh, S Triest, RK AF Klein, MW Schuh, S Triest, RK TI Job creation, job destruction, and the real exchange rate SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE real exchange rates; gross job flows; openness ID EMPLOYMENT; MODEL AB Welfare gains from trade are reduced by adjustment costs associated with factor reallocation, but most studies of the effects of trade on labor markets focus only on net employment change. This paper takes a step toward identifying trade-related adjustment costs by estimating the effects of real exchange rates on labor reallocation using a new model of gross job creation and destruction applied to detailed U.S. manufacturing industries between 1973 and 1993. Trend real exchange rates significantly affect job reallocation but not net employment. Cyclical real exchange rates significantly affect net employment through job destruction only. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. Tufts Univ, Fletcher Sch, Medford, MA 02155 USA. NBER, Cambridge, MA 02138 USA. RP Schuh, S (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM michael.klein@tufts.edu; Scott.Schuh@bos.frb.org; Robert.Triest@bos.frb.org NR 31 TC 41 Z9 43 U1 2 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAR PY 2003 VL 59 IS 2 BP 239 EP 265 DI 10.1016/S0022-1996(02)00022-3 PG 27 WC Economics SC Business & Economics GA 654LL UT WOS:000181498300001 ER PT J AU Khan, A Thomas, JK AF Khan, A Thomas, JK TI Nonconvex factor adjustments in equilibrium business cycle models: do nonlinearities matter? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE lumpy investment; adjustment costs; business cycles; nonlinearities ID INDIVISIBLE LABOR; HETEROGENEITY AB Recent empirical analysis has found nonlinearities to be important in understanding aggregated investment. Using an equilibrium business cycle model, we search for aggregate nonlinearities arising from the introduction of nonconvex capital adjustment costs. We find that, while such costs lead to nontrivial nonlinearities in aggregate investment demand, equilibrium investment is effectively unchanged. Our finding, based on a model in which aggregate fluctuations arise through exogenous changes in total factor productivity, is robust to the introduction of shocks to the relative price of investment goods. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55480 USA. RP Khan, A (reprint author), Fed Reserve Bank Philadelphia, Dept Res, 10 Independence Mall, Philadelphia, PA 19106 USA. NR 28 TC 39 Z9 39 U1 2 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2003 VL 50 IS 2 BP 331 EP 360 DI 10.1016/S0304-3932(03)00003-5 PG 30 WC Business, Finance; Economics SC Business & Economics GA 665PJ UT WOS:000182129600002 ER PT J AU Lacker, JM Weinberg, JA AF Lacker, JM Weinberg, JA TI Payment economics: studying the mechanics of exchange SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE payments systems; monetary policy ID SETTLEMENT; LIQUIDITY; MONEY AB The five papers that follow this essay were presented at the Federal Reserve Bank of Richmond's Conference on Payment Economics held October 23-24, 2000, in Williamsburg, Virginia. The conference was motivated by the convergence of lines of research in monetary and banking theory that are focused on the institutional arrangements that facilitate exchange. At the same time, central bank policymakers concerned about the efficiency implications of their involvement in and regulation of clearing and settlement arrangements increasingly seek an economic understanding of these activities. It appears that a distinct and coherent field of inquiry is emerging, focused on the mechanics of exchange. This field, which we call payment economics, studies both the instruments agents use to make payments and the central role of bank intermediation in facilitating the use of private liabilities in exchange. (C) 2003 Elsevier Science 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, Richmond, VA 23261 USA. NR 19 TC 5 Z9 5 U1 7 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2003 VL 50 IS 2 BP 381 EP 387 DI 10.1016/S0304-3932(03)00006-0 PG 7 WC Business, Finance; Economics SC Business & Economics GA 665PJ UT WOS:000182129600004 ER PT J AU Bullard, J Smith, BD AF Bullard, J Smith, BD TI The value of inside and outside money SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE fiat money; private money; electronic cash; monetary theory; endogenous volatility ID PRIVATE MONEY; EXCHANGE AB We study dynamic economies in which agents may have incentives to hold both privately-issued (a.k.a. inside) and publicly-issued (a.k.a. outside) circulating liabilities as part of an equilibrium. Our analysis emphasizes spatial separation and limited communication as frictions that motivate monetary exchange. We isolate conditions under which a combination of inside and outside money does and does not allow the economy to achieve a first-best allocation of resources. We also study the extent to which the use of private circulating liabilities alone, or the use of public circulating liabilities alone, can address the frictions that lead to monetary exchange. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63102 USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, Dept Res, 411 Locust St, St Louis, MO 63102 USA. RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 23 TC 4 Z9 4 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 MAR PY 2003 VL 50 IS 2 BP 389 EP 417 DI 10.1016/S0304-3932(03)00010-2 PG 29 WC Business, Finance; Economics SC Business & Economics GA 665PJ UT WOS:000182129600005 ER PT J AU Prescott, ES Weinberg, JA AF Prescott, ES Weinberg, JA TI Incentives, communication, and payment instruments SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE checks; payments; communication; incentives ID MONEY AB Alternative payment instruments are studied in an economy with private information, delayed communication, and limited commitment. Attention is restricted to checks and bank drafts, which differ in resource cost and communication characteristics. Checks are less costly but settlement delays create a limited commitment constraint. We find that drafts dominate at low wealths and checks at higher wealths. Applications to 19th century and modern payment systems are discussed. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23219 USA. RP Weinberg, JA (reprint author), Fed Reserve Bank Richmond, Dept Res, 701 E Byrd St, Richmond, VA 23219 USA. NR 22 TC 3 Z9 3 U1 4 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 2003 VL 50 IS 2 BP 433 EP 454 DI 10.1016/S0304-3932(03)00009-6 PG 22 WC Business, Finance; Economics SC Business & Economics GA 665PJ UT WOS:000182129600007 ER PT J AU Weber, WE AF Weber, WE TI Interbank payments relationships in the antebellum United States: evidence from Pennsylvania SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE correspondent banks; free banks; bank notes AB This paper investigates antebellum interbank relationships using previously unknown data for Pennsylvania banks from 1851 to 1859 that disaggregate the amounts due from other banks by debtor bank. It finds that country banks, banks outside of Philadelphia and Pittsburgh, dealt almost exclusively with financial center banks. Most had a large, highly stable relationship with a single correspondent bank. The location of a country bank's correspondent was consistent with trade patterns, particularly railroad and canal linkages. Philadelphia banks, in contrast, did not establish correspondent-type banking relationships. Further, Philadelphia's correspondent banking market was not highly concentrated, and entry was easy. (C) 2003 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. RP Weber, WE (reprint author), Fed Reserve Bank Minneapolis, Dept Res, 90 Hannepin Ave, Minneapolis, MN 55480 USA. NR 13 TC 5 Z9 5 U1 4 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 2003 VL 50 IS 2 BP 455 EP 474 DI 10.1016/S0304-3932(03)00008-4 PG 20 WC Business, Finance; Economics SC Business & Economics GA 665PJ UT WOS:000182129600008 ER PT J AU Bostic, RW Robinson, BL AF Bostic, RW Robinson, BL TI Do CRA agreements influence lending patterns? SO REAL ESTATE ECONOMICS LA English DT Article ID COMMUNITY REINVESTMENT AGREEMENTS AB This article considers the broader impact of Community Reinvestment Act (CRA) agreements-bank pledges to extend a certain volume of lending to targeted groups and communities-by examining whether they are associated with changes in lending to lower-income and minority communities in the markets where they are initiated. We find the number of newly initiated CRA agreements in a county to be associated with significant increases in CRA, minority and overall conventional mortgage lending in a county over a three-year period. The results are consistent with the view that the increases in lending represent new lending, with some evidence suggesting that the increases in lending are relatively short-lived. Overall, the results are consistent with the notion that lenders view CRA agreements as a form of insurance against the potentially large and unknown costs associated with fair lending violations, poor CRA performance ratings and adverse publicity from CRA-related protests of mergers or other applications. The results are also consistent with the view that the effectiveness of CRA agreements in increasing lending activity is ultimately determined by the persistence and sophistication of community groups in monitoring compliance with CRA agreements. C1 Univ So Calif, Federal Reserve Syst, Los Angeles, CA 90089 USA. Univ So Calif, Sch Policy Planning & Dev, Los Angeles, CA 90089 USA. Univ Delaware, Alfred Lerner Coll Business & Econ, Newark, DE 19716 USA. RP Bostic, RW (reprint author), Univ So Calif, Federal Reserve Syst, Los Angeles, CA 90089 USA. EM bostic@usc.edu; robinsob@be.udel.edu NR 14 TC 9 Z9 9 U1 1 U2 5 PU BLACKWELL PUBLISHERS PI MALDEN PA 350 MAIN STREET, STE 6, MALDEN, MA 02148 USA SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD SPR PY 2003 VL 31 IS 1 BP 23 EP 51 DI 10.1111/j.1080-8620.2003.00056.x PG 29 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 658WF UT WOS:000181743300002 ER PT J AU Neumark, D Wascher, W AF Neumark, D Wascher, W TI Minimum wages and skill acquisition: another look at schooling effects SO ECONOMICS OF EDUCATION REVIEW LA English DT Article DE minimum wages; education ID ENROLLMENT; EMPLOYMENT; TEENAGERS AB Although economic research on minimum wages has focused predominantly on employment effects, some attention has been devoted to the analysis of the effects of minimum wages on skill acquisition and education. This paper takes another look at evidence on the effects of minimum wages on schooling, seeking to reconcile some of the contradictory results in recent research, using CPS data from the late 1970s through the 1980s. Based on this re-examination, as well as on additional results updating the data through 1998, we conclude that the evidence points to negative effects of minimum wages on, school enrollment, bolstering the findings of negative effects of minimum wages on enrollment from a number of recent studies, as well as some older ones, and countering claims that appeared to overturn at least some of this evidence. (C) 2002 Elsevier Science Ltd. All rights reserved. C1 Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA. Board Governors Fed Reserve Syst, Washington, DC 20551 USA. RP Neumark, D (reprint author), Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA. NR 16 TC 17 Z9 17 U1 0 U2 2 PU PERGAMON-ELSEVIER SCIENCE LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, ENGLAND SN 0272-7757 J9 ECON EDUC REV JI Econ. Educ. Rev. PD FEB PY 2003 VL 22 IS 1 BP 1 EP 10 DI 10.1016/S0272-7757(02)00006-7 PG 10 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA 638JA UT WOS:000180566800001 ER PT J AU Andolfatto, D Gomme, P AF Andolfatto, D Gomme, P TI Monetary policy regimes and beliefs SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID BUSINESS-CYCLE; LIQUIDITY; INFLATION; CREDIBILITY; MODEL; TAX AB This article investigates the role of beliefs over monetary policy in propagating the effects of monetary policy shocks within the context of a dynamic, stochastic general equilibrium model. In our model, monetary policy periodically switches between low and high money growth regimes. When individuals are unable to observe the regime directly, they form inferences over regime-type based on historical money growth rates. For an empirically plausible money growth process, beliefs evolve slowly in the wake of a regime change. As a result, our model is able to capture some of the observed persistence of real and nominal variables following such a regime change. C1 Fed Reserve Bank Cleveland, Dept Res, Cleveland, OH 44101 USA. Simon Fraser Univ, Burnaby, BC V5A 1S6, Canada. RP Gomme, P (reprint author), Fed Reserve Bank Cleveland, Dept Res, POB 6387, Cleveland, OH 44101 USA. RI Andolfatto, David/I-5738-2016 OI Andolfatto, David/0000-0003-0703-3967 NR 18 TC 31 Z9 31 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 FEB PY 2003 VL 44 IS 1 BP 1 EP 30 DI 10.1111/1468-2354.t01-1-00061 PG 30 WC Economics SC Business & Economics GA 644XR UT WOS:000180946800001 ER PT J AU Devereux, MB Engel, C Tille, C AF Devereux, MB Engel, C Tille, C TI Exchange rate pass-through and the welfare effects of the euro SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID UNITED-STATES; GOODS PRICES; BEHAVIOR AB This article explores the implications of the European single currency within a simple sticky price intertemporal model. We focus on the question of how the euro may change the sensitivity of consumer prices in Europe to exchange-rate changes. Our central conjecture is that the acceptance of the euro will lead European prices to become more insulated from exchange-rate volatility We find that this affects both the volatility and levels of macroeconomic aggregates in both the U.S. and Europe. We find that European welfare is enhanced, and the U.S. shares in Europe's good fortune. C1 Fed Reserve Bank New York, Int Res Funct, New York, NY 10045 USA. Univ British Columbia, Vancouver, BC V5Z 1M9, Canada. CEPR, London, England. Univ Wisconsin, Madison, WI 53706 USA. RP Tille, C (reprint author), Fed Reserve Bank New York, Int Res Funct, 33 Liberty St, New York, NY 10045 USA. NR 32 TC 23 Z9 23 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 2003 VL 44 IS 1 BP 223 EP 242 DI 10.1111/1468-2354.t01-1-00068 PG 20 WC Economics SC Business & Economics GA 644XR UT WOS:000180946800008 ER PT J AU Gruben, WC McComb, RP AF Gruben, WC McComb, RP TI Privatization, competition, and supercompetition in the Mexican commercial banking system SO JOURNAL OF BANKING & FINANCE LA English DT Article DE banks; competition; liberalization; Mexico; privatization; financial crisis ID DEPOSIT INSURANCE; INDUSTRY AB Much literature before and after the privatization of Mexico's commercial banking system in 1991-1992 argued that the system was collusive and noncompetitive and would likely continue to be for years. Banks would collude to underloan so that - at least in comparison with what would happen in a competitive system - they could overcharge. Because a parallel literature on lending after bank privatization suggests that the problem is often not too little, but too much, we resolved to test for competitive behavior in the Mexican banking system. Using an empirical approach developed by Shaffer (Econom. Lett. 29 (1989) 321, J. Money Credit Bank. 25 (1993) 49, Federal Reserve Bank of Philadelphia, Working paper no. 93-28R), we find a structural break in the middle of the privatization period that signals the start of an episode of what Shaffer calls "supercompetitive" behavior. In such a supercompetition, banks run at levels of output where marginal cost exceeds marginal revenue. This behavior is consistent with a struggle in which banks take losses now because they think the market share they get in the bargain offers a positive present value of expected future return. The behavior can also be consistent with just the sort of banking crises that ensued in Mexico. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Ctr Latin Amer Econ, Fed Reserve Bank Dallas, Dallas, TX 75201 USA. Texas Tech Univ, Lubbock, TX 79409 USA. RP Gruben, WC (reprint author), Ctr Latin Amer Econ, Fed Reserve Bank Dallas, POB 655906,2200 N Pearl St, Dallas, TX 75201 USA. NR 45 TC 21 Z9 23 U1 0 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 2003 VL 27 IS 2 BP 229 EP 249 AR PII S0378-4266(01)00218-7 DI 10.1016/S0378-4266(01)00218-7 PG 21 WC Business, Finance; Economics SC Business & Economics GA 629WZ UT WOS:000180076400003 ER PT J AU Dwyer, GP Williams, KB AF Dwyer, GP Williams, KB TI Portable random number generators SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE pseudorandom numbers; pseudorandom number generators; congruential generators; random numbers AB We present a random number generator that is useful for serious computations and can be implemented easily in any language that has 32-bit signed integers, for example C, C++ and FORTRAN. This combination generator has a cycle length that would take two millennia to compute on widely used desktop computers. Based on an extensive search, we provide parameter values better than those previously available for this generator. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. RP Dwyer, GP (reprint author), Fed Reserve Bank Atlanta, Dept Res, 1000 Peachtree Str NE, Atlanta, GA 30309 USA. NR 20 TC 2 Z9 2 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD FEB PY 2003 VL 27 IS 4 BP 645 EP 650 AR PII S0165-1889(01)00065-3 DI 10.1016/S0165-1889(01)00065-3 PG 6 WC Economics SC Business & Economics GA 615QK UT WOS:000179257800006 ER PT J AU Kocherlakota, NR AF Kocherlakota, NR TI Societal benefits of illiquid bonds SO JOURNAL OF ECONOMIC THEORY LA English DT Article ID INFORMATION ECONOMY; MONEY AB In this paper, I provide a possible explanation of why nominally risk-free bonds are essential in monetary economies. I argue that the role of nominal bonds is to enable agents to engage in intertemporal exchanges of money. I show that bonds can only serve this role if they are illiquid (costly to exchange for goods). Finally, I argue that in economies in which nominal bonds are essential, it is optimal for monetary policy to respond to changes in the distribution of liquidity needs. (C) 2003 Elsevier Science (USA). All rights reserved. C1 Stanford Univ, Dept Econ, Stanford, CA 94305 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Kocherlakota, NR (reprint author), Stanford Univ, Dept Econ, Landau Econ Bldg,579 Serra Mall, Stanford, CA 94305 USA. NR 10 TC 32 Z9 32 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 J9 J ECON THEORY JI J. Econ. Theory PD FEB PY 2003 VL 108 IS 2 BP 179 EP 193 DI 10.1016/S0022-0531(03)00029-2 PG 15 WC Economics SC Business & Economics GA 674MD UT WOS:000182639800001 ER PT J AU Katzman, B Kennan, J Wallace, N AF Katzman, B Kennan, J Wallace, N TI Output and price level effects of monetary uncertainty in a matching model SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE monetary exchange; random matching; private information; mechanism design ID MONEY; SEARCH; NEUTRALITY; POLICY; SHOCKS AB Monetary uncertainty and information lags are put into a random matching model so that the resulting setting has some meetings in which producers are relatively informed and others in which consumers are relatively informed. For that setting, the ex ante socially optimal way to conduct trade is characterized. The optimum can display a variety of relationships between money and total output and the price level. While the price level is always sticky, even the direction of its response and that of total output depend on the magnitude of the lag and on subtle features of the serial correlation properties of the money supply. (C) 2003 Elsevier Science (USA). All rights reserved. C1 Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. Univ Miami, Dept Econ, Coral Gables, FL 33124 USA. NBER, Cambridge, MA 02138 USA. Penn State Univ, Dept Econ, University Pk, PA 16802 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Kennan, J (reprint author), Univ Wisconsin, Dept Econ, 1180 Observ Dr, Madison, WI 53706 USA. RI Kennan, John/B-3889-2009 NR 13 TC 8 Z9 8 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 FEB PY 2003 VL 108 IS 2 BP 217 EP 255 DI 10.1016/S0022-0531(03)00030-9 PG 39 WC Economics SC Business & Economics GA 674MD UT WOS:000182639800003 ER PT J AU Dotsey, M Lantz, C Scholl, B AF Dotsey, M Lantz, C Scholl, B TI The behavior of the real rate of interest SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID INDEXES AB This paper presents new, facts regarding the behavior of the ex-ante real rate of interest. These facts are notably different from conventional wisdom about the cyclical properties of the real rate. In particular, we find that the ex-ante real rate is contemporaneously positively correlated with GDP and positively correlated with lagged cyclical output. There is also evidence that high real rates are associated with strong cyclical output one quarter into the future. Our results generally are not sensitive to the estimation methodology, but are quite sensitive to the price series used. This sensitivity is especially true for the Consumer Price Index. Thus, we find evidence of specification uncertainty. We also find that real rate behavior varies over different sample periods and that the cyclical properties of the ex-ante and ex-post real rates are not identical. Therefore, inferring ex-ante real rate behavior using ex-post data is inappropriate. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Dotsey, M (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 16 TC 9 Z9 9 U1 0 U2 7 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 FEB PY 2003 VL 35 IS 1 BP 91 EP 110 DI 10.1353/mcb.2003.0003 PG 20 WC Business, Finance; Economics SC Business & Economics GA 640WM UT WOS:000180711400005 ER PT J AU Furfine, CH AF Furfine, CH TI Interbank exposures: Quantifying the risk of contagion SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID DEPOSIT INSURANCE; BANK FAILURES; SYSTEMIC RISK; MARKET; CRISIS; MODEL; FUNDS; RUNS AB This paper examines the degree to which the failure of one bank would cause the subsequent collapse of other banks. Using unique data on interbank payment flows. the magnitude of bilateral federal funds exposures is quantified. These exposures are used to simulate the impact of various failure scenarios. and the risk of contagion is found to be economically small. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Furfine, CH (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NR 34 TC 130 Z9 134 U1 4 U2 14 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 FEB PY 2003 VL 35 IS 1 BP 111 EP 128 DI 10.1353/mcb.2003.0004 PG 18 WC Business, Finance; Economics SC Business & Economics GA 640WM UT WOS:000180711400006 ER PT J AU Yi, KM AF Yi, KM TI Can vertical specialization explain the growth of world trade? SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID COMPARATIVE ADVANTAGE; MODEL; HECKSCHER; CONTINUUM; TARIFFS; RICARDO; INCOME; GOODS AB The striking growth in the trade share of output is one of the most important developments in the world economy since World War II. Two features of this growth present challenges to the standard trade models. First, the growth is generally thought to have been generated by falling tariff barriers worldwide. But tariff barriers have decreased by only about 11 percentage points since the early 1960s; the standard models cannot explain the growth of trade without assuming counterfactually large elasticities of substitution between goods. Second, tariff declines were much larger prior to the mid 1980s than after, and yet, trade growth was smaller in the earlier period than in the later period. The standard models have difficulty generating this nonlinear feature. This paper develops a two-country dynamic Ricardian trade model that offers a resolution of these two puzzles. The key idea embedded in this model is vertical specialization, which occurs when countries specialize only in particular stages of a good's production sequence. The model generates a nonlinear trade response to tariff reductions and can explain over 50 percent of the growth of trade. Finally, the model has important implications for the gains from trade. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Yi, KM (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 51 TC 312 Z9 316 U1 8 U2 28 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 2003 VL 111 IS 1 BP 52 EP 102 DI 10.1086/344805 PG 51 WC Economics SC Business & Economics GA 634HU UT WOS:000180334600002 ER PT J AU Van Zandt, T Lettau, M AF Van Zandt, T Lettau, M TI Robustness of adaptive expectations as an equilibrium selection device SO MACROECONOMIC DYNAMICS LA English DT Article DE adaptive expectations; learning; hyperinflation ID STABILITY; MODEL AB Dynamic models in which agents' behavior depends on expectations of future prices or other endogenous variables can have steady states that are stationary equilibria for a wide variety of expectations rules, including rational expectations. When there are multiple steady states, stability is a criterion for selecting among them as predictions of long-run outcomes. The purpose of this paper is to study how sensitive stability is to certain details of the expectations rules, in a simple OLG model with constant government debt that is financed through seigniorage. We compare simple recursive learning rules, learning rules with vanishing gain, and OLS learning, and also relate these to expectational stability. One finding is that two adaptive expectation rules that differ only in whether they use current information can have opposite stability properties. C1 INSEAD, F-77305 Fontainebleau, France. CEPR, London, England. Fed Reserve Bank New York, New York, NY 10045 USA. RP Van Zandt, T (reprint author), INSEAD, Blvd Constance, F-77305 Fontainebleau, France. RI Van Zandt, Timothy/B-3876-2010 NR 25 TC 5 Z9 5 U1 1 U2 7 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4221 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD FEB PY 2003 VL 7 IS 1 BP 89 EP 118 DI 10.1017/S1365100502010313 PG 30 WC Economics SC Business & Economics GA 661JN UT WOS:000181887600006 ER PT J AU Estrella, A Fuhrer, JC AF Estrella, A Fuhrer, JC TI Monetary policy shifts and the stability of monetary policy models SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID GENERALIZED-METHOD; LUCAS CRITIQUE; MOMENTS ESTIMATORS; STRUCTURAL-CHANGE; TESTS; PARAMETER; INFERENCE AB Since the publication (1976) of the classic Lucas critique, researchers in empirical macroeconomics have endeavored to specify models that capture the underlying dynamic decision-making behavior of consumers and firms who require forecasts of future events. Recently, a number of researchers have developed simple models that have become the workhorses for monetary policy analysis. The models vary considerably with regard to optimizing foundations and explicit treatment of expectations. However, relatively little effort has been devoted to testing the empirical importance of the Lucas critique for these simple models. Can one find specifications that are policy-invariant? This paper develops and implements a set of tests for several monetary policy models used extensively in the literature. In particular, we attempt to test the robustness of optimizing versus nonoptimizing models to changes in the monetary policy regime. We present evidence that shows that some forward-looking models from the recent literature may be less stable than their better-fitting backward-looking counterparts. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Estrella, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. RI Fuhrer, Jeff/F-8852-2013 NR 33 TC 50 Z9 50 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 FEB PY 2003 VL 85 IS 1 BP 94 EP 104 DI 10.1162/003465303762687730 PG 11 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 640ZL UT WOS:000180718900008 ER PT J AU Daly, MC Duncan, G McDonough, P Williams, DR AF Daly, MC Duncan, G McDonough, P Williams, DR TI Optimal SES indicators cannot be prescribed across all outcomes - Response SO AMERICAN JOURNAL OF PUBLIC HEALTH LA English DT Letter ID MORTALITY; INCOME; HEALTH C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Northwestern Univ, Inst Policy Res, Evanston, IL USA. Univ Toronto, Dept Publ Hlth Sci, Toronto, ON, Canada. Univ Michigan, Inst Social Res, Ann Arbor, MI USA. RP Daly, MC (reprint author), Fed Reserve Bank San Francisco, 101 Mkt St, San Francisco, CA 94105 USA. NR 10 TC 1 Z9 1 U1 0 U2 0 PU AMER PUBLIC HEALTH ASSOC INC PI WASHINGTON PA 1015 FIFTEENTH ST NW, WASHINGTON, DC 20005 USA SN 0090-0036 J9 AM J PUBLIC HEALTH JI Am. J. Public Health PD JAN PY 2003 VL 93 IS 1 BP 13 EP 13 DI 10.2105/AJPH.93.1.13 PG 1 WC Public, Environmental & Occupational Health SC Public, Environmental & Occupational Health GA 632MR UT WOS:000180227500006 ER PT B AU McGrattan, ER Prescott, EC AF McGrattan, ER Prescott, EC BE Hunter, WC Kaufman, GG Pomerleano, M TI Testing for stock market overvaluation/undervaluation SO ASSET PRICE BUBBLES: THE IMPLICATIONS FOR MONETARY, REGULATORY, AND INTERNATIONAL POLICIES LA English DT Proceedings Paper CT Conference on Asset Price Bubble - Implication for Monetary, Regulatory, and International Policies CY APR 22-24, 2002 CL Federal Reserve Bank Chicago, Chicago, IL SP World Bank Grp HO Federal Reserve Bank Chicago ID PRICES C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 7 TC 0 Z9 1 U1 1 U2 1 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 0-262-08314-0 PY 2003 BP 271 EP 275 PG 5 WC Business, Finance; Economics SC Business & Economics GA BAH54 UT WOS:000222237000018 ER PT B AU Bryan, MF Cecchetti, SG O'Sullivan, R AF Bryan, MF Cecchetti, SG O'Sullivan, R BE Hunter, WC Kaufman, GG Pomerleano, M TI A Stochastic index of the cost of life: An application to recent and historical asset price fluctuations SO ASSET PRICE BUBBLES: THE IMPLICATIONS FOR MONETARY, REGULATORY, AND INTERNATIONAL POLICIES LA English DT Proceedings Paper CT Conference on Asset Price Bubble - Implication for Monetary, Regulatory, and International Policies CY APR 22-24, 2002 CL Federal Reserve Bank Chicago, Chicago, IL SP World Bank Grp HO Federal Reserve Bank Chicago C1 Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 16 TC 1 Z9 1 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 0-262-08314-0 PY 2003 BP 277 EP 289 PG 13 WC Business, Finance; Economics SC Business & Economics GA BAH54 UT WOS:000222237000019 ER PT B AU Slifman, L AF Slifman, L BE Hunter, WC Kaufman, GG Pomerleano, M TI Comments on "valuation and new economy firms" SO ASSET PRICE BUBBLES: THE IMPLICATIONS FOR MONETARY, REGULATORY, AND INTERNATIONAL POLICIES LA English DT Proceedings Paper CT Conference on Asset Price Bubble - Implication for Monetary, Regulatory, and International Policies CY APR 22-24, 2002 CL Federal Reserve Bank Chicago, Chicago, IL SP World Bank Grp HO Federal Reserve Bank Chicago C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 6 TC 0 Z9 0 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 0-262-08314-0 PY 2003 BP 419 EP 423 PG 5 WC Business, Finance; Economics SC Business & Economics GA BAH54 UT WOS:000222237000029 ER PT B AU Moreno, R AF Moreno, R BE Hunter, WC Kaufman, GG Pomerleano, M TI Comments on "asset price bubbles and prudential regulation" SO ASSET PRICE BUBBLES: THE IMPLICATIONS FOR MONETARY, REGULATORY, AND INTERNATIONAL POLICIES LA English DT Proceedings Paper CT Conference on Asset Price Bubble - Implication for Monetary, Regulatory, and International Policies CY APR 22-24, 2002 CL Federal Reserve Bank Chicago, Chicago, IL SP World Bank Grp HO Federal Reserve Bank Chicago C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 9 TC 1 Z9 1 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 0-262-08314-0 PY 2003 BP 523 EP 527 PG 5 WC Business, Finance; Economics SC Business & Economics GA BAH54 UT WOS:000222237000037 ER PT B AU Rosengren, E AF Rosengren, E BE Hunter, WC Kaufman, GG Pomerleano, M TI Comments on "The Morning After..." SO ASSET PRICE BUBBLES: THE IMPLICATIONS FOR MONETARY, REGULATORY, AND INTERNATIONAL POLICIES LA English DT Proceedings Paper CT Conference on Asset Price Bubble - Implication for Monetary, Regulatory, and International Policies CY APR 22-24, 2002 CL Federal Reserve Bank Chicago, Chicago, IL SP World Bank Grp HO Federal Reserve Bank Chicago C1 Fed Reserve Bank Boston, Boston, MA USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 0-262-08314-0 PY 2003 BP 529 EP 533 PG 5 WC Business, Finance; Economics SC Business & Economics GA BAH54 UT WOS:000222237000038 ER PT B AU Reinhart, VR AF Reinhart, VR BE Hunter, WC Kaufman, GG Pomerleano, M TI Planning to protect against asset bubbles SO ASSET PRICE BUBBLES: THE IMPLICATIONS FOR MONETARY, REGULATORY, AND INTERNATIONAL POLICIES LA English DT Proceedings Paper CT Conference on Asset Price Bubble - Implication for Monetary, Regulatory, and International Policies CY APR 22-24, 2002 CL Federal Reserve Bank Chicago, Chicago, IL SP World Bank Grp HO Federal Reserve Bank Chicago C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 12 TC 1 Z9 1 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 0-262-08314-0 PY 2003 BP 553 EP 560 PG 8 WC Business, Finance; Economics SC Business & Economics GA BAH54 UT WOS:000222237000041 ER PT J AU Armour, BS Pitts, MM AF Armour, BS Pitts, MM TI Physician financial incentives in managed care - Resource use, quality and cost implications SO DISEASE MANAGEMENT & HEALTH OUTCOMES LA English DT Article ID HEALTH MAINTENANCE ORGANIZATIONS; MINNEAPOLIS ST-PAUL; PROSPECTIVE PAYMENT; IMPACT; PERFORMANCE; INSURANCE; BEHAVIOR; PLANS; HMOS; REIMBURSEMENT AB Patients with health insurance do not make the most cost conscious healthcare decisions since they bear only a fraction of the total cost of medical care. Managed care advocates point to financial incentives as a way to reduce wasteful resource use. However, physicians with managed care contracts feel financial pressures designed to reduce waste may also limit medically necessary services and adversely impact the quality of patient care. In light of a growing public and professional distrust of the motives behind offering financial incentives, the economic theory of agency is used to illustrate how financial contracts designed to reduce wasteful resource use influence physician behavior. A review of the literature was conducted to determine the effects of financial incentives on resource use, cost and the quality of medical care. The method used to undertake this literature review followed the approach set forth in the Cochrane Collaboration handbook. This review revealed that much of the empirical evidence on the effect of managed care on physician behavior compared the experiences of traditional indemnity plan enrollees with health maintenance organization enrollees. Published studies are outdated and are influenced by statistical problems including both patient and physician selection bias. With respect to the newer types of managed care organizations, there is a paucity of information on the effects of financial incentives on physician behavior. Despite the lack of empirical evidence, the perception remains that managed care financial incentives are perverse in that they induce physicians to take actions that compromise quality of care. To evaluate the legitimacy of these concerns, research on how physician contractual arrangements influence the cost and quality of care in the newer types of plans is needed. In the absence of such research, political rhetoric bent by anecdotal evidence will continue to influence public policy and undermine managed care. C1 Kerr L White Inst Hlth Serv Res, Decatur, GA 30030 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Armour, BS (reprint author), Kerr L White Inst Hlth Serv Res, 315 W Ponce de Leon Ave,Suite 321, Decatur, GA 30030 USA. NR 58 TC 3 Z9 3 U1 0 U2 4 PU ADIS INTERNATIONAL LTD PI AUCKLAND PA 41 CENTORIAN DR, PRIVATE BAG 65901, MAIRANGI BAY, AUCKLAND 10, NEW ZEALAND SN 1173-8790 J9 DIS MANAG HEALTH OUT JI Dis. Manag. Health Outcomes PY 2003 VL 11 IS 3 BP 139 EP 147 DI 10.2165/00115677-200311030-00001 PG 9 WC Health Care Sciences & Services SC Health Care Sciences & Services GA 651NK UT WOS:000181325900001 ER PT J AU Armour, BS Pitts, SR Pitts, MM Wike, J Alley, L Etchason, J AF Armour, BS Pitts, SR Pitts, MM Wike, J Alley, L Etchason, J TI Validation of the pneumonia severity index among patients treated at home or in the hospital SO DISEASE MANAGEMENT & HEALTH OUTCOMES LA English DT Article ID COMMUNITY-ACQUIRED PNEUMONIA; ANTIMICROBIAL THERAPY; ADMISSION DECISION; MANAGEMENT; GUIDELINES; OUTCOMES; ADULTS; TRIAL; DIAGNOSIS; PROGNOSIS AB Objective: To assess the predictive validity of the pneumonia severity-of-illness index (PSI), a mortality prediction rule, and extend the work of others by including data on outpatients treated for pneumonia. Methods: Prospective study of 675 consecutive patients with community-acquired pneumonia (CAP) [501 inpatients and 174 outpatients] treated at primary care practice clinics or emergency departments at nine medical centers (five community healthcare systems, three university-affiliated hospital systems, and one Veterans Affairs Medical Center) in Georgia and Virginia in the US between November 1996 and March 1998. Data, including demographic characteristics, co-morbid conditions, laboratory and chest x-ray results, were collected from surveys administered to patients at inception, 2, 15, and 30 days and from retrospective medical chart review. We computed the PSI for each patient using demographic and prognostic factors including age, gender, co-existing illnesses, vital signs, laboratory test results and the corresponding logistic regression parameters from previous research. In addition, the Pneumonia Outcomes Research Team (PORT) prediction rule was used to risk adjust patients for mortality severity by disposition. Results: The PSI performed well in its ability to predict mortality for our sample of patients with an area under the Receiver Operating Curve (ROC) of 0.757, significantly different than chance (p < 0.01). Results of the Homser and Lemeshow goodness of fit test also indicated that the PSI was a reasonably good predictor of mortality for our patients. Twenty-eight patients (4.1%) died within the 30-day observation period. Using the PORT prediction rule we found that 27 of the deaths occurred among inpatients (three in class II, five in class III and 19 in class IV). One of these deaths occurred among outpatients (risk class IV). Conclusion: The PSI is a valid predictor of mortality for outpatients and inpatients treated in various community-based settings. C1 Kerr L White Inst Hlth Serv Res, Decatur, GA 30030 USA. Emory Univ, Sch Med, Dept Emergency Med, Atlanta, GA USA. Emory Univ, Sch Publ Hlth, Dept Epidemiol, Atlanta, GA USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. Atlanta VA Med Ctr, Rehabil R&D Ctr, Atlanta, GA USA. RP Armour, BS (reprint author), Kerr L White Inst Hlth Serv Res, 315 W Ponce de Leon Ave,Suite 321, Decatur, GA 30030 USA. NR 26 TC 0 Z9 0 U1 0 U2 0 PU ADIS INTERNATIONAL LTD PI AUCKLAND PA 41 CENTORIAN DR, PRIVATE BAG 65901, MAIRANGI BAY, AUCKLAND 10, NEW ZEALAND SN 1173-8790 J9 DIS MANAG HEALTH OUT JI Dis. Manag. Health Outcomes PY 2003 VL 11 IS 9 BP 593 EP 599 PG 7 WC Health Care Sciences & Services SC Health Care Sciences & Services GA 725JJ UT WOS:000185540100007 ER PT J AU Dueker, M Wesche, K AF Dueker, M Wesche, K TI European business cycles: New indices and their synchronicity SO ECONOMIC INQUIRY LA English DT Article ID TIME-SERIES; BANK; COINTEGRATION; RECESSIONS; MODELS AB This article presents a new business cycle index that allows for cycle-to-cycle comparisons of the depth of recessions within a country, cross-country comparisons of business cycle correlation, and simple aggregation to arrive at a measure of a European business cycle. The data augmentation implied by Gibbs sampling generates posterior distributions for a latent coincident business cycle index. Subsample correlations between an aggregated "Europe" index and the national business cycle indices from France, Germany, and Italy are consistent with the claim that the European economies are becoming more harmonized. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. Univ Bonn, Inst Int Econ, D-53113 Bonn, Germany. RP Dueker, M (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. NR 30 TC 6 Z9 6 U1 0 U2 5 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 2003 VL 41 IS 1 BP 116 EP 131 DI 10.1093/ei/41.1.116 PG 16 WC Economics SC Business & Economics GA 632WE UT WOS:000180246000008 ER PT B AU Drabenstott, M AF Drabenstott, M GP OECD OECD TI The new frontier for US rural policy SO FUTURE OF RURAL POLICY: FROM SECTORAL TO PLACE-BASED POLICIES IN RURAL AREAS LA English DT Proceedings Paper CT Conference on Future of Rural Policy CY JUL 11-12, 2002 CL SIENA, ITALY SP Org Econ Co-Operat & Dev, Territorial Reviews & Govenance Div, Province Siena, Nomisma Consulting Grp AB This paper assesses where U.S. rural policy is likely to go in the period ahead. Most U.S. rural communities are searching for new economic engines. To adapt to this new reality, rural stakeholders increasingly agree that rural policy must change. While rural policy is still a frontier, agreement is emerging on what it should be. It should focus on regions instead of one sector. And, it should invest in new sources of competitive advantage instead of subsidising established sectors. In the future, three challenges will shape the debate on U.S. rural policy. Supporting a new generation of rural entrepreneurs will be important to the success of whatever rural policy emerges. Forging new forms of regional governance will be critical to implementing rural policies that encourage more regional partnering. Inventing new public institutions (or re-inventing old ones) to implement rural policy will be essential in making rural policy more effective. C1 Fed Reserve Bank Kansas City, Ctr Study Rural Amer, Kansas City, MO USA. NR 3 TC 1 Z9 1 U1 0 U2 0 PU ORGANIZATION ECONOMIC COOPERATION & DEVELOPMENT PI PARIS PA 2, RUE ANDRE PASCAL, CEDEX 16, 75775 PARIS, FRANCE BN 92-64-10083-0 PY 2003 BP 45 EP 59 PG 15 WC Economics SC Business & Economics GA BX80R UT WOS:000186493000003 ER PT J AU Amuedo-Dorantes, C Mach, T AF Amuedo-Dorantes, C Mach, T TI Performance pay and fringe benefits - Work incentives or compensating wage differentials? SO INTERNATIONAL JOURNAL OF MANPOWER LA English DT Article DE performance related pay; benefits; incentive schemes ID SAMPLE SELECTION; MODELS; PRODUCTIVITY; EARNINGS; GROWTH AB Uses longitudinal data from the NLSY79 to examine the effect of a broad variety of performance-based pay schemes and fringe benefits on male and female wages between 1988 and 1998. Specifically, analyzes whether the offer of various performance-based pay schemes and fringe benefits functions as an alternative work incentive, eliciting greater effort and raising wages or, instead, it is accompanied by lower wages, as predicted by compensating wage theory. The results indicate that, while most performance-based pay schemes are associated with higher wages to differing extents across gender, tips are commonly accompanied by lower wages among men. Similarly, while the offer of a retirement plan appears to as a work incentive raising male and female wages, workers are willing to trade wages for jobs offering fife and medical insurance. C1 San Diego State Univ, Dept Econ, San Diego, CA 92182 USA. Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Amuedo-Dorantes, C (reprint author), San Diego State Univ, Dept Econ, San Diego, CA 92182 USA. NR 28 TC 1 Z9 1 U1 1 U2 10 PU EMERALD GROUP PUBLISHING LIMITED PI BRADFORD PA 60/62 TOLLER LANE, BRADFORD BD8 9BY, W YORKSHIRE, ENGLAND SN 0143-7720 J9 INT J MANPOWER JI Int. J. Manpow. PY 2003 VL 24 IS 6 BP 672 EP 698 DI 10.1108/01437720310496157 PG 27 WC Industrial Relations & Labor; Management SC Business & Economics GA 741UJ UT WOS:000186478500003 ER PT J AU Bomfim, AN AF Bomfim, AN TI Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market SO JOURNAL OF BANKING & FINANCE LA English DT Article DE uncertainty; information; expectations; GARCH; risk ID CONDITIONAL HETEROSKEDASTICITY; PUBLIC INFORMATION; TRADING VOLUME; RETURNS; PRICES; IMPACT AB I examine pre-announcement and news effects on the stock market in the context of public disclosure of monetary policy decisions. The results suggest that the stock market tends to be relatively quiet - conditional volatility is abnormally low - on days preceding regularly scheduled policy announcements. Although this calming effect is routinely reported in anecdotal press accounts, it is statistically significant only over the past four to five years, a result that I attribute to changes in the Federal Reserve's disclosure practices in early 1994. The paper also looks at how the actual interest rate decisions of policy makers affect stock market volatility. The element of surprise in such decisions tends to boost stock market volatility significantly in the short run, and positive surprises - higher-than-expected values of the target federal funds rate - tend to have a larger effect on volatility than negative surprises. The implications of the results for broader issues in the finance and economics literatures are also discussed. Published by Elsevier Science B.V. C1 Fed Reserve Board, Div Monetary Affairs, Monetary & Financial Market Anal, Washington, DC 20551 USA. RP Bomfim, AN (reprint author), Fed Reserve Board, Div Monetary Affairs, Monetary & Financial Market Anal, Mail Stop 74, Washington, DC 20551 USA. NR 34 TC 84 Z9 85 U1 2 U2 19 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD JAN PY 2003 VL 27 IS 1 BP 133 EP 151 AR PII S0378-4266(01)00211-4 DI 10.1016/S0378-4266(01)00211-4 PG 19 WC Business, Finance; Economics SC Business & Economics GA 629WX UT WOS:000180076200007 ER PT J AU Koop, G Potter, SM AF Koop, G Potter, SM TI Bayesian analysis of endogenous delay threshold models SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Gibbs sampler; Markov chain Monte Carlo; nonlinearity; threshold autoregression ID TIME-SERIES; OUTPUT; NONLINEARITY; CYCLES AB We develop Bayesian methods of analysis for a new class of threshold autoregressive models: endogenous delay threshold. We apply our methods to the commonly used sunspot data set and find strong evidence in favor of the Endogenous Delay Threshold Autoregressive (EDTAR) model over linear and traditional threshold autoregressions. C1 Univ Glasgow, Dept Econ, Glasgow G12 8RT, Lanark, Scotland. Fed Reserve Bank New York, New York, NY 10045 USA. RP Koop, G (reprint author), Univ Glasgow, Dept Econ, Glasgow G12 8RT, Lanark, Scotland. OI Koop, Gary/0000-0002-6091-378X NR 21 TC 10 Z9 11 U1 0 U2 3 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 2003 VL 21 IS 1 BP 93 EP 103 DI 10.1198/073500102288618801 PG 11 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 673MF UT WOS:000182584200011 ER PT J AU Ongena, S Smith, DC Michalsen, D AF Ongena, S Smith, DC Michalsen, D TI Firms and their distressed banks: lessons from the Norwegian banking crisis SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE bank relationship; bank distress; Norwegian banking crisis ID PERFORMANCE; SHOCKS AB We use the near-collapse of the Norwegian banking system during the period 1988-1991 to measure the impact of bank distress announcements on the stock prices of firms maintaining a relationship with a distressed bank. Although banks experienced large and permanent downward revisions in their equity value during the event period, firms maintaining relationships with these banks faced only small and temporary changes, on average, in stock price. Firms with access to unused liquid bank funds and firms that issued equity just prior to the crisis experience relatively high abnormal returns. Overall, the aggregate impact of bank distress appears small. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. Norwegian Sch Management, N-1338 Sandvika, Norway. RP Smith, DC (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. EM david.c.smith@frb.gov NR 31 TC 40 Z9 40 U1 0 U2 12 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD JAN PY 2003 VL 67 IS 1 BP 81 EP 112 AR PII S0304-405X(02)00232-5 DI 10.1016/S0304-405X(02)00232-5 PG 32 WC Business, Finance; Economics SC Business & Economics GA 640DD UT WOS:000180671200003 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 SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE bank; productivity; efficiency; cost; profit ID EFFICIENCY; PRODUCTIVITY; ECONOMIES; PROFITS; SCALE; COST AB We investigate the effects of technological change, deregulation, and dynamic changes in competition on the performance of US banks. Our most striking result is that during 1991-1997, cost productivity worsened while profit productivity improved substantially, particularly for banks engaging in mergers. The data are consistent with the hypothesis that banks tried to maximize profits by raising revenues as well as reducing costs. Banks appeared to provide additional or higher quality services that raised costs but also raised revenues by more than the cost increases. The results suggest that methods that exclude revenues when assessing performance may be misleading. (C) 2002 Elsevier Science (USA). All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Univ Penn, Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA. Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM aberger@frb.gov; loretta.mester@phil.frb.org NR 31 TC 134 Z9 135 U1 4 U2 15 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 EI 1096-0473 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JAN PY 2003 VL 12 IS 1 BP 57 EP 95 DI 10.1016/S1042-9573(02)00006-2 PG 39 WC Business, Finance SC Business & Economics GA 664GV UT WOS:000182054100003 ER PT J AU Stefanadis, C AF Stefanadis, C TI Self-regulation, innovation, and the financial industry SO JOURNAL OF REGULATORY ECONOMICS LA English DT Article ID WELFARE AB The paper shows that the presence of continuous innovation may be one of the driving forces of self-regulation. In an infinitely repeated game, there exists a class of subgame perfect equilibria in which the self-regulatory organization, or SRO, pursues socially desirable objectives along the equilibrium path to stave off government intervention. Delegating regulatory authority to the SRO eliminates certification-related delays in the adoption of new services, fosters innovation and leads to higher social welfare. C1 Fed Reserve Bank New York, Dept Res, New York, NY 10045 USA. RP Stefanadis, C (reprint author), Fed Reserve Bank New York, Dept Res, 33 Liberty St, New York, NY 10045 USA. NR 23 TC 15 Z9 16 U1 1 U2 7 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0922-680X J9 J REGUL ECON JI J. Regul. Econ. PD JAN PY 2003 VL 23 IS 1 BP 5 EP 25 DI 10.1023/A:1021858812744 PG 21 WC Economics SC Business & Economics GA 632KC UT WOS:000180221600001 ER PT S AU Alesina, A Barro, RJ Tenreyro, S Dornbusch, R Rose, AK AF Alesina, A Barro, RJ Tenreyro, S Dornbusch, R Rose, AK BE Gertler, M Rogoff, K TI Optimal currency areas SO MACROECONOMICS ANNUAL 2002 SE NBER Macroeconomics Annual LA English DT Article; Proceedings Paper CT Annual Macroeconomics Conference CY APR, 2002 CL CAMBRIDGE, MA SP Natl Bur Econ Res ID TRADE; UNION; MONEY AB As the number of independent countries increases and their economies become more integrated, we would expect to observe more multicountry currency unions. This paper explores the pros and cons for different countries to adopt as an anchor the dollar, the euro, or the yen. Although there appear to be reasonably well-defined euro and dollar areas, there does not seem to be a yen area. We also address the question of how trade and comovements of outputs and prices would respond to the formation of a currency union. This response is important because the decision of a country to join a union would depend on how the union affects trade and comovements. C1 Harvard Univ, NBER, Cambridge, MA 02138 USA. CPER, London, England. Hoover Inst War Revolut & Peace, Stanford, CA 94305 USA. Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Alesina, A (reprint author), Harvard Univ, NBER, Cambridge, MA 02138 USA. RI Rose, Andrew/I-1578-2014 OI Rose, Andrew/0000-0003-1100-1212 NR 44 TC 9 Z9 9 U1 1 U2 6 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0889-3365 BN 0-262-07246-7 J9 NBER MACROECON ANN PY 2003 VL 17 BP 301 EP + PG 57 WC Economics SC Business & Economics GA BX24F UT WOS:000184719300006 ER PT B AU Drabenstott, M Novack, N Abraham, B AF Drabenstott, M Novack, N Abraham, B GP FRBKC TI Main streets of tomorrow: Growing and financing rural entrepreneurs - A conference summary SO MAIN STREETS OF TOMORROW: GROWING AND FINANCING RURAL ENTREPRENEURSHIP - 2003 PROCEEDINGS LA English DT Proceedings Paper CT 4th Annual Rural Policy Conference CY APR 28-29, 2003 CL Kansas City, MO SP Fed Reserve Bank Kansas City, Ctr Study Rural Amer C1 Fed Res Bank Kansas City, Ctr Study Rural Amer, Kansas City, KS USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK KANSAS CITY PI KANSAS CITY PA 925 GRAND AVE, KANSAS CITY, MO 64198 USA PY 2003 BP 1 EP 7 PG 7 WC Business; Planning & Development SC Business & Economics; Public Administration GA BAQ59 UT WOS:000223204700001 ER PT B AU Bliss, RR AF Bliss, RR BE Kaufman, GG TI Resolving large complex financial organizations SO MARKET DISCIPLINE IN BANKING: THEORY AND EVIDENCE SE RESEARCH IN FINANCIAL SERVICES: PRIVATE AND PUBLIC POLICY LA English DT Proceedings Paper CT 2nd International Symposium on Spatial Data Quality CY MAR 19-20, 2003 CL UNIV HONG KONG, HONG KONG, PEOPLES R CHINA HO UNIV HONG KONG AB The resolution of a large complex financial organization (LCFO) presents numerous problems, including organizational complexity, opacity of positions, and conflicting legal jurisdictions. Of particular concern is the potential impact of large derivatives books. Widespread adoption of laws permitting close-out of derivatives contracts exempts these contracts from the usual stays that provide time for the orderly resolution of claims by the courts. Thus, a potentially significant part of the LCFO's assets and liabilities are exempted from normal bankruptcy procedures, creating the potential for a disorderly dismemberment of an insolvent LCFO. Nonetheless, however inconvenient they may be for bankruptcy administrators, the closeout netting privileges enjoyed by derivatives are essential to reducing legal uncertainty, increasing liquidity, and minimizing the systemic impact of large failures. The solution advocated in this paper is for regulators to provide "facilitated private resolution" for dealing with systemically important financial institutions, along the lines of the Long-Term Capital Management workout and the "London Approach" practiced in the last century. To make this early intervention effective, consolidated supervision is needed to ensure that comprehensive information is available and intervention takes place while the firm is still solvent. C1 Fed Reserve Bank Chicago, Chicago, IL USA. NR 21 TC 6 Z9 6 U1 0 U2 1 PU JAI-ELSEVIER SCI BV PI AMSTERDAM PA RADARWEG 29, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 0-7623-1080-4 J9 RES FIN SERV PY 2003 VL 15 BP 3 EP 31 DI 10.1016/S1052-7788(03)15001-1 PG 29 WC Business, Finance SC Business & Economics GA BY44K UT WOS:000189293700001 ER PT B AU Feldman, R Jagtiani, J Schmidt, J AF Feldman, R Jagtiani, J Schmidt, J BE Kaufman, GG TI The impact of supervisory disclosure on the supervisory process: Will bank supervisors be less likely to downgrade banks? SO MARKET DISCIPLINE IN BANKING: THEORY AND EVIDENCE SE RESEARCH IN FINANCIAL SERVICES: PRIVATE AND PUBLIC POLICY LA English DT Proceedings Paper CT 2nd International Symposium on Spatial Data Quality CY MAR 19-20, 2003 CL UNIV HONG KONG, HONG KONG, PEOPLES R CHINA HO UNIV HONG KONG ID INFORMATION-CONTENT; RATINGS AB An argument for refusing to publicly disclose supervisory ratings of the safety and soundness of banks rests on the claim that such disclosure will reduce supervisory effectiveness. Specifically, some argue that public disclosure of supervisory ratings will reduce the likelihood that bank supervisors take adverse, but deserved, actions against a bank such as a rating downgrade. This argument has not been subject to an empirical investigation. We provide the first test of this claim by examining if and how rating downgrades and upgrades changed when supervisors altered their policies and began disclosing ratings to bank management. If supervisors were more reluctant to alter ratings because of this change in disclosure policy, then it is reasonable to believe that disclosing ratings to the public - the ultimate goal of many proposals - would have as large or a larger effect. After controlling for bank-specific and standard economic factors, we find that more expansive disclosure did not make downgrades less likely. While such results are insufficient by themselves to justify release of bank supervisory data to the public, they are a necessary condition for enacting such a policy. C1 Fed Reserve Bank Minneapolis, Minneapolis, MN USA. NR 21 TC 1 Z9 1 U1 0 U2 0 PU JAI-ELSEVIER SCI BV PI AMSTERDAM PA RADARWEG 29, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 0-7623-1080-4 J9 RES FIN SERV PY 2003 VL 15 BP 33 EP 55 DI 10.1016/S1052-7788(03)15002-3 PG 23 WC Business, Finance SC Business & Economics GA BY44K UT WOS:000189293700002 ER PT B AU Rosenblum, H AF Rosenblum, H BE Kaufman, GG TI Market discipline in banking: Theory and evidence - Comment SO MARKET DISCIPLINE IN BANKING: THEORY AND EVIDENCE SE RESEARCH IN FINANCIAL SERVICES: PRIVATE AND PUBLIC POLICY LA English DT Proceedings Paper CT 2nd International Symposium on Spatial Data Quality CY MAR 19-20, 2003 CL UNIV HONG KONG, HONG KONG, PEOPLES R CHINA HO UNIV HONG KONG C1 Fed Reserve Bank Dallas, Dallas, TX USA. NR 3 TC 0 Z9 0 U1 0 U2 0 PU JAI-ELSEVIER SCI BV PI AMSTERDAM PA RADARWEG 29, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 0-7623-1080-4 J9 RES FIN SERV PY 2003 VL 15 BP 151 EP 154 DI 10.1016/S1052-7788(03)15008-4 PG 4 WC Business, Finance SC Business & Economics GA BY44K UT WOS:000189293700008 ER PT B AU Bergman, WJ Bliss, RR Johnson, CA Kaufman, GG AF Bergman, WJ Bliss, RR Johnson, CA Kaufman, GG BE Kaufman, GG TI Netting, financial contracts, and banks: The economic implications SO MARKET DISCIPLINE IN BANKING: THEORY AND EVIDENCE SE RESEARCH IN FINANCIAL SERVICES: PRIVATE AND PUBLIC POLICY LA English DT Proceedings Paper CT 2nd International Symposium on Spatial Data Quality CY MAR 19-20, 2003 CL UNIV HONG KONG, HONG KONG, PEOPLES R CHINA HO UNIV HONG KONG AB Derivatives and certain other off-balance sheet contracts enjoy special legal protection on insolvent counterparties through a process referred to as "close-out netting." This paper explores the legal status and economic implications of this protection. While this protection benefits major derivatives dealers and derivatives markets, it is less clear that other market participants or markets in general are better or worse off. While we are not able to conclude whether or not these protections are socially optimal, we outline the wide range of issues that a general consideration of the pros and cons of netting protection should take into cognizance, and analyze :some of these issues critically. Ultimately the question becomes one of quantifying complex trade-offs. C1 Fed Reserve Bank Chicago, Chicago, IL USA. NR 22 TC 4 Z9 4 U1 0 U2 0 PU JAI-ELSEVIER SCI BV PI AMSTERDAM PA RADARWEG 29, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 0-7623-1080-4 J9 RES FIN SERV PY 2003 VL 15 BP 303 EP 334 DI 10.1016/S1052-7788(03)15015-1 PG 32 WC Business, Finance SC Business & Economics GA BY44K UT WOS:000189293700015 ER PT B AU Emmons, WR AF Emmons, WR BE Kaufman, GG TI Interbank netting agreements and the redistribution of bank default risk SO MARKET DISCIPLINE IN BANKING: THEORY AND EVIDENCE SE RESEARCH IN FINANCIAL SERVICES: PRIVATE AND PUBLIC POLICY LA English DT Proceedings Paper CT 2nd International Symposium on Spatial Data Quality CY MAR 19-20, 2003 CL UNIV HONG KONG, HONG KONG, PEOPLES R CHINA HO UNIV HONG KONG AB FDICIA sought to reduce the extent of bank default risk borne by the FDIC and, ultimately, by the taxpayer. Various provisions of FDICIA indeed reduce the extent of bank losses likely to be imposed on the FDIC. A less well-known aspect of FDICIA is its support of interbank netting agreements, which may be an important tool for reducing interbank, or systemic, risk. This paper points out that a corollary of the systemic-risk reducing properties of interbank netting agreements is the shifting of bank default risk away from bank creditors whose claims are netted toward other creditors whose claims are not netted-including the FDIC. Determination of the impact of FDICIA on the FDIC's exposure therefore should take into account the risk-shifting aspect of interbank netting agreements. C1 Fed Reserve Bank St Louis, St Louis, MO USA. NR 14 TC 0 Z9 0 U1 2 U2 4 PU JAI-ELSEVIER SCI BV PI AMSTERDAM PA RADARWEG 29, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 0-7623-1080-4 J9 RES FIN SERV PY 2003 VL 15 BP 335 EP 357 DI 10.1016/S1052-7788(03)15016-3 PG 23 WC Business, Finance SC Business & Economics GA BY44K UT WOS:000189293700016 ER PT B AU Evanoff, DD AF Evanoff, DD BE Kaufman, GG TI Market discipline in banking: Role of supervisors and netting - Comment SO MARKET DISCIPLINE IN BANKING: THEORY AND EVIDENCE SE RESEARCH IN FINANCIAL SERVICES: PRIVATE AND PUBLIC POLICY LA English DT Proceedings Paper CT 2nd International Symposium on Spatial Data Quality CY MAR 19-20, 2003 CL UNIV HONG KONG, HONG KONG, PEOPLES R CHINA HO UNIV HONG KONG AB In this summary of the discussion on the roles of supervisors and netting for market discipline, we place the issues in a broader context as to what they mean for the financial industry. We then discuss certain attributes and perceived shortcomings of Bergman, Bliss, Johnson and Kaufman (2003), Emmons (2003), Hall, King, Meyer and Vaughan (2003), and O'Keefe, Olin and Richardson (2003). Recommendations for future research efforts are also offered. C1 Fed Reserve Bank Chicago, Chicago, IL USA. NR 21 TC 0 Z9 0 U1 0 U2 0 PU JAI-ELSEVIER SCI BV PI AMSTERDAM PA RADARWEG 29, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS BN 0-7623-1080-4 J9 RES FIN SERV PY 2003 VL 15 BP 425 EP 432 DI 10.1016/S1052-7788(03)15019-9 PG 8 WC Business, Finance SC Business & Economics GA BY44K UT WOS:000189293700019 ER PT B AU Daly, MC Burkhauser, RV AF Daly, MC Burkhauser, RV BE Moffitt, RA TI The supplemental security income program SO MEANS-TESTED TRANSFER PROGRAMS IN THE UNITED STATES SE NATIONAL BUREAU OF ECONOMIC RESEARCH CONFERENCE REPORT LA English DT Proceedings Paper CT Conference on Means-Tested Transfer Programs in the United States CY MAY 11-12, 2000 CL Cambridge, MA SP Natl Bur Econ Res, Smith Richardson Fdn ID LABOR-FORCE PARTICIPATION; SSI PROGRAM; MINIMUM-WAGE; DISABILITY; WORK; US; NONPARTICIPATION; RETIREMENT; INSURANCE; EARNINGS C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RI Burkhauser, Richard/G-5403-2015 OI Burkhauser, Richard/0000-0003-4629-0253 NR 82 TC 11 Z9 11 U1 1 U2 2 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA BN 0-226-53356-5 J9 NBER CONF R PY 2003 BP 79 EP 139 PG 61 WC Economics; Public Administration SC Business & Economics; Public Administration GA BAK75 UT WOS:000222649600003 ER PT B AU Hole, J AF Hole, J GP FED RESERVE BANK KANSAS CITY TI Monetary policy and uncertainty: Adapting to a changing economy SO MONETARY POLICY AND UNCERTAINTY: ADAPTING TO A CHANGING ECONOMY LA English DT Proceedings Paper CT Symposium on Monetary Policy and Uncertainty - Adapting to a Changing Economy CY AUG 28-30, 2003 CL Jackson Hole, WY SP Fed Reserve Bank Kansas City C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 2 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK KANSAS CITY PI KANSAS CITY PA 925 GRAND AVE, KANSAS CITY, MO 64198 USA PY 2003 BP 1 EP 7 PG 7 WC Business, Finance; Economics SC Business & Economics GA BAL40 UT WOS:000222681700001 ER PT B AU Reinhart, VR AF Reinhart, VR GP FED RESERVE BANK KANSAS CITY TI Making monetary policy in an uncertain world SO MONETARY POLICY AND UNCERTAINTY: ADAPTING TO A CHANGING ECONOMY LA English DT Proceedings Paper CT Symposium on Monetary Policy and Uncertainty - Adapting to a Changing Economy CY AUG 28-30, 2003 CL Jackson Hole, WY SP Fed Reserve Bank Kansas City C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. NR 10 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK KANSAS CITY PI KANSAS CITY PA 925 GRAND AVE, KANSAS CITY, MO 64198 USA PY 2003 BP 265 EP 274 PG 10 WC Business, Finance; Economics SC Business & Economics GA BAL40 UT WOS:000222681700011 ER PT J AU Barnes, ML Olivei, GP AF Barnes, ML Olivei, GP TI Inside and outside bounds: Threshold estimates of the Phillips curve SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article AB Over the past 30 years, debates abput the usefulness of the Phillips curve for explaining inflation have been ongoing. One of the reasons for the recurring debate about the existence of an inflation and unemployment tradeoff is that there have been several instances when large movements in the unemployment rate have elicited little response in the inflation rate. In principle, these episodes of horizontal movement are consistent with a Phillips curve relationship; they just require the curve to shift in the same direction as the unemployment rate. Econometric representations of the Phillips relationship usually incorporate factors that can cause the Phillips curve to shift over time. However, the literature has not yet provided a test of whether such factors are sufficient to explain the episodes of horizontal movement. In this paper, the authors test the explanatory power of a piecewise linear specification of the Phillips relationship against a simple linear specification. The authors find that a piecewise linear specification of the Phillips curve provides a good characterization of inflation dynamics over the past 40 years and that the traditional shifters in the relationships are insufficient to characterize the episodes of horizontal movement. Apparently, the gap between the unemployment rate and the natural rate a of unemployment must be-outside,of some threshold values before triggering a response in inflation. This suggests that monetary policy should aim to drive the unemployment rate. However until the lower limit of the inflation range-is reached however, such a strategy is complicated by the fact that the lower unemployment limit is estimated With uncertainty, leaving the policy implications open to debate. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Barnes, ML (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 15 TC 9 Z9 9 U1 0 U2 1 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2003 IS 1-4 BP 3 EP + PG 17 WC Economics SC Business & Economics GA 762UX UT WOS:000188001500001 ER PT J AU Stavins, J AF Stavins, J TI Network externalities in the market for electronic check payments SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article ID TECHNOLOGY ADOPTION AB Network externalities exist when the value of a good or service to a Potential consumer increases with the number of other consumers using the same product. For a service characterized,by network externalities, adoption and use can be below the socially optimal level because consumers or firms do not take into account the positive effect of their own use on others' use. A firm may decide not to adopt a technology because its private net benefits from adoption are negative, even though net social benefits may be positive. There could be at least two reasons why electronic check products have been relatively slow to spread: Financial institutions (or their customers) do not find electronic check products sufficiently attractive, and network externalities slow down the rate of adoption of these services. If network externalities are the cause of the slow rate of adoption, then there may be a reason to provide additional incentives to depository institutions to encourage their use. Using data on individual banks' use of Federal Reserve electronic check services, the author tests whether local network externalities exist in electronic check services provided by the Federal Reserve. Two tests are applied: a clustering test and a market concentration test. The author finds no evidence that local network externalities exist in the market for electronic check services. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Stavins, J (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 12 TC 0 Z9 0 U1 0 U2 1 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2003 IS 1-4 BP 19 EP + PG 14 WC Economics SC Business & Economics GA 762UX UT WOS:000188001500002 ER PT J AU Fortune, P AF Fortune, P TI Margin requirements across equity-related instruments: How level is the playing field? SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article ID FUTURES; LOANS AB Investors can participate in the returns on the Standard and Poor's 500 composite index in a variety of ways, and these alternatives exist because they differ in important respects. This article assesses one dimension of these differences-margin requirements. Focusing on equity-related instruments, the author develops a model to simulate the values arising from several identical positions obtained by combinations of stocks and stock. derivatives. The results are then used to assess the costs of margin requirements on alternative strategies. The primary conclusion is that the playing field is more level than a cursory focus on initial margin requirements might indicate. The costs associated with margin requirements on equities or stock indexes are essentially fixed costs. On the other hand, costs of margin requirements on derivatives, particularly on futures contracts, have a low fixed cost component but are more sensitive to the price of the underlying security. Investors may be choosing their strategies based on their tolerance for risk and may be sorting themselves into different markets, allowing all instruments to be financially viable. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Fortune, P (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 13 TC 2 Z9 2 U1 0 U2 1 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2003 IS 1-4 BP 31 EP + PG 21 WC Economics SC Business & Economics GA 762UX UT WOS:000188001500003 ER PT J AU Demiralp, S Hoover, KD AF Demiralp, S Hoover, KD TI Searching for the causal structure of a vector autoregression SO OXFORD BULLETIN OF ECONOMICS AND STATISTICS LA English DT Article; Proceedings Paper CT 13th European Conference of the Econometrics Community CY DEC 13-14, 2002 CL UNIV BOLOGNA, BOLOGNA, ITALY HO UNIV BOLOGNA AB We provide an accessible introduction to graph-theoretic methods for causal analysis. Building on the work of Swanson and Granger (Journal of the American Statistical Association, Vol. 92, pp. 357-367, 1997), and generalizing to a larger class of models, we show how to apply graph-theoretic methods to selecting the causal order for a structural vector autoregression (SVAR). We evaluate the PC (causal search) algorithm in a Monte Carlo study. The PC algorithm uses tests of conditional independence to select among the possible causal orders - or at least to reduce the admissible causal orders to a narrow equivalence class. Our findings suggest that graph-theoretic methods may prove to be a useful tool in the analysis of SVARs. C1 Fed Reserve Syst, Board Governors, Div Monetary Affairs Monetary & Reserve Anal, Washington, DC 20551 USA. Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. RP Demiralp, S (reprint author), Fed Reserve Syst, Board Governors, Div Monetary Affairs Monetary & Reserve Anal, Washington, DC 20551 USA. EM selva.demiralp@frb.gov; kdhoover@ucdavis.edu RI Demiralp, Selva/L-6650-2016 OI Demiralp, Selva/0000-0003-4087-168X NR 34 TC 64 Z9 68 U1 0 U2 5 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. PY 2003 VL 65 SU S BP 745 EP 767 DI 10.1046/j.0305-9049.2003.00087.x PG 23 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 763TC UT WOS:000188115700005 ER PT J AU Hansen, PR Lunde, A Nason, JM AF Hansen, PR Lunde, A Nason, JM TI Choosing the best volatility models: The model confidence set approach SO OXFORD BULLETIN OF ECONOMICS AND STATISTICS LA English DT Article; Proceedings Paper CT 13th European Conference of the Econometrics Community CY DEC 13-14, 2002 CL UNIV BOLOGNA, BOLOGNA, ITALY HO UNIV BOLOGNA ID AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; ARCH MODELS; PREDICTIVE ABILITY; TIME-SERIES; ACCURACY; VARIANCE; MARKETS; TESTS AB This paper applies the model confidence set (MCS) procedure of Hansen, Lunde and Nason (2003) to a set of volatility models. An MCS is analogous to the confidence interval of a parameter in the sense that it contains the best forecasting model with a certain probability. The key to the MCS is that it acknowledges the limitations of the information in the data. The empirical exercise is based on 55 volatility models and the MCS includes about a third of these when evaluated by mean square error, whereas the MCS contains only a VGARCH model when mean absolute deviation criterion is used. We conduct a simulation study which shows that the MCS captures the superior models across a range of significance levels. When we benchmark the MCS relative to a Bonferroni bound, the latter delivers inferior performance. C1 Brown Univ, Dept Econ, Providence, RI 02912 USA. Aarhus Sch Business, Dept Informat Sci, Aarhus V, Denmark. Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA USA. RP Hansen, PR (reprint author), Brown Univ, Dept Econ, Providence, RI 02912 USA. EM peter_hansen@brown.edu; alunde@asb.dk; jim.nason@atl.frb.org OI Hansen, Peter Reinhard/0000-0001-9728-4860 NR 40 TC 41 Z9 43 U1 7 U2 18 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. PY 2003 VL 65 SU S BP 839 EP 861 DI 10.1046/j.0305-9049.2003.00086.x PG 23 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 763TC UT WOS:000188115700009 ER PT J AU Ghosh, MC Wang, XT Li, SP Klee, C AF Ghosh, MC Wang, XT Li, SP Klee, C TI Regulation of calcineurin by oxidative stress SO PROTEIN PHOSPHATASES SE METHODS IN ENZYMOLOGY LA English DT Review ID ACTIVE-SITE; PROTEIN PHOSPHATASE; METAL CENTER; DEPHOSPHORYLATION; IDENTIFICATION; INACTIVATION; COMPLEX; ENZYME; BRAIN; ZN C1 NICHHD, Cell Biol & Metab Branch, NIH, Bethesda, MD 20892 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NCI, Biochem Lab, NIH, Bethesda, MD 20892 USA. RP Ghosh, MC (reprint author), NICHHD, Cell Biol & Metab Branch, NIH, Bethesda, MD 20892 USA. NR 28 TC 10 Z9 12 U1 0 U2 0 PU ACADEMIC PRESS INC PI SAN DIEGO PA 525 B STREET, SUITE 1900, SAN DIEGO, CA 92101-4495 USA SN 0076-6879 J9 METHOD ENZYMOL JI Methods Enzymol. PY 2003 VL 366 BP 289 EP 304 PG 16 WC Biochemical Research Methods; Biochemistry & Molecular Biology SC Biochemistry & Molecular Biology GA BY10D UT WOS:000187630800022 PM 14674256 ER PT J AU Haughwout, A AF Haughwout, A TI Property taxation and local government finance: Essays in Honor of C. Lowell Harriss, 2001 SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Book Review C1 Fed Reserve Bank New York, Res & Mkt Anal Grp, New York, NY 10045 USA. RP Haughwout, A (reprint author), Fed Reserve Bank New York, Res & Mkt Anal Grp, 33 Liberty St, New York, NY 10045 USA. NR 1 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD JAN PY 2003 VL 33 IS 1 BP 115 EP 119 AR PII S0166-0462(02)00030-3 DI 10.1016/S0166-0462(02)00030-3 PG 5 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 633UX UT WOS:000180303300005 ER PT B AU Hunter, WC AF Hunter, William C. BA Mikdashi, Z BF Mikdashi, Z TI Introduction: Risks and Protagonists SO REGULATING THE FINANCIAL SECTOR IN THE ERA OF GLOBALIZATION: PERSPECTIVES FROM POLITICAL ECONOMY AND MANAGEMENT LA English DT Editorial Material; Book Chapter C1 [Hunter, William C.] Fed Reserve Bank Chicago, Chicago, IL USA. [Hunter, William C.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Hunter, William C.] NATO Adv Study Inst, Anacapri, Italy. RP Hunter, WC (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-4039-1638-9 PY 2003 BP 1 EP + D2 10.1057/9781403990112 PG 16 WC Business, Finance SC Business & Economics GA BPR74 UT WOS:000279733900002 ER PT B AU Hunter, WC AF Hunter, William C. BA Mikdashi, Z BF Mikdashi, Z TI Challenges of Corporate Governance SO REGULATING THE FINANCIAL SECTOR IN THE ERA OF GLOBALIZATION: PERSPECTIVES FROM POLITICAL ECONOMY AND MANAGEMENT LA English DT Article; Book Chapter C1 [Hunter, William C.] Fed Reserve Bank Chicago, Chicago, IL USA. [Hunter, William C.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Hunter, William C.] NATO Adv Study Inst, Anacapri, Italy. RP Hunter, WC (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-4039-1638-9 PY 2003 BP 11 EP + D2 10.1057/9781403990112 PG 21 WC Business, Finance SC Business & Economics GA BPR74 UT WOS:000279733900003 ER PT B AU Hunter, WC AF Hunter, William C. BA Mikdashi, Z BF Mikdashi, Z TI Foreword: Incentive-based Supervision and Regulation of Financial Institutions SO REGULATING THE FINANCIAL SECTOR IN THE ERA OF GLOBALIZATION: PERSPECTIVES FROM POLITICAL ECONOMY AND MANAGEMENT LA English DT Editorial Material; Book Chapter C1 [Hunter, William C.] Fed Reserve Bank Chicago, Chicago, IL USA. [Hunter, William C.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Hunter, William C.] NATO Adv Study Inst, Anacapri, Italy. RP Hunter, WC (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-4039-1638-9 PY 2003 BP XVIII EP XXVI D2 10.1057/9781403990112 PG 9 WC Business, Finance SC Business & Economics GA BPR74 UT WOS:000279733900001 ER PT B AU Hunter, WC AF Hunter, William C. BA Mikdashi, Z BF Mikdashi, Z TI Prudential Regulatory Norms SO REGULATING THE FINANCIAL SECTOR IN THE ERA OF GLOBALIZATION: PERSPECTIVES FROM POLITICAL ECONOMY AND MANAGEMENT LA English DT Article; Book Chapter C1 [Hunter, William C.] Fed Reserve Bank Chicago, Chicago, IL USA. [Hunter, William C.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Hunter, William C.] NATO Adv Study Inst, Anacapri, Italy. RP Hunter, WC (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-4039-1638-9 PY 2003 BP 28 EP + D2 10.1057/9781403990112 PG 36 WC Business, Finance SC Business & Economics GA BPR74 UT WOS:000279733900004 ER PT B AU Hunter, WC AF Hunter, William C. BA Mikdashi, Z BF Mikdashi, Z TI Effective Supervision and Enforcement SO REGULATING THE FINANCIAL SECTOR IN THE ERA OF GLOBALIZATION: PERSPECTIVES FROM POLITICAL ECONOMY AND MANAGEMENT LA English DT Article; Book Chapter C1 [Hunter, William C.] Fed Reserve Bank Chicago, Chicago, IL USA. [Hunter, William C.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Hunter, William C.] NATO Adv Study Inst, Anacapri, Italy. RP Hunter, WC (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-4039-1638-9 PY 2003 BP 60 EP + D2 10.1057/9781403990112 PG 35 WC Business, Finance SC Business & Economics GA BPR74 UT WOS:000279733900005 ER PT B AU Hunter, WC AF Hunter, William C. BA Mikdashi, Z BF Mikdashi, Z TI Financial Safety Nets SO REGULATING THE FINANCIAL SECTOR IN THE ERA OF GLOBALIZATION: PERSPECTIVES FROM POLITICAL ECONOMY AND MANAGEMENT LA English DT Article; Book Chapter C1 [Hunter, William C.] Fed Reserve Bank Chicago, Chicago, IL USA. [Hunter, William C.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Hunter, William C.] NATO Adv Study Inst, Anacapri, Italy. RP Hunter, WC (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-4039-1638-9 PY 2003 BP 91 EP + D2 10.1057/9781403990112 PG 55 WC Business, Finance SC Business & Economics GA BPR74 UT WOS:000279733900006 ER PT B AU Hunter, WC AF Hunter, William C. BA Mikdashi, Z BF Mikdashi, Z TI In Search of Financial Stability SO REGULATING THE FINANCIAL SECTOR IN THE ERA OF GLOBALIZATION: PERSPECTIVES FROM POLITICAL ECONOMY AND MANAGEMENT LA English DT Article; Book Chapter C1 [Hunter, William C.] Fed Reserve Bank Chicago, Chicago, IL USA. [Hunter, William C.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Hunter, William C.] NATO Adv Study Inst, Anacapri, Italy. RP Hunter, WC (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-4039-1638-9 PY 2003 BP 141 EP + D2 10.1057/9781403990112 PG 44 WC Business, Finance SC Business & Economics GA BPR74 UT WOS:000279733900007 ER PT B AU Hunter, WC AF Hunter, William C. BA Mikdashi, Z BF Mikdashi, Z TI Overview and Conclusion: Regulatory Progress SO REGULATING THE FINANCIAL SECTOR IN THE ERA OF GLOBALIZATION: PERSPECTIVES FROM POLITICAL ECONOMY AND MANAGEMENT LA English DT Editorial Material; Book Chapter C1 [Hunter, William C.] Fed Reserve Bank Chicago, Chicago, IL USA. [Hunter, William C.] Fed Reserve Bank Atlanta, Atlanta, GA USA. [Hunter, William C.] NATO Adv Study Inst, Anacapri, Italy. RP Hunter, WC (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-1-4039-1638-9 PY 2003 BP 178 EP + D2 10.1057/9781403990112 PG 22 WC Business, Finance SC Business & Economics GA BPR74 UT WOS:000279733900008 ER PT J AU Martin, T Davies, PS AF Martin, T Davies, PS TI Changes in the demographic and economic characteristics of SSI and DI beneficiaries between 1984 and 1999 SO SOCIAL SECURITY BULLETIN LA English DT Article; Proceedings Paper CT Annual Meeting of the Population-Association-of-America CY MAY 01-03, 2003 CL Minneapolis, MN SP Populat Assoc Amer ID DISABILITY PROGRAMS AB During the past 20 years, legislative and judical actions have affected Supplemental Security Income and Disability Insurance beneficiaries. This article compares important changes in demographics, income sources and amounts, and poverty status Of beneficiaries of both programs between 1984 and 1999, using data from the Survey of Income and Program Participation matched to administrative data from the Social Security Administration. The average age of both groups has decreased, while their education levels increased. In 1999, Disability Insurance beneficiaries and their families relied less on Social Security, while their poverty rate remained fairly constant. The Supplemental Security Income population had a lower poverty rate, while beneficiaries were slightly more reliant on Social Security for personal income. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Colorado Coll, Colorado Springs, CO 80903 USA. Off Policy Social Secut Adm, Off Res Evaluat & Stat, Div SSI Stat & Anal, Washington, DC USA. RP Martin, T (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 22 TC 4 Z9 4 U1 0 U2 0 PU US GOVERNMENT PRINTING OFFICE PI WASHINGTON PA SUPERINTENDENT DOCUMENTS,, WASHINGTON, DC 20402-9325 USA SN 0037-7910 J9 SOC SECUR BULL JI Soc. Secur. Bull. PY 2003 VL 65 IS 2 BP 1 EP 13 PG 13 WC Public Administration; Social Issues SC Public Administration; Social Issues GA 859ER UT WOS:000224246700001 ER PT J AU Iyigun, MF Levin, AT AF Iyigun, MF Levin, AT TI What determines public support for affirmative action? SO SOUTHERN ECONOMIC JOURNAL LA English DT Article ID INEQUALITY; ENFORCEMENT; GROWTH AB We present a public higher-education finance model in which demand for education can exceed supply because of individibilities in educational investment. In such situations, a screening mechanism-which may exhibit a selection system bias-is required for allocation. We show how changes in the education premium and the test score gap between the minority and the majority might affect political support for affirmative action. When the education premium is relatively low, the matching efficiency gains provided by affirmative action are high compared with the opportunity cost of not acquiring education, and the majority supports affirmative action. When the education premium is high, the opportunity cost of not getting educated is high relative to the matching efficiency gains provided by affirmative action policies, and the majority's support for affirmative action is weaker. In contrast, a higher test score bias has a generally ambigious effect on the majority's political support. If the test score bias is sufficiently large, however, the majority does support affirmative action. C1 Univ Colorado, Dept Econ, Boulder, CO 80309 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Iyigun, MF (reprint author), Univ Colorado, Dept Econ, Campus Box 256, Boulder, CO 80309 USA. NR 18 TC 0 Z9 0 U1 0 U2 2 PU UNIV NORTH CAROLINA PI CHAPEL HILL PA SOUTHERN ECONOMIC JOURNAL, CHAPEL HILL, NC 27514 USA SN 0038-4038 J9 SOUTH ECON J JI South. Econ. J. PD JAN PY 2003 VL 69 IS 3 BP 612 EP 627 DI 10.2307/1061697 PG 16 WC Economics SC Business & Economics GA 637LJ UT WOS:000180512600007 ER PT B AU Emmons, WR Schmid, FA AF Emmons, WR Schmid, FA BE Padoan, PC Brenton, PA Boyd, G TI Cracks in the facade: American economic and financial structures after the boom SO STRUCTURAL FOUNDATIONS OF INTERNATIONAL FINANCE: PROBLEMS OF GROWTH AND STABILITY SE NEW HORIZONS IN INTERNATIONAL BUSINESS LA English DT Proceedings Paper CT Conference on Structural Foundations of International Finance CY MAY, 2002 CL St Mary Univ, Halifax, CANADA SP St Mary Univ HO St Mary Univ ID INTERMEDIARIES; MARKETS; INVEST; US C1 Fed Reserve Bank St Louis, Div Bank Supervis & Regulat, St Louis, MO USA. NR 27 TC 0 Z9 0 U1 0 U2 0 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 1-84376-386-9 J9 NEW HORIZ INT BUS PY 2003 BP 143 EP 168 PG 26 WC Business, Finance SC Business & Economics GA BAR18 UT WOS:000223229400007 ER PT S AU Gokhale, J Kotlikoff, LJ AF Gokhale, Jagadeesh Kotlikoff, Laurence J. BE Poterba, JM TI Who gets paid to save? SO Tax Policy and the Economy, Vol 17 SE TAX POLICY AND THE ECONOMY LA English DT Proceedings Paper CT 17th Tax Policy and the Economy Conference CY OCT, 2002 CL Washington, DC SP Natl Bureau Econ Res, MIT Press AB Who gains, and by how much, from govermnent saving incentives? This question is tough to answer because the tax code has myriad interacting provisions, many of which are difficult to appreciate fully. Take, for example, workers who contribute to 401(k) plans. They lower their current taxes, but they also raise their future taxes. How much their taxes decline when the workers are young and rise when they are old depends on their tax brackets when they are young and old. But these brackets can change dramatically in response to the size of 401(k) contributions and withdrawals. Changes in tax brackets will, in turn, change the tax savings from mortgage interest payments and other tax deductions. In addition, the level of withdrawals can trigger higher federal income taxation of social security benefits and the phaseout of itemized deductions under the federal income tax. Clearly, measuring the net gains from tax-favored saving requires a model of lifetime saving, spending, and tax payments. It also requires detailed federal income, state income, and payroll tax calculators, because all three taxes are potentially altered by contributions to tax-favored accounts. Economic Security Planner (ESPlanner (TM)), developed by Economic Security Planning, Inc., is a life-cycle financial planning model with highly detailed tax and social security benefit calculators that can assess the lifetime tax and spending implications of different types and levels of tax-favored saving. We used ESPlanner (TM) (Gokhale and Kotlikoff, 2001) to study the size and pattern of tax breaks to saving. Our analysis, based on tax law prior to 2001, reached the remarkable conclusion that participating fully in 401(k) or similar tax-deferred saving plans raises the lifetime tax payments of low-income households who earn moderate to high rates of return! This finding is driven in large part by increased federal income taxation of social security benefits when 401 (k) assets are withdrawn. Our study was written, however, prior to the enactment of the Economic Growth and Tax Relief Reconciliation Act of 2001 (EGTRRA). EGTRRA greatly expands the limits on contributions to tax-deferred accounts, including 401(k), 403b, Keogh, and traditional IRA plans. It also raises the limit on contributions to non-tax-deductible Roth IRAs. Most important for the issue of tax fairness, however, it provides a significant but little known nonrefundable tax credit for qualified account contributions up to $2,000 made by low-earning workers. This paper reviews the pre-EGTRRA lifetime tax gains (or losses) available to low-, middle-, and high-lifetime earners from participating fully in 401(k) accounts, traditional IRA accounts, and Roth IRA accounts. It then shows how these subsidies have been changed by the new legislation. The paper's bottom line is that EGTRRA mitigates, but doesn't fully eliminate, the lifetime tax increases facing many low-income households from making significant contributions to tax-deferred retirement accounts. Additional research is needed to understand how many low- and moderate-income households are paying higher taxes, at the margin, due to their saving through such accounts. Our sense is that most low- and moderate-income households are contributing less than the maximum possible amount to these accounts and are, thereby, limiting their losses. But even these households are being ill served because they have been told by the government, their employers, and their financial advisers that saving in tax-deferred accounts will deliver major tax savings. C1 Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 2 TC 1 Z9 1 U1 2 U2 4 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0892-8649 BN 978-0-262-16220-3 J9 TAX POL EC PY 2003 VL 17 BP 111 EP 139 PG 29 WC Business, Finance; Economics SC Business & Economics GA BFW54 UT WOS:000245104200004 ER PT B AU Gramlich, EM AF Gramlich, EM BE Ginther, DK Zavodny, M TI Productivity and the new economy SO TECHNOLOGY, GROWTH, AND THE LABOR MARKET LA English DT Proceedings Paper CT Conference on Technology, Growth and the Labor Market CY JAN 06-07, 2002 CL ATLANTA, GA SP Georgia State Univ, Andrew Young Sch Policy Studies, Fed Reserve Bank Atlanta C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU KLUWER ACADEMIC PUBLISHERS PI NORWELL PA 101 PHILIP DRIVE, ASSINIPPI PARK, NORWELL, MA 02061 USA BN 1-4020-7354-2 PY 2003 BP 3 EP 9 PG 7 WC Economics; Industrial Relations & Labor; Social Issues SC Business & Economics; Social Issues GA BX58W UT WOS:000185772900002 ER PT B AU Oliner, SD Sichel, DE AF Oliner, SD Sichel, DE BE Ginther, DK Zavodny, M TI Information technology and productivity: Where are we now and where are we going? SO TECHNOLOGY, GROWTH, AND THE LABOR MARKET LA English DT Proceedings Paper CT Conference on Technology, Growth and the Labor Market CY JAN 06-07, 2002 CL ATLANTA, GA SP Georgia State Univ, Andrew Young Sch Policy Studies, Fed Reserve Bank Atlanta ID ECONOMY; GROWTH C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 39 TC 0 Z9 0 U1 0 U2 0 PU KLUWER ACADEMIC PUBLISHERS PI NORWELL PA 101 PHILIP DRIVE, ASSINIPPI PARK, NORWELL, MA 02061 USA BN 1-4020-7354-2 PY 2003 BP 41 EP 94 PG 54 WC Economics; Industrial Relations & Labor; Social Issues SC Business & Economics; Social Issues GA BX58W UT WOS:000185772900005 ER PT B AU Fernald, J AF Fernald, J BE Ginther, DK Zavodny, M TI A discussion of productivity growth and technology SO TECHNOLOGY, GROWTH, AND THE LABOR MARKET LA English DT Proceedings Paper CT Conference on Technology, Growth and the Labor Market CY JAN 06-07, 2002 CL ATLANTA, GA SP Georgia State Univ, Andrew Young Sch Policy Studies, Fed Reserve Bank Atlanta C1 Fed Reserve Bank Chicago, Chicago, IL USA. NR 10 TC 0 Z9 0 U1 0 U2 0 PU KLUWER ACADEMIC PUBLISHERS PI NORWELL PA 101 PHILIP DRIVE, ASSINIPPI PARK, NORWELL, MA 02061 USA BN 1-4020-7354-2 PY 2003 BP 95 EP 104 PG 10 WC Economics; Industrial Relations & Labor; Social Issues SC Business & Economics; Social Issues GA BX58W UT WOS:000185772900006 ER PT B AU Eisenbeis, RA AF Eisenbeis, RA BE Ginther, DK Zavodny, M TI A discussion of technology and productivity in the firm SO TECHNOLOGY, GROWTH, AND THE LABOR MARKET LA English DT Proceedings Paper CT Conference on Technology, Growth and the Labor Market CY JAN 06-07, 2002 CL ATLANTA, GA SP Georgia State Univ, Andrew Young Sch Policy Studies, Fed Reserve Bank Atlanta C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 4 TC 0 Z9 0 U1 0 U2 0 PU KLUWER ACADEMIC PUBLISHERS PI NORWELL PA 101 PHILIP DRIVE, ASSINIPPI PARK, NORWELL, MA 02061 USA BN 1-4020-7354-2 PY 2003 BP 187 EP 195 PG 9 WC Economics; Industrial Relations & Labor; Social Issues SC Business & Economics; Social Issues GA BX58W UT WOS:000185772900011 ER PT J AU Pitts, MM AF Pitts, M. Melinda BE Polachek, SW TI WHY CHOOSE WOMEN'S WORK IF IT PAYS LESS? A STRUCTURAL MODEL OF OCCUPATIONAL CHOICE SO WORKER WELL-BEING AND PUBLIC POLICY SE Research in Labor Economics LA English DT Article; Book Chapter ID SEX-DIFFERENCES; SELECTION; EARNINGS C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Pitts, MM (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. NR 23 TC 4 Z9 4 U1 0 U2 0 PU EMERALD GROUP PUBLISHING LIMITED PI BINGLEY PA HOWARD HOUSE, WAGON LANE, BINGLEY, W YORKSHIRE BD16 1WA, ENGLAND BN 978-0-7623-1026-5 J9 RES LABOR ECON PY 2003 VL 22 BP 415 EP 445 DI 10.1016/S0147-9121(03)22013-6 PG 31 WC Business; Economics SC Business & Economics GA BLR27 UT WOS:000270848300014 ER PT J AU Stiroh, KJ AF Stiroh, KJ TI Information technology and the US productivity revival: What do the industry data say? SO AMERICAN ECONOMIC REVIEW LA English DT Article ID GROWTH; ECONOMY C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Stiroh, KJ (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. NR 39 TC 200 Z9 202 U1 1 U2 10 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD DEC PY 2002 VL 92 IS 5 BP 1559 EP 1576 DI 10.1257/000282802762024638 PG 18 WC Economics SC Business & Economics GA 633VX UT WOS:000180306100014 ER PT J AU Hornstein, A AF Hornstein, A TI Barriers to riches. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Hornstein, A (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 DEC PY 2002 VL 40 IS 4 BP 1246 EP 1248 PG 3 WC Economics SC Business & Economics GA 634CT UT WOS:000180323000019 ER PT J AU Yi, KM AF Yi, KM TI Fragmentation: New production patterns in the world economy. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Yi, KM (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 1 TC 0 Z9 0 U1 1 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD DEC PY 2002 VL 40 IS 4 BP 1252 EP 1253 PG 2 WC Economics SC Business & Economics GA 634CT UT WOS:000180323000023 ER PT J AU Burkhauser, RV Daly, MC AF Burkhauser, RV Daly, MC TI Policy watch - US disability policy in a changing environment SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article C1 Cornell Univ, Policy Anal & Management Dept, Ithaca, NY 14853 USA. Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Burkhauser, RV (reprint author), Cornell Univ, Policy Anal & Management Dept, Ithaca, NY 14853 USA. RI Burkhauser, Richard/G-5403-2015 OI Burkhauser, Richard/0000-0003-4629-0253 NR 18 TC 25 Z9 25 U1 0 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD WIN PY 2002 VL 16 IS 1 BP 213 EP 224 DI 10.1257/0895330027067 PG 12 WC Economics SC Business & Economics GA 529AE UT WOS:000174277200010 PM 15179975 ER PT J AU Del Guercio, D Tkac, PA AF Del Guercio, D Tkac, PA TI The determinants of the flow of funds of managed portfolios: Mutual funds vs. pension funds SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID PERFORMANCE; INDUSTRY; PERSISTENCE; TOURNAMENTS; INFORMATION; INCENTIVES AB This study compares the relations between asset flow and performance in the retail mutual fund and fiduciary pension fund segments of the money management industry, and relates empirical differences to fundamental differences in the clientele they serve. A striking difference is the shape of the flow-performance relation. In contrast to mutual fund investors, pension clients punish poorly performing managers by withdrawing assets under management and do not flock disproportionately to recent winners. We interpret these and other empirical differences in the context of the manager evaluation procedures typical in each segment. We conclude that pension managers have little incentive to engage in the risk-shifting behavior previously identified among mutual fund managers. C1 Univ Oregon, Lundquist Coll Business, Eugene, OR 97403 USA. Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Del Guercio, D (reprint author), Univ Oregon, Lundquist Coll Business, Eugene, OR 97403 USA. RI Del Guercio, Diane/E-5345-2011 NR 38 TC 146 Z9 145 U1 3 U2 17 PU UNIV WASHINGTON SCH BUSINESS & ADMINISTRATION PI SEATTLE PA C/O OFFICE MANAGER, 115 LEWIS HALL, BOX 353200, SEATTLE, WA 98195-3200 USA SN 0022-1090 J9 J FINANC QUANT ANAL JI J. Financ. Quant. Anal. PD DEC PY 2002 VL 37 IS 4 BP 523 EP 557 PG 35 WC Business, Finance; Economics SC Business & Economics GA 622XA UT WOS:000179671800001 ER PT J AU Stango, V AF Stango, V TI Pricing with consumer switching costs: Evidence from the credit card market SO JOURNAL OF INDUSTRIAL ECONOMICS LA English DT Article ID MULTIPERIOD COMPETITION; RATES AB The credit card market is a natural setting for investigating the relationship between pricing and consumer switching costs. I find, using a detailed panel of credit card issuers, that switching costs are an important influence on pricing for commercial banks. The results are stronger for commercial banks with risky customer bases, suggesting that there is a relationship between default and switching costs. Switching costs appear to have almost no influence on pricing for credit unions, a result that is consistent with their status as not-for-profit entities. C1 Fed Reserve Bank Chicago, Emerging Payments Dept, Chicago, IL 60604 USA. RP Stango, V (reprint author), Fed Reserve Bank Chicago, Emerging Payments Dept, 230 S LaSalle St, Chicago, IL 60604 USA. NR 16 TC 41 Z9 42 U1 1 U2 16 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 DEC PY 2002 VL 50 IS 4 BP 475 EP 492 DI 10.1111/1467-6451.00187 PG 18 WC Business, Finance; Economics SC Business & Economics GA 634CH UT WOS:000180322100006 ER PT J AU Leduc, S AF Leduc, S TI Incomplete markets, borrowing constraints, and the foreign exchange risk premium SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE foreign exchange risk premium; asset prices; incomplete markets ID FINANCIAL-MARKETS; BUSINESS CYCLES; EQUITY PREMIUM; ASSET; ECONOMIES; RATES; TRADE; MODEL; CURRENCY; RETURNS AB This paper solves a model consisting of two monetary economies with incomplete markets, in which agents are subject to borrowing constraints. The paper investigates if such a framework is able to account for the volatility and the size of the foreign exchange risk premium. The model succeeds in increasing substantially the volatility of the risk premium to about 30% of that in the data. However, this more volatile risk premium does not translate into sufficiently large predictable excess returns. It thus appears unlikely that excess returns from currency speculation can be uniquely explained by a time-varying risk premium in an incomplete-markets economy with exogenous borrowing constraints. (C) 2002 Elsevier Science Ltd. All rights reserved. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. RP Leduc, S (reprint author), Fed Reserve Bank Philadelphia, Dept Res, 10 Independence Mall, Philadelphia, PA 19106 USA. NR 43 TC 3 Z9 3 U1 0 U2 4 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD DEC PY 2002 VL 21 IS 7 BP 957 EP 980 AR PII S0261-5606(02)00016-5 DI 10.1016/S0261-5606(02)00016-5 PG 24 WC Business, Finance SC Business & Economics GA 624UX UT WOS:000179781100001 ER PT J AU Croushore, D AF Croushore, D TI Comments on 'The state of macroeconomic forecasting' SO JOURNAL OF MACROECONOMICS LA English DT Editorial Material DE forecasting; data revisions; real-time data; forecast evaluation AB The paper by Fildes and Stekler provides an overview of empirical results in macroeconomic forecasting. They do not address three key issues: (1) the importance of data revisions and the use of real-time data; (2) the statistical significance of differences between forecasts; and (3) the role of macroeconomic theory in formulating and evaluating macroeconomic forecasts. (C) 2002 Elsevier Science Inc. All rights reserved. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. RP Croushore, D (reprint author), Fed Reserve Bank Philadelphia, Dept Res, 10 Independence Mall, Philadelphia, PA 19106 USA. NR 16 TC 1 Z9 1 U1 2 U2 2 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD DEC PY 2002 VL 24 IS 4 BP 483 EP 489 AR PII S0164-0704(02)00057-5 DI 10.1016/S0164-0704(02)00057-5 PG 7 WC Economics SC Business & Economics GA 623ZK UT WOS:000179734700004 ER PT J AU Stark, T Croushore, D AF Stark, T Croushore, D TI Forecasting with a real-time data set for macroeconomists SO JOURNAL OF MACROECONOMICS LA English DT Article DE forecasting; data revisions; real-time data; forecast evaluation ID ERRORS AB dThis paper discusses how forecasts are affected by the use of real-time data rather than latest-available data. The key issue is this: in the literature on developing forecasting models, new models are put together based on the results they yield using the data set available to the model's developer. But those are not the data that were available to a forecaster in real time. How much difference does the vintage of the data make for such forecasts? We explore this issue with a variety of exercises designed to answer this question. In particular, we find that the use of real-time data matters for some forecasting issues but not for others. It matters for choosing lag length in a univariate context. Preliminary evidence suggests that the span-or number-of forecast observations used to evaluate models may also be critical: we find that standard measures of forecast accuracy can be vintage-sensitive when constructed on the short spans (five years of quarterly data) of data sometimes used by researchers for forecast evaluation. The differences between using real time and latest-available data may depend on what is being used as the "actual" or realization, and we explore several alternatives that can be used. Perhaps of most importance, we show that measures of forecast error, such as root-mean-squared error and mean absolute error, can be deceptively lower when using latest-available data rather than real-time data. Thus, for purposes such as modeling expectations or evaluating forecast errors of survey data, the use of latest-available data is questionable; comparisons between the forecasts generated from new models and benchmark forecasts, generated in real time, should be based on real-time data. (C) 2002 Elsevier Science Inc. All rights reserved. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Croushore, D (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. NR 22 TC 46 Z9 46 U1 1 U2 4 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD DEC PY 2002 VL 24 IS 4 BP 507 EP 531 AR PII S0164-0704(02)00062-9 DI 10.1016/S0164-0704(02)00062-9 PG 25 WC Economics SC Business & Economics GA 623ZK UT WOS:000179734700009 ER PT J AU Kozicki, S AF Kozicki, S TI Comments on 'Forecasting with a real-time data set for macroeconomists' SO JOURNAL OF MACROECONOMICS LA English DT Editorial Material DE forecasting; real-time data; modeling expectations; survey data; data vintage ID MONETARY-POLICY RULES AB dThis note extends the analysis in Stark and Croushore with an emphasis on the importance of data vintage for evaluating survey forecasts and modeling expectations. For both of these types of empirical exercises, results suggest that the choice of latest available or real-time data is critical for variables subject to large level revisions, but almost irrelevant for variables subject to only small revisions. Other forecasting practices were examined, with some surprising results. (C) 2002 Elsevier Science Inc. All rights reserved. C1 Fed Reserve Bank Kansas City, Div Res, Kansas City, MO 64198 USA. RP Kozicki, S (reprint author), Fed Reserve Bank Kansas City, Div Res, 925 Grand Blvd, Kansas City, MO 64198 USA. NR 7 TC 4 Z9 4 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 DEC PY 2002 VL 24 IS 4 BP 541 EP 557 AR PII S0164-0704(02)00064-2 DI 10.1016/S0164-0704(02)00064-2 PG 17 WC Economics SC Business & Economics GA 623ZK UT WOS:000179734700011 ER PT J AU Stark, T Croushore, D AF Stark, T Croushore, D TI Comments on 'Forecasting with a real-time data set for macroeconomists' SO JOURNAL OF MACROECONOMICS LA English DT Editorial Material C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Croushore, D (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. NR 2 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 DEC PY 2002 VL 24 IS 4 BP 563 EP 567 AR PII S0164-0704(02)00066-6 DI 10.1016/S0164-0704(02)00066-6 PG 5 WC Economics SC Business & Economics GA 623ZK UT WOS:000179734700013 ER PT J AU Anderson, RG Hoffman, DL Rasche, RH AF Anderson, RG Hoffman, DL Rasche, RH TI A vector error-correction forecasting model of the US economy SO JOURNAL OF MACROECONOMICS LA English DT Article DE forecasting; cointegration; vector error-correction models ID COINTEGRATING VECTORS; INTEREST-RATES; MONEY DEMAND; TIME-SERIES; HYPOTHESIS; INFLATION; SYSTEMS; TESTS AB Any research or policy analysis in economics must be consistent with the time-series properties of observed macroeconomic data. Numerous previous studies reinforce the need to specify correctly a model's multivariate stochastic structure. This paper discusses in detail the specification of a vector error correction forecasting model that is anchored by long-run equilibrium relationships suggested by economic theory. The model includes six variables-the CPI, the GDP price index, real money balances (M1), the federal funds rate, the yield on long-term (10-year) government bonds, and real GDP-and four cointegrating vectors. The accuracy of VECM model forecasts for individual, univariate time series during for the 1990s is comparable to forecasts made by government agencies and private forecasters, perhaps because many forecasters share a similar implicit, long-run steady-state growth model of the economy. Judged by multivariate statistics that account for forecast-error covariance, VECM forecasts are found to be somewhat more accurate than a naive random-walk alternative. (C) 2002 Elsevier Science Inc. All rights reserved. C1 Arizona State Univ, Dept Econ, Tempe, AZ 85281 USA. Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Hoffman, DL (reprint author), Arizona State Univ, Dept Econ, Tempe, AZ 85281 USA. EM anderson@stls.frb.org; dennis.hoffman@asu.edu; rasche@stls.frb.org NR 39 TC 12 Z9 12 U1 0 U2 3 PU LOUISIANA STATE UNIV PR PI BATON ROUGE PA BATON ROUGE, LA 70893 USA SN 0164-0704 J9 J MACROECON JI J. Macroecon. PD DEC PY 2002 VL 24 IS 4 BP 569 EP 598 AR PII S0164-0704(02)00067-8 DI 10.1016/S0164-0704(02)00067-8 PG 30 WC Economics SC Business & Economics GA 623ZK UT WOS:000179734700014 ER PT J AU Anderson, RG Hoffman, DL Rasche, RH AF Anderson, RG Hoffman, DL Rasche, RH TI Reply to the comments on 'A vector error-correction forecasting model of the US economy SO JOURNAL OF MACROECONOMICS LA English DT Editorial Material C1 Arizona State Univ, Dept Econ, Tempe, AZ 85281 USA. Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Hoffman, DL (reprint author), Arizona State Univ, Dept Econ, Tempe, AZ 85281 USA. NR 1 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 DEC PY 2002 VL 24 IS 4 BP 613 EP 614 AR PII S0164-0704(02)00070-8 DI 10.1016/S0164-0704(02)00070-8 PG 2 WC Economics SC Business & Economics GA 623ZK UT WOS:000179734700017 ER PT J AU Kuttner, KN Posen, AS AF Kuttner, KN Posen, AS TI Fiscal policy effectiveness in Japan SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article; Proceedings Paper CT Conference on Issues in Fiscal Adjustment CY DEC 13-14, 2001 CL TOKYO, JAPAN SP Tokyo Ctr Econ Res, Ntl Bur Econ Res, Ctr Econ Policy Res ID HOUSEHOLD AB The effectiveness of fiscal policy in Japan over the past decade has been a matter of great controversy. We investigate the effectiveness of Japanese fiscal policy over the 1976-1999 period using a structural VAR analysis of real GDP, tax revenues, and public expenditures. We find that expansionary fiscal policy, whether in the form of tax cuts or of public works spending, had significant stimulative effects. Using a new method of computing policy multipliers from structural VARs, we calculate that the multiplier on tax cuts is about 25% higher at a four-year horizon than that on public works spending, though both are well in excess of one. A historical decomposition reveals that Japanese fiscal policy was contractionary over much of the 1990s, and a significant proportion of the variation in growth can be attributed to fiscal policy shocks;, accordingly, most of the run-up in public debt is attributable to declining tax revenues due to the recession. Examining savings behavior directly, we find limited evidence of Ricardian effects. insufficient to offset the short-term effects of discretionary fiscal policy. J. Japan. Int. Econ., December 2002, 16(4), pp. 536-558. Federal Reserve Bank of New York, New York, and Institute for International Economics, Washington, DC. (C) 2002 Elsevier Science (USA). C1 Inst Int Econ, Washington, DC 20036 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Posen, AS (reprint author), Inst Int Econ, 1750 Massachusetts Ave NW, Washington, DC 20036 USA. NR 45 TC 16 Z9 16 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 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD DEC PY 2002 VL 16 IS 4 BP 536 EP 558 DI 10.1006/jjie.2002.0512 PG 23 WC Economics; International Relations SC Business & Economics; International Relations GA 625KK UT WOS:000179815500007 ER PT J AU Bassetto, M AF Bassetto, M TI A game-theoretic view of the fiscal theory of the price level SO ECONOMETRICA LA English DT Article DE fiscal theory of the price level; policy rule; government strategy; equilibrium determinacy; commitment; intertemporal budget constraint ID EQUILIBRIUM; COMPETITION; MONETARY; POLICY AB The goal of this paper is to probe the validity of the fiscal theory of the price level by modelling explicitly the market structure in which households and the government make their decisions. I describe the economy as a game, and I am thus able to state precisely the consequences of actions that are out of the equilibrium path. I show that there exist government strategies that lead to a version of the fiscal theory, in which the price level is determined by fiscal variables alone. These strategies are however more complex than the simple budgetary rules usually associated with the fiscal theory, and the government budget constraint cannot be merely viewed as an equilibrium condition. 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. EM bassetto@atlas.socsci.umn.edu OI Bassetto, Marco/0000-0001-8325-8450 NR 28 TC 19 Z9 19 U1 0 U2 7 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD NOV PY 2002 VL 70 IS 6 BP 2167 EP 2195 PG 29 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 610XD UT WOS:000178986600003 ER PT J AU Fuhrer, J AF Fuhrer, J TI Monetary policy rules. SO ECONOMIC JOURNAL LA English DT Book Review C1 Fed Reserv Bank Boston, Boston, MA USA. RP Fuhrer, J (reprint author), Fed Reserv Bank Boston, Boston, MA USA. RI Fuhrer, Jeff/F-8852-2013 NR 2 TC 0 Z9 0 U1 0 U2 1 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 2002 VL 112 IS 483 SI F BP F604 EP F605 DI 10.1111/1468-0297.t01-15-00083 PG 2 WC Economics SC Business & Economics GA 626PV UT WOS:000179882500032 ER PT J AU Cetorelli, N AF Cetorelli, N TI Could Prometheus be bound again? A contribution to the convergence controversy SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE club convergence; distribution dynamics; neoclassical growth ID STATIONARY MARKOV EQUILIBRIA; ECONOMIC-GROWTH; INCOME-DISTRIBUTION; STOCHASTIC PRODUCTION; MODELS; HYPOTHESIS; FERTILITY; DYNAMICS; SHOCKS; TESTS AB This paper presents a neoclassical model of stochastic growth in which the probability of adverse shocks to production is inversely related to the aggregate stock of capital per capita. Postulating this endogenous relationship, justified by empirical evidence, the model yields predictions that are largely consistent with the recent findings of cross-country club convergence. Differently from the standard explanation based on multiplicity of steady states, this model is also able to yield predictions consistent with observable intra-distribution dynamics, thus accounting for phenomena such as economic miracles, growth disasters and reversals of fortune. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. RP Cetorelli, N (reprint author), Fed Reserve Bank Chicago, Res Dept, 11th Floor,230 S La Salle St, Chicago, IL 60604 USA. EM ncetorelli@frbchi.org NR 31 TC 6 Z9 6 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD NOV PY 2002 VL 27 IS 1 BP 29 EP 50 AR PII S0165-1889(01)00024-0 DI 10.1016/S0165-1889(01)00024-0 PG 22 WC Economics SC Business & Economics GA 597LZ UT WOS:000178224200002 ER PT J AU Prescott, EC Shell, K AF Prescott, EC Shell, K TI Introduction to sunspots and lotteries SO JOURNAL OF ECONOMIC THEORY LA English DT Editorial Material ID COMPETITIVE ANALYSIS; INDIVISIBLE LABOR; EQUILIBRIUM; INFORMATION; ECONOMIES AB This introduces the symposium on sunspots and lotteries. Two stochastic general-equilibrium concepts, sunspot equilibrium (SE) and lottery equilibrium (LE), are compared. It is shown that, for some general, pure-exchange economies which allow for consumption nonconvexities or moral hazards, the set of LE allocations is equivalent to the set of SE allocations provided that the randomizing device can generate events of any probability. (C) 2002 Elsevier Science (USA). C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. Cornell Univ, Dept Econ, Ithaca, NY 14853 USA. RP Prescott, EC (reprint author), Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. NR 43 TC 7 Z9 7 U1 1 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD NOV PY 2002 VL 107 IS 1 BP 1 EP 10 DI 10.1006/jeth.2002.2946 PG 10 WC Economics SC Business & Economics GA 624YZ UT WOS:000179791000001 ER PT J AU Kehoe, TJ Levine, DK Prescott, EC AF Kehoe, TJ Levine, DK Prescott, EC TI Lotteries, sunspots, and incentive constraints SO JOURNAL OF ECONOMIC THEORY LA English DT Article ID INDIVISIBLE LABOR; ASSET MARKETS; LARGE NUMBERS; EQUILIBRIUM; RISK AB We study a prototypical class of exchange economics with private information and indivisibilities. We establish an equivalence between lottery equilibria and sunspot equilibria and show that the welfare and existence theorems hold. To establish these results, we introduce the concept of the stand-in consumer economy, which is a standard, convex, finite consumer, finite good, pure exchange economy. With decreasing absolute risk aversion and no indivisibilities, we prove that no lotteries are actually used in equilibrium. We provide a simple numerical example with increasing absolute risk aversion in which lotteries are necessarily used in equilibrium. We also show how the equilibrium allocation in this example can be implemented in a sunspot equilibrium. (C) 2002 Elsevier Science (USA). C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55480 USA. Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. RP Kehoe, TJ (reprint author), Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. NR 24 TC 15 Z9 15 U1 1 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD NOV PY 2002 VL 107 IS 1 BP 39 EP 69 DI 10.1006/jeth.2001.2792 PG 31 WC Economics SC Business & Economics GA 624YZ UT WOS:000179791000003 ER PT J AU Warnock, FE AF Warnock, FE TI Home bias and high turnover reconsidered SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article; Proceedings Paper CT 11th Vergata Conference on International Finance Integration CY DEC, 2002 CL UNIV ROME, ROME, ITALY HO UNIV ROME DE transaction costs; international portfolio diversification; turnover rates ID PORTFOLIO AB The Tesar and Werner (J. Int. Money Finance 14 (1995) 467) finding of very high turnover rates on foreign equity portfolios is based on an underestimation of cross-border equity positions. Foreign turnover rates calculated using information from comprehensive benchmark surveys on cross-border holdings are much lower than previously reported and comparable to domestic turnover rates. However, the basic intuition from the Tesar-Werner study, that transaction costs do not help explain the observed home bias, is confirmed using data on transaction costs in 41 markets. Published by Elsevier Science Ltd. 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, Washington, DC 20551 USA. NR 21 TC 29 Z9 29 U1 0 U2 2 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD NOV PY 2002 VL 21 IS 6 BP 795 EP 805 AR PII S0261-5606(02)00023-2 DI 10.1016/S0261-5606(02)00023-2 PG 11 WC Business, Finance SC Business & Economics GA 619YP UT WOS:000179505700007 ER PT J AU Francis, BB Hasan, I Hunter, DM AF Francis, BB Hasan, I Hunter, DM TI Emerging market liberalization and the impact on uncovered interest rate parity SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article; Proceedings Paper CT 11th Vergata Conference on International Finance Integration CY DEC, 2002 CL UNIV ROME, ROME, ITALY HO UNIV ROME DE capital market integration; uncovered interest rate parity (UIRP); financial liberalization; GARCH model ID FOREIGN-EXCHANGE RISK; EQUITY MARKETS; POLITICAL RISK; INTEGRATION; DEVIATIONS; FINANCE; RETURNS; PREMIA; MODEL; ARCH AB In this paper we make use of the uncovered interest rate parity (UIRP) relationship to examine the extent that the liberalization of emerging financial markets has resulted in the integration of developing countries' currency markets into the international capital market. Previous tests of the impact of liberalization on the integration of emerging capital markets into world financial markets are confined to equity markets, ignoring currency markets that are arguably more important in determining the success of financial liberalization. We find that, in general, deviation from UIRP in the emerging markets is systematic in nature and that a significant part of emerging market currency excess returns is attributable to a time-varying risk premium. Importantly we also find that these countries' currency deposits provide US (equity) investors with the benefits of international diversification. Our results also show that for some markets, liberalization improved (worsened) investors' perception of growth opportunity while reducing (increasing) investors' perception of the probability of financial distress. Finally, while several countries benefited from liberalization and have become more integrated into the world capital market, the experience is country specific. (C) 2002 Elsevier Science Ltd. All rights reserved. C1 Univ S Florida, Coll Business Adm, Tampa, FL 33620 USA. Rensselaer Polytech Inst, Troy, NY 12181 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Francis, BB (reprint author), Univ S Florida, Coll Business Adm, Tampa, FL 33620 USA. NR 35 TC 11 Z9 11 U1 1 U2 16 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD NOV PY 2002 VL 21 IS 6 BP 931 EP 956 AR PII S0261-5606(02)00029-3 DI 10.1016/S0261-5606(02)00029-3 PG 26 WC Business, Finance SC Business & Economics GA 619YP UT WOS:000179505700013 ER PT J AU Athreya, KB AF Athreya, KB TI Welfare implications of the Bankruptcy Reform Act of 1999 SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE personal bankruptcy; incomplete markets ID LIQUIDITY CONSTRAINTS; CONSUMER BANKRUPTCY; RISK; MARKETS; DEBT AB In recent years personal bankruptcy has become an important issue to consumers, creditors, and legislators alike. Over 40 billion dollars of unsecured debt were discharged in 1998 by 1.44 million households. These losses have led legislators to propose a variety of changes in bankruptcy law, the most important and recent of which is the Bankruptcy Reform Act of 1999 (BA99). I develop a dynamic, stochastic, general equilibrium model of personal bankruptcy to investigate the trade-off between the consumption smoothing role of bankruptcy and the interest rate and deadweight costs it imposes. I find that stringent means-tests would reduce filing rates only slightly, and would have only modest welfare consequences. On the other hand, the elimination of bankruptcy altogether is found to have substantial benefits. This result is robust to income shock persistence, and to stringency in the application of means-tests. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Athreya, KB (reprint author), Fed Reserve Bank Richmond, Res Dept, 701 E Byrd St, Richmond, VA 23261 USA. NR 39 TC 48 Z9 49 U1 5 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 2002 VL 49 IS 8 BP 1567 EP 1595 AR PII S0304-3932(02)00176-9 DI 10.1016/S0304-3932(02)00176-9 PG 29 WC Business, Finance; Economics SC Business & Economics GA 619WB UT WOS:000179499500004 ER PT J AU Clark, JA Siems, TF AF Clark, JA Siems, TF TI X-efficiency in banking: Looking beyond the balance sheet SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID FINANCIAL INSTITUTIONS; COMMERCIAL-BANKS; SCALE ECONOMIES; COST COMPLEMENTARITIES; SCOPE ECONOMIES; INSURANCE; FUTURE AB The distribution free and stochastic frontier estimation methods are used to derive bank specific measures of cost and profit X-efficiency. This is done to investigate the importance of including aggregate measures of off-balance-sheet (OBS) activities. The results indicate that economic cost and production cost X-efficiency estimates increase with the inclusion of the OBS measure. Profit X-efficiency estimates are largely unaffected. Further, the composition of banks' OBS activities appears to help explain interbank differences in cost and profit X-efficiency estimates, whereas bank size and the mix between on- and off-balance-sheet banking activities are largely uncorrelated with the X-efficiency estimates. C1 Florida State Univ, Tallahassee, FL 32306 USA. Fed Reserve Bank Dallas, Dallas, TX USA. RP Clark, JA (reprint author), Florida State Univ, Tallahassee, FL 32306 USA. NR 30 TC 43 Z9 44 U1 1 U2 10 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 NOV PY 2002 VL 34 IS 4 BP 987 EP 1013 DI 10.1353/mcb.2002.0053 PG 27 WC Business, Finance; Economics SC Business & Economics GA 607MG UT WOS:000178794900002 ER PT J AU Barrow, L AF Barrow, L TI School choice through relocation: evidence from the Washington, DC area SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE education; school choice; tiebout; school quality AB In this paper I show how the monetary value parents place on school quality may be inferred from their residential location choice. The method identifies parental valuation of school quality from the differential effect of school quality on residential choices of households with and without children. I implement the method with 1990 Census data for Washington, D.C. For whites, households with children are willing to pay $1800 more per year for schools generating a 100 SAT point advantage. While some evidence indicates African-American choices are negatively associated with school quality, additional evidence suggests African-American households may be constrained in available choices. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Dept Econ Res, Chicago, IL 60604 USA. RP Barrow, L (reprint author), Fed Reserve Bank Chicago, Dept Econ Res, 230 S LaSalle St, Chicago, IL 60604 USA. NR 18 TC 34 Z9 34 U1 1 U2 9 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD NOV PY 2002 VL 86 IS 2 BP 155 EP 189 AR PII S0047-2727(01)00141-4 DI 10.1016/S0047-2727(01)00141-4 PG 35 WC Economics SC Business & Economics GA 607CH UT WOS:000178773100001 ER PT J AU Owens, RE Sarte, PD AF Owens, RE Sarte, PD TI Analyzing firm location decisions: is public intervention justified? SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE firm migration; inertia; location subsidies AB When firms can set prices, moving costs imply excess inertia in firm migration relative to the social optimum. Therefore, the idea that inducing firm relocation cannot increase welfare can be misleading. In particular, firm migration encouraged by location subsidies does not amount to a 'zero sum' across regions. However, targeting moving costs alone is not efficient, and regional planners are unlikely to produce a first best allocation. Finally, we show that relocation subsidies may give rise to significant welfare costs in the short run. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. RP Sarte, PD (reprint author), Fed Reserve Bank Richmond, Dept Res, POB 27622, Richmond, VA 23261 USA. NR 10 TC 3 Z9 4 U1 0 U2 6 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD NOV PY 2002 VL 86 IS 2 BP 223 EP 242 AR PII S0047-2727(01)00093-7 DI 10.1016/S0047-2727(01)00093-7 PG 20 WC Economics SC Business & Economics GA 607CH UT WOS:000178773100003 ER PT J AU Kilian, L Ohanian, LE AF Kilian, L Ohanian, LE TI Unit roots, trend breaks, and transitory dynamics: A macroeconomic perspective SO MACROECONOMIC DYNAMICS LA English DT Article DE unit root; trend break; transitory dynamics; bootstrap ID REAL EXCHANGE-RATES; OIL-PRICE SHOCK; TIME-SERIES; INTERNATIONAL EVIDENCE; GREAT CRASH; SEGMENTED TRENDS; STRUCTURAL-CHANGE; BUSINESS-CYCLE; LEVEL SHIFTS; RANDOM-WALKS AB It is common to interpret rejections of the unit-root null hypothesis in favor of a trend stationary process with possible trend breaks as evidence that the data are better characterized as stationary about a broken trend. This interpretation is valid only if the model postulated under the alternative hypothesis is the only plausible alternative to the model postulated under the null. We argue that there are economically plausible models that are not well captured under either the null hypothesis or the alternative hypothesis of these tests. We show that applied researchers who ignore this possibility are likely to reject the unit-root null with high probability in favor of a trend stationary process with possible breaks. Our evidence shows that this potential pitfall is both economically relevant and quantitatively important. We explore the extent to which applied users may mitigate inferential errors by using finite-sample and bootstrap critical values. C1 Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. Univ Michigan, Ann Arbor, MI 48109 USA. CEPR, London, England. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Ohanian, LE (reprint author), Univ Calif Los Angeles, Dept Econ, Bunche Hall 8391,Box 951477, Los Angeles, CA 90095 USA. NR 68 TC 13 Z9 15 U1 4 U2 10 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4221 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD NOV PY 2002 VL 6 IS 5 BP 614 EP 632 PG 19 WC Economics SC Business & Economics GA 609NJ UT WOS:000178911600002 ER PT J AU Guo, JT Lansing, KJ AF Guo, JT Lansing, KJ TI Fiscal policy, increasing returns, and endogenous fluctuations SO MACROECONOMIC DYNAMICS LA English DT Article DE fiscal policy; business cycles; sunspots; nonlinear dynamics; chaos ID REAL BUSINESS CYCLES; MULTIPLE EQUILIBRIA; NONLINEAR DYNAMICS; PERFECT FORESIGHT; CHAOTIC DYNAMICS; ECONOMIC-GROWTH; CAPITAL INCOME; INDETERMINACY; MODELS; STABILIZATION AB This paper examines the quantitative implications of government fiscal policy in a discrete-time one-sector growth model with a productive externality that generates social increasing returns to scale. Starting from a laissez-faire economy that exhibits local indeterminacy, we show that the introduction of a constant capital tax or subsidy can lead to various forms of endogenous fluctuations, including stable 2-, 4-, 8-, and 10-cycles, quasiperiodic orbits, and chaos. In contrast, a constant labor tax or subsidy has no effect on the qualitative nature of the model's dynamics. We show that the use of local steady-state analysis to detect the presence of multiple equilibria in this class of models can be misleading. For a plausible range of capital tax rates, the log-linearized dynamical system exhibits saddle-point stability, suggesting a unique equilibrium, whereas the true nonlinear model exhibits global indeterminacy. This result implies that stabilization policies designed to suppress sunspot fluctuations near the steady state may not prevent sunspots, cycles, or chaos in regions away from the steady state. Overall, our results highlight the importance of using a model's nonlinear equilibrium conditions to fully investigate global dynamics. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94120 USA. Univ Calif Riverside, Riverside, CA 92521 USA. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, POB 7702, San Francisco, CA 94120 USA. NR 85 TC 17 Z9 18 U1 1 U2 10 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4221 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD NOV PY 2002 VL 6 IS 5 BP 633 EP 664 DI 10.1017/S1365100501010112 PG 32 WC Economics SC Business & Economics GA 609NJ UT WOS:000178911600003 ER PT J AU Voith, R Gyourko, J AF Voith, R Gyourko, J TI Capitalization of federal taxes, the relative price of housing, and urban form: density and sorting effects SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE housing taxation; household location; urban form AB We investigate the impact of the tax treatment of owner-occupied housing on urban form in an economy in which high and low income households choose among city and suburban communities. The spatial impact of housing tax policies differs depending upon the extent to which the subsidy is capitalized into city land prices and whether a land use constraint such as suburban large lot zoning exists to make poorer households less mobile. The greater the extent of capitalization, the larger the decentralization impact. And, in the presence of binding large lot zoning in the suburbs, the rich have a greater incentive to decentralize while the poor are constrained to the city. It is noteworthy that our analyses of community choice and residential sorting by income are not driven by different preferences for city or suburb that may be associated with the income elasticity of housing demand. Rather, our conclusions arise from changes in relative after-tax housing prices faced by poor and rich households. Determining the empirical relevance of prices versus preferences in these matters should be an urgent task for future research. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Univ Penn, Wharton Sch, Real Estate & Finance Dept, Philadelphia, PA 19104 USA. Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA USA. RP Gyourko, J (reprint author), Univ Penn, Wharton Sch, Real Estate & Finance Dept, Philadelphia, PA 19104 USA. NR 8 TC 10 Z9 10 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD NOV PY 2002 VL 32 IS 6 BP 673 EP 690 AR PII S0166-0462(02)00011-X DI 10.1016/S0166-0462(02)00011-X PG 18 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 602WA UT WOS:000178526400001 ER PT J AU Orphanides, A van Norden, S AF Orphanides, A van Norden, S TI The unreliability of output-gap estimates in real time SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID MEAN SQUARED ERROR; STATE-SPACE MODELS; ESTIMATED PARAMETERS; BUSINESS CYCLES; MONETARY-POLICY; TRENDS AB We examine the reliability of alternative output detrending methods, with special attention to the accuracy of real-time estimates of the output gap. We show that ex post revisions of the estimated gap are of the same order of magnitude as the estimated gap itself and that these revisions are highly persistent. Although important, the revision of published data is not the primary source of revisions in measured output gaps; the bulk of the problem is due to the pervasive unreliability of end-of-sample estimates of the trend in output. Multivariate methods that incorporate information from inflation to estimate the output gap are not more reliable than their univariate counterparts. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. HEC, Montreal, PQ, Canada. RP Orphanides, A (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. OI van Norden, Simon/0000-0003-0145-4226 NR 31 TC 185 Z9 186 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 NOV PY 2002 VL 84 IS 4 BP 569 EP 583 DI 10.1162/003465302760556422 PG 15 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 610WQ UT WOS:000178985200001 ER PT J AU Sharpe, SA AF Sharpe, SA TI Reexamining stock valuation and inflation: The implications of analysts' earnings forecasts SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID ASSET RETURNS; MONETARY-POLICY; BUSINESS CONDITIONS; EXPECTED RETURNS; SECURITY RETURNS; TERM STRUCTURE; INTEREST-RATES; BOND MARKETS; PRICES; EXPECTATIONS AB This paper examines the effect of inflation on stock valuations and expected long-run returns. Ex ante estimates of expected long-run returns are constructed by incorporating analysts' earnings forecasts into a variant of the Campbell-Shiller dividend-price ratio model. The negative relation between equity valuations and expected inflation is found to be the result of two effects: a rise in expected inflation coincides with both lower expected real earnings growth and higher required real returns. The earnings channel mostly reflects a negative relation between expected long-term earnings growth and expected inflation. The effect of expected inflation on required (long-run) real stock returns is also substantial. An increase of one percentage point in expected inflation is estimated to raise required real stock returns about one percentage point, which on average would imply a 20% decline in stock prices. But the inflation factor in expected real stock returns is also in long-term Treasury yields; consequently, expected inflation has little effect on the long-run equity premium. C1 US Fed Reserve Board, Washington, DC 20551 USA. RP Sharpe, SA (reprint author), US Fed Reserve Board, Washington, DC 20551 USA. NR 51 TC 35 Z9 35 U1 3 U2 10 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 NOV PY 2002 VL 84 IS 4 BP 632 EP 648 DI 10.1162/003465302760556468 PG 17 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 610WQ UT WOS:000178985200005 ER PT J AU Balke, NS Wohar, ME AF Balke, NS Wohar, ME TI Low-frequency movements in stock prices: A state-space decomposition SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID VARIANCE DECOMPOSITION; INFORMATION-TECHNOLOGY; EQUITY PREMIUM; INFLATION; DIVIDENDS; MARKETS; RETURNS; MODELS; PUZZLE; TESTS AB Previous analyses have concluded that expectations of future excess stock returns rather than future real dividend growth or real interest rates are responsible for most of the volatility in stock prices. In this paper, we employ a state-space model to model the dynamics of the log price-dividend ratio along with long-term and short-term interest rates, real dividend growth, and inflation. The advantage of the state-space approach is that we can parsimoniously model the low-frequency movements present in the data. We find that, if one allows permanent changes, even though very small, in real dividend growth, real interest rates, and inflation-but not excess stock returns-then expectations of real dividend growth and real interest rates become significant contributors to fluctuations in stock prices. However, we also show that. stock price decompositions are very sensitive to assumptions about which unobserved market fundamentals have a permanent component. When we allow excess stock returns to have a permanent component but not real dividend growth, excess stock returns become an important contributor to stock price movements, whereas real dividend growth does not. Unfortunately, the data is not particularly informative about which of these alternative models is more likely. C1 So Methodist Univ, Dallas, TX 75275 USA. Fed Reserve Bank Dallas, Dallas, TX 75201 USA. Univ Nebraska, Omaha, NE 68182 USA. RP Balke, NS (reprint author), So Methodist Univ, Dallas, TX 75275 USA. NR 47 TC 29 Z9 29 U1 3 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 NOV PY 2002 VL 84 IS 4 BP 649 EP 667 DI 10.1162/003465302760556477 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 610WQ UT WOS:000178985200006 ER PT J AU Holmes, TJ Stevens, JJ AF Holmes, TJ Stevens, JJ TI Geographic concentration and establishment scale SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID GROWTH AB This paper shows that plants located in areas where an industry concentrates are larger, on average, than plants in the same industry outside such areas. In some sectors, such as manufacturing, the differences are substantial. The connection between size and concentration is stronger than what we would expect to find if plants were randomly distributed like darts on a dartboard. C1 Univ Minnesota, 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, Minneapolis, MN 55455 USA. RI Stevens, John/H-4326-2012 NR 16 TC 74 Z9 79 U1 2 U2 6 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 NOV PY 2002 VL 84 IS 4 BP 682 EP 690 DI 10.1162/003465302760556495 PG 9 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 610WQ UT WOS:000178985200008 ER PT J AU Mattoon, R AF Mattoon, R TI The electricity system at the crossroads SO SOCIETY LA English DT Article C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Mattoon, R (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 0 TC 1 Z9 1 U1 0 U2 0 PU TRANSACTION PERIOD CONSORTIUM PI PISCATAWAY PA RUTGERS UNIV, DEPT 8010, 35 BERRUE CIRCLE, PISCATAWAY, NJ 08854-8042 USA SN 0147-2011 J9 SOCIETY JI Society PD NOV-DEC PY 2002 VL 40 IS 1 BP 64 EP + DI 10.1007/BF02802971 PG 14 WC Social Sciences, Interdisciplinary; Sociology SC Social Sciences - Other Topics; Sociology GA 605NQ UT WOS:000178684300009 ER PT J AU Bordo, MD Dueker, MJ Wheelock, DC AF Bordo, MD Dueker, MJ Wheelock, DC TI Aggregate price shocks and financial instability: A historical analysis SO ECONOMIC INQUIRY LA English DT Article ID INFLATION; CRISES AB This article presents evidence on the relationship between price and financial stability. We construct an annual index of financial conditions for the United States, 1790-1997, and estimate the effect of aggregate price shocks on the index using a dynamic ordered probit model. We find that price-level shocks contributed to financial instability during 1790-1933 and that inflation rate shocks contributed to financial instability during 1980-97 The size of the aggregate price shock needed to alter financial conditions depends on the institutional environment, but we conclude that a monetary policy focused on price stability would contribute to financial stability. C1 Rutgers State Univ, Dept Econ, New Brunswick, NJ 08903 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63132 USA. RP Bordo, MD (reprint author), Rutgers State Univ, Dept Econ, New Brunswick, NJ 08903 USA. EM bordo@fas-econ.rutgers.edu; dueker@stls.frb.org; wheelock@stls.frb.org RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 32 TC 6 Z9 6 U1 0 U2 5 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 OCT PY 2002 VL 40 IS 4 BP 521 EP 538 DI 10.1093/ei/40.4.521 PG 18 WC Economics SC Business & Economics GA 598NC UT WOS:000178281500001 ER PT J AU Gruben, WC McLeod, D AF Gruben, WC McLeod, D TI Capital account liberalization and inflation SO ECONOMICS LETTERS LA English DT Article DE inflation; disinflation; capital controls; capital account liberalization AB Evidence from over 100 countries suggests a strong link between capital account openness and lower inflation. In particular, widespread capital account liberalization during the early 1990s appears to have contributed to the world-wide disinflation observed during that decade. Alternative indices of capital account openness, including those of Quinn and Toyoda [Measuring International Financial Openness and Closure, Department of Political Science, Georgetown University, Washington, DC, 1996, mimeo] yield similar results. (C) 2002 Elsevier Science B.V. All rights reserved. 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. NR 8 TC 16 Z9 20 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 2002 VL 77 IS 2 BP 221 EP 225 AR PII S0165-1765(02)00137-4 DI 10.1016/S0165-1765(02)00137-4 PG 5 WC Economics SC Business & Economics GA 605VQ UT WOS:000178698100011 ER PT J AU Chauvet, M Potter, S AF Chauvet, M Potter, S TI Predicting a recession: evidence from the yield curve in the presence of structural breaks SO ECONOMICS LETTERS LA English DT Article DE recession forecast; yield curve; structural breaks; Bayesian; classical methods AB We use a probit model of the term structure to examine the stability of recession forecasts under the presence of a structural break. We find strong evidence of a break, but with very uncertain location, which affects considerably recession predictions. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Univ Calif Riverside, Dept Econ, Riverside, CA 92521 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. NR 10 TC 20 Z9 20 U1 1 U2 6 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD OCT PY 2002 VL 77 IS 2 BP 245 EP 253 AR PII S0165-1765(02)00128-3 DI 10.1016/S0165-1765(02)00128-3 PG 9 WC Economics SC Business & Economics GA 605VQ UT WOS:000178698100015 ER PT J AU Butcher, KF Dinardo, J AF Butcher, KF Dinardo, J TI The immigrant and native-born wage distributions: Evidence from United States censuses SO INDUSTRIAL & LABOR RELATIONS REVIEW LA English DT Article ID DENSITY-FUNCTION; EARNINGS; WOMEN; ASSIMILATION; SELECTION; RETURNS; 1980S AB Recent studies document a large widening of the immigrant/native-born mean wage. gap since about 1970, a trend that some observers ascribe to post-1965 changes in U.S. immigration policy. These studies are limited, however, by their exclusive focus on men, which ignores important gender differences in the wage gap, and by the inadequacy of the mean wage for characterizing the gap when, as in recent decades, the wage distribution dramatically changes. This study of recent immigrants examines changes across the, entire wage distribution, for both genders. The authors find evidence, based partly on gender differences, that minimum wages strongly influenced the gap. A counterfactual analysis also indicates that if recent immigrants in 1970 had faced the 1990 wage structure, their wage distribution would have closely resembled that of recent immigrants in 1990. These and other results. suggest that the increasing wage gap is linked to changes in the wage structure. C1 Fed Reserve Bank Chicago, Res Dept, Chicago, IL USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Univ Michigan, Gerald R Ford Sch Publ Policy, Ann Arbor, MI 48109 USA. RP Butcher, KF (reprint author), Fed Reserve Bank Chicago, Res Dept, Chicago, IL USA. NR 31 TC 47 Z9 49 U1 0 U2 8 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 OCT PY 2002 VL 56 IS 1 BP 97 EP 121 DI 10.2307/3270651 PG 25 WC Industrial Relations & Labor SC Business & Economics GA 605EX UT WOS:000178665400006 ER PT J AU Hubbard, RG Kuttner, KN Palia, DN AF Hubbard, RG Kuttner, KN Palia, DN TI Are there bank effects in borrowers' costs of funds? Evidence from a matched sample of borrowers and banks SO JOURNAL OF BUSINESS LA English DT Article ID MONETARY-POLICY; FINANCIAL INTERMEDIATION; INVESTMENT; CREDIT; DEBT; INFORMATION; BEHAVIOR; TRANSMISSION; REPUTATION; CHOICE AB We use a matched sample of individual loans, borrowers, and banks to investigate the effect of banks' financial health on the cost of loans, controlling for borrower risk and information costs. Our principal finding is that low-capital banks tend to charge higher loan rates than well-capitalized banks. This effect is primarily associated with firms for which information costs are likely to be important, and, when borrowing from weak banks, these firms tend to hold more cash. The results indicate that many firms face significant costs in switching lenders and thus provide support for the bank lending channel of monetary transmission. C1 Columbia Univ, New York, NY 10027 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank New York, New York, NY 10045 USA. Rutgers State Univ, Piscataway, NJ 08855 USA. RP Hubbard, RG (reprint author), Columbia Univ, New York, NY 10027 USA. NR 47 TC 56 Z9 56 U1 5 U2 13 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 2002 VL 75 IS 4 BP 559 EP 581 DI 10.1086/341635 PG 23 WC Business SC Business & Economics GA 600BC UT WOS:000178369900001 ER PT J AU Cavalluzzo, KS Cavalluzzo, LC Wolken, JD AF Cavalluzzo, KS Cavalluzzo, LC Wolken, JD TI Competition, small business financing, and discrimination: Evidence from a new survey SO JOURNAL OF BUSINESS LA English DT Article ID MARKET-STRUCTURE; EMPLOYMENT DISCRIMINATION; IMPERFECT INFORMATION; COMMERCIAL BANK; CREDIT; INDUSTRY; SELECTION; SECTOR; LEVEL AB We analyze credit applications, loan denials, and interest rates paid by small businesses across owner gender, race, and ethnicity. In addition, we examine data from owners who said they did not apply for credit because they believed that their applications would have been turned down. After controlling for a rich set of explanatory variables, including personal and business credit histories, substantial differences in denial rates between firms owned by African Americans and white males remain. Moreover, consistent with Becker's classic theories (1957), we find evidence that increases in competition in the firm's local banking market reduces these differences. C1 Georgetown Univ, Washington, DC 20057 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Cavalluzzo, KS (reprint author), Georgetown Univ, Washington, DC 20057 USA. NR 47 TC 101 Z9 101 U1 6 U2 23 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 2002 VL 75 IS 4 BP 641 EP 679 DI 10.1086/341638 PG 39 WC Business SC Business & Economics GA 600BC UT WOS:000178369900004 ER PT J AU Stock, JH Wright, JH Yogo, M AF Stock, JH Wright, JH Yogo, M TI A survey of weak instruments and weak identification in generalized method of moments SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE instrument relevance; instrumental variables; similar tests ID FINITE-SAMPLE PROPERTIES; ASSET PRICING-MODELS; VARIABLES ESTIMATION; INTERTEMPORAL SUBSTITUTION; STRUCTURAL PARAMETERS; IV ESTIMATORS; RISK-AVERSION; CONSUMPTION; TESTS; GMM AB Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In generalized method of moments (GMM), more generally, weak instruments correspond to weak identification of some or all of the unknown parameters. Weak identification leads to GMM statistics with nonnormal distributions, even in large samples, so that conventional IV or GMM inferences are misleading. Fortunately, various procedures are now available for detecting and handling weak instruments in the linear IV model and, to a lesser degree, in nonlinear GMM. C1 Harvard Univ, Cambridge, MA 02138 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Board, Washington, DC 20551 USA. RP Stock, JH (reprint author), Harvard Univ, Cambridge, MA 02138 USA. RI Yogo, Motohiro/C-4820-2009 OI Yogo, Motohiro/0000-0001-8778-778X NR 70 TC 879 Z9 886 U1 5 U2 51 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 2002 VL 20 IS 4 BP 518 EP 529 DI 10.1198/073500102288618658 PG 12 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 676BJ UT WOS:000182731800010 ER PT J AU Bansal, R Zhou, H AF Bansal, R Zhou, H TI Term structure of interest rates with regime shifts SO JOURNAL OF FINANCE LA English DT Article ID MOMENTS ESTIMATION; ASSET PRICES; TIME-SERIES; MARKET DATA; ROSS MODEL; REAL; INGERSOLL; COX; VOLATILITY; ARCH AB We develop a term structure model where the short interest rate and the market price of risks are subject to discrete regime shifts. Empirical evidence from efficient method of moments estimation provides considerable support for the regime shifts model. Standard models, which include affine specifications with up to three factors, are sharply rejected in the data. Our diagnostics show that only the regime shifts model can account for the well-documented violations of the expectations hypothesis, the observed conditional volatility, and the conditional correlation across yields. We find that regimes are intimately related to business cycles. C1 Duke Univ, Fuqua Sch Business, Durham, NC 27706 USA. Fed Reserve Board, Washington, DC USA. RP Bansal, R (reprint author), Duke Univ, Fuqua Sch Business, Durham, NC 27706 USA. NR 54 TC 137 Z9 141 U1 1 U2 12 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 OCT PY 2002 VL 57 IS 5 BP 1997 EP 2043 DI 10.1111/0022-1082.00487 PG 47 WC Business, Finance SC Business & Economics GA 608MG UT WOS:000178849700006 ER PT J AU Neely, CJ AF Neely, CJ TI The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE technical analysis; trading rule; intervention; exchange rate; central bank ID CENTRAL BANK INTERVENTION; MARKET; BOOTSTRAP; MODEL; TIME AB This paper characterizes the temporal pattern of trading rule returns and official intervention for Australian, German, Swiss and U.S. data to investigate whether intervention generates technical trading rule profits. The data reject the hypothesis that intervention generates inefficiencies from which technical rules profit. In particular, high frequency data show that abnormally high trading rule returns precede German, Swiss and U.S. intervention. Australian intervention precedes high trading rule returns, but trading/intervention patterns make it implausible that intervention actually generates those returns. Rather, intervention responds to exchange rate trends from which trading rules have recently profited. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63102 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Dept Res, 411 Locust St, St Louis, MO 63102 USA. RI Neely, Christopher/D-3636-2012; Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 33 TC 46 Z9 49 U1 4 U2 10 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 2002 VL 58 IS 1 BP 211 EP 232 AR PII S0022-1996(01)00163-5 DI 10.1016/S0022-1996(01)00163-5 PG 22 WC Economics SC Business & Economics GA 567HB UT WOS:000176478400009 ER PT J AU Goolsbee, A Klenow, PJ AF Goolsbee, A Klenow, PJ TI Evidence on learning and network externalities in the diffusion of home computers SO JOURNAL OF LAW & ECONOMICS LA English DT Article ID TECHNOLOGY ADOPTION; ECONOMICS; GROWTH AB In this paper we examine the importance of local spillovers- such as network externalities and learning from others-in the diffusion of home computers. We use data on 110,000 U. S. households in 1997. Controlling for many individual characteristics, we find that people are more likely to buy their first home computer in areas where a high fraction of households already own computers or when a large share of their friends and family own computers. Further results suggest that these patterns are unlikely to be explained by common unobserved traits or by area features. When looked at in more detail, the spillovers appear to come from experienced and intensive computer users. They are not associated with the use of any particular type of software but do seem to be highly tied to the use of e-mail and the Internet, consistent with computers being part of an information or communication network. C1 Univ Chicago, Chicago, IL 60637 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Goolsbee, A (reprint author), Univ Chicago, Chicago, IL 60637 USA. NR 39 TC 108 Z9 110 U1 4 U2 22 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 2002 VL 45 IS 2 BP 317 EP 343 DI 10.1086/344399 PN 1 PG 27 WC Economics; Law SC Business & Economics; Government & Law GA 617KF UT WOS:000179360300002 ER PT J AU Gervais, M AF Gervais, M TI Housing taxation and capital accumulation SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE housing taxation; imputed rents; mortgage deductibility; capital accumulation ID LIQUIDITY CONSTRAINTS; MARKET; HOMEOWNERSHIP; CONSUMPTION; CHOICE; MODEL; TAXES AB This paper studies the impact of the preferential tax treatment of housing capital in a dynamic general equilibrium life-cycle economy populated by heterogeneous individuals. The model includes the main housing tax provisions currently in place in the U.S. and a minimum downpayment requirement upon purchasing non-divisible houses. The tax code makes the return on housing capital larger than that on business capital, which distorts the lifetime profile and composition of individuals' savings. The wedge between the two rates of return emanates from the failure to tax imputed rents and is amplified by the presence of mortgage interest deductibility. Simulations show that individuals at all income levels would rather live in a world where imputed rents are taxed or one where mortgage interest payments are not deductible. Furthermore, distributional effects are much smaller than conventionally believed. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Queens Univ, Dept Econ, Kingston, ON K7L 3N6, Canada. Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Gervais, M (reprint author), Queens Univ, Dept Econ, Dunning Hall, Kingston, ON K7L 3N6, Canada. NR 27 TC 61 Z9 61 U1 2 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 OCT PY 2002 VL 49 IS 7 BP 1461 EP 1489 AR PII S0304-3932(02)00172-1 DI 10.1016/S0304-3932(02)00172-1 PG 29 WC Business, Finance; Economics SC Business & Economics GA 610BQ UT WOS:000178941200006 ER PT J AU Morgan, DP AF Morgan, DP TI Rating banks: Risk and uncertainty in an opaque industry SO AMERICAN ECONOMIC REVIEW LA English DT Article ID AGENCY COSTS; SIZE AB The pattern of disagreement between bond raters suggests that banks and insurance firms are inherently more opaque than other types of firms. Moody's and S&P split more often over these financial intermediaries, and the splits are more lopsided, as theory here predicts. Uncertainty over the banks stems from certain assets, loans and trading assets in particular, the risks of which are hard to observe or easy to change. Banks' high leverage, which invites agency problems, compounds the uncertainty over their assets. These findings bear on both the existence and reform of bank regulation. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Morgan, DP (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 18 TC 205 Z9 206 U1 6 U2 30 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 2002 VL 92 IS 4 BP 874 EP 888 DI 10.1257/00028280260344506 PG 15 WC Economics SC Business & Economics GA 610TJ UT WOS:000178976700008 ER PT J AU Estrella, A Fuhrer, JC AF Estrella, A Fuhrer, JC TI Dynamic inconsistencies: Counterfactual implications of a class of rational-expectations models SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID MONETARY-POLICY; INFLATION; CONSUMPTION; HABIT C1 Fed Reserve Bank New York, New York, NY 10045 USA. Fed Reserve Bank Boston, Boston, MA 02106 USA. RP Estrella, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM arturo.estrella@ny.frb.org; Jeff.Fuhrer@bos.frb.org RI Fuhrer, Jeff/F-8852-2013 NR 31 TC 63 Z9 66 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 SEP PY 2002 VL 92 IS 4 BP 1013 EP 1028 DI 10.1257/00028280260344579 PG 16 WC Economics SC Business & Economics GA 610TJ UT WOS:000178976700015 ER PT J AU Hansen, GD Prescott, EC AF Hansen, GD Prescott, EC TI Malthus to Solow SO AMERICAN ECONOMIC REVIEW LA English DT Article ID GROWTH; POPULATION; FERTILITY C1 Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Hansen, GD (reprint author), Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. NR 30 TC 204 Z9 210 U1 5 U2 27 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 2002 VL 92 IS 4 BP 1205 EP 1217 DI 10.1257/00028280260344731 PG 13 WC Economics SC Business & Economics GA 610TJ UT WOS:000178976700031 ER PT J AU Galdon-Sanchez, JE Schmitz, JA AF Galdon-Sanchez, JE Schmitz, JA TI Competitive pressure and Labor productivity: World iron-ore markets in the 1980's SO AMERICAN ECONOMIC REVIEW LA English DT Article ID EFFICIENCY; TRADE; INDUSTRIES C1 Univ Publ Navarra, Pamplona 31006, Spain. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. RP Galdon-Sanchez, JE (reprint author), Univ Publ Navarra, Campus Arrosadia, Pamplona 31006, Spain. OI Galdon-Sanchez, Jose Enrique/0000-0002-6601-6254 NR 33 TC 31 Z9 31 U1 1 U2 13 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2002 VL 92 IS 4 BP 1222 EP 1235 DI 10.1257/00028280260344759 PG 14 WC Economics SC Business & Economics GA 610TJ UT WOS:000178976700033 ER PT J AU Kamstra, MJ Kramer, LA Levi, MD AF Kamstra, MJ Kramer, LA Levi, MD TI Losing sleep at the market: The daylight saving anomaly: Reply SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID POSTERIOR C1 Atlanta Fed Res Bank, Res Dept, Atlanta, GA 30309 USA. Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada. Univ British Columbia, Fac Commerce & Business Adm, Vancouver, BC V6T 1Z2, Canada. RP Kamstra, MJ (reprint author), Atlanta Fed Res Bank, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. RI Kramer, Lisa/H-9079-2012 NR 5 TC 11 Z9 11 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 SEP PY 2002 VL 92 IS 4 BP 1257 EP 1263 DI 10.1257/00028280260344795 PG 7 WC Economics SC Business & Economics GA 610TJ UT WOS:000178976700037 ER PT J AU Espinosa-Vega, MA Yip, CK AF Espinosa-Vega, MA Yip, CK TI Government financing in an endogenous growth model with financial market restrictions SO ECONOMIC THEORY LA English DT Article DE government financing; endogenous growth; financial intermediaries ID LONG-RUN GROWTH; RESERVE REQUIREMENTS; POLICY; MONETARY; MONEY AB In this paper, we develop an endogenous growth model with market regulations on explicitly modeled financial intermediaries to examine the effects of alternative government financing schemes on growth, inflation, and welfare. In the presence of binding regulation, there is always a unique equilibrium. We perform four alternative policy experiments; a change in the seigniorage tax rate, a change in the seigniorage tax base, a change in the income tax and a change in the fiscal-monetary policy mix. We find that in the presence of binding legal reserve requirements, a marginal increase in government spending need not result in a reduction in the rate of economic growth if it is financed with an increase in the seigniorage tax rate. Raising the seigniorage tax base by means of an increase in the reserve requirement retards growth and it has an ambiguous effect on inflation. An increase in income tax financed government spending also suppresses growth and raises inflation although not to the extent that the required seigniorage tax rate alternative would. Switching from seigniorage to income taxation as a source of government finance is growth reducing but deflationary. From a welfare perspective, the least distortionary way of financing an increase in the government spending requirements is by means of a marginal increase in the seigniorage tax rate. Under the specification of logarithmic preferences, the optimal tax structure is indeterminate. C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30303 USA. Chinese Univ Hong Kong, Dept Econ, Shatin, Hong Kong, Peoples R China. RP Espinosa-Vega, MA (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30303 USA. NR 19 TC 5 Z9 5 U1 0 U2 3 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 SEP PY 2002 VL 20 IS 2 BP 237 EP 257 DI 10.1007/s001990100225 PG 21 WC Economics SC Business & Economics GA 593EX UT WOS:000177979100002 ER PT J AU Clouse, JA Dow, JP AF Clouse, JA Dow, JP TI A computational model of banks' optimal reserve management policy SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE bank reserves; federal funds market ID FUNDS RATE AB This paper uses numerical methods to model the demand for excess reserves by a representative bank in a framework that includes many realistic features of the current reserve market structure in the United States. In particular, the model incorporates a 14-day maintenance period and an accurate representation of carryover provisions. We use the model to evaluate the effect of various changes to the operating environment (increased uncertainty, modified penalties) and changes to policy (paying interest on reserves). (C) 2002 Elsevier Science B.V. All rights reserved. C1 Calif State Univ Northridge, Dept Econ, Northridge, CA 91330 USA. Fed Reserve Syst, Washington, DC 20551 USA. RP Dow, JP (reprint author), Calif State Univ Northridge, Dept Econ, Northridge, CA 91330 USA. NR 14 TC 17 Z9 17 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD SEP PY 2002 VL 26 IS 11 BP 1787 EP 1814 AR PII S0165-1889(01)00010-0 DI 10.1016/S0165-1889(01)00010-0 PG 28 WC Economics SC Business & Economics GA 563RA UT WOS:000176268300001 ER PT J AU Li, WL AF Li, WL TI Entrepreneurship and government subsidies: A general equilibrium analysis SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE borrowing constraints; entrepreneurship; credit subsidy ID LIQUIDITY CONSTRAINTS; EQUITY PREMIUM; CREDIT; ECONOMIES; PROGRAMS; PUZZLE; INCOME; RISK AB This paper quantitatively studies the effects of government credit subsidies. We find that current credit assistance programs in the form of interest subsidies exert strong effects on the allocation of credit to targeted entrepreneurs, but at the cost of nontargeted entrepreneurs. Total entrepreneurial activities are reduced and large output loss is incurred. The paper also examines several alternative credit programs. Our analysis suggests that income subsidy programs and programs that specifically target poor and capable entrepreneurs are more effective in promoting entrepreneurial activity and improving total output. These findings are based on a model with a large number of infinitely lived agents whose saving behavior and occupational choice are influenced by precautionary saving motives and borrowing constraints. Government credit subsidies, on the benefit side, enhance the liquidity of agents by providing an additional means of smoothing consumption and by effectively loosening borrowing constraints. On the cost side, these subsidies and resulting taxes crowd out capital and have adverse incentive effects. Crown Copyright (C) 2002 Published by Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Board Governors, Fed Reserve Syst, Washington, DC 20551 USA. RP Li, WL (reprint author), Fed Reserve Bank Richmond, Board Governors, Fed Reserve Syst, Mail Stop 93, Washington, DC 20551 USA. NR 30 TC 25 Z9 27 U1 2 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 SEP PY 2002 VL 26 IS 11 BP 1815 EP 1844 AR PII S0165-1889(01)00011-2 DI 10.1016/S0165-1889(01)00011-2 PG 30 WC Economics SC Business & Economics GA 563RA UT WOS:000176268300002 ER PT J AU Walsh, CE AF Walsh, CE TI Teaching inflation targeting: An analysis for intermediate macro SO JOURNAL OF ECONOMIC EDUCATION LA English DT Article DE central bank policy; inflation targeting; intermediate macro ID MONETARY-POLICY; SENSE AB Over the last decade, many central banks have adopted policies known as inflation targeting. If intermediate-level macroeconomics students are to be prepared to think about current policy issues, it is important to provide them with an introduction to the macroeconomic implications of inflation targeting. Unfortunately, the standard aggregate demand-aggregate supply frameworks commonly used to teach intermediate macroeconomics are not well suited for this task because they are expressed in terms of output and the price level and because they fail to make explicit the policy objectives of the central bank. The author provides a simple graphical device involving the output gap and the inflation rate that overcomes these problems and that can be used to teach intermediate macroeconomics students about inflation targeting. C1 Univ Calif Santa Cruz, Santa Cruz, CA 95064 USA. RP Walsh, CE (reprint author), Fed Reserve Bank, San Francisco, CA USA. NR 14 TC 14 Z9 16 U1 1 U2 3 PU HELDREF PUBLICATIONS PI WASHINGTON PA 1319 EIGHTEENTH ST NW, WASHINGTON, DC 20036-1802 USA SN 0022-0485 J9 J ECON EDUC JI J. Econ. Educ. PD FAL PY 2002 VL 33 IS 4 BP 333 EP 346 PG 14 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA 589JL UT WOS:000177755100003 ER PT J AU Hooks, LM Robinson, KJ AF Hooks, LM Robinson, KJ TI Deposit insurance and moral hazard: Evidence from Texas banking in the 1920s SO JOURNAL OF ECONOMIC HISTORY LA English DT Article ID ADVERSE SELECTION; RISK-TAKING; FAILURES; DEREGULATION AB Using recently collected examination data from a sample of Texas state-chartered banks over the period 1919-1926, the role of moral hazard in increasing ex-ante asset risk is explored. Analyzing individual bank-level data, we find that the existence of deposit insurance for state-chartered banks increased their likelihood of failure. Increases in loan concentrations followed declines in capitalization at insured state banks. However, we find no statistically significant relationship between loan concentrations and capitalization at uninsured national banks or at state banks before the introduction of deposit insurance. These results show a moral-hazard effect at work. C1 Washington & Lee Univ, Williams Sch Commerce, Lexington, VA 24450 USA. Fed Reserve Bank Dallas, Financial Ind Studies Dept, Dallas, TX 75201 USA. RP Hooks, LM (reprint author), Washington & Lee Univ, Williams Sch Commerce, Room 318, Lexington, VA 24450 USA. NR 45 TC 17 Z9 17 U1 0 U2 5 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4221 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD SEP PY 2002 VL 62 IS 3 BP 833 EP 853 PG 21 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 595CE UT WOS:000178088600008 ER PT J AU Glick, R AF Glick, R TI International financial contagion. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Glick, R (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. NR 1 TC 0 Z9 0 U1 1 U2 1 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 2002 VL 40 IS 3 BP 934 EP 935 PG 2 WC Economics SC Business & Economics GA 595NP UT WOS:000178115900017 ER PT J AU Bullard, J Mitra, K AF Bullard, J Mitra, K TI Learning about monetary policy rules SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Expectations, Economic Theory and Economic Policy CY SEP 23-26, 1999 CL PERUGIA, ITALY DE learning; monetary policy rules; expectational stability; optimal monetary policy ID RATIONAL-EXPECTATIONS; MODELS; PERSPECTIVE AB We study macroeconomic systems with forward-looking private sector agents and a monetary authority that is trying to control the economy through the use of a linear policy feedback rule. We use stability under recursive learning a la Evans and Honkapohja (Learning and Expectations in Macroeconomics, Princeton University Press, Princeton, New Jersey, 2001) as a criterion for evaluating monetary policy rules in this context. We find that considering learning can alter the evaluation of alternative policy rules. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63102 USA. Univ London Royal Holloway & Bedford New Coll, Dept Econ, Egham TW20 0EX, Surrey, England. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, Dept Res, 411 Locust St, St Louis, MO 63102 USA. RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 28 TC 204 Z9 205 U1 2 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 SEP PY 2002 VL 49 IS 6 BP 1105 EP 1129 AR PII S0304-3932(02)00144-7 DI 10.1016/S0304-3932(02)00144-7 PG 25 WC Business, Finance; Economics SC Business & Economics GA 599HQ UT WOS:000178328500001 ER PT J AU Rudebusch, GD AF Rudebusch, GD TI Term structure evidence on interest rate smoothing and monetary policy inertia SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary policy; term structure of interest rates; Taylor rule ID RATIONAL-EXPECTATIONS; INFLATION; MODELS; ADJUSTMENT; BEHAVIOR; OUTPUT; RULES AB Numerous studies have used quarterly data to estimate monetary policy rules or reaction functions that appear to exhibit a very slow partial adjustment of the policy interest rate. The conventional wisdom asserts that this gradual adjustment reflects a policy inertia or interest rate smoothing behavior by central banks. However, such quarterly monetary policy inertia would imply a large amount of forecastable variation in interest rates at horizons of more than 3 months, which is contradicted by evidence from the term structure of interest rates. The illusion of monetary policy inertia evident in the estimated policy rules likely reflects the persistent shocks that central banks face. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Rudebusch, GD (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM glenn.rudebusch@sf.frb.org NR 67 TC 200 Z9 202 U1 0 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2002 VL 49 IS 6 BP 1161 EP 1187 AR PII S0304-3932(02)00149-6 DI 10.1016/S0304-3932(02)00149-6 PG 27 WC Business, Finance; Economics SC Business & Economics GA 599HQ UT WOS:000178328500003 ER PT J AU Kim, CJ Piger, J AF Kim, CJ Piger, J TI Common stochastic trends, common cycles, and asymmetry in economic fluctuations SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE asymmetry; business cycles; common shocks; Markov-switching; productivity slowdown ID TIME-SERIES; BUSINESS-CYCLE; TRANSITORY COMPONENTS; BAYESIAN-APPROACH; PLUCKING MODEL; UNIT-ROOT; OUTPUT; HYPOTHESIS; UNCERTAINTY; LIKELIHOOD AB This paper investigates the nature of U.S. business cycle asymmetry using a dynamic factor model of output, investment, and consumption. We identify a common stochastic trend and common transitory component by embedding the permanent income hypothesis within a simple growth model. Markov-switching in each component captures two types of asymmetry: Shifts in the growth rate of the common stochastic trend, having permanent effects, and "plucking" deviations from the common stochastic trend, having only transitory effects. Statistical tests suggest both asymmetries were present in post-war recessions, although the shifts in trend are less severe than found in the received literature. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. Korea Univ, Seongbuk Ku, Seoul 136701, South Korea. RP Piger, J (reprint author), Fed Reserve Bank St Louis, 411 Locust St, St Louis, MO 63102 USA. RI Piger, Jeremy/I-7643-2012 OI Piger, Jeremy/0000-0001-6592-9986 NR 49 TC 27 Z9 27 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2002 VL 49 IS 6 BP 1189 EP 1211 AR PII S0304-3932(02)00146-0 DI 10.1016/S0304-3932(02)00146-0 PG 23 WC Business, Finance; Economics SC Business & Economics GA 599HQ UT WOS:000178328500004 ER PT J AU Boyd, JH Chang, C Smith, BD AF Boyd, JH Chang, C Smith, BD TI Deposit insurance: a reconsideration SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE deposit insurance ID FINANCIAL INTERMEDIATION; UNIVERSAL BANKING; CONTRACTS AB This paper undertakes a simple general equilibrium analysis of the consequences of deposit insurance programs, the way in which they are priced, and the way in which they fund revenue shortfalls. In our economy, the central issue in analyzing deposit insurance is how the government will make up any FDIC losses. Deposit insurance premia matter only in so far as they affect the level of implied FDIC revenue shortfalls. Moreover, local variations in the magnitude of FDIC losses will generically be irrelevant for the determination of any equilibrium quantities that affect agent welfare. However, large enough changes in these losses can "matter". There is no presumption that keeping these shortfalls low is a "good idea". Finally, we show that multiple Pareto-ranked equilibria can be observed. The potential for multiplicity of equilibria may depend on components of FDIC policy. Our analysis provides counterexamples to the following propositions. (1) Actuarially fair pricing of deposit insurance is always desirable. (2) Implicit FDIC subsidization of banks through deposit insurance is always undesirable. (3) "Large" FDIC losses are necessarily symptomatic of a poorly designed deposit insurance system. (4) Risk-based deposit insurance premia can easily be used to reduce moral hazard problems associated with deposit insurance provision. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Univ Minnesota, Dept Finance, Carlson Sch Management, Minneapolis, MN 55455 USA. Univ Texas, Dept Econ, Austin, TX 78712 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Boyd, JH (reprint author), Univ Minnesota, Dept Finance, Carlson Sch Management, 321 19th Ave S,Room 3-122, Minneapolis, MN 55455 USA. NR 18 TC 11 Z9 11 U1 4 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2002 VL 49 IS 6 BP 1235 EP 1260 AR PII S0304-3932(02)00143-5 DI 10.1016/S0304-3932(02)00143-5 PG 26 WC Business, Finance; Economics SC Business & Economics GA 599HQ UT WOS:000178328500006 ER PT J AU Passmore, W Sparks, R Ingpen, J AF Passmore, W Sparks, R Ingpen, J TI GSEs, mortgage rates, and the long-run effects of mortgage securitization SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE GSEs; mortgagae rates; mortgage securitization ID LIQUIDITY; MARKETS AB Our paper compares mortgage securitization undertaken by government-sponsored enterprises (GSEs) with that undertaken by private firms, with an emphasis on how each type of mortgage securitization affects mortgage rates. We build a model illustrating that market structure, government sponsorship, and the characteristics of the mortgages securitized are all important determinants of mortgage rates. We find that GSEs generally-but not always-lower mortgage rates, particularly when the GSEs behave competitively, because the GSEs' implicit government backing allows them to sell securities without the credit enhancements needed in the private sector. Using our simulation model, we demonstrate that when mortgages eligible for purchase by the GSEs have characteristics similar to other mortgages, the GSEs' implicit government-backing generates differences in mortgage rates similar to those currently observed in the mortgage market (which range between zero and fifty basis points). However, if the mortgages purchased by GSEs are less costly to originate and securitize, and if the GSEs behave competitively, then the simulated spread in mortgage rates can be much larger than that observed in the data. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Mills Coll, Oakland, CA 94613 USA. RP Passmore, W (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 93, Washington, DC 20551 USA. EM Wayne.Passmore@frb.gov NR 21 TC 15 Z9 15 U1 0 U2 6 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 SEP-DEC PY 2002 VL 25 IS 2-3 BP 215 EP 242 DI 10.1023/A:1016577809655 PG 28 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 578EA UT WOS:000177103400006 ER PT J AU Barsky, R Bound, J Charles, KK Lupton, JP AF Barsky, R Bound, J Charles, KK Lupton, JP TI Accounting for the black-white wealth gap: A nonparametric approach SO JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION LA English DT Article DE black-white wealth gap; Blinder-Oaxaca decomposition; propensity score ID ECONOMETRIC EVALUATION ESTIMATOR; PROPENSITY SCORE; HOUSEHOLD WEALTH; INCOME DYNAMICS; REGRESSION; OWNERSHIP; PANEL; BIAS AB Many applications involve a decomposition of the mean intergroup difference in a given variable into the portion attributable to differences in the distribution of one or more explanatory variables and that due to differences in the conditional expectation function. This article notes two interrelated reasons why the Blinder-Oaxaca (B-O) method-the approach most commonly used in the literature-may yield misleading results. We suggest a natural solution that both provides a more reliable answer to the original problem and affords a richer examination of the sources of intergroup differences in the variable of interest. The conventional application of the B-O method requires a parametric assumption about the form of the conditional expectation function. Furthermore, it often uses estimates based on that functional form to extrapolate outside the range of the observed explanatory variables. We show that misspecification of the conditional expectation function is likely to result in nontrivial errors in inference regarding the portion attributable to differences in the distribution of explanatory variables, a problem compounded by the computation of conditional expectations outside the observed range of the conditioning variables. Here we propose a nonparametric alternative to the B-O method that reweights the empirical distribution of the outcome variable using weights that equalize the empirical distributions of the explanatory variable. We apply this method to the role of earnings in explaining the black-white wealth difference. The problems with the B-O method show up clearly in this application, because the function relating wealth to earnings is highly nonlinear (with a functional form unspecified by theory) and because the earnings distribution for blacks is shifted sharply to the left of that for whites. We argue that it is not possible to examine the hypothetical distribution of black wealth holdings conditional on the observed white earnings function. For the question that we can answer-the distribution of wealth for a synthetic sample of blacks and whites with comparable earnings-we find that two-thirds of the mean difference in wealth can appropriately be attributed to earnings. In addition. we fully characterize the distribution of white and black wealth conditional on earnings. C1 Univ Michigan, Sch Publ Policy, Dept Econ, Ann Arbor, MI 48109 USA. Fed Res Board, Washington, DC 20551 USA. RP Barsky, R (reprint author), Univ Michigan, Sch Publ Policy, Dept Econ, Ann Arbor, MI 48109 USA. NR 36 TC 98 Z9 98 U1 0 U2 5 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0162-1459 J9 J AM STAT ASSOC JI J. Am. Stat. Assoc. PD SEP PY 2002 VL 97 IS 459 BP 663 EP 673 DI 10.1198/016214502388618401 PG 11 WC Statistics & Probability SC Mathematics GA 593WY UT WOS:000178018500001 ER PT J AU Cohen, DS Hansen, DP Hassett, KA AF Cohen, DS Hansen, DP Hassett, KA TI The effects of temporary partial expensing on investment incentives in the United States SO NATIONAL TAX JOURNAL LA English DT Article ID POLICY C1 Fed Reserve Syst, Washington, DC 20551 USA. Amer Enterprise Inst Publ Policy Res, Washington, DC 20036 USA. RP Cohen, DS (reprint author), Fed Reserve Syst, Washington, DC 20551 USA. NR 9 TC 6 Z9 6 U1 0 U2 2 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 J9 NATL TAX J JI Natl. Tax J. PD SEP PY 2002 VL 55 IS 3 BP 457 EP 466 PG 10 WC Business, Finance; Economics SC Business & Economics GA 620ET UT WOS:000179521600005 ER PT J AU Tannenwald, R AF Tannenwald, R TI Are state and local revenue systems becoming obsolete? SO NATIONAL TAX JOURNAL LA English DT Article ID ECONOMIC-DEVELOPMENT; COMMERCE; COMPETITION; INCENTIVES; TAXATION C1 Fed Reserve Bank Boston, Boston, MA 02106 USA. RP Tannenwald, R (reprint author), Fed Reserve Bank Boston, Boston, MA 02106 USA. NR 64 TC 2 Z9 2 U1 0 U2 8 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 J9 NATL TAX J JI Natl. Tax J. PD SEP PY 2002 VL 55 IS 3 BP 467 EP 489 PG 23 WC Business, Finance; Economics SC Business & Economics GA 620ET UT WOS:000179521600006 ER PT J AU Pence, KM AF Pence, KM TI Nature or nurture: Why do 401(k) participants save differently than other workers? SO NATIONAL TAX JOURNAL LA English DT Article ID REFORM AB Participants in 401(k) plans are more likely than other workers to list "retirement" as their main reason for saving, to hold individual retirement accounts, and to invest in the stock market. There are two possible reasons for these differences: (1) workers who like to save choose to participate in the program; or (2) 401(k) participation educates workers about investing. I find some support for both explanations using data from the 1983-1989 Survey of Consumer Finances. These results have important implications for proposals to partially privatize the Social Security system. First, 401(k) participants are different from the workforce as a whole: they have more income and education, and most importantly, a greater interest in saving for retirement. Extrapolating from their saving behavior to that of the workforce at large could be misleading. Second, the education provided by 401(k) participation appears to have only a modest effect on saving behavior, suggesting that this education alone may not fully address concerns about the savvy of American savers. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Pence, KM (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 22 TC 3 Z9 3 U1 1 U2 3 PU NATL TAX ASSOC PI WASHINGTON PA 725 15TH ST, N W #600, WASHINGTON, DC 20005-2109 USA SN 0028-0283 J9 NATL TAX J JI Natl. Tax J. PD SEP PY 2002 VL 55 IS 3 BP 597 EP 616 PG 20 WC Business, Finance; Economics SC Business & Economics GA 620ET UT WOS:000179521600011 ER PT J AU Noe, TH Rebello, MJ Shrikhande, MM AF Noe, TH Rebello, MJ Shrikhande, MM TI Structuring international cooperative ventures SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID RESEARCH JOINT VENTURES; ASYMMETRIC INFORMATION; EXCHANGE; ACQUISITIONS; INVESTMENT AB We examine the effect of bargaining power and informational asymmetry on the design of international cooperative ventures in the presence of restrictions on equity participation and investment. When the bargaining advantage rests with the multinational, equity participation restrictions can increase the profits to domestic firms and encourage suboptimal investment policies. Overinvestment occurs when the multinational's bargaining advantage is reinforced by an informational advantage, while underinvestment occurs when the domestic firm possesses the informational advantage. In contrast, when the bargaining advantage rests with the domestic firm, equity participation restrictions do not affect investment levels. C1 Georgia State Univ, J Mack Robinson Coll Business, Dept Finance, Atlanta, GA 30303 USA. Tulane Univ, New Orleans, LA 70118 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Shrikhande, MM (reprint author), Georgia State Univ, J Mack Robinson Coll Business, Dept Finance, 1221,Univ Plaza, Atlanta, GA 30303 USA. NR 36 TC 7 Z9 7 U1 2 U2 9 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 FAL PY 2002 VL 15 IS 4 BP 1251 EP 1282 DI 10.1093/rfs/15.4.1251 PG 32 WC Business, Finance; Economics SC Business & Economics GA 585JV UT WOS:000177522400009 ER PT J AU Burkhauser, RV Daly, MC Houtenville, AJ Nargis, N AF Burkhauser, RV Daly, MC Houtenville, AJ Nargis, N TI Self-reported work-limitation data: What they can and cannot tell us SO DEMOGRAPHY LA English DT Article ID LABOR-FORCE PARTICIPATION; WITH-DISABILITIES-ACT; FREE LIFE EXPECTANCY; UNITED-STATES; OLDER MEN; HEALTH; AMERICANS; MORTALITY; TRENDS AB Despite their widespread use in the literature, the Current Population Survey, (CPS) and similar surveys have come under attack of late. We put the criticisms in perspective by systematically examining what the CPS data can and cannot be used for in disability, research compared to the National Health Interview Survey. On the basis of our findings, we argue (1) that the CPS can be used to monitor trends in outcomes of those with disabilities and (2) that the dramatic decline in the employment of people with disabilities we describe in the CPS during the 1990s is not an artifact of the data. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. Cornell Univ, Dept Policy Anal & Management, Ithaca, NY 14853 USA. Cornell Univ, Sch Ind & Labor Relat, Ithaca, NY 14853 USA. RP Burkhauser, RV (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, Mail Stop 1130,101 Market St, San Francisco, CA 94105 USA. RI Burkhauser, Richard/G-5403-2015 OI Burkhauser, Richard/0000-0003-4629-0253 NR 35 TC 38 Z9 38 U1 0 U2 5 PU POPULATION ASSN AMER PI WASHINGTON PA 1722 N ST NW, WASHINGTON, DC 20036 USA SN 0070-3370 J9 DEMOGRAPHY JI Demography PD AUG PY 2002 VL 39 IS 3 BP 541 EP 555 DI 10.2307/3088331 PG 15 WC Demography SC Demography GA 583XJ UT WOS:000177436200008 PM 12205757 ER PT J AU Kozicki, S Tinsley, PA AF Kozicki, S Tinsley, PA TI Dynamic specifications in optimizing trend-deviation macro models SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE new Keynesian macro models; optimizing IS; Phillips curve; time-varying term premiums ID MONETARY-POLICY; HABIT FORMATION; INTEREST-RATES; TERM STRUCTURE; PRICES; CONSUMPTION; RIGIDITY; BEHAVIOR; STICKY; OUTPUT AB As noted in surveys by Goodfriend and King (In: B. Bernanke, J, Rotemberg (Eds.), NBER Macroeconomics Annual, MIT Press, Cambridge, MA, 1997, pp. 231-283) and Walsh (Monetary Theory and Policy, MIT Press, Cambridge, MA) and exemplified by models analyzed in Taylor (1999), there is encouraging progress in developing optimizing trend-deviation macro models that provide useful insights into the transmission and design of monetary policy. Several controversial features of a minimalist trend-deviation model, with optimizing households, firms, and bond traders, are examined. Dynamic specifications are suggested to improve the data-based realism, while preserving the simplicity, of the minimalist model. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. Univ Cambridge, Fac Econ & Polit, Cambridge CB3 9DD, England. RP Kozicki, S (reprint author), Fed Reserve Bank Kansas City, 925 Grand Blvd, Kansas City, MO 64198 USA. EM sharon.kozicki@kc.frb.org NR 49 TC 15 Z9 17 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD AUG PY 2002 VL 26 IS 9-10 BP 1585 EP 1611 AR PII S0165-1889(01)00086-0 DI 10.1016/S0165-1889(01)00086-0 PG 27 WC Economics SC Business & Economics GA 552VY UT WOS:000175641800013 ER PT J AU Erosa, A Gervais, M AF Erosa, A Gervais, M TI Optimal taxation in life-cycle economies SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE optimal taxation; uniform taxation; life cycle ID CAPITAL INCOME; MODEL; POLICY; GROWTH AB We use a very standard life-cycle growth model, in which individuals have a labor-leisure choice in each period of their lives, to prove that an optimizing government will almost always find it optimal to tax or subsidize interest income, The intuition for our result is straightforward. In a life-cycle model the individual's optimal consumption-work plan is almost never constant and an optimizing government almost always taxes consumption goods and labor earnings at different rates over an individual's lifetime. One way to achieve this goal is to use capital and labor income taxes that vary with age. If tax rates cannot be conditioned on age, a nonzero tax on capital income is also optimal, as it can (imperfectly) mimic age-conditioned consumption and labor income tax rates. (C) 2002 Elsevier Science (USA). C1 Univ Autonoma Barcelona, Dept Econ & Hist Econ, E-08193 Barcelona, Spain. Queens Univ, Dept Econ, Kingston, ON K7L 3N6, Canada. Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23219 USA. Univ Western Ontario, London, ON N6A 3K7, Canada. RP Erosa, A (reprint author), Univ Autonoma Barcelona, Dept Econ & Hist Econ, E-08193 Barcelona, Spain. RI Erosa, Andres/H-8516-2015 OI Erosa, Andres/0000-0002-1594-4421 NR 29 TC 84 Z9 84 U1 0 U2 13 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD AUG PY 2002 VL 105 IS 2 BP 338 EP 369 DI 10.1006/jeth.2001.2877 PG 32 WC Economics SC Business & Economics GA 588JT UT WOS:000177698900005 ER PT J AU Zanjani, G AF Zanjani, G TI Pricing and capital allocation in catastrophe insurance SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE insurance; insurance companies; capital allocation ID PROPERTY-LIABILITY INSURANCE; CAPACITY CONSTRAINTS; INVESTMENT-INCOME; RISK; MARKETS AB This paper studies multi-line pricing and capital allocation by insurance companies when solvency matters to consumers, capital is costly to hold, and the average loss is uncertain. In this environment, product quality concerns lead firms to diversify across markets and charge high prices for risk that threatens company solvency, even if the risk is unrelated to other asset risk. Price differences across markets are traced to differences in capital required at the margin to maintain solvency. Finally, the paper shows that capital costs have significant effects on catastrophe insurance markets because of high marginal capital requirements. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Zanjani, G (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 33 TC 38 Z9 38 U1 2 U2 12 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD AUG PY 2002 VL 65 IS 2 BP 283 EP 305 AR PII S0304-405X(02)00141-1 DI 10.1016/S0304-405X(02)00141-1 PG 23 WC Business, Finance; Economics SC Business & Economics GA 587RR UT WOS:000177656800004 ER PT J AU Haubrich, JG Thomson, JB AF Haubrich, JG Thomson, JB TI Declining treasury debt - Introduction SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material C1 Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Haubrich, JG (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH USA. NR 1 TC 0 Z9 0 U1 1 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 AUG PY 2002 VL 34 IS 3 BP 701 EP 706 DI 10.1353/mcb.2002.0016 PN 2 PG 6 WC Business, Finance; Economics SC Business & Economics GA 575RT UT WOS:000176962400001 ER PT J AU Fleming, MJ AF Fleming, MJ TI Are larger treasury issues more liquid? Evidence from bill reopenings SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID SPECIAL REPO RATES; YIELDS; MARKET; SEGMENTATION; SECURITIES; BOND AB This paper makes use of a natural experiment of the U.S. Treasury Department to examine the relationship between Treasury security issue size and liquidity. Treasury bills that were first issued with 52 weeks to maturity and then "reopened" at 26 weeks are shown to be more liquid than comparable maturity bills that were first issued with 26 weeks to maturity. The relationship is less pronounced when bills are "on-the-run" (the most recently auctioned bills of a given maturity) than when they are "off-the-run," and persists when controlling for other factors that affect liquidity. The reopened bills are found to have higher yields (lower prices) than comparable maturity bills, showing that the indirect liquidity benefits of reopenings are more than offset by the direct supply costs. C1 Fed Reserve Bank New York, New York, NY USA. RP Fleming, MJ (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 37 TC 17 Z9 17 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 AUG PY 2002 VL 34 IS 3 BP 707 EP 735 DI 10.1353/mcb.2002.0013 PN 2 PG 29 WC Business, Finance; Economics SC Business & Economics GA 575RT UT WOS:000176962400002 ER PT J AU Stevens, E AF Stevens, E TI Comment on the saga of the first stock index futures contract: Was it a case of the market using the wrong model and not learning? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material C1 Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Stevens, E (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH USA. NR 0 TC 0 Z9 0 U1 0 U2 0 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 AUG PY 2002 VL 34 IS 3 BP 809 EP 811 DI 10.1353/mcb.2002.0022 PN 2 PG 3 WC Business, Finance; Economics SC Business & Economics GA 575RT UT WOS:000176962400007 ER PT J AU Schreft, SL Smith, BD AF Schreft, SL Smith, BD TI The conduct of monetary policy with a shrinking stock of government debt SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID EQUILIBRIA AB This article considers the consequences for a central bank of a declining stock of government debt. The model has a treasury that taxes, spends, and issues debt; a central bank that conducts open market operations in treasury debt; and banks that intermediate private savings. It suggests that a sufficiently small stock of debt can put an economy on the Pareto inferior side of the seigniorage Laffer curve, implying unnecessarily high inflation. If there is also a primary budget deficit, equilibrium might not exist. Discount-window lending is a potentially desirable alternative to open market operations, especially if the loans are not subsidized. C1 Univ Texas, Austin, TX 78712 USA. Fed Reserve Bank, Kansas City, KS USA. RP Schreft, SL (reprint author), Univ Texas, Austin, TX 78712 USA. NR 22 TC 6 Z9 6 U1 0 U2 5 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 AUG PY 2002 VL 34 IS 3 BP 848 EP 882 DI 10.1353/mcb.2002.0021 PN 2 PG 35 WC Business, Finance; Economics SC Business & Economics GA 575RT UT WOS:000176962400010 ER PT J AU Gokhale, J AF Gokhale, J TI Comment on government asset and liability management in an era of vanishing public debt SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material C1 Fed Reserve Bank Cleveland, Cleveland, OH USA. RP Gokhale, J (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH USA. NR 0 TC 1 Z9 1 U1 0 U2 0 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 AUG PY 2002 VL 34 IS 3 BP 934 EP 940 DI 10.1353/mcb.2002.0014 PN 2 PG 7 WC Business, Finance; Economics SC Business & Economics GA 575RT UT WOS:000176962400013 ER PT J AU Broaddus, JA Goodfriend, M AF Broaddus, JA Goodfriend, M TI Panel: Implications of declining treasury debt - Federal reserve asset acquisition: A proposal SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material C1 Fed Reserve Bank Richmond, Richmond, CA USA. RP Broaddus, JA (reprint author), Fed Reserve Bank Richmond, Richmond, CA USA. NR 2 TC 0 Z9 0 U1 0 U2 0 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 AUG PY 2002 VL 34 IS 3 BP 946 EP 951 PN 2 PG 6 WC Business, Finance; Economics SC Business & Economics GA 575RT UT WOS:000176962400015 ER PT J AU Carlino, G Chatterjee, S AF Carlino, G Chatterjee, S TI Employment deconcentration: A new perspective on America's postwar urban evolution SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID CLEAN BREAK; GROWTH; POPULATION AB In this study we show that during the postwar era the United States experienced a decline in the share of urban employment accounted for by the relatively dense metropolitan areas and a corresponding rise in the share of relatively less dense ones, This trend, which we call employment deconcentration, is distinct from the other well-known regional trend, namely, the postwar movement of jobs and people from the frostbelt to the sunbelt. We also show that deconcentration has been accompanied by a similar trend within metropolitan areas, wherein employment share of the more dense sections of MSAs has declined and that of the less dense sections risen. We provide a general equilibrium model with density-driven congestion costs to suggest an explanation for employment de concentration. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. RP Carlino, G (reprint author), Fed Reserve Bank Philadelphia, Dept Res, Independence Mall, Philadelphia, PA 19106 USA. NR 20 TC 11 Z9 11 U1 1 U2 4 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 AUG PY 2002 VL 42 IS 3 BP 455 EP 475 PG 21 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 589WA UT WOS:000177783300001 ER PT J AU Fernald, J Rogers, JH AF Fernald, J Rogers, JH TI Puzzles in the Chinese stock market SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID CROSS-SECTION; RETURNS; RESTRICTIONS; PRICES AB Many companies on China's stock markets have traditionally had separate, restricted classes of shares for domestic residents and foreigners. These shares are identical other than for who can own them but foreigners have generally paid only about one-quarter the price paid by domestic residents. We argue that the generally higher level (and volatility) of domestic share prices is consistent with the simplest asset pricing model, assuming plausible differences-about four percentage points-in expected rates of return by foreign and domestic investors. We attribute low Chinese expected returns to the limited alternative investments available in China. We then estimate how various company characteristics (including capital asset pricing model (CAPM) betas, company size, market liquidity, and other characteristics) affect the relative price paid by foreigners in a panel of companies. We find, for example, that foreigners pay a lower relative price for companies with a higher proportion owned by the state-reflecting, surprisingly, a higher absolute price paid by both foreigners and domestic residents. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Fernald, J (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. NR 31 TC 40 Z9 42 U1 0 U2 5 PU MIT PRESS PI CAMBRIDGE PA 55 HAYWARD STREET, CAMBRIDGE, MA 02142 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD AUG PY 2002 VL 84 IS 3 BP 416 EP 432 DI 10.1162/003465302320259448 PG 17 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 580BB UT WOS:000177213200003 ER PT J AU Duncan, GJ Daly, MC McDonough, P Williams, DR AF Duncan, GJ Daly, MC McDonough, P Williams, DR TI Optimal indicators of socioeconomic status for health research SO AMERICAN JOURNAL OF PUBLIC HEALTH LA English DT Article ID SOCIAL-CLASS; UNITED-STATES; EDUCATIONAL DIFFERENTIALS; MORTALITY DIFFERENTIALS; ALAMEDA COUNTY; RISK-FACTORS; INEQUALITIES; INCOME; PERSPECTIVE; DISEASE AB Objectives, In this study we examined the relationship between indicators of socioeconomic status (SES) and mortality for a representative sample of individuals. Methods. The sample included 3734 individuals aged 45 and older interviewed in 1984 in the Panel Study of Income Dynamics. In the current study, mortality was tracked between 1984 and 1994 and is related to SES indicators of education, occupation, income, and wealth. Results. Wealth and recent family income were the indicators that were most strongly associated with subsequent mortality. These associations persisted after we controlled for the other SES indicators and were stronger for women than for men and for nonelderly than for elderly individuals. Conclusions. We found that the economic indicators of SES were usually as strongly associated with mortality as, if not more strongly associated with mortality than, the more conventional indicators of completed schooling and occupation. C1 Northwestern Univ, Evanston, IL 60208 USA. Fed Reserve Bank San Francisco, San Francisco, CA USA. York Univ, N York, ON M3J 1P3, Canada. Univ Michigan, Ann Arbor, MI 48109 USA. RP Duncan, GJ (reprint author), Northwestern Univ, Inst Policy Res, 2040 Sheridan Rd, Evanston, IL 60208 USA. EM greg-duncan@northwestern.edu NR 50 TC 226 Z9 228 U1 1 U2 26 PU AMER PUBLIC HEALTH ASSOC INC PI WASHINGTON PA 800 I STREET, NW, WASHINGTON, DC 20001-3710 USA SN 0090-0036 EI 1541-0048 J9 AM J PUBLIC HEALTH JI Am. J. Public Health PD JUL PY 2002 VL 92 IS 7 BP 1151 EP 1157 DI 10.2105/AJPH.92.7.1151 PG 7 WC Public, Environmental & Occupational Health SC Public, Environmental & Occupational Health GA 568AZ UT WOS:000176521400034 ER PT J AU Neumark, D Wascher, W AF Neumark, D Wascher, W TI Do minimum wages fight poverty? SO ECONOMIC INQUIRY LA English DT Article AB We present evidence on the effects of minimum wages on family incomes. The results indicate that minimum wages increase both the probability that poor families escape poverty and the probability, that previously nonpoor families fall into poverty. The estimated increase in the flow into poverty is larger, although this difference is not statistically, significant. We also find that minimum wages tend to boost the incomes of poor families that remain below the poverty line. On net, the various trade-offs created by minimum wage increases more closely resemble income redistribution among low-income families than income redistribution from high- to low-income families. C1 Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Neumark, D (reprint author), Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA. NR 18 TC 29 Z9 29 U1 1 U2 18 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 JUL PY 2002 VL 40 IS 3 BP 315 EP 333 DI 10.1093/ei/40.3.315 PG 19 WC Economics SC Business & Economics GA 567NJ UT WOS:000176490600001 ER PT J AU Brown, SPA Saving, JL AF Brown, SPA Saving, JL TI Government organization and power SO ECONOMIC INQUIRY LA English DT Article ID PUBLIC PRODUCTION; OPTIMAL TAXATION AB We develop a theoretical framework to examine how government organization affects its power and size. The framework abstracts from distortions that arise from the means of government finance and separates government power into two dimensions-pure coercive power and pure pricing power A government can avert its coercive power to shift the demand for its services outward and grow too large. It can simultaneously exert its pricing power to restrict output along a given demand curve to earn rents. Consequently, neither size nor rents alone are reliable indicators of the extent to which government provision of services is nonoptimal. C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75265 USA. RP Brown, SPA (reprint author), Fed Reserve Bank Dallas, Res Dept, POB 655906, Dallas, TX 75265 USA. NR 36 TC 0 Z9 0 U1 2 U2 5 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 JUL PY 2002 VL 40 IS 3 BP 439 EP 449 DI 10.1093/ei/40.3.439 PG 11 WC Economics SC Business & Economics GA 567NJ UT WOS:000176490600009 ER PT J AU Gunther, JW AF Gunther, JW TI Safety and soundness and the CRA: Is there a conflict? SO ECONOMIC INQUIRY LA English DT Article ID MORTGAGE AB Ordered probit regressions of the supervisory ratings assigned to banks point to a conflict between the credit enhancement objectives associated with the Community Reinvestment Act (CRA) and financial safety and soundness standards. Aggressive banking strategies tend to help CRA ratings but hurt safety and soundness ratings. In addition, banks with financial problems are more likely to receive substandard CRA ratings, even though their condition may require a retrenchment from CRA objectives. Finally, there is some limited evidence to suggest that a greater focus oil lending in low-income neighborhoods helps CRA ratings but at the expense of safety and soundness. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Gunther, JW (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. NR 13 TC 2 Z9 2 U1 1 U2 3 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 JUL PY 2002 VL 40 IS 3 BP 470 EP 484 DI 10.1093/ei/40.3.470 PG 15 WC Economics SC Business & Economics GA 567NJ UT WOS:000176490600012 ER PT J AU Greenspan, A AF Greenspan, A TI Financial literacy: A tool for economic progress SO FUTURIST LA English DT Article C1 US Fed Reserve Board, Washington, DC 20551 USA. RP Greenspan, A (reprint author), US Fed Reserve Board, 20th St & Constitut Ave NW, Washington, DC 20551 USA. RI Ramalho, Thiago/E-4525-2016 NR 0 TC 4 Z9 4 U1 0 U2 4 PU WORLD FUTURE SOCIETY PI BETHESDA PA 7910 WOODMONT AVE, SUITE 450, BETHESDA, MD 20814 USA SN 0016-3317 J9 FUTURIST JI Futurist PD JUL-AUG PY 2002 VL 36 IS 4 BP 37 EP 41 PG 5 WC Social Issues SC Social Issues GA 563HB UT WOS:000176249300025 ER PT J AU Buchmueller, TC Dinardo, J Valletta, RG AF Buchmueller, TC Dinardo, J Valletta, RG TI Union effects on health insurance provision and coverage in the United States SO INDUSTRIAL & LABOR RELATIONS REVIEW LA English DT Article ID WAGE INEQUALITY; DIFFERENTIALS; ESTABLISHMENT; INSTITUTIONS; BENEFITS; SIZE AB During the past two decades, union density has declined in the United States and employer provision of health benefits has changed substantially in extent and form. Using individual survey data spanning the years 1983-97 combined with employer survey data for 1993, the authors update and extend previous analyses of private-sector union effects on employer-provided health benefits. They find that the union effect on health insurance coverage rates has fallen somewhat but remains large, due to an increase over time in the union effect on employee "take-up" of offered insurance, and that declining unionization explains 20-35% of the decline in employee health coverage. The increasing union take-up effect is linked to union effects on employees' direct costs for health insurance and the availability of retiree coverage. C1 Univ Calif Irvine, Grad Sch Management, Irvine, CA 92717 USA. Univ Michigan, Sch Publ Policy, Ann Arbor, MI 48109 USA. Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Buchmueller, TC (reprint author), Univ Calif Irvine, Grad Sch Management, Irvine, CA 92717 USA. NR 30 TC 25 Z9 25 U1 1 U2 1 PU INDUSTRIAL LABOR RELAT REV PI ITHACA PA CORNELL UNIV, ITHACA, NY 14851-0952 USA SN 0019-7939 J9 IND LABOR RELAT REV JI Ind. Labor Relat. Rev. PD JUL PY 2002 VL 55 IS 4 BP 610 EP 627 DI 10.2307/3270625 PG 18 WC Industrial Relations & Labor SC Business & Economics GA 577TX UT WOS:000177079000003 ER PT J AU Marquez, J AF Marquez, J TI Understanding economic forecasts SO INTERNATIONAL JOURNAL OF FORECASTING LA English DT Book Review C1 Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Marquez, J (reprint author), Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. NR 2 TC 1 Z9 1 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0169-2070 J9 INT J FORECASTING JI Int. J. Forecast. PD JUL-SEP PY 2002 VL 18 IS 3 BP 464 EP 466 AR PII S0169-2070(02)00007-9 DI 10.1016/S0169-2070(02)00007-9 PG 3 WC Economics; Management SC Business & Economics GA 584KU UT WOS:000177466400018 ER PT J AU Feldman, R AF Feldman, R TI Comments on Collender and Frizell SO INTERNATIONAL REGIONAL SCIENCE REVIEW LA English DT Editorial Material C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Feldman, R (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 5 TC 0 Z9 0 U1 0 U2 1 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0160-0176 J9 INT REGIONAL SCI REV JI Int. Reg. Sci. Rev. PD JUL PY 2002 VL 25 IS 3 BP 304 EP 306 DI 10.1177/016176025003005 PG 3 WC Environmental Studies; Planning & Development; Urban Studies SC Environmental Sciences & Ecology; Public Administration; Urban Studies GA 576JF UT WOS:000177000100005 ER PT J AU Dahl, D Evanoff, DD Spivey, MF AF Dahl, D Evanoff, DD Spivey, MF TI Community Reinvestment Act enforcement and changes in targeted lending SO INTERNATIONAL REGIONAL SCIENCE REVIEW LA English DT Article ID BANK AB The Community Reinvestment Act (CRA) encourages banks and savings and loan associations to meet the credit needs of local communities. Controversies surrounding implementation of the CRA, however, have challenged its effectiveness as a tool for increasing loan activity. To determine whether the CRA influences lending, the authors compare the low-income mortgage loans of banks that experience CRA downgrades to those of other banks that are not downgraded. The authors find no evidence consistent with the hypothesis that downgraded banks, in an attempt to reestablish an acceptable rating, increase lending. C1 Utah State Univ, Logan, UT 84322 USA. Fed Res Bank Chicago, Chicago, IL USA. Clemson Univ, Clemson, SC 29634 USA. RP Dahl, D (reprint author), Utah State Univ, Logan, UT 84322 USA. NR 18 TC 3 Z9 3 U1 0 U2 0 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0160-0176 J9 INT REGIONAL SCI REV JI Int. Reg. Sci. Rev. PD JUL PY 2002 VL 25 IS 3 BP 307 EP 322 DI 10.1177/016176025003006 PG 16 WC Environmental Studies; Planning & Development; Urban Studies SC Environmental Sciences & Ecology; Public Administration; Urban Studies GA 576JF UT WOS:000177000100006 ER PT J AU Gordy, MB AF Gordy, MB TI Saddlepoint approximation of CreditRisk SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Seminar on Statistical and Computational Problems in Risk Management - VaR and Beyond VaR CY JUN 14-16, 2001 CL UNIV ROME, FAC POLIT SCI, ROME, ITALY SP Journal Banking & Finance, Univ Roma La Sapienza, UBM UniCredito Grp HO UNIV ROME, FAC POLIT SCI DE portfolio credit risk; value at risk; approximation of quantiles AB CreditRisk(+) is an influential and widely implemented model of portfolio credit risk. As a close variant of models long used for insurance risk, it retains the analytical tractability for which the insurance models were designed. Value-at-risk (VaR) can be obtained via a recurrence-rule algorithm, so Monte Carlo simulation can be avoided. Little recognized, however, is that the algorithm is fragile. Under empirically realistic conditions, numerical error can accumulate in the execution of the recurrence rule and produce wildly inaccurate results for VaR. This paper provides new tools for users of CreditRisk(+) based on the cumulant generating function (cgf) of the portfolio loss distribution. Direct solution for the moments of the loss distribution from the cgf is almost instantaneous and is computationally robust. Thus, the moments provide a convenient, quick and independent diagnostic on the implementation and execution of the standard solution algorithm. Better still, with the cgf in hand we have an alternative to the standard algorithm. I show how tail percentiles of the loss distribution can be calculated quickly and easily by saddlepoint approximation. On a large and varied sample of simulated test portfolios, I find a natural complementarity between the two algorithms: Saddlepoint approximation is accurate and robust in those situations for which the standard algorithm performs least well, and is less accurate in those situations for which the standard algorithm is fast and reliable. Published by Elsevier Science B.V. C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Gordy, MB (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Mail Stop 153, Washington, DC 20551 USA. OI Gordy, Michael/0000-0002-5229-4608 NR 12 TC 25 Z9 32 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 JUL PY 2002 VL 26 IS 7 BP 1335 EP 1353 AR PII S0378-4266(02)00266-2 DI 10.1016/S0378-4266(02)00266-2 PG 19 WC Business, Finance; Economics SC Business & Economics GA 581RH UT WOS:000177306300006 ER PT J AU Zhou, H AF Zhou, H TI Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes - Comment SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Editorial Material ID EFFICIENT METHOD; MOMENTS C1 Fed Reserve Board, Div Res & Stat, Trading Risk Anal Sect, Washington, DC 20551 USA. RP Zhou, H (reprint author), Fed Reserve Board, Div Res & Stat, Trading Risk Anal Sect, Washington, DC 20551 USA. NR 14 TC 0 Z9 0 U1 0 U2 1 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 2002 VL 20 IS 3 BP 332 EP 335 DI 10.1198/073500102288618469 PG 4 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 676BG UT WOS:000182731600008 ER PT J AU Bollerslev, T Zhou, H AF Bollerslev, T Zhou, H TI Estimating stochastic volatility diffusion using conditional moments of integrated volatility SO JOURNAL OF ECONOMETRICS LA English DT Article DE stochastic volatility diffusions; integrated volatility; quadratic variation; realized volatility; high-frequency data; foreign exchange rates; GMM estimation ID EXCHANGE-RATE VOLATILITY; GENERALIZED-METHOD; TERM STRUCTURE; ARCH MODELS; OPTIONS; RETURN; BOUNDS AB We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. Duke Univ, Dept Econ, Durham, NC 27708 USA. RP Zhou, H (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. NR 55 TC 95 Z9 97 U1 5 U2 13 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD JUL PY 2002 VL 109 IS 1 BP 33 EP 65 AR PII S0304-4076(01)00141-5 DI 10.1016/S0304-4076(01)00141-5 PG 33 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 547FQ UT WOS:000175322700002 ER PT J AU Martin, P AF Martin, P TI Globalization and history: The evolution of a nineteenth-century Atlantic economy SO JOURNAL OF ECONOMIC GEOGRAPHY LA English DT Book Review C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Martin, P (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 2 TC 0 Z9 0 U1 0 U2 1 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 JUL 1 PY 2002 VL 2 IS 3 BP 369 EP 372 DI 10.1093/jeg/2.3.369 PG 5 WC Economics; Geography SC Business & Economics; Geography GA 645BL UT WOS:000180956300008 ER PT J AU McAndrews, JJ Strahan, PE AF McAndrews, JJ Strahan, PE TI Deregulation, correspondent banking, and the role of the Federal Reserve SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE deregulation; correspondent banking; Federal Reserve ID NONPRICE DISCRIMINATION; BRANCHING RESTRICTIONS; COMMERCIAL BANKING; INPUT MONOPOLIST; FORECLOSURE; SERVICES; INDUSTRY AB Intrastate branching deregulation allowed correspondent banks to enter downstream retail deposit markets. Integrated correspondent banks may engage in vertical foreclosure, raising prices to downstream rivals or extracting valuable competitive information. The Federal Reserve would then tend to gain market share from private correspondent banks. Deregulation of restrictions on the formation of multibank holding companies, in contrast, allowed other correspondents to enter, increasing competition. We test these hypotheses using a panel data set of respondent account balances. We find that the Federal Reserve became a more important supplier of correspondent services following branching deregulation and that market power in the correspondent market declined following multibank holding company deregulation. (C) 2002 Elsevier Science (USA). C1 Fed Reserve Bank New York, Res & Market Anal Grp, 33 Liberty St, New York, NY 10045 USA. Boston Coll, Carroll Sch Management, Chestnut Hill, MA 02467 USA. RP Fed Reserve Bank New York, Res & Market Anal Grp, 33 Liberty St, New York, NY 10045 USA. EM jamie.mcandrews@ny.frb.org; Philip.strahan@bc.edu NR 29 TC 2 Z9 2 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 1042-9573 EI 1096-0473 J9 J FINANC INTERMED JI J. Financ. Intermed. PD JUL PY 2002 VL 11 IS 3 BP 320 EP 343 DI 10.1006/jfin.2002.0337 PG 24 WC Business, Finance SC Business & Economics GA 585RG UT WOS:000177537900004 ER PT J AU Duarte, M Stockman, AC AF Duarte, M Stockman, AC TI Comment on: Exchange rate pass-through, exchange rate volatility, and exchange rate disconnect SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Public Policy CY NOV 16-17, 2001 CL CARNEGIE MELLON UNIV, PITTSBURGH, PENNSYLVANIA HO CARNEGIE MELLON UNIV C1 Univ Rochester, Dept Econ, Rochester, NY 14627 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. RP Stockman, AC (reprint author), Univ Rochester, Dept Econ, 222 Harkness Hall, Rochester, NY 14627 USA. NR 7 TC 3 Z9 4 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2002 VL 49 IS 5 BP 941 EP 946 AR PII S0304-3932(02)00131-9 DI 10.1016/S0304-3932(02)00131-9 PG 6 WC Business, Finance; Economics SC Business & Economics GA 590PL UT WOS:000177831200004 ER PT J AU Henderson, DW AF Henderson, DW TI Comment on: Openness, imperfect exchange rate pass-through and monetary policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Public Policy CY NOV 16-17, 2001 CL CARNEGIE MELLON UNIV, PITTSBURGH, PENNSYLVANIA HO CARNEGIE MELLON UNIV C1 Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. RP Henderson, DW (reprint author), Fed Reserve Board, Div Int Finance, Washington, DC 20551 USA. NR 5 TC 0 Z9 0 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 JUL PY 2002 VL 49 IS 5 BP 983 EP 988 AR PII S0304-3932(02)00127-7 DI 10.1016/S0304-3932(02)00127-7 PG 6 WC Business, Finance; Economics SC Business & Economics GA 590PL UT WOS:000177831200006 ER PT J AU Levin, AT AF Levin, AT TI Comment on: Monetary policy rules in the open economy: effects on welfare and business cycles SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Public Policy CY NOV 16-17, 2001 CL CARNEGIE MELLON UNIV, PITTSBURGH, PA HO CARNEGIE MELLON UNIV ID ACCURACY C1 Fed Reserve Board, Washington, DC 20551 USA. RP Levin, AT (reprint author), Fed Reserve Board, 20th & C St NW,Mail Stop 70, Washington, DC 20551 USA. EM andrew.levin@frb.gov NR 22 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 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2002 VL 49 IS 5 BP 1017 EP 1023 AR PII S0304-3932(02)00133-2 DI 10.1016/S0304-3932(02)00133-2 PG 7 WC Business, Finance; Economics SC Business & Economics GA 590PL UT WOS:000177831200008 ER PT J AU Chadha, JS Sarno, L AF Chadha, JS Sarno, L TI Short- and long-run price level uncertainty under different monetary policy regimes: an international comparison SO OXFORD BULLETIN OF ECONOMICS AND STATISTICS LA English DT Article ID EXCHANGE-RATE REGIMES; INFLATION UNCERTAINTY; BUSINESS CYCLES; PERSISTENCE; GROWTH AB This paper focuses on the implications of different monetary regimes for short- and long-run price uncertainty. We derive. expressions for the relative variance of short- and long-run uncertainty under price level targeting and price drift regimes and measure the relative size of these uncertainties in regimes dating from 1717 to present for several major economies. We find that: within regimes short- and long-run uncertainties are positively associated; across regimes this positive association increases with the drift in the price level; the marginal increase in short-run uncertainty under price level targeting is substantially larger than the marginal increase in long-run uncertainty under price drift; and it is short-run uncertainty that is more closely associated with real activity, regardless of regime choice. Our results may be viewed as suggesting that the postwar period move to more persistent inflation constitutes a move towards optimal monetary policy. C1 Univ Cambridge Clare Coll, Cambridge CB2 1TL, England. Univ Warwick, Coventry CV4 7AL, W Midlands, England. Fed Reserve Bank St Louis, St Louis, MO USA. RP Chadha, JS (reprint author), Univ Cambridge Clare Coll, Cambridge CB2 1TL, England. NR 42 TC 5 Z9 5 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0305-9049 EI 1468-0084 J9 OXFORD B ECON STAT JI Oxf. Bull. Econ. Stat. PD JUL PY 2002 VL 64 IS 3 BP 183 EP 212 DI 10.1111/1468-0084.00018 PG 30 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 591VT UT WOS:000177901500001 ER PT J AU Wall, HJ Zoega, G AF Wall, HJ Zoega, G TI The British Beveridge curve: A tale of ten regions SO OXFORD BULLETIN OF ECONOMICS AND STATISTICS LA English DT Article ID MATCHING FUNCTION; UNEMPLOYMENT; VACANCIES AB Recent work has suggested the possibility that the Beveridge curve can shift over the business cycle. This is in contrast with a large body of literature claiming that Beveridge curves have shifted due to structural changes alone. To test these claims, we use county-level data to estimate the timing and magnitude of shifts in aggregate and regional British Beveridge curves. We find that these shifts coincide with the business cycle rather than with hysteresis effects or with changes in regional mismatch. This implies that the Beveridge curve is a flawed device for separating the effects of structural changes from those of the business cycle. C1 Fed Res Bank St Louis, Res Div, St Louis, MO 63166 USA. Univ London, Birkbeck Coll, Dept Econ, London W1T 1LL, England. RP Wall, HJ (reprint author), Fed Res Bank St Louis, Res Div, POB 442, St Louis, MO 63166 USA. EM wall@stls.frb.org; gzoega@econ.bbk.ac.uk RI zoega, gylfi/M-3622-2015 NR 30 TC 14 Z9 14 U1 1 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0305-9049 EI 1468-0084 J9 OXFORD B ECON STAT JI Oxf. Bull. Econ. Stat. PD JUL PY 2002 VL 64 IS 3 BP 257 EP 276 DI 10.1111/1468-0084.00019 PG 20 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 591VT UT WOS:000177901500004 ER PT J AU Edge, RM AF Edge, RM TI The equivalence of wage and price staggering in monetary business cycle models SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE Taylor contracting; staggered price setting; staggered wage setting; firm-specific factor inputs; monetary business cycles ID PERSISTENCE AB This paper considers the persistence puzzle documented by V Chari, P. Kehoe, and E. McGratten (2000, Econometrica 68, 1151-1179). Specifically, it addresses a claim by T Andersen (1998, European Economic Review 42, 593-603) and K. Huang and Z. Liu (1999, "Staggered Contracts and Business Cycle, Persistence," Federal Reserve Bank of Minneapolis Discussion Paper 127) that staggered-wage models are better able to generate persistent real responses to monetary shocks than are staggered-price models. The paper argues that this result hinges on the assumption of homogeneous factor markets and shows that by assuming firm-specific factor inputs the staggered-price model is as capable as the staggered-wage model is of generating persistent real responses to monetary shocks. (C) 2002 Elsevier Science (USA). C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Edge, RM (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Mailstop 77, Washington, DC 20551 USA. NR 18 TC 16 Z9 16 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 JUL PY 2002 VL 5 IS 3 BP 559 EP 585 DI 10.1006/redy.2001.0147 PG 27 WC Economics SC Business & Economics GA 575UT UT WOS:000176967400003 ER PT J AU Chari, VV Kehoe, PJ McGrattan, ER AF Chari, VV Kehoe, PJ McGrattan, ER TI Can sticky price models generate volatile and persistent real exchange rates? SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID MONOPOLISTIC COMPETITION; MONETARY-POLICY; RATE DYNAMICS; MARKET BEHAVIOR; BUSINESS-CYCLE; TO-MARKET; CONSUMPTION; ECONOMIES; DEMAND; GOODS AB The central puzzle in international business cycles is that fluctuations in real exchange rates are volatile and persistent. We quantify the popular story for real exchange rate fluctuations: they are generated by monetary shocks interacting with sticky goods prices. If prices are held fixed for at least one year, risk aversion is high, and preferences are separable in leisure, then real exchange rates generated by the model are as volatile as in the data and quite persistent, but less so than in the data. The main discrepancy between the model and the data, the consumption-real exchange rate anomaly, is that the model generates a high correlation between real exchange rates and the ratio of consumption across countries, while the data show no clear pattern between these variables. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Chari, VV (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 42 TC 309 Z9 312 U1 7 U2 20 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JUL PY 2002 VL 69 IS 3 BP 533 EP 563 DI 10.1111/1467-937X.00216 PG 31 WC Economics SC Business & Economics GA 594RY UT WOS:000178065800002 ER PT J AU Klein, MW Peek, J Rosengren, ES AF Klein, MW Peek, J Rosengren, ES TI Troubled banks, impaired foreign direct investment: The role of relative access to credit SO AMERICAN ECONOMIC REVIEW LA English DT Article ID UNITED-STATES; MONETARY-POLICY; EXCHANGE-RATES; JAPAN; BEHAVIOR AB During the 1980's, theories were developed to explain the striking correlation between real exchange rates and foreign direct investment (M). However, this relationship broke down for Japanese FDI in the 1990's, as the real exchange rate appreciated while FDI plummeted. We propose the relative access to credit hypothesis and show that unequal access to credit by Japanese firms contributes to the explanation of declining Japanese FDI. Using bank-level and firm-level data sets, we find that financial difficulties at banks were economically and statistically important in reducing the number of FDI projects by Japanese firms into the United States. C1 Tufts Univ, Fletcher Sch Law & Diplomacy, Medford, MA 02155 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Univ Kentucky, Gatton Coll Business & Econ, Lexington, KY 40506 USA. Fed Reserve Bank Boston, Supervis & Regulat Dept, Boston, MA 02106 USA. RP Klein, MW (reprint author), Tufts Univ, Fletcher Sch Law & Diplomacy, Medford, MA 02155 USA. EM michael.klein@tufts.edu; Jpeek0@uky.edu; Eric.Rosengren@bos.frb.org NR 30 TC 67 Z9 67 U1 1 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 JUN PY 2002 VL 92 IS 3 BP 664 EP 682 DI 10.1257/00028280260136309 PG 19 WC Economics SC Business & Economics GA 582DE UT WOS:000177333800012 ER PT J AU Mueller, RAE Prescott, ES Sumner, DA AF Mueller, RAE Prescott, ES Sumner, DA TI Hired hooves: Transactions in a south Indian village factor market SO AUSTRALIAN JOURNAL OF AGRICULTURAL AND RESOURCE ECONOMICS LA English DT Article AB Bullocks are an important resource in Indian agriculture where they are used as draft animals. Previous research suggests that farmers who do not own bullocks, or own bullocks in insufficient numbers relative to their land holdings, adjust bullock-land ratios through transactions in the land market, rather than by hiring bullock services. The reasons given for this behaviour are that there are 'inhibited' or 'missing' village markets for bullock services. Results from a survey of the activities and transactions of six bullock contractors during an entire cropping period show that village markets for bullock services exist continuously and are far from being inhibited. Close monitoring of the bullock contractors' transactions supplied rich evidence of the manifold contractual arrangements used in this village market for bullock services. C1 Univ Kiel, Dept Agr Econ, Kiel, Germany. Fed Reserve Bank Richmond, Richmond, VA USA. Univ Calif Davis, Dept Agr & Resource Econ, Davis, CA 95616 USA. Univ Calif Davis, Agr Issues Ctr, Davis, CA 95616 USA. RP Mueller, RAE (reprint author), Univ Kiel, Dept Agr Econ, Olshaussenstr 40, Kiel, Germany. NR 13 TC 2 Z9 2 U1 0 U2 3 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 1364-985X J9 AUST J AGR RESOUR EC JI Aust. J. Agr. Resour. Econ. PD JUN PY 2002 VL 46 IS 2 BP 233 EP 255 DI 10.1111/1467-8489.00025 PG 23 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 561UB UT WOS:000176160200004 ER PT J AU Shen, P Starr, RM AF Shen, P Starr, RM TI Market-makers' supply and pricing of financial market liquidity SO ECONOMICS LETTERS LA English DT Article DE liquidity; bid/ask spread; order flow; market-maker; inventory ID SECURITIES MARKETS; INFORMATION; ASK AB The bid/ask spread (inverse of liquidity) in turbulent financial markets-modeled theoretically-adjusts to market-makers' average costs. Market liquidity declines (spread increases) with increasing absolute value of market-makers' security inventories and volatility of security price and order flow. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Kansas City, Dept Res, Kansas City, MO 64198 USA. Univ Calif San Diego, San Diego, CA 92103 USA. RP Shen, P (reprint author), Fed Reserve Bank Kansas City, Dept Res, 925 Grand Ave, Kansas City, MO 64198 USA. NR 10 TC 7 Z9 7 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 JUN PY 2002 VL 76 IS 1 BP 53 EP 58 AR PII S0165-1765(02)00029-0 DI 10.1016/S0165-1765(02)00029-0 PG 6 WC Economics SC Business & Economics GA 558VJ UT WOS:000175987200007 ER PT J AU Basu, S Fernald, JG AF Basu, S Fernald, JG TI Aggregate productivity and aggregate technology SO EUROPEAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 24th International Seminar on Macroeconomics CY JUN 08-09, 2001 CL DUBLIN, IRELAND SP Univ Coll Dublin, Grad Sch Business DE productivity; welfare; technology; aggregation; growth; business cycles ID BUSINESS-CYCLE; RETURNS; FLUCTUATIONS; INDUSTRY; SHOCKS; SCALE; PRICE AB Aggregate productivity and aggregate technology are meaningful but distinct concepts. We show that a slightly modified Solow productivity residual measures changes in economic welfare, even when productivity and technology differ because of distortions such as imperfect competition. Our results imply that aggregate data can be used to measure changes in welfare, even when disaggregated data are needed to measure technical change. We then present a general accounting framework that identifies several new non-technological gaps between productivity and technology, gaps reflecting imperfections and frictions in output and factor markets. Empirically, we find that these gaps are important, even though we abstract from variations in factor utilization and estimate only small average sectoral markups. The evidence suggests that the usual focus on one-sector DSGE models misses a rich class of important propagation mechanisms that are present only in multi-sector models. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Basu, S (reprint author), Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. NR 35 TC 54 Z9 54 U1 0 U2 12 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD JUN PY 2002 VL 46 IS 6 BP 963 EP 991 AR PII S0014-2921(02)00161-7 DI 10.1016/S0014-2921(02)00161-7 PG 29 WC Economics SC Business & Economics GA 563JP UT WOS:000176252800002 ER PT J AU Glick, R Rose, AK AF Glick, R Rose, AK TI Does a currency union affect trade? The time-series evidence SO EUROPEAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 24th International Seminar on Macroeconomics CY JUN 08-09, 2001 CL DUBLIN, IRELAND SP Univ Coll Dublin, Grad Sch Business DE gravity; bilateral; common; fixed; within AB Does leaving a currency union reduce international trade? We answer this question using a large annual panel data set covering 217 countries from 1948 through 1997. During this sample a large number of countries left currency unions; they experienced economically and statistically significant declines in bilateral trade, after accounting for other factors. Assuming symmetry, we estimate that a pair of countries that starts to use a common currency experiences a near doubling in bilateral trade. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA. RP Rose, AK (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. RI Rose, Andrew/I-1578-2014 OI Rose, Andrew/0000-0003-1100-1212 NR 6 TC 223 Z9 223 U1 1 U2 12 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0014-2921 J9 EUR ECON REV JI Eur. Econ. Rev. PD JUN PY 2002 VL 46 IS 6 BP 1125 EP 1151 AR PII S0014-2921(01)00202-1 DI 10.1016/S0014-2921(01)00202-1 PG 27 WC Economics SC Business & Economics GA 563JP UT WOS:000176252800009 ER PT J AU Weber, W Rolnick, AJ Smith, BD AF Weber, W Rolnick, AJ Smith, BD TI A common currency with "uncommon" bank regulation: Some lessons from US monetary history SO JOURNAL OF ECONOMIC HISTORY LA English DT Meeting Abstract C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Univ Texas, Austin, TX 78712 USA. NR 0 TC 0 Z9 0 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4221 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD JUN PY 2002 VL 62 IS 2 BP 567 EP 568 PG 2 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 565GL UT WOS:000176361400017 ER PT J AU Moen, J Tallman, E AF Moen, J Tallman, E TI Liquidity, contagion, and the founding of the federal reserve system SO JOURNAL OF ECONOMIC HISTORY LA English DT Meeting Abstract C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. Univ Mississippi, University, MS 38677 USA. NR 0 TC 0 Z9 0 U1 1 U2 1 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4221 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD JUN PY 2002 VL 62 IS 2 BP 582 EP 582 PG 1 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 565GL UT WOS:000176361400055 ER PT J AU Sullivan, RJ AF Sullivan, RJ TI Origins of commercial banking in America, 1750-1800. SO JOURNAL OF ECONOMIC HISTORY LA English DT Book Review C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Sullivan, RJ (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4221 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD JUN PY 2002 VL 62 IS 2 BP 615 EP 616 PG 2 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 565GL UT WOS:000176361400080 ER PT J AU Rosenberg, JV Engle, RF AF Rosenberg, JV Engle, RF TI Empirical pricing kernels SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE pricing kernels; risk aversion; derivatives; hedging ID RISK-AVERSION; HABIT FORMATION; CONSUMPTION; MODELS; ARBITRAGE; RETURNS; HETEROSKEDASTICITY; VOLATILITY; BEHAVIOR; PRICES AB This paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a time-varying pricing kernel, which we call the empirical pricing kernel (EPK). We estimate the EPK on a monthly basis from 1991 to 1995, using S&P 500 index option data and a stochastic volatility model for the S&P 500 return process. We find that the EPK exhibits counter cyclical risk aversion over S&P 500 return states. We also find that hedging performance is significantly improved when we use hedge ratios based the EPK rather than a time-invariant pricing kernel. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. NYU, Stern Sch Business, New York, NY 10012 USA. RP Fed Reserve Bank New York, New York, NY 10045 USA. EM joshua.rosenberg@ny.frb.org NR 48 TC 140 Z9 143 U1 3 U2 10 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD JUN PY 2002 VL 64 IS 3 BP 341 EP 372 AR PII S0304-405X(02)00128-9 DI 10.1016/S0304-405X(02)00128-9 PG 32 WC Business, Finance; Economics SC Business & Economics GA 578WE UT WOS:000177143400002 ER PT J AU Emmons, WR Schmid, FA AF Emmons, WR Schmid, FA TI Pricing and dividend policies in open credit cooperatives SO JOURNAL OF INSTITUTIONAL AND THEORETICAL ECONOMICS-ZEITSCHRIFT FUR DIE GESAMTE STAATSWISSENSCHAFT LA English DT Article ID UNIONS AB This paper develops a model of pricing and dividend policies in open credit cooperatives (i.e., those doing member and nonmember business). For a fixed distribution of member preferences, the larger the fraction of business done by members, the smaller the optimal dividend and the larger the optimal pricing subsidy. For a fixed fraction of member business, the greater the skewness of member preferences toward loan (deposit) business with the credit cooperative, the larger the optimal dividend and the higher (lower) the optimal loan (deposit) interest rate. Aggregate empirical evidence from the German cooperative banking sector supports a version of the latter prediction. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Emmons, WR (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. NR 26 TC 2 Z9 2 U1 0 U2 4 PU J C B MOHR PI TUBINGEN PA POSTFACH 2040, W-7400 TUBINGEN, GERMANY SN 0932-4569 J9 J INST THEOR ECON JI J. Inst. Theor. Econ.-Z. Gesamte Staatswiss. PD JUN PY 2002 VL 158 IS 2 BP 234 EP 255 DI 10.1628/0932456022975439 PG 22 WC Economics SC Business & Economics GA 576EG UT WOS:000176989400002 ER PT J AU Pecchenino, RA Pollard, PS AF Pecchenino, RA Pollard, PS TI Dependent children and aged parents: funding education and social security in an aging economy SO JOURNAL OF MACROECONOMICS LA English DT Article DE education; social security; endogenous growth ID ENDOGENOUS FERTILITY; SCHOOL QUALITY; PUBLIC-SCHOOLS; GROWTH; WELFARE; FAMILY; TRADE AB In the last few decades in the United States birth rates have declined and longevity has risen while productivity growth has slowed. Given such changes, the increasing burden of funding programs for the elderly is likely to shift resources away from the young and toward the elderly. This paper uses an overlapping generations framework to examine the effects of tax policies on an aging economy. We find that if the quality of the education system is sufficiently high then raising the education tax rate and subsequently lowering the social security tax rate enhances growth and welfare. (C) 2002 Published by Elsevier Science Inc. C1 Michigan State Univ, Dept Econ, E Lansing, MI 48824 USA. Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Pollard, PS (reprint author), Fed Reserve Bank St Louis, 411 Locust St, St Louis, MO 63102 USA. NR 36 TC 25 Z9 25 U1 0 U2 6 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 2002 VL 24 IS 2 BP 145 EP 169 AR PII S0164-0704(02)00024-1 DI 10.1016/S0164-0704(02)00024-1 PG 25 WC Economics SC Business & Economics GA 595GH UT WOS:000178099900001 ER PT J AU Thomas, JK AF Thomas, JK TI Is lumpy investment relevant for the business cycle? SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID GENERAL EQUILIBRIUM; INDIVISIBLE LABOR; DYNAMICS AB The lumpiness of investment activity at the plant level is a well-established fact. Previous research has suggested that such discrete and occasional adjustments have significant aggregate implications. In particular, it has been argued that changes in plants' willingness to invest in response to aggregate shocks can at times generate large movements in total investment demand. In this study, I reassess these predictions in a general equilibrium environment. Specifically, assuming nonconvex costs of capital adjustment, I derive generalized (S, s) adjustment rules yielding lumpy plant-level investment within an otherwise standard equilibrium business cycle model. In contrast to previous partial equilibrium analyses, model results reveal that the aggregate effects of lumpy investment are negligible. In general equilibrium, households' preference for relatively smooth consumption profiles offsets changes in aggregate investment demand implied by the introduction of lumpy plant-level investment. As a result, adjustments in wages and interest rates yield quantity dynamics that are virtually indistinguishable from the standard model, and lumpy investment appears largely irrelevant for equilibrium business cycle analysis. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Thomas, JK (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 24 TC 70 Z9 70 U1 4 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 JUN PY 2002 VL 110 IS 3 BP 508 EP 534 DI 10.1086/339746 PG 27 WC Economics SC Business & Economics GA 549RC UT WOS:000175459700002 ER PT J AU Carlson, JB Pelz, EA Wohar, ME AF Carlson, JB Pelz, EA Wohar, ME TI Will valuation ratios revert to historical means? Some evidence from break point tests. SO JOURNAL OF PORTFOLIO MANAGEMENT LA English DT Article C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. Univ Nebraska, Omaha, NE 68182 USA. RP Carlson, JB (reprint author), Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. NR 29 TC 10 Z9 10 U1 0 U2 2 PU INSTITUTIONAL INVESTOR INC PI NEW YORK PA 488 MADISON AVENUE, NEW YORK, NY 10022 USA SN 0095-4918 J9 J PORTFOLIO MANAGE JI J. Portf. Manage. PD SUM PY 2002 VL 28 IS 4 BP 23 EP 35 DI 10.3905/jpm.2002.319851 PG 13 WC Business, Finance SC Business & Economics GA 578KX UT WOS:000177117700003 ER PT J AU Kiser, EK AF Kiser, EK TI Predicting household switching behavior and switching costs at depository institutions SO REVIEW OF INDUSTRIAL ORGANIZATION LA English DT Article DE depository institutions; merger policy; switching costs ID MARKET; COMPETITION AB This paper uses new survey data to investigate the covariates of self-reported switching costs and switching behavior by deposit account holders. Factors affecting geographic mobility appear to be most important in explaining the duration of deposit relationships. Both younger and older respondents are more likely than others to be at their first bank ever, suggesting a cohort effect in deposit relationships. Households reporting switching costs, net of the benefits from switching, are less likely than others to have stayed with a bank for prices or customer service, suggesting that switching costs may decrease price sensitivity. Switching costs appear more severe for households with high income or education and for households with very low income or minority ethnicity. These findings imply that banking markets characterized by such households may present greater entry costs for new firms. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Kiser, EK (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. NR 18 TC 25 Z9 26 U1 0 U2 4 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0889-938X J9 REV IND ORGAN JI Rev. Ind. Organ. PD JUN PY 2002 VL 20 IS 4 BP 349 EP 365 DI 10.1023/A:1015692910277 PG 17 WC Economics; Management SC Business & Economics GA 556MH UT WOS:000175853200004 ER PT J AU Prescott, EC AF Prescott, EC TI Prosperity and depression SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GA SP Amer Econ Assoc ID GREAT-DEPRESSION; INDIVISIBLE LABOR; LOST DECADE; PRODUCTIVITY; EQUILIBRIUM; CYCLE C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Prescott, EC (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 45 TC 64 Z9 67 U1 1 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 2002 VL 92 IS 2 BP 1 EP 15 DI 10.1257/000282802320188916 PG 15 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100003 ER PT J AU Bergoeing, R Kehoe, PJ Kehoe, TJ Soto, R AF Bergoeing, R Kehoe, PJ Kehoe, TJ Soto, R TI Policy-driven productivity in Chile and Mexico in the 1980's and 1990's SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GEORGIA SP Amer Econom Assoc C1 Univ Chile, Ctr Econ Aplicada, Santiago, Chile. Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55480 USA. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Pontificia Univ Catolica Chile, Inst Econ, Santiago, Chile. RP Bergoeing, R (reprint author), Univ Chile, Ctr Econ Aplicada, Santiago, Chile. NR 4 TC 8 Z9 8 U1 0 U2 7 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 2002 VL 92 IS 2 BP 16 EP 21 DI 10.1257/000282802320188925 PG 6 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100004 ER PT J AU Chari, VV Kehoe, PJ McGrattan, ER AF Chari, VV Kehoe, PJ McGrattan, ER TI Accounting for the Great Depression SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GEORGIA SP Amer Econom Assoc ID BUSINESS FLUCTUATIONS; AGENCY COSTS; NET WORTH C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NBER, Cambridge, MA 02138 USA. RP Chari, VV (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 8 TC 22 Z9 22 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 2002 VL 92 IS 2 BP 22 EP 27 DI 10.1257/000282802320188934 PG 6 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100005 ER PT J AU Cole, HL Ohanian, LE AF Cole, HL Ohanian, LE TI The US and UK Great Depressions through the lens of neoclassical growth theory SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GA SP Amer Econ Assoc C1 Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55410 USA. RP Cole, HL (reprint author), Univ Calif Los Angeles, Dept Econ, 405 Hilgard Ave, Los Angeles, CA 90095 USA. NR 12 TC 27 Z9 27 U1 1 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 2002 VL 92 IS 2 BP 28 EP 32 DI 10.1257/000282802320188943 PG 5 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100006 ER PT J AU Green, EJ AF Green, EJ TI Payment arrangements and inflation SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GEORGIA SP Amer Econom Assoc C1 Fed Res Bank Chicago, Chicago, IL 60604 USA. RP Green, EJ (reprint author), Fed Res Bank Chicago, 230 S Lasalle St, Chicago, IL 60604 USA. NR 11 TC 0 Z9 0 U1 0 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2002 VL 92 IS 2 BP 51 EP 57 DI 10.1257/000282802320188998 PG 7 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100011 ER PT J AU Kocherlakota, NR AF Kocherlakota, NR TI Money: What's the question and why should we care about the answer? SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GEORGIA SP Amer Econom Assoc ID INFORMATION ECONOMY; PRIVATE C1 Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank, Minneapolis, MN USA. RP Kocherlakota, NR (reprint author), Univ Minnesota, Dept Econ, 271 19th Ave S, Minneapolis, MN 55455 USA. NR 10 TC 7 Z9 7 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 2002 VL 92 IS 2 BP 58 EP 61 DI 10.1257/000282802320189005 PG 4 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100012 ER PT J AU Carlstrom, CT Fuerst, TS AF Carlstrom, CT Fuerst, TS TI Taylor rules in a model that satisfies the natural-rate hypothesis SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GEORGIA SP Amer Econom Assoc ID MONETARY-POLICY; REAL INDETERMINACY; CONTRACTS C1 Fed Reserve Bank Cleveland, Dept Res, Cleveland, OH 44101 USA. Bowling Green State Univ, Dept Econ, Bowling Green, OH 43403 USA. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Dept Res, Cleveland, OH 44101 USA. NR 19 TC 3 Z9 3 U1 0 U2 4 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2002 VL 92 IS 2 BP 79 EP 84 DI 10.1257/000282802320189041 PG 6 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100016 ER PT J AU Erceg, CJ AF Erceg, CJ TI The choice of an inflation target range in a small open economy SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GEORGIA SP Amer Econom Assoc C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Erceg, CJ (reprint author), Fed Reserve Syst, Board Governors, Mailstop 42-B & c St,NW, Washington, DC 20551 USA. NR 6 TC 7 Z9 7 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 2002 VL 92 IS 2 BP 85 EP 89 DI 10.1257/000282802320189050 PG 5 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100017 ER PT J AU Orphanides, A AF Orphanides, A TI Monetary-policy rules and the Great Inflation SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GEORGIA SP Amer Econom Assoc C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Orphanides, A (reprint author), Fed Reserve Syst, Board Governors, 20th & C St,NW, Washington, DC 20551 USA. NR 15 TC 76 Z9 76 U1 0 U2 7 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 2002 VL 92 IS 2 BP 115 EP 120 DI 10.1257/000282802320189104 PG 6 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100022 ER PT J AU Freund, C Weinhold, D AF Freund, C Weinhold, D TI The Internet and international trade in services SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GEORGIA SP Amer Econom Assoc C1 Fed Reserve Board, Washington, DC 20551 USA. Univ London London Sch Econ & Polit Sci, Inst Dev Studies, London WC2A 2AE, England. RP Freund, C (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 8 TC 59 Z9 60 U1 1 U2 13 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2002 VL 92 IS 2 BP 236 EP 240 DI 10.1257/000282802320189320 PG 5 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100044 ER PT J AU Gokhale, J Kotlikoff, LJ AF Gokhale, J Kotlikoff, LJ TI Simulating the transmission of wealth inequality SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GEORGIA SP Amer Econom Assoc C1 Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. Boston Univ, Dept Econ, Boston, MA 01125 USA. RP Gokhale, J (reprint author), Fed Reserve Bank Cleveland, 1455 E 6th St, Cleveland, OH 44114 USA. NR 11 TC 4 Z9 4 U1 1 U2 7 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 2002 VL 92 IS 2 BP 265 EP 269 DI 10.1257/000282802320189375 PG 5 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100049 ER PT J AU Dynan, KE Skinner, J Zeldes, SP AF Dynan, KE Skinner, J Zeldes, SP TI The importance of bequests and life-cycle saving in capital accumulation: A new answer SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 114th Annual Meeting of the American-Economic-Association CY JAN 04-06, 2002 CL ATLANTA, GEORGIA SP Amer Econom Assoc ID INTERGENERATIONAL TRANSFERS; WEALTH C1 Fed Reserve Board, Washington, DC 20551 USA. NBER, Cambridge, MA 02138 USA. Columbia Univ, Grad Sch Business, New York, NY 10027 USA. Dartmouth Coll, Dept Econ, Hanover, NH 03755 USA. RP Dynan, KE (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 18 TC 43 Z9 43 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 2002 VL 92 IS 2 BP 274 EP 278 DI 10.1257/000282802320189393 PG 5 WC Economics SC Business & Economics GA 565XM UT WOS:000176395100051 ER PT J AU Kehoe, PJ Perri, F AF Kehoe, PJ Perri, F TI International business cycles with endogenous incomplete markets SO ECONOMETRICA LA English DT Article DE debt constraints; limited enforcement; sovereign debt; credit markets imperfections ID SUSTAINABLE PLANS; ASSET MARKETS; DEBT; RISK; DEFAULT; TRADE AB Backus, Kehoe, and Kydland (1992), Baxter and Crucini (1995), and Stockman and Tesar (1995) find two major discrepancies between standard international business cycle models with complete markets and the data: In the models, cross-country correlations are much higher for consumption than for output, while in the data the opposite is true; and cross-country correlations of employment and investment are negative, while in the data they are positive, This paper introduces a friction into a standard model that helps resolve these anomalies. The friction is that international loans are imperfectly enforceable; any country can renege on its debts and suffer the consequences for future borrowing. To solve for equilibrium in this economy with endogenous incomplete markets, the methods of Marcet and Marimon (1999) are extended. Incorporating the friction helps resolve the anomalies more than does exogenously restricting the assets that can be traded. C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. NBER, Cambridge, MA 02138 USA. NYU, New York, NY 10012 USA. Princeton Univ, Princeton, NJ 08544 USA. RP Kehoe, PJ (reprint author), Fed Reserve Bank Minneapolis, 90 Hennepin Ave, Minneapolis, MN 55480 USA. NR 29 TC 124 Z9 124 U1 6 U2 19 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD MAY PY 2002 VL 70 IS 3 BP 907 EP 928 DI 10.1111/1468-0262.00314 PG 22 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 546EA UT WOS:000175257900003 ER PT J AU Green, EJ Zhou, RL AF Green, EJ Zhou, RL TI Dynamic monetary equilibrium in a random matching economy SO ECONOMETRICA LA English DT Article DE money; random matching; indeterminacy of equilibrium ID MONEY; MODEL; PRICES; COMPETITION; SEARCH AB This article concerns an infinite horizon economy where trade must occur pairwise, using a double auction mechanism, and where fiat money overcomes lack of double coincidence of wants. Traders are anonymous and lack market power. Goods are divisible and perishable, and are consumed at every date. Preferences are defined by utility-stream overtaking. Money is divisible and not subject to inventory constraints. The evolution of individual and economy wide money holdings distributions is characterized. There is a welfare-ordered continuum of single price equilibria, reflecting indeterminacy of the price level rather than of relative prices. C1 Fed Reserve Bank Chicago, Dept Res, Chicago, IL 60690 USA. RP Green, EJ (reprint author), Fed Reserve Bank Chicago, Dept Res, POB 834, Chicago, IL 60690 USA. NR 23 TC 30 Z9 30 U1 0 U2 4 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD MAY PY 2002 VL 70 IS 3 BP 929 EP 969 DI 10.1111/1468-0262.00315 PG 41 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 546EA UT WOS:000175257900004 ER PT J AU Kocherlakota, N AF Kocherlakota, N TI The two-money theorem SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID SEARCH; PRICES; MODEL AB In this article, I consider environments in which all shocks have finite support and any transfer of resources is ex post voluntary. Consider an allocation that is achievable when potential trading partners know each others' histories. The one-money theorem says that the allocation is achievable using only one money if that money is divisible and money holdings are observable. The two-money theorem says that the allocation is achievable using two divisible monies, even if money holdings are concealable. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Kocherlakota, N (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 17 TC 12 Z9 12 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 2002 VL 43 IS 2 BP 333 EP 346 PG 14 WC Economics SC Business & Economics GA 548PM UT WOS:000175397600002 ER PT J AU De Nicolo, G Kwast, ML AF De Nicolo, G Kwast, ML TI Systemic risk and financial consolidation: Are they related? SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Banks and Systemic Risk Conference CY MAY, 2001 CL LONDON, ENGLAND DE systemic risk; bank consolidation AB The creation of a number of very large and sometimes increasingly complex financial institutions, resulting in part from the on-going consolidation of the financial system, has raised concerns that the degree of systemic risk in the financial system may have increased. We argue that firm inter-dependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We analyze the dynamics of the stock return correlations of a sample of US large and complex banking organizations (LCBOs) over 1988-1999, and find a significant positive trend in stock return correlations. This finding is consistent with the view that the systemic risk potential in the financial sector appears to have increased over the last decade. In addition, we relate firms' return correlations to their consolidation activity by estimating measures of the consolidation elasticity of correlation. Consolidation at the sample LCBOs appears to have contributed to LCBOs inter-dependencies. However, consolidation elasticities of correlation exhibit substantial time variation, and likely declined in the latter part of the decade. Thus, factors other than consolidation have also been responsible for the upward trend in return correlations. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Kwast, ML (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM mkwast@frb.gov NR 16 TC 41 Z9 42 U1 1 U2 14 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 MAY PY 2002 VL 26 IS 5 SI SI BP 861 EP 880 DI 10.1016/S0378-4266(02)00211-X PG 20 WC Business, Finance; Economics SC Business & Economics GA 550NB UT WOS:000175508200004 ER PT J AU Bliss, R AF Bliss, R TI Comments on "Credit ratings and the BIS capital adequacy reform agenda" SO JOURNAL OF BANKING & FINANCE LA English DT Editorial Material C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Bliss, R (reprint author), Fed Reserve Bank Chicago, 230 S La Salle St, Chicago, IL 60604 USA. EM robert.bliss@chi.frb.org NR 6 TC 1 Z9 1 U1 0 U2 0 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 MAY PY 2002 VL 26 IS 5 SI SI BP 923 EP 928 DI 10.1016/S0378-4266(01)00272-2 PG 6 WC Business, Finance; Economics SC Business & Economics GA 550NB UT WOS:000175508200008 ER PT J AU Carey, M AF Carey, M TI A guide to choosing absolute bank capital requirements SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Banks and Systemic Risk Conference CY MAY, 2001 CL LONDON, ENGLAND DE risk management; credit risk; bank regulation; capital requirements ID CREDIT RISK; DEBT AB Resampling implementation of a stress-scenario approach to estimating portfolio default loss distributions is proposed as the basis for estimates of the appropriate absolute level of economic capital allocations for portfolio credit risk. Estimates are presented for stress scenarios of varying severity and implications of different time horizons are analyzed. Results for a numeraire portfolio are quite sensitive to such variations. Although the analysis is framed in terms of recent proposals to revise regulatory capital requirements for banks, the arguments and results are also relevant for bankers making capital structure decisions. Published by Elsevier Science B.V. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Carey, M (reprint author), Fed Reserve Board, Mail Stop 19, Washington, DC 20551 USA. EM mcarey@frb.gov NR 23 TC 18 Z9 18 U1 0 U2 2 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 MAY PY 2002 VL 26 IS 5 SI SI BP 929 EP 951 DI 10.1016/S0378-4266(02)00210-8 PG 23 WC Business, Finance; Economics SC Business & Economics GA 550NB UT WOS:000175508200009 ER PT J AU Evanoff, DD Wall, LD AF Evanoff, DD Wall, LD TI Measures of the riskiness of banking organizations: Subordinated debt yields, risk-based capital, and examination ratings SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT Banks and Systemic Risk Conference CY MAY, 2001 CL LONDON, ENGLAND DE bank regulation; subordinated debt; capital adequacy; prompt corrective action ID ADEQUACY; MARKET AB Recently there have been a number of recommendations to increase the role of subordinated debt (SND) in satisfying bank capital requirements as a preferred means to discipline the risk-taking behavior of systemically important banks. One such proposal recommended using SND yield spreads as the triggers for mandatory supervisory action under prompt corrective action guidelines introduced in US banking legislation in the early 1990s. Currently such action is prompted by bank capital ratios. Evidence from previous research suggests that yield information may be a better predictor of bank problems. This paper empirically analyzes potential costs and benefits of using SND signals to trigger prompt corrective action. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Fed Reserve Bank Atlanta, Chicago, IL 60604 USA. Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Evanoff, DD (reprint author), Fed Reserve Bank Chicago, 230 S La Salle St, Chicago, IL 60604 USA. EM devanoff@frbchi.org NR 37 TC 16 Z9 16 U1 1 U2 7 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 MAY PY 2002 VL 26 IS 5 SI SI BP 989 EP 1009 DI 10.1016/S0378-4266(01)00270-9 PG 21 WC Business, Finance; Economics SC Business & Economics GA 550NB UT WOS:000175508200012 ER PT J AU Levin, A Lin, CF Chu, CSJ AF Levin, A Lin, CF Chu, CSJ TI Unit root tests in panel data: asymptotic and finite-sample properties SO JOURNAL OF ECONOMETRICS LA English DT Article DE ADF regression; nonstationary panel; panel unit root test; pooled t-statistics ID AUTOREGRESSIVE TIME-SERIES; REGRESSION; MODELS AB We consider pooling cross-section time series data for testing the unit root hypothesis. The degree of persistence in individual regression error, the intercept and trend coefficient are allowed to vary freely across individuals. As both the cross-section and time series dimensions of the panel grow large, the pooled t-statistic has a limiting normal distribution that depends on the regression specification but is free from nuisance parameters. Monte Carlo simulations indicate that the asymptotic results provide a good approximation to the test statistics in panels of moderate size, and that the power of the panel-based unit root test is dramatically higher, compared to performing a separate unit root test for each individual time series. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Natl Taiwan Univ, Dept Econ, Taipei 10764, Taiwan. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Chu, CSJ (reprint author), Natl Taiwan Univ, Dept Econ, 21 Hsu Chou Rd, Taipei 10764, Taiwan. NR 29 TC 1857 Z9 1921 U1 5 U2 45 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD MAY PY 2002 VL 108 IS 1 BP 1 EP 24 AR PII S0304-4076(01)00098-7 DI 10.1016/S0304-4076(01)00098-7 PG 24 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 538CZ UT WOS:000174797600001 ER PT J AU Chernew, M Gowrisankaran, G Fendrick, AM AF Chernew, M Gowrisankaran, G Fendrick, AM TI Payer type and the returns to bypass surgery: evidence from hospital entry behavior SO JOURNAL OF HEALTH ECONOMICS LA English DT Article DE entry models; hospital margins; managed care ID CHOICE MODELS; COMPETITION; SIMULATION; SERVICES; CARE AB In this paper, we estimate the returns associated with the provision of coronary artery bypass graft (CABG) surgery, by payer type (Medicare, HMO, etc.). Because reliable measures of prices and treatment costs are often unobserved, we seek to infer returns from hospital entry behavior. We estimate a model of patient flows for CABG patients that provides inputs for an entry model. We find that FFS provides a high return throughout the study period. Medicare, which had been generous in the early 1980s, now provides a return that is close to zero. Medicaid appears to reimburse less than average variable costs. HMOs essentially pay at average variable costs, though the return varies inversely with competition. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Univ Michigan, Dept Hlth Management & Policy, Ann Arbor, MI 48109 USA. NBER, Ann Arbor, MI USA. Fed Reserve Bank San Francisco, San Francisco, CA USA. Univ Michigan, Dept Internal Med, Consortium Hlth Outcomes Innovat & Cost Effective, Ann Arbor, MI 48109 USA. RP Chernew, M (reprint author), Univ Michigan, Sch Publ Hlth, 109 Observ, Ann Arbor, MI 48109 USA. NR 27 TC 25 Z9 26 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-6296 J9 J HEALTH ECON JI J. Health Econ. PD MAY PY 2002 VL 21 IS 3 BP 451 EP 474 AR PII S0167-6296(01)00139-4 DI 10.1016/S0167-6296(01)00139-4 PG 24 WC Economics; Health Care Sciences & Services; Health Policy & Services SC Business & Economics; Health Care Sciences & Services GA 545EY UT WOS:000175204800006 PM 12022268 ER PT J AU Cole, HL Ohanian, LE AF Cole, HL Ohanian, LE TI Shrinking money: the demand for money and the nonneutrality of money SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE money demand; monetary shocks; nonstationarity ID MONETARY TRANSMISSION MECHANISM; IN-ADVANCE ECONOMY; MONOPOLISTIC COMPETITION; PRICE ADJUSTMENT; BUSINESS-CYCLE; INTEREST-RATES; REAL ACTIVITY; MODEL; LIQUIDITY; STICKY AB We evaluate the macroeconomic implications of post-World War 11 money demand changes in two business cycle models: the limited participation model and the sticky price model. The sticky price model is invariant to changes in money demands. However, the limited participation model predicts the effect of a money shock on output rose by 100 percent between 1952 and 1980, and subsequently fell 65 percent. This prediction is hard to reconcile with evidence that suggests the effects of monetary shocks are stable over time, and suggests that goods market imperfections, rather than asset market imperfections, may be the driving force behind postwar U.S. monetary nonneutrality. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Cole, HL (reprint author), Univ Calif Los Angeles, Dept Econ, Bunche Hall,405 Hilgard Ave, Los Angeles, CA 90095 USA. EM hlcole@econ.ucla.edu NR 37 TC 1 Z9 1 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2002 VL 49 IS 4 BP 653 EP 686 AR PII S0304-3932(02)00117-4 DI 10.1016/S0304-3932(02)00117-4 PG 34 WC Business, Finance; Economics SC Business & Economics GA 584PX UT WOS:000177477800001 ER PT J AU Faust, J Svensson, LEO AF Faust, J Svensson, LEO TI The equilibrium degree of transparency and control in monetary policy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID INFLATION TARGETS; ANNOUNCEMENTS; CREDIBILITY; INFORMATION; DISCRETION; SECRECY; RULES; TALK AB We examine a central bank's endogenous choice of degree of control and degree of transparency, under both commitment and discretion. We argue that discretion is the more realistic assumption for the choice of control and that commitment is more realistic for the choice of transparency. For the choice of control, under discretion maximum degree of control is the only equilibrium. For die choice of transparency, under commitment, a sufficiently patient bank with sufficiently low average inflation bias will always choose minimum transparency. Thus, a maximum feasible degree of control with a minimum degree of transparency is a likely outcome. The Bundesbank and the Federal Reserve System are, arguably, examples of this. C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. Princeton Univ, Princeton, NJ 08544 USA. RP Faust, J (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. NR 31 TC 33 Z9 33 U1 0 U2 5 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 MAY PY 2002 VL 34 IS 2 BP 520 EP 539 DI 10.1353/mcb.2002.0037 PG 20 WC Business, Finance; Economics SC Business & Economics GA 547YM UT WOS:000175360700013 ER PT J AU Calem, PS Longhofer, SD AF Calem, PS Longhofer, SD TI Anatomy of a fair lending exam: The uses and limitations of statistics SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article DE mortgage discrimination; bank examinations; fair lending; logistic regression ID HMDA DATA; MORTGAGE; DISCRIMINATION; BANK AB In this paper, we examine how statistical analysis is used to help conduct fair lending compliance examinations. We present a case study of an actual fair lending examination of a large mortgage lender, illustrating how statistical techniques are used to focus examiner efforts. Our case also highlights the limitations inherent in statistical analysis of discrimination. The study suggests that statistical analysis and the more-traditional comparative file reviews complement one another in the overall examination process, offsetting some of the limitations inherent in each. C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. Wichita State Univ, Barton Sch Business, Wichita, KS 67260 USA. RP Calem, PS (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, 20th & C St, Washington, DC 20551 USA. NR 25 TC 8 Z9 8 U1 0 U2 3 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 MAY PY 2002 VL 24 IS 3 BP 207 EP 237 DI 10.1023/A:1015264813969 PG 31 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 545DG UT WOS:000175200500001 ER PT J AU Okuyama, Y Hewings, GJD Sonis, M Israilevich, PR AF Okuyama, Y Hewings, GJD Sonis, M Israilevich, PR TI An econometric analysis of biproportional properties in an input-output system SO JOURNAL OF REGIONAL SCIENCE LA English DT Article; Proceedings Paper CT Meeting of the International Input-Output Conference CY MAY 18-22, 1998 CL NEW YORK, NEW YORK ID STRUCTURAL-CHANGE AB Various methods, such as biproportional adjustment and econometric estimating have been used to generate time series for input-output tables. In this paper, temporal changes of input-output coefficients are examined in order to analyze their behavior. Within the Chicago Region Econometric Input-Output Model, a set of input-output relationships has been extracted analytically for the period 1980-1997. Using the empirical evidence for Chicago, this paper conducts econometric time series analysis to determine whether or not certain coefficients or sets of coefficients exhibit tendencies toward stability or predictable change or whether others require more extensive econometric estimation. C1 SUNY Buffalo, Dept Planning, Buffalo, NY 14214 USA. Univ Illinois, Reg Econ Applicat Lab, Urbana, IL 61801 USA. Fed Reserve Bank Chicago, Reg Econ Applicat Lab, Chicago, IL 60604 USA. RP Okuyama, Y (reprint author), SUNY Buffalo, Dept Planning, Buffalo, NY 14214 USA. RI Hewings, Geoffrey/B-2058-2014 NR 43 TC 4 Z9 4 U1 0 U2 8 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 2002 VL 42 IS 2 BP 361 EP 387 DI 10.1111/1467-9787.00263 PG 27 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 556PA UT WOS:000175857100007 ER PT J AU Lettau, M AF Lettau, M TI Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle? SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID EARNINGS C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Lettau, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 14 TC 12 Z9 12 U1 1 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 MAY PY 2002 VL 84 IS 2 BP 376 EP 380 DI 10.1162/rest.2002.84.2.376 PG 5 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 546KZ UT WOS:000175274400015 ER PT J AU Rudebusch, GD AF Rudebusch, GD TI Assessing nominal income rules for monetary policy with model and data uncertainty SO ECONOMIC JOURNAL LA English DT Article ID PHILLIPS-CURVE; INFLATION; OUTPUT; EXPECTATIONS; STABILITY; DYNAMICS; PRICES AB Nominal income rules for monetary policy have long been debated, but two issues are of particular recent interest. First, there are questions about the performance of such rules over a range of plausible empirical models - especially models with and without explicit rational inflation expeciations. Second, performance of these rules ill re ll time using the type of data that is actually available contemporaneously to policy makers rather than final revised data. This paper determines optimal monetary policy rules in the presence of such model uncertainty and real-time data uncertainty and finds only a limited role for nominal output growth. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Rudebusch, GD (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 73 TC 80 Z9 81 U1 2 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0133 EI 1468-0297 J9 ECON J JI Econ. J. PD APR PY 2002 VL 112 IS 479 BP 402 EP 432 DI 10.1111/1468-0297.00036 PG 31 WC Economics SC Business & Economics GA 554GF UT WOS:000175726800008 ER PT J AU Bordo, MD Dueker, MJ Wheelock, DC AF Bordo, MD Dueker, MJ Wheelock, DC TI Aggregate price shocks and financial stability: the United Kingdom 1796-1999 SO EXPLORATIONS IN ECONOMIC HISTORY LA English DT Article DE financial stability; aggregate price shocks; dynamic probit; monetary regimes ID GIBBS-SAMPLING APPROACH; MONEY AB This paper investigates aggregate price shocks on financial stability in the United Kingdom. We construct an annual index of UK financial conditions for 1790-1999 and use a dynamic probit model to estimate the effect of shocks on the index. We find evidence that price level shocks contributed significantly to financial instability during 1820-1931 and that inflation rate shocks contributed to instability during 1931-1999. While affecting the stability of the financial system, both the nature of aggregate price shocks and their impact depend on the existing monetary and financial regime. (C) 2003 Elsevier Science (USA). All rights reserved. C1 Fed Res Bank St Louis, St Louis, MO 63166 USA. Rutgers State Univ, Piscataway, NJ 08855 USA. NBER, Cambridge, MA 02138 USA. RP Wheelock, DC (reprint author), Fed Res Bank St Louis, POB 442, St Louis, MO 63166 USA. EM david.c.wheelock@stls.frb.org RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 45 TC 0 Z9 0 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 0014-4983 J9 EXPLOR ECON HIST JI Explor. Econ. Hist. PD APR PY 2002 VL 40 IS 2 BP 143 EP 169 DI 10.1016/S0014-4983(03)00014-7 PG 27 WC Economics; History Of Social Sciences SC Business & Economics; Social Sciences - Other Topics GA 675KW UT WOS:000182694400003 ER PT J AU Ackert, LF Church, BK Englis, B AF Ackert, LF Church, BK Englis, B TI The asset allocation decision and investor heterogeneity: a puzzle? SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE asset allocation; portfolio selection; individual psychology ID PSYCHOLOGY; PORTFOLIO; STOCKS; MODEL AB This paper examines portfolio allocation decisions for a large sample of demographically diverse survey respondents in light of finance theory and the recommendations of financial advisors. We investigate whether asset allocation decisions vary for respondents who differ across several dimensions including gender, home ownership, age, net worth, and psychological orientation. Sample respondents' decisions are consistent with popular advice and finance theory. We find that only age affects the mix of risky securities. When we consider the allocation of total portfolio assets to equity, all individual characteristics except age matter. Psychological orientation contributes to our ability to explain asset allocation decisions. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Kennesaw State Univ, Michael J Coles Coll Business, Dept Econ & Finance, Kennesaw, GA 30144 USA. Fed Reserve Bank Altanta, Dept Res, Atlanta, GA 30309 USA. Georgia Tech Res Inst, DuPree Coll Management, Atlanta, GA 30332 USA. Berry Coll, Campbell Sch Business, Mt Berry, GA 30149 USA. RP Ackert, LF (reprint author), Kennesaw State Univ, Michael J Coles Coll Business, Dept Econ & Finance, 1000 Chastian Rd, Kennesaw, GA 30144 USA. NR 30 TC 5 Z9 5 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD APR PY 2002 VL 47 IS 4 BP 423 EP 433 AR PII S0167-2681(01)00209-8 DI 10.1016/S0167-2681(01)00209-8 PG 11 WC Economics SC Business & Economics GA 536CD UT WOS:000174682400007 ER PT J AU Ackert, LF Church, BK Zhang, P AF Ackert, LF Church, BK Zhang, P TI Market behavior in the presence of divergent and imperfect private information: experimental evidence from Canada, China, and the United States SO JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION LA English DT Article DE imperfect information; experimental markets; cultural differences ID EXPERIMENTAL ASSET MARKETS; CROSS-CULTURAL DIFFERENCES; RATIONAL-EXPECTATIONS; RISK PERCEPTION; EFFICIENCY; PRICES AB We conduct 27 asset markets to examine market behavior when traders have divergent and imperfect information. Each market consists of well-informed (WI) and less-informed (LI) agents. Nine markets each are conducted in Canada, China, and the US. We find that WI agents' private information is partially, but not fully, reflected in prices. We also document cross-country differences in the degree to which private information is reflected in prices. Lastly, we find that WI agents are able to exploit their informational advantage and outperform LI agents. This result holds across countries. (C) 2002 Elsevier Science B.V. All fights reserved. C1 Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. Georgia Tech Res Inst, DuPree Coll Management, Atlanta, GA 30332 USA. Univ Toronto, Joseph Rotman Sch Management, Accounting Area, Toronto, ON M5S 3E6, Canada. RP Ackert, LF (reprint author), Kennesaw State Univ, Michael J Coles Coll Business, Dept Econ & Finance, 1000 Chastain Rd, Kennesaw, GA 30144 USA. NR 20 TC 3 Z9 3 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-2681 J9 J ECON BEHAV ORGAN JI J. Econ. Behav. Organ. PD APR PY 2002 VL 47 IS 4 BP 435 EP 450 AR PII S0167-2681(01)00212-8 DI 10.1016/S0167-2681(01)00212-8 PG 16 WC Economics SC Business & Economics GA 536CD UT WOS:000174682400008 ER PT J AU Prescott, ES Townsend, RM AF Prescott, ES Townsend, RM TI Collective organizations versus relative performance contracts: Inequality, risk sharing, and moral hazard SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE moral hazard; collusion; risk sharing; inequality; econometric tests; organizations ID INSURANCE; PARTNERSHIPS; INFORMATION; MODELS; AGENTS AB This paper studies collective economic organizations that share risk and mitigate moral hazard and compares them with relative performance contracts. Information-constrained optimal distributions of organizations and contracts are shown to be functions of the underlying primitives, in particular, the distribution of Pareto weights, and hence degree of inequality. Internal inequality of a potential, local group is a force for collective organization. That is, multi-agent organizations exist in order to extract wealth from some but not necessarily all members. The group organization is also shown to be information-constrained Pareto optimal at extremes of local wealth relative to an outsider. But the group organization is susceptible to both agents simultaneously deviating, colluding against the outsider, and this distortion makes an individualistic, relative performance contract an attractive alternative. More generally, organizations, contracts, and allocations are jointly determined. These implications could be distinguished in cross-sectional, time series data. (C) 2002 Elsevier Science (USA). C1 Univ Chicago, Dept Econ, Chicago, IL 60637 USA. Fed Reserve Bank Richmond, Richmond, VA 23219 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Prescott, ES (reprint author), Univ Chicago, Dept Econ, 1126 E 59th St, Chicago, IL 60637 USA. NR 27 TC 8 Z9 11 U1 0 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD APR PY 2002 VL 103 IS 2 BP 282 EP 310 DI 10.1006/jeth.2001.2874 PG 29 WC Economics SC Business & Economics GA 542RL UT WOS:000175058100002 ER PT J AU Kodres, LE Pritsker, M AF Kodres, LE Pritsker, M TI A rational expectations model of financial contagion SO JOURNAL OF FINANCE LA English DT Article ID ASIAN CRISIS; MARKETS; INFORMATION; VOLATILITY; STOCK AB We develop a multiple asset rational expectations model of asset prices to explain financial market contagion. Although the model allows contagion through several channels, our focus is on contagion through cross-market rebalancing. Through this channel, investors transmit idiosyncratic shocks from one market to others by adjusting their portfolios' exposures to shared macroeconomic risks. The pattern and severity of financial contagion depends on markets' sensitivities to shared macroeconomic risk factors, and on the amount of information asymmetry in each market. The model can generate contagion in the absence of news, as well as between markets that do not directly share macroeconomic risks. C1 Int Monetary Fund, Washington, DC 20431 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Kodres, LE (reprint author), Int Monetary Fund, Washington, DC 20431 USA. NR 32 TC 178 Z9 182 U1 7 U2 33 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-1082 EI 1540-6261 J9 J FINANC JI J. Financ. PD APR PY 2002 VL 57 IS 2 BP 769 EP 799 DI 10.1111/1540-6261.00441 PG 31 WC Business, Finance; Economics SC Business & Economics GA 543UE UT WOS:000175118900008 ER PT J AU Farinha, LA Santos, JAC AF Farinha, LA Santos, JAC TI Switching from single to multiple bank lending relationships: Determinants and implications SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE relationship lending; single relationships; multiple relationships ID SMALL BUSINESS DATA; FINANCIAL INTERMEDIATION; CREDIT; INFORMATION; COMPETITION; DEBT; INCENTIVES; CONTRACTS; GERMANY; NUMBER AB Our data show that nearly all firms borrow for the first time in their life from a single bank, but soon afterward some of them start borrowing from additional banks. Duration analysis shows that the likelihood of a firm substituting a single relationship with multiple relationships increases with the duration of that relationship. It also shows that this substitution is more likely to occur for firms with more growth opportunities and for firms with poor performance. The analysis of the ex post effects of the initiation of multiple relationships, in turn, shows that firms with higher levels of investment prior to the initiation of multiple relationships increase their investment even further when they start to borrow from multiple banks and that firms with poor prior performance continue to perform poorly afterward. These results suggest that concerns with hold-up costs, together with an unwillingness by the incumbent bank to increase its exposure to a firm because of its past poor performance, are the key reasons for these firms to initiate an additional relationship this early in their life. (C) 2002 Elsevier Science (USA). C1 Bank Portugal, Res Dept, P-1150012 Lisbon, Portugal. Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. RP Farinha, LA (reprint author), Bank Portugal, Res Dept, Av Almirante Reis 71, P-1150012 Lisbon, Portugal. RI Santos, Joao/B-6135-2009; nipe, cef/A-4218-2010; OI santos, joao/0000-0002-6002-5969 NR 39 TC 74 Z9 75 U1 3 U2 14 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD APR PY 2002 VL 11 IS 2 BP 124 EP 151 DI 10.1006/jfin.2001.0328 PG 28 WC Business, Finance SC Business & Economics GA 537BE UT WOS:000174736200001 ER PT J AU Lettau, M Uhlig, H AF Lettau, M Uhlig, H TI The Sharpe ratio and preferences: A parametric approach SO MACROECONOMIC DYNAMICS LA English DT Article DE sharpe ratio; Hansen-Jagannathan bounds; volatility bounds; equity premium ID EQUITY PREMIUM; ASSET RETURNS; AGGREGATE CONSUMPTION; TEMPORAL BEHAVIOR; EMPIRICAL TESTS; HABIT FORMATION; INTEREST-RATES; RISK-AVERSION; MODELS; SUBSTITUTION AB We use a log-normal framework to examine the effect of preferences on the market price for risk, that is, the Sharpe ratio. In our framework, the Sharpe ratio can be calculated directly from the elasticity of the stochastic discount factor with respect to consumption innovations as well as the volatility of consumption innovations. This can be understood as an analytical shortcut to the calculation of the Hansen-Jagannathan volatility bounds, and therefore provides a convenient tool for theorists searching for models capable of explaining asset-pricing facts. To illustrate the usefulness of our approach, we examine several popular preference specifications, such as CRRA, various types of habit formation, and the recursive preferences of Epstein-Zin-Weil. Furthermore, we show how the models with idiosyncratic consumption shocks can be studied. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Tilburg Univ, CEPR, Tilburg, Netherlands. RP Lettau, M (reprint author), Fed Reserve Bank New York, 3E 33 Liberty St, New York, NY 10045 USA. OI Uhlig, Harald/0000-0003-0918-032X NR 40 TC 14 Z9 14 U1 1 U2 8 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4221 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2002 VL 6 IS 2 BP 242 EP 265 DI 10.1017/S1365100500000225 PG 24 WC Economics SC Business & Economics GA 540ED UT WOS:000174915800003 ER PT J AU Kahn, JA Stiroh, KJ AF Kahn, JA Stiroh, KJ TI Productivity growth: A new era? SO REVIEW OF ECONOMIC DYNAMICS LA English DT Editorial Material C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Kahn, JA (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2002 VL 5 IS 2 BP 237 EP 242 DI 10.1006/redy.2002.0161 PG 6 WC Economics SC Business & Economics GA 553UY UT WOS:000175695100002 ER PT J AU Cummins, JG Violante, GL AF Cummins, JG Violante, GL TI Investment-specific technical change in the United States (1947-2000): Measurement and macroeconomic consequences SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article; Proceedings Paper CT Conference on Productivity Growth - A New Era CY NOV, 2001 CL NEW YORK, NY DE quality-adjusted prices; growth accounting; skill premium ID NETWORK EXTERNALITIES; ECONOMIC-GROWTH; INDUSTRY-LEVEL; TECHNOLOGY; MARKET AB By extrapolating Gordon's measures of the quality bias in the official price indexes, we construct quality-adjusted price indexes for 24 types of equipment and software (E&S) from 1947 to 2000 and use them to measure technical change at the aggregate and at the industry level. Technological improvement in E&S accounts for an important fraction of postwar GDP growth and plays a key role in the productivity resurgence of the 1990s. Driving this finding is 4% annual growth in the quality of E&S in the postwar period and more than 6% annual growth in the 1990s. The acceleration in the 1990s occurred in every industry, consistent with the idea that information technology represents a general-purpose technology. Furthermore, we measure for the aggregate economy and different sectors the "technological gap": how much more productive new machines are compared to the average machine. We show that the technological gap explains the dynamics of investment in new technologies and the returns to human capital, consistent with the Nelson-Phelps conjecture. Since the technological gap continues to increase-it more than doubled in the past 20 years-our evidence supports the view that at least some of the recent increase in productivity growth is sustainable. (C) 2002 Elsevier Science (USA). C1 Fed Reserve Board, Washington, DC 20551 USA. UCL, CEPR, London WC1E 6BT, England. RP Cummins, JG (reprint author), Fed Reserve Board, Mail Stop 80,20th & C St NW, Washington, DC 20551 USA. EM jason.g.cummins@frb.gov; g.violante@ucl.ac.uk RI Violante, Giovanni/F-1872-2017 NR 45 TC 108 Z9 109 U1 0 U2 12 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2002 VL 5 IS 2 BP 243 EP 284 DI 10.1006/redy.2002.0168 PG 42 WC Economics SC Business & Economics GA 553UY UT WOS:000175695100003 ER PT J AU Wilson, DJ AF Wilson, DJ TI Is embodied technology the result of upstream R&D? Industry-level evidence SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article; Proceedings Paper CT Conference on Productivity Growth - A New Era CY NOV, 2001 CL NEW YORK, NEW YORK DE research and development; equipment-embodied technological change ID PRODUCTIVITY GROWTH; INVESTMENT; HYPOTHESIS AB This paper provides an exploratory analysis of whether data on the research and development (R&D) spending directed at particular technological/product fields can be used to measure industry-level capital-embodied technological change. Evidence from the patent literature suggests that the R&D directed at a product, as the main input into the "innovation" production function, is proportional to the value of the innovations in that product. I confirm this hypothesis by showing that the decline in the relative price of a good is positively correlated with the R&D directed at that product. The hypothesis implies that the technological change, or innovation, embodied in an industry's capital is proportional to the R&D that is done ("upstream") by the economy as a whole on each of the capital goods that a ("downstream") industry purchases. Using R&D data from the National Science Foundation, I construct measures of capital-embodied R&D. I find they have a strong effect on conventionally measured total-factor productivity growth, a phenomenon that seems to be due partly to the mismeasurement of quality change in the capital stock and partly to a positive correlation between embodied and disembodied technological change. Finally, I find the cross-industry variation in empirical estimates of embodied technological change accord with the cross-industry variation in embodied RD. (C) 2002 Elsevier Science (USA). C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Wilson, DJ (reprint author), Fed Reserve Bank San Francisco, MS 1130, San Francisco, CA 94105 USA. NR 41 TC 11 Z9 11 U1 2 U2 8 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2002 VL 5 IS 2 BP 285 EP 317 DI 10.1006/redy.2002.0163 PG 33 WC Economics SC Business & Economics GA 553UY UT WOS:000175695100004 ER PT J AU Pakko, MR AF Pakko, MR TI What happens when the technology growth trend changes? Transition dynamics, capital growth, and the "new economy" SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article; Proceedings Paper CT Conference on Productivity Growth - A New Era CY NOV, 2001 CL NEW YORK, NEW YORK ID BUSINESS-CYCLE; INFORMATION TECHNOLOGY; INVESTMENT AB This paper considers transition dynamics associated with a change in the rate of technological progress, using a general equilibrium framework that incorporates stochastic technology growth trends. The model suggests that these dynamics are associated with protracted transition periods, especially when technology growth is capital-embodied. Simulations of the post-WWII U.S. economy show that the model's propagation mechanism is capable of explaining a significant portion of variation in observed growth rates, particularly for investment, capital accumulation, and employment. The simulations suggest that positive shocks to the trend rate of technology growth in the mid-1980s and early 1990s were precursors to the productivity acceleration of the late 1990s. (C) 2002 Elsevier Science (USA). 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. NR 28 TC 19 Z9 19 U1 0 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2002 VL 5 IS 2 BP 376 EP 407 DI 10.1006/redy.2002.0169 PG 32 WC Economics SC Business & Economics GA 553UY UT WOS:000175695100007 ER PT J AU Mitchell, MF AF Mitchell, MF TI Technological change and the scale of production SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article AB Many manufacturing industries, including the computer industry, have seen large increases in productivity growth rates and have experienced a reduction in average establishment size. A vintage capital model is introduced which can account for this fact. It is shown that a rise in the rate of technological change decreases average plant size; that is, the level of innovation affects firm size. Smaller plants are not more innovative, as has been suggested, but industries with more innovation, as measured by productivity growth, have smaller plants. (C) 2002 Elsevier Science (USA). C1 Univ Iowa, Iowa City, IA 52242 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Mitchell, MF (reprint author), Univ Iowa, Iowa City, IA 52242 USA. NR 10 TC 9 Z9 9 U1 0 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2002 VL 5 IS 2 BP 477 EP 488 DI 10.1006/redy.2002.0171 PG 12 WC Economics SC Business & Economics GA 553UY UT WOS:000175695100011 ER PT J AU Khan, A Ravikumar, B AF Khan, A Ravikumar, B TI Costly technology adoption and capital accumulation SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article AB We develop a model of costly technology adoption where the cost is irrecoverable and fixed. Households must decide when to switch from an existing technology to a new, more productive technology. Using a recursive approach, we show that there is a unique threshold level of wealth above which households will adopt the new technology and below which they will not. This threshold is independent of preference parameters and depends only on technology parameters. Prior to adoption, households invest at increasing rates, but consumption growth is constant. (C) 2002 Elsevier Science (USA). C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. Univ Iowa, Tippie Coll Business, Dept Econ, Iowa City, IA 52242 USA. RP Khan, A (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RI Ravikumar, B./K-6862-2016 OI Ravikumar, B./0000-0001-6991-4677 NR 6 TC 7 Z9 7 U1 0 U2 5 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2002 VL 5 IS 2 BP 489 EP 502 DI 10.1006/redy.2002.0167 PG 14 WC Economics SC Business & Economics GA 553UY UT WOS:000175695100012 ER PT J AU Knight, B AF Knight, B TI Endogenous federal grants and crowd-out of state government spending: Theory and evidence from the federal highway aid program SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INTERGOVERNMENTAL GRANTS; POLITICAL-ECONOMY; LOCAL PROPERTY; INCOME-TAXES; NEW-JERSEY; FLYPAPER; LEGISLATURES; INSTRUMENTS; DEMOCRACIES; EDUCATION AB Contrary to simple theoretical predictions, existing evidence suggests that federal grants do not crowd out state government spending. A legislative bargaining model with endogenous grants documents a positive correlation between grant receipts and preferences for public goods; this correlation has likely biased existing work against measuring crowd-out. To correct for such endogeneity, the model motivates instruments based on the political power of state congressional delegations. Exploiting this exogenous variation in grants, the instrumental variables estimator reports crowd-out that is statistically and economically significant. This endogeneity may explain the flypaper effect, a nonequivalence between grant receipts and private income. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Knight, B (reprint author), Fed Reserve Board, Washington, DC 20551 USA. NR 48 TC 88 Z9 89 U1 5 U2 21 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 2002 VL 92 IS 1 BP 71 EP 92 DI 10.1257/000282802760015612 PG 22 WC Economics SC Business & Economics GA 534PW UT WOS:000174595900005 ER PT J AU Veracierto, ML AF Veracierto, ML TI Plant-level irreversible investment and equilibrium business cycles SO AMERICAN ECONOMIC REVIEW LA English DT Article ID AGGREGATE INVESTMENT; GENERAL EQUILIBRIUM; DYNAMICS; ADJUSTMENT AB This paper evaluates the importance of microeconomic irreversibilities for aggregate dynamics using a real-business-cycle (RBC) model characterized by investment irreversibilities at the establishment level. The main finding is that investment irreversibilities do not play a significant role in an otherwise standard real-business-cycle model: Even though investment irreversibilities are crucial for establishment-level dynamics, aggregate fluctuations are basically the same under fully flexible or completely irreversible investment. C1 Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 USA. RP Veracierto, ML (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, 230 S La Salle St, Chicago, IL 60604 USA. NR 25 TC 33 Z9 33 U1 4 U2 12 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAR PY 2002 VL 92 IS 1 BP 181 EP 197 DI 10.1257/000282802760015667 PG 17 WC Economics SC Business & Economics GA 534PW UT WOS:000174595900010 ER PT J AU Avery, RB Rendall, MS AF Avery, RB Rendall, MS TI Lifetime inheritances of three generations of whites and blacks SO AMERICAN JOURNAL OF SOCIOLOGY LA English DT Article ID WEALTH INEQUALITY; UNITED-STATES; INTERGENERATIONAL TRANSFERS; HOUSEHOLD WEALTH; SELF-EMPLOYMENT; BEQUESTS; ACCUMULATION; DETERMINANTS; AMERICANS; BEHAVIOR AB This article estimates lifetime inheritances by combining survey self-reports of inheritances received with forecasts of prospective inheritances. These estimates encompass whites and blacks of the baby boom generation and the two preceding generations. The white-black gap in lifetime inheritances is found to increase both absolute and relative racial wealth inequality. The gap is estimated to be much larger for the baby boom generation than for previous generations. Combined with the stalling of blacks' progress in earnings relative to whites' since the 1980s, the baby boom generation may thus have begun a reversal of progress toward racial economic equality, with inheritances playing a key role in this reversal. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Penn State Univ, University Pk, PA 16802 USA. Off Natl Stat UK, Populat & Demog Div, Demog Anal Branch, Newport, Gwent, Wales. RP Avery, RB (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 153, Washington, DC 20551 USA. EM Robert.B.Avery@frb.gov NR 76 TC 27 Z9 27 U1 2 U2 10 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0002-9602 J9 AM J SOCIOL JI Am. J. Sociol. PD MAR PY 2002 VL 107 IS 5 BP 1300 EP 1346 DI 10.1086/344840 PG 47 WC Sociology SC Sociology GA 584VQ UT WOS:000177489800006 ER PT J AU Chauvet, M Juhn, CH Pottery, S AF Chauvet, Marcelle Juhn, Chinhui Pottery, Simon TI Markov switching in disaggregate unemployment rates SO EMPIRICAL ECONOMICS LA English DT Article DE Markov switching; unemployment; common factor; asymmetries; business cycle; baby boom; Bayesian methods AB We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in the U.S. unemployment rates. We extract the common dynamics amongst unemployment rates disaggregated for 7 age groups. The framework allows analysis of the contribution of demographic factors to secular changes in unemployment rates. In addition, it allows examination of the separate contribution of changes due to asymmetric business cycle fluctuations. We find strong evidence in favor of the common factor and of the switching between high and low unemployment rate regimes. We also find that demographic adjustments can account for a great deal of secular changes in the unemployment rates, particularly the abrupt increase in the 1970s and 1980s and the subsequent decrease in the last 18 years. C1 [Chauvet, Marcelle] Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA. [Juhn, Chinhui] Univ Houston, Dept Econ, Houston, TX 77204 USA. [Pottery, Simon] Fed Reserve Bank New York, New York, NY 10045 USA. RP Chauvet, M (reprint author), Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA. EM chauvet@mail.ucr.edu; cjuhn@uh.edu; simon.potter@ny.frb.org NR 33 TC 6 Z9 6 U1 1 U2 1 PU PHYSICA-VERLAG GMBH & CO PI HEIDELBERG PA PO BOX 10 52 80, 69042 HEIDELBERG, GERMANY SN 0377-7332 J9 EMPIR ECON JI Empir. Econ. PD MAR PY 2002 VL 27 IS 2 BP 205 EP 232 DI 10.1007/s001810100101 PG 28 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA V23QB UT WOS:000208356200004 ER PT J AU Rudebusch, GD Svensson, LEO AF Rudebusch, GD Svensson, LEO TI Eurosystem monetary targeting: Lessons from US data SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE inflation targeting; monetary targeting; ECB ID POLICY; INFLATION AB Using a small empirical model of inflation, output. and money estimated on U.S. data, we compare the relative performance of monetary targeting and inflation targeting. The results show monetary targeting to be quite inefficient, yielding both higher inflation and output variability. This is true even with a nonstochastic money demand formulation. Our results are also robust to using a P* model of inflation. Therefore, in these popular frameworks, there is no support for the prominent role given to money growth in the Eurosystem's monetary policy strategy. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94120 USA. Stockholm Univ, Inst Int Econ Studies, SE-10691 Stockholm, Sweden. Ctr Econ Policy Res, London SW1Y 6LA, England. NBER, Cambridge, MA 02138 USA. RP Rudebusch, GD (reprint author), Fed Reserve Bank San Francisco, POB 7702, San Francisco, CA 94120 USA. EM glenn.rudebusch@sf.frb.org; lars.svensson@iies.su.se NR 51 TC 55 Z9 56 U1 2 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 MAR PY 2002 VL 46 IS 3 BP 417 EP 442 AR PII S0014-2921(01)00163-5 DI 10.1016/S0014-2921(01)00163-5 PG 26 WC Economics SC Business & Economics GA 527EK UT WOS:000174173600001 ER PT J AU Jermann, UJ AF Jermann, UJ TI International portfolio diversification and endogenous labor supply choice SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE international diversification; portfolio choice; nonseparable utility; household production ID HOUSEHOLD PRODUCTION; NONTRADED GOODS; BUSINESS-CYCLE; PUZZLE; MODEL; RISK AB This paper presents a multi-country general equilibrium model driven by productivity shocks, where labor Supply and consumption are chosen endogenously. We use this framework to study the effect of labor supply for optimal international diversification. We find that the model's ability to help explain home-bias depends crucially on the level of substitutability between consumption and non-working time. Quantitatively, the non-separability in the preferences helps in a nonnegligible way, but it cannot entirely explain the extreme degree of home-bias in U.S. portfolios. (C) 2002 Elsevier Science B,V. All rights reserved. C1 Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55480 USA. Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Jermann, UJ (reprint author), Fed Reserve Bank Minneapolis, Dept Res, 90 Hennepin Ave, Minneapolis, MN 55480 USA. NR 24 TC 11 Z9 11 U1 1 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 MAR PY 2002 VL 46 IS 3 BP 507 EP 522 AR PII S0014-2921(01)00149-0 DI 10.1016/S0014-2921(01)00149-0 PG 16 WC Economics SC Business & Economics GA 527EK UT WOS:000174173600005 ER PT J AU Kilian, L Zha, T AF Kilian, L Zha, T TI Quantifying the uncertainty about the half-life of deviations from PPP SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID PURCHASING POWER PARITY; REAL EXCHANGE-RATES; BRETTON-WOODS PERIOD; CURRENT FLOAT; PERSPECTIVE; LIKELIHOOD; STANDARD; BEHAVIOR; PUZZLE AB We propose a Bayesian framework in which the uncertainty about the half-life of deviations from purchasing power parity can be quantified. Based on the responses to a survey study, we propose a prior probability distribution for the half-life under the recent float intended to capture widely held views among economists. We derive the posterior probability distribution of the half-life under this consensus prior and confirm the presence of substantial uncertainty about the half-life. We provide for the first time a comprehensive formal evaluation of several nonnested hypotheses of economic interest, including Rogoff's (1996) claim that the half-life is contained in the range of 3 to 5 years. We find that no hypothesis receives strong support from the data. Copyright (C) 2002 John Wiley Sons, Ltd. C1 Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. Ctr Econ Policy Res, London SW1Y 6LA, England. Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30303 USA. RP Kilian, L (reprint author), Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. NR 38 TC 34 Z9 34 U1 0 U2 0 PU JOHN WILEY & SONS LTD PI W SUSSEX PA BAFFINS LANE CHICHESTER, W SUSSEX PO19 1UD, ENGLAND SN 0883-7252 J9 J APPL ECONOM JI J. Appl. Econom. PD MAR-APR PY 2002 VL 17 IS 2 BP 107 EP 125 DI 10.1002/jae.621 PG 19 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 548MZ UT WOS:000175392900002 ER PT J AU Hunter, WC Smith, SD AF Hunter, WC Smith, SD TI Special issue - Risk management in the global economy: Measurement, management, and macroeconomic implications - Introduction SO JOURNAL OF BANKING & FINANCE LA English DT Editorial Material C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Georgia State Univ, Atlanta, GA 30303 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Hunter, WC (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. 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 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2002 VL 26 IS 2-3 BP V EP VI AR PII S0378-4266(02)00186-3 PG 2 WC Business, Finance; Economics SC Business & Economics GA 523GC UT WOS:000173944800001 ER PT J AU Hunter, WC Smith, SD AF Hunter, WC Smith, SD TI Risk management in the global economy: A review essay SO JOURNAL OF BANKING & FINANCE LA English DT Review DE risk management; portfolio theory; incomplete markets ID DEPOSIT INSURANCE; HEDGING POLICIES; AGENCY COSTS; FIRM; MARKETS; UNCERTAINTY; LIQUIDITY; PRICE AB This paper provides a review of developments in the area of risk management at both the firm level and the macro-economy. We review rationales regarding why firms choose to manage risk, as well as new developments in measuring and managing risk in a dynamic setting. We also consider current risk sharing arrangements in light of the theory regarding optimal risk sharing. The paper concludes with some suggestions for additional research that emphasizes the importance of incorporating market incompleteness in an equilibrium setting. We also discuss the role of incompleteness at the macro-level and speculate on how derivatives markets may influence macro-economic stabilization policy. (C) 2002 Published by Elsevier Science B.V.. C1 Georgia State Univ, Dept Finance, Atlanta, GA 30303 USA. Fed Reserve Bank Chicago, Chicago, IL USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Georgia State Univ, Dept Finance, 35 Broad St, Atlanta, GA 30303 USA. EM sdsmith@gsu.edu NR 38 TC 7 Z9 7 U1 3 U2 9 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 MAR PY 2002 VL 26 IS 2-3 BP 205 EP 221 AR PII S0378-4266(01)00219-9 DI 10.1016/S0378-4266(01)00219-9 PG 17 WC Business, Finance; Economics SC Business & Economics GA 523GC UT WOS:000173944800002 ER PT J AU Bliss, RR Panigirtzoglou, N AF Bliss, RR Panigirtzoglou, N TI Testing the stability of implied probability density functions SO JOURNAL OF BANKING & FINANCE LA English DT Article DE implied density functions; stability of estimates; confidence intervals ID OPTION PRICES AB This paper examines the absolute and relative robustness of two of the most common methods for estimating implied probability density functions (PDFs) - the double-lognormal approximating function and the smoothed implied volatility smile methods using short sterling futures options and the FTSE 100 index options. The changes resulting from randomly perturbing quoted prices by no more than a half tick provide a lower bound on the confidence intervals of the summary statistics derived from the estimated PDFs. Our tests show that the smoothed implied volatility smile method dominates the double lognormal as a technique for estimating implied PDFs. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Bank England, Monetary Instruments & Markets Div, London EC2R 8AH, England. RP Bliss, RR (reprint author), Fed Reserve Bank Chicago, 230 S La Salle St, Chicago, IL 60604 USA. NR 39 TC 74 Z9 76 U1 2 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 MAR PY 2002 VL 26 IS 2-3 BP 381 EP 422 AR PII S0378-4266(01)00227-8 DI 10.1016/S0378-4266(01)00227-8 PG 42 WC Business, Finance; Economics SC Business & Economics GA 523GC UT WOS:000173944800011 ER PT J AU Bangia, A Diebold, FX Kronimus, A Schagen, C Schuermann, T AF Bangia, A Diebold, FX Kronimus, A Schagen, C Schuermann, T TI Ratings migration and the business cycle, with application to credit portfolio stress testing SO JOURNAL OF BANKING & FINANCE LA English DT Article DE credit risk; stress testing; ratings migration; credit portfolio management ID TERM STRUCTURE; INTEREST-RATES; RISK MODELS; REGIME AB The turmoil in the capital markets in 1997 and 1998 has highlighted the need for systematic stress testing of banks' portfolios, including both their trading and lending books. We propose that underlying macroeconomic volatility is a key part of a useful conceptual framework for stress testing credit portfolios, and that credit migration matrices provide the specific linkages between underlying macroeconomic conditions and asset quality. Credit migration matrices, which characterize the expected changes in credit quality of obligors, are cardinal inputs to many applications, including portfolio risk assessment, modeling the term structure of credit risk premia, and pricing of credit derivatives. They are also an integral part of many of the credit portfolio models used by financial institutions. By separating the economy into two states or regimes, expansion and contraction, and conditioning the migration matrix on these states, we show that the loss distribution of credit portfolios can differ greatly, as can the concomitant level of economic capital to be assigned. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Oliver Wyman & Co, New York, NY USA. Univ Penn, Philadelphia, PA 19104 USA. NBER, Cambridge, MA 02138 USA. WHU Otto Beisheim Grad Sch Management, Koblenz, Germany. Fed Reserve Bank New York, New York, NY 10045 USA. RP Schuermann, T (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. NR 27 TC 111 Z9 114 U1 1 U2 22 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 2002 VL 26 IS 2-3 BP 445 EP 474 AR PII S0378-4266(01)00229-1 DI 10.1016/S0378-4266(01)00229-1 PG 30 WC Business, Finance; Economics SC Business & Economics GA 523GC UT WOS:000173944800013 ER PT J AU Marshall, DA AF Marshall, DA TI Financial crises and coordination failure: A comment SO JOURNAL OF BANKING & FINANCE LA English DT Article DE financial crises; coordination failure ID DEPOSIT INSURANCE AB The three papers of this session link financial crises (explicitly or implicitly) to coordination failure. In Bryant (Journal of Banking and Finance, 2002), the possibility of coordination failure is due to complementarity in the productive technology. In Chui et al. (Journal of Banking and Finance, 2002), foreign lenders to a small country fail to coordinate on the optimal strategy rolling over short-term loans. Finally, Amable et al. (Journal of Banking and Finance, 2002) implicitly introduce coordination failure through a production function with external increasing returns to scale. This sort of "thick markets" externality can be viewed as a reduced form that stands for coordination problems in a non-Walrasian economy. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Res Dept, Chicago, IL 60604 USA. RP Marshall, DA (reprint author), Fed Reserve Bank Chicago, Res Dept, 230 LaSalle St, Chicago, IL 60604 USA. NR 10 TC 1 Z9 1 U1 1 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 MAR PY 2002 VL 26 IS 2-3 BP 547 EP 555 AR PII S0378-4266(01)00233-3 DI 10.1016/S0378-4266(01)00233-3 PG 9 WC Business, Finance; Economics SC Business & Economics GA 523GC UT WOS:000173944800017 ER PT J AU Park, S AF Park, S TI Put option values of thrifts in the 1980s: Evidence from thrift stock reactions to the FIRREA SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID SECURITY PRICE PERFORMANCE; DEPOSIT INSURANCE; COMMERCIAL-BANKS; IMPACT; RISK; SAVINGS; RETURNS; FIRMS AB The Financial Institutions Reform, Recovery, and Enforcement Act of 1989 limited thrift goodwill that could be counted as regulatory capital. This paper infers the significance of the thrift put option value from the relationship between thrift goodwill and stock returns. The ability to count goodwill as regulatory capital might have resulted in large put option values by allowing many thrifts to hold low capital and risky assets before the legislation. Tightened regulation may have reduced put option values and hence the wealth of thrift shareholders. Goodwill had a large negative effect on stock returns of low capital thrifts in 1989 and the negative effect persisted in the following two years. These findings suggest that many thrifts had large put option values before the FIRREA and the elimination of put option values was largely responsible for the stock price decline. C1 Execut Off President, Off Management & Budget, Off Econ Policy, Washington, DC 20503 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Park, S (reprint author), Execut Off President, Off Management & Budget, Off Econ Policy, 725 17th St NW,Room 9025, Washington, DC 20503 USA. NR 23 TC 1 Z9 1 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 MAR PY 2002 VL 37 IS 1 BP 157 EP 176 DI 10.2307/3594999 PG 20 WC Business, Finance; Economics SC Business & Economics GA 528TL UT WOS:000174259200007 ER PT J AU Del Negro, M AF Del Negro, M TI Asymmetric shocks among US states SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE intranational business cycles; risk sharing; factor models ID INTRANATIONAL BUSINESS CYCLES; UNITED-STATES; PRODUCTIVITY GROWTH; FLUCTUATIONS; INDUSTRIES; REGIONS; EMU AB The paper applies a factor model to the study of risk sharing among U.S. states. The factor model makes it possible to disentangle movements in output and consumption due to national, regional, or state-specific business cycles from those due to measurement error. The results of the paper suggest that some findings of the previous literature which indicate a substantial amount of inter-state risk sharing may be due to the presence of measurement error in output. When measurement error is properly taken into account, the evidence points towards a lack of inter-state smoothing. Published by Elsevier Science B.V. C1 Fed Reserve Bank Atlanta, Atlanta, GA 30303 USA. RP Del Negro, M (reprint author), ITAM, Ctr Invest Econ, Av Camino Santa Teresa 930, Mexico City 10700, DF, Mexico. NR 38 TC 21 Z9 21 U1 1 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 MAR PY 2002 VL 56 IS 2 BP 273 EP 297 DI 10.1016/S0022-1996(01)00127-1 PG 25 WC Economics SC Business & Economics GA 508YF UT WOS:000173116800002 ER PT J AU Christiano, LJ Todd, RM AF Christiano, LJ Todd, RM TI The conventional treatment of seasonality in business cycle analysis: does it create distortions? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE seasonality; seasonal adjustment; business cycle ID TIME-SERIES; UNIT ROOTS; MODEL; APPROXIMATION; INTEGRATION; ADJUSTMENT; INFERENCE AB 'No'. So says one model that is broadly consistent with postwar U.S. seasonal and business cycle data. (C) 2002 Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank Minneapolis, Dept Informat Technol, Minneapolis, MN 55480 USA. Fed Reserve Bank Chicago, Dept Res, Chicago, IL 60604 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Northwestern Univ, Dept Econ, Evanston, IL 60208 USA. RP Todd, RM (reprint author), Fed Reserve Bank Minneapolis, Dept Informat Technol, Minneapolis, MN 55480 USA. NR 46 TC 6 Z9 6 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 2002 VL 49 IS 2 BP 335 EP 364 AR PII S0304-3932(01)00112-X DI 10.1016/S0304-3932(01)00112-X PG 30 WC Business, Finance; Economics SC Business & Economics GA 639TR UT WOS:000180645900005 ER PT J AU Humphreys, BR Maccini, LJ Schuh, S AF Humphreys, BR Maccini, LJ Schuh, S TI Input and output inventories (vol 47, pg 347, 2001) SO JOURNAL OF MONETARY ECONOMICS LA English DT Correction C1 Fed Reserve Bank Boston, Boston, MA 02106 USA. UMBC, Dept Econ, Baltimore, MD 21250 USA. RP Schuh, S (reprint author), Fed Reserve Bank Boston, POB 2076, Boston, MA 02106 USA. OI Humphreys, Brad/0000-0003-0099-7237 NR 1 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 MAR PY 2002 VL 49 IS 2 BP 455 EP 455 AR PII S0304-3932(01)00114-3 DI 10.1016/S0304-3932(01)00114-3 PG 1 WC Business, Finance; Economics SC Business & Economics GA 639TR UT WOS:000180645900010 ER PT J AU Haughwout, AF AF Haughwout, AF TI Public infrastructure investments, productivity and welfare in fixed geographic areas SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE infrastructure; regional economics; regional land and labor markets ID QUALITY; STATE; LIFE; SECTOR; POLICY AB Measures of the value of public investments are critical inputs into the policy process, and aggregate production and cost functions have become the dominant methods of evaluating these benefits. This paper examines the limitations of these approaches in light of applied production and spatial equilibrium theories. A spatial equilibrium model of an economy with nontraded, localized public goods like infrastructure is proposed, and a method for identifying the role of public capital in firm production and household preferences is derived. Empirical evidence from a sample of large US cities suggests that public capital provides significant marginal benefits. But the marginal productivity of public capital is low, and aggregate city willingness to pay for large increases in public capital is less than their cost. The paper concludes with a brief discussion of the political economy of urban infrastructure investment. (C) 2002 Federal Reserve Bank of New York. Published by Elsevier Science B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Haughwout, AF (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. NR 48 TC 48 Z9 48 U1 1 U2 11 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD MAR PY 2002 VL 83 IS 3 BP 405 EP 428 AR PII S0047-2727(00)00164-X DI 10.1016/S0047-2727(00)00164-X PG 24 WC Economics SC Business & Economics GA 536DP UT WOS:000174685700005 ER PT J AU Stiroh, KJ AF Stiroh, KJ TI Are ICT spillovers driving the new economy? SO REVIEW OF INCOME AND WEALTH LA English DT Article ID INFORMATION TECHNOLOGY; EQUIPMENT INVESTMENT; PRODUCTIVITY SLOWDOWN; NETWORK EXTERNALITIES; CAPITAL FORMATION; UNITED-STATES; GROWTH; SPECIFICATION; PERFORMANCE; RETURNS AB Some observers have raised the possibility that production spillovers and network effects associated with information and communications technology (ICT) are an important part of the "New Economy." Across U.S. manufacturing industries, however, ICT capital appears correlated with the acceleration of average labor productivity (ALP) growth as predicted by a standard production model, but not with total factor productivity (TFP) growth as these New Economy forces imply. Once one allows for productivity differences across industries, measured TFP growth is uncorrelated with all capital inputs, including ICT capital. This provides little evidence for a New Economy story of ICT-related spillovers or network effects driving TFP growth throughout U.S. manufacturing. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Stiroh, KJ (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 66 TC 50 Z9 50 U1 2 U2 9 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 0034-6586 J9 REV INCOME WEALTH JI Rev. Income Wealth PD MAR PY 2002 IS 1 BP 33 EP 57 PG 25 WC Economics SC Business & Economics GA 541JP UT WOS:000174981700003 ER PT J AU McQuerry, E AF McQuerry, E TI Crafting coalitions for reform: Business preferences, political institutions, and neoliberal reform in Brazil. SO STUDIES IN COMPARATIVE INTERNATIONAL DEVELOPMENT LA English DT Book Review C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. RP McQuerry, E (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 3 TC 0 Z9 0 U1 0 U2 1 PU TRANSACTION PERIOD CONSORTIUM PI PISCATAWAY PA RUTGERS UNIV, DEPT 8010, 35 BERRUE CIRCLE, PISCATAWAY, NJ 08854-8042 USA SN 0039-3606 J9 STUD COMP INT DEV JI Stud. Comp. Int. Dev. PD SPR PY 2002 VL 37 IS 1 BP 124 EP 127 PG 4 WC International Relations; Planning & Development; Political Science SC International Relations; Public Administration; Government & Law GA 551YX UT WOS:000175592500009 ER PT J AU Berger, AN Udell, GF AF Berger, AN Udell, GF TI Small business credit availability and relationship lending: The importance of bank organisational structure SO ECONOMIC JOURNAL LA English DT Article ID ASYMMETRIC INFORMATION; MONETARY-POLICY; CAPITAL CRUNCH; UNITED-STATES; FIRMS; CONSOLIDATION; INVESTMENT; SECURITIES; BEHAVIOR; FINANCE AB This paper models the inner workings of relationship lending, the implications for bank, organisational structure, and the effects of shocks to the economic environment on the availability of relationship credit to small businesses. Relationship lending depends on the accumulation over time by the loan officer of 'soft' information. Because the loan officer is the repository of this soft information, agency problems are created throughout the organisation that may best be resolved by structuring the bank as a small, closely-held organisation with few managerial layers. The shocks analysed include technological innovations, regulatory regime shifts, banking industry consolidation, and monetary policy shocks. C1 Fed Reserve Syst, Board Governors, Philadelphia, PA USA. Indiana Univ, Bloomington, IN 47405 USA. Wharton Financial Inst Ctr, Philadelphia, PA USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Philadelphia, PA USA. NR 77 TC 180 Z9 182 U1 9 U2 40 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 FEB PY 2002 VL 112 IS 477 SI F BP F32 EP F53 DI 10.1111/1468-0297.00682 PG 22 WC Economics SC Business & Economics GA 522LM UT WOS:000173898700003 ER PT J AU Krainer, J LeRoy, SF AF Krainer, J LeRoy, SF TI Equilibrium valuation of illiquid assets SO ECONOMIC THEORY LA English DT Article DE asset pricing; housing prices; illiquidity; search ID HOUSING-MARKET; PRICES AB We develop an equilibrium model of illiquid asset valuation based on search and matching. We propose several measures of illiquidity and show how these measures behave. We also show that the equilibrium amount of search, may be less than, equal to or greater than the amount of search that is socially optimal. Finally, we show that excess returns on illiquid assets are fair games if returns are defined to include the appropriate shadow prices. C1 Fed Reserve Bank San Francisco, Econ Res, San Francisco, CA 94105 USA. Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA. RP LeRoy, SF (reprint author), Fed Reserve Bank San Francisco, Econ Res, San Francisco, CA 94105 USA. NR 12 TC 19 Z9 19 U1 1 U2 1 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 FEB PY 2002 VL 19 IS 2 BP 223 EP 242 DI 10.1007/PL00004214 PG 20 WC Economics SC Business & Economics GA 528MQ UT WOS:000174247900001 ER PT J AU Pesenti, P van Wincoop, E AF Pesenti, P van Wincoop, E TI Can nontradables generate substantial home bias? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID WELFARE GAINS; DIVERSIFICATION; CONSUMPTION; UNCERTAINTY; INVESTMENT; PORTFOLIOS; PREFERENCE; MODELS; PUZZLE; FLOWS AB The past decade has witnessed an increase in the fraction of equity portfolios invested abroad, as barriers to international asset trade have significantly declined. What are the long-run implications of this process? In this paper we investigate to what extent nontradables (consumption and leisure) can affect the portfolio allocation decision in otherwise integrated capital markets. We find that hedging against nontradables shocks can account for only a small portfolio bias toward domestic assets. These results suggest that in the near future we can expect to observe sizable additional international diversification. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Univ Virginia, Charlottesville, VA 22903 USA. RP Pesenti, P (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM paolo.pesenti@ny.frb.org; vanwincoop@virginia.edu NR 46 TC 23 Z9 23 U1 0 U2 0 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-2879 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2002 VL 34 IS 1 BP 25 EP 50 DI 10.1353/mcb.2002.0034 PG 26 WC Business, Finance; Economics SC Business & Economics GA 517RL UT WOS:000173623600002 ER PT J AU Bartolini, L Bartola, G Prati, A AF Bartolini, L Bartola, G Prati, A TI Day-to-day monetary policy and the volatility of the federal funds interest rate SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID LONG-RUN NEUTRALITY; TERM INTEREST-RATE; MARKET; BEHAVIOR; MODEL AB We propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements, and study the interaction of profit-maximizing banks with a central bank targeting interest rates at high frequency. The model yields predictions on biweekly patterns of the federal funds rate's volatility and on its response to changes in target rates and in intervention procedures, such as those implemented by the Fed in 1994. Theoretical results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds. C1 Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. Univ Turin, European Univ Inst, I-10124 Turin, Italy. CEPR, I-10124 Turin, Italy. Int Monetary Fund, Washington, DC 20431 USA. RP Bartolini, L (reprint author), Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. NR 25 TC 29 Z9 30 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 FEB PY 2002 VL 34 IS 1 BP 137 EP 159 DI 10.1353/mcb.2002.0025 PG 23 WC Business, Finance; Economics SC Business & Economics GA 517RL UT WOS:000173623600007 ER PT J AU Alvarez, F Atkeson, A Kehoe, PJ AF Alvarez, F Atkeson, A Kehoe, PJ TI Money, interest rates, and exchange rates with endogenously segmented markets SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID MONETARY TRANSMISSION MECHANISM; REAL INTEREST-RATES; TRANSACTIONS TECHNOLOGIES; TERM STRUCTURE; LIQUIDITY; MODEL; INFLATION; PRICES; POLICY; DYNAMICS AB We analyze the effects of money injections on interest rates and exchange rates when agents must pay a Baumol-Tobin-style fixed cost to exchange bonds and money. Asset markets are endogenously segmented because this fixed cost leads agents to trade bonds and money infrequently. When the government injects money through an open market operation, only those agents that are currently trading absorb these injections. Through their impact on these agents' consumption, these money injections affect real interest rates and real exchange rates. The model generates the observed negative relation between expected inflation and real interest rates as well as persistent liquidity effects in interest rates and volatile and persistent exchange rates. C1 Univ Chicago, Chicago, IL 60637 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Univ Calif Los Angeles, Los Angeles, CA USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. RP Alvarez, F (reprint author), Univ Chicago, Chicago, IL 60637 USA. NR 36 TC 62 Z9 63 U1 6 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 FEB PY 2002 VL 110 IS 1 BP 73 EP 112 DI 10.1086/324389 PG 40 WC Economics SC Business & Economics GA 511PK UT WOS:000173274600003 ER PT J AU Giannoni, MP AF Giannoni, MP TI Does model uncertainty justify caution? Robust optimal monetary policy in a forward-looking model SO MACROECONOMIC DYNAMICS LA English DT Article DE monetary policy rules; parameter uncertainty; robust control ID PRICE-LEVEL DETERMINACY AB This paper proposes a general method based on a property of zero-sum two-player games to derive robust optimal monetary policy rules-the best rules among those that yield an acceptable performance in a specified range of models-when the true model is unknown and model uncertainty is viewed as uncertainty about parameters of the structural model. The method is applied to characterize robust optimal Taylor rules in a simple forward-looking macroeconomic model that can be derived from first principles. Although it is commonly believed that monetary policy should be less responsive when there is parameter uncertainty, we show that robust optimal Taylor rules prescribe in general a stronger response of the interest rate to fluctuations in inflation and the output gap than is the case in the absence of uncertainty. Thus model uncertainty does not necessarily justify a relatively small response of actual monetary policy. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Giannoni, MP (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM marc.giannoni@ny.frb.org NR 60 TC 76 Z9 79 U1 0 U2 9 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 EI 1469-8056 J9 MACROECON DYN JI Macroecon. Dyn. PD FEB PY 2002 VL 6 IS 1 BP 111 EP 144 DI 10.1017/S1365100501010227 PG 34 WC Economics SC Business & Economics GA 532KN UT WOS:000174474100006 ER PT J AU Fairlie, RW Resch, AM AF Fairlie, RW Resch, AM TI Is there "white flight" into private schools? Evidence from the National Educational Longitudinal Survey SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID CHOICE AB Using a recently released confidential data set from the National Center for Educational Statistics (NCES), we find some evidence of "white flight" from public schools into private schools partly in response to minority schoolchildren. We also examine whether white flight is from all minorities or only from certain minority groups, delineated by race or income, We find that white families are fleeing public schools with large concentrations of poor minority schoolchildren. In addition, the clearest flight appears to occur from poor black schoolchildren. The results for white flight from Asians and Hispanics are less clear. C1 Univ Calif Santa Cruz, Santa Cruz, CA 95064 USA. Univ Chicago, Northwestern Univ, Joint Ctr Poverty Res, Chicago, IL 60637 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Fairlie, RW (reprint author), Univ Calif Santa Cruz, Santa Cruz, CA 95064 USA. NR 13 TC 42 Z9 42 U1 0 U2 2 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 2002 VL 84 IS 1 BP 21 EP 33 DI 10.1162/003465302317331892 PG 13 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 531PF UT WOS:000174423600002 ER PT J AU Pilloff, SJ Rhoades, SA AF Pilloff, SJ Rhoades, SA TI Structure and profitability in banking markets SO REVIEW OF INDUSTRIAL ORGANIZATION LA English DT Article DE antitrust; banking; competition; market structure ID SHARE INEQUALITY; COMPETITION; INDUSTRY; PRICES; POWER; HHI AB We use the structure-performance model and regression analysis to investigate a number of analytical issues that often arise in evaluating competition in connection with bank mergers and that are generally relevant to mergers in other industries. Perhaps our most consistent and strongest finding is that the local market HHI is positively and significantly related to profitability. We also find that the number of organizations and the level of recent deposit growth may provide some additional information on the level of competition. Finally, several variables including market size, the number of large banking firms, deposits per office, and resident migration rates exhibit similar relationships to profitability in the bivariate analysis, suggesting that there may be some characteristic associated with market size, density, or attractiveness that is important for competition. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Pilloff, SJ (reprint author), Fed Reserve Board, 20th & C St NW,Mailstop 149, Washington, DC 20551 USA. NR 24 TC 21 Z9 22 U1 0 U2 1 PU KLUWER ACADEMIC PUBL PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0889-938X J9 REV IND ORGAN JI Rev. Ind. Organ. PD FEB PY 2002 VL 20 IS 1 BP 81 EP 98 DI 10.1023/A:1013362913973 PG 18 WC Economics; Management SC Business & Economics GA 504NF UT WOS:000172862200006 ER PT B AU Knight, B AF Knight, B BE Wallace, S TI Measuring the incidence of endogenous policies: Applications in fiscal federalism SO 94TH ANNUAL CONFERENCE ON TAXATION, PROCEEDINGS LA English DT Proceedings Paper CT 94th Annual Conference on Taxation CY NOV 08-10, 2001 CL BALTIMORE, MD ID LEGISLATURES; STATES C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 15 TC 0 Z9 0 U1 3 U2 4 PU NATIONAL TAX ASSOCIATION PI WASHINGTON PA 725 15TH ST NW, WASHINGTON, DC 20005-2109 USA PY 2002 BP 357 EP 362 PG 6 WC Business, Finance SC Business & Economics GA BV79C UT WOS:000180066700045 ER PT J AU Orphanides, A Williams, JC AF Orphanides, A Williams, JC TI Robust monetary policy rules with unknown natural rates SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Review ID REAL-TIME DATA; BUSINESS CYCLES; INFLATION; BEHAVIOR; NAIRU C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Orphanides, A (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RI Williams, John/A-8226-2009 NR 108 TC 24 Z9 26 U1 1 U2 9 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 2002 IS 2 BP 63 EP 145 PG 83 WC Economics SC Business & Economics GA 641VF UT WOS:000180767200003 ER PT J AU Decker, SL Rapaport, C AF Decker, SL Rapaport, C TI Medicare and inequalities in health outcomes: The case of breast cancer SO CONTEMPORARY ECONOMIC POLICY LA English DT Article ID WHITE WOMEN; RACIAL-DIFFERENCES; STAGE; DIAGNOSIS; INSURANCE; SURVIVAL; SERVICES; EXPLAIN; RACE AB This article evaluates whether expanding Medicare to cover those between ages 55 and 64 will improve the health status of these near-elderly individuals. We compare the experiences of near-elderly and elderly women with breast cancer and pay special attention to those demographic groups traditionally thought to be disadvantaged. Using unique individual-level data from the National Cancer Institute, we find that expanding Medicare does not improve the probability that a black woman will have her cancer diagnosed early. However, if she does happen to be diagnosed early, a discrete-time hazard model of survival finds that the price effects of insurance will improve her odds of survival. C1 Int Longev Ctr, New York, NY 10028 USA. Fed Reserve Bank New York, Domest Res Funct, New York, NY 10045 USA. RP Decker, SL (reprint author), Int Longev Ctr, 60 E 86th St,Room 206, New York, NY 10028 USA. NR 17 TC 8 Z9 8 U1 0 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 JAN PY 2002 VL 20 IS 1 BP 1 EP 11 DI 10.1093/cep/20.1.1 PG 11 WC Economics; Public Administration SC Business & Economics; Public Administration GA 512ZR UT WOS:000173353900001 ER PT S AU Gokhale, J Kotlikoff, LJ AF Gokhale, J Kotlikoff, LJ BE Feldstein, M Liebman, JB TI The impact of social security and other factors on the distribution of wealth SO DISTRIBUTIONAL ASPECTS OF SOCIAL SECURITY AND SOCIAL SECURITY REFORM SE National Bureau of Economic Research Conference Report LA English DT Proceedings Paper CT Conference on Distributional Aspects of Social Security and Social Security Reform CY OCT, 1999 CL WOODSTOCK, VT SP Ford Fdn ID NATIONAL DISTRIBUTION; BEQUEST BEHAVIOR; LIFE-CYCLE; INEQUALITY; TRANSMISSION; CONSUMPTION; INHERITANCE; EARNINGS; TRANSFERS; ALTRUISM C1 Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 56 TC 2 Z9 2 U1 0 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA SN 1557-3737 BN 0-226-24106-8 J9 NBER CONF R PY 2002 BP 85 EP 114 PG 30 WC Economics; Public Administration; Social Issues SC Business & Economics; Public Administration; Social Issues GA BV57Y UT WOS:000179405300004 ER PT B AU Gokhale, J Kotlikoff, LJ AF Gokhale, J Kotlikoff, LJ BE Feldstein, M Liebman, JB TI Social security's treatment of postwar Americans - How bad can it get? SO DISTRIBUTIONAL ASPECTS OF SOCIAL SECURITY AND SOCIAL SECURITY REFORM SE NATIONAL BUREAU OF ECONOMIC RESEARCH CONFERENCE REPORT LA English DT Proceedings Paper CT Conference on Distributional Aspects of Social Security and Social Security Reform CY OCT, 1999 CL WOODSTOCK, VT SP Ford Fdn C1 Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 12 TC 3 Z9 3 U1 0 U2 0 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60 ST, CHICAGO, IL 60637 USA BN 0-226-24106-8 J9 NBER CONF R PY 2002 BP 207 EP 261 PG 55 WC Economics; Public Administration; Social Issues SC Business & Economics; Public Administration; Social Issues GA BV57Y UT WOS:000179405300007 ER PT J AU Couch, K Daly, MC AF Couch, K Daly, MC TI Black-white wage inequality in the 1990s: A decade of progress SO ECONOMIC INQUIRY LA English DT Article AB Using Current Population Survey data, we find that the gap between the wages of black and white males declined during the 1990s at a rate of about .60 percentage point per year Wage convergence was most rapid among workers with less than 10 years of potential experience, with declines in the gap averaging 1.40 percentage points per year Using standard decomposition methods, we find that greater occupational diversity and reductions in unobserved or residual differences are important in explaining this trend. General wage inequality tempered the rate of wage convergence between blacks and whites during the 1990s. C1 Univ Connecticut, Storrs, CT 06269 USA. Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Couch, K (reprint author), Univ Connecticut, 341 Mansfield Rd, Storrs, CT 06269 USA. NR 9 TC 26 Z9 26 U1 0 U2 0 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 2002 VL 40 IS 1 BP 31 EP 41 DI 10.1093/ei/40.1.31 PG 11 WC Economics SC Business & Economics GA 513YX UT WOS:000173409800003 ER PT J AU McGuckin, RH Stiroh, KJ AF McGuckin, RH Stiroh, KJ TI Computers and productivity: Are aggregation effects important? SO ECONOMIC INQUIRY LA English DT Article ID US-MANUFACTURING-INDUSTRIES; INFORMATION-TECHNOLOGY; GROWTH; IMPACT; LEVEL AB This article examines the empirical implications of aggregation bias when measuring the productive impact of computers. To isolate "aggregation in variables" and "aggregation in relations" problems, we compare production function estimates across specifications, econometric estimators, and data levels. The results show both sources of bias are important, especially when moving from sectors to the economy level, and when the elasticity of all types of noncomputer capital are restricted to be equal. The elasticity of computers is surprisingly stable between industry and sector regressions and does not appear biased by incorporating a restrictive measure of noncomputer capital. The data consistently show that computers have a large impact on output. C1 Conference Board, New York, NY 10045 USA. Fed Reserve Bank New York, Banking Studies Funct, New York, NY 10022 USA. RP McGuckin, RH (reprint author), Conference Board, New York, NY 10045 USA. EM robert_mcguckin@conference-board.org; kevin.stiroh@ny.frb.org NR 48 TC 9 Z9 9 U1 0 U2 2 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 2002 VL 40 IS 1 BP 42 EP 59 DI 10.1093/ei/40.1.42 PG 18 WC Economics SC Business & Economics GA 513YX UT WOS:000173409800004 ER PT J AU Starr-McCluer, M AF Starr-McCluer, M TI Stock market wealth and consumer spending SO ECONOMIC INQUIRY LA English DT Article ID INCOME HYPOTHESIS; CONSUMPTION; RETIREMENT AB This article investigates the effects of stock market wealth on consumer spending. Traditional macroeconometric models estimate that a dollars increase in stock wealth boosts consumption by three to seven cents. With the substantial 1990s rise in stock prices, the nature and magnitude of this "wealth effect" have been much debated. After describing the issues and previous research, I present new evidence from a well-known consumer survey. The results are broadly consistent with life-cycle saving and a modest wealth effect: most stockholders reported no appreciable effect of stock prices on their saving or spending, but many mentioned "retirement saving" in explaining their behavior. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Starr-McCluer, M (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW, Washington, DC 20551 USA. NR 32 TC 11 Z9 11 U1 1 U2 3 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 2002 VL 40 IS 1 BP 69 EP 79 DI 10.1093/ei/40.1.69 PG 11 WC Economics SC Business & Economics GA 513YX UT WOS:000173409800006 ER PT B AU Stiroh, KJ AF Stiroh, KJ BE Siebert, H TI New and old economics in the new economy SO ECONOMIC POLICY ISSUES OF THE NEW ECONOMY LA English DT Proceedings Paper CT International Conference on Economic Policy in the New Economy CY MAY, 2001 CL PADERBORN, GERMANY SP Heinz Nixdorf Fdn ID INFORMATION TECHNOLOGY; NATURAL RATE; PRODUCTIVITY; UNEMPLOYMENT; POLICY; GROWTH; NAIRU C1 Fed Reserve Bank New York, New York, NY 10045 USA. NR 90 TC 1 Z9 1 U1 0 U2 0 PU SPRINGER-VERLAG BERLIN PI BERLIN PA HEIDELBERGER PLATZ 3, D-14197 BERLIN, GERMANY BN 3-540-43698-7 PY 2002 BP 3 EP 28 PG 26 WC Economics SC Business & Economics GA BV99F UT WOS:000180622100002 ER PT J AU Balke, NS Brown, SPA Yucel, MK AF Balke, NS Brown, SPA Yucel, MK TI Oil price shocks and the US economy: Where does the asymmetry originate? SO ENERGY JOURNAL LA English DT Article ID MACROECONOMY RELATIONSHIP; MODELS AB Rising oil prices appear to retard aggregate U.S. economic activity by more than falling oil prices stimulate it. Past research suggests adjustment costs, financial stress, and/or monetary policy may be possible explanations for the asymmetric response. This paper uses a near vector autoregressive model of the U.S. economy to examine where the asymmetry might originate. The analysis uses counterfactual experiments to determine that monetary policy alone cannot account for the asymmetry. C1 Fed Reserve Bank Dallas, Dept Res, Dallas, TX 75265 USA. So Methodist Univ, Dallas, TX 75275 USA. RP Yucel, MK (reprint author), Fed Reserve Bank Dallas, Dept Res, POB 655906, Dallas, TX 75265 USA. NR 28 TC 65 Z9 67 U1 0 U2 10 PU INT ASSOC ENERGY ECONOMICS PI CLEVELAND PA 28790 CHAGRIN BLVD, STE 210, CLEVELAND, OH 44122 USA SN 0195-6574 J9 ENERGY J JI Energy J. PY 2002 VL 23 IS 3 BP 27 EP 52 PG 26 WC Economics; Energy & Fuels; Environmental Studies SC Business & Economics; Energy & Fuels; Environmental Sciences & Ecology GA 573LP UT WOS:000176831600002 ER PT J AU Runkle, DE AF Runkle, DE TI Vector autoregressions and reality (Reprinted) SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Reprint DE bootstrapping; time series; macroeconomics AB This article questions the statistical significance of variance decompositions and impulse response functions for unrestricted vector autoregressions. It suggests that previous authors have failed to provide confidence intervals for variance decompositions and impulse response functions. Two methods of computing such confidence intervals are developed: first, using a normal approximation; second, using bootstrapped resampling. An example from Sims's work is used to illustrate the importance of computing these confidence intervals. In this example, the 95% confidence intervals for variance decompositions span up to 66 percentage points at the usual forecasting horizon. C1 Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. RP Runkle, DE (reprint author), Fed Reserve Bank Minneapolis, Res Dept, Minneapolis, MN 55480 USA. NR 9 TC 6 Z9 6 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 2002 VL 20 IS 1 BP 128 EP 133 DI 10.1198/073500102753410435 PG 6 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 501WJ UT WOS:000172708800010 ER PT J AU Gupta, B Venkatu, G AF Gupta, B Venkatu, G TI Tacit collusion in a spatial model with delivered pricing SO JOURNAL OF ECONOMICS-ZEITSCHRIFT FUR NATIONALOKONOMIE LA English DT Article DE location; tacit collusion; delivered pricing; duopoly ID PRODUCT DIFFERENTIATION; SETTING SUPERGAMES; EQUILIBRIA; DUOPOLY; WARS AB This paper studies a spatial model with delivered pricing to examine the relationship between the location of firms and their incentives to collude. Since location is an easily observable variable, this information could be of potential use to antitrust regulators. We find that, given demand, a smaller firm dispersion is more likely to sustain tacit collusion. That is, the critical discount factor needed to sustain collusion, monotonically decreases as firms are located closer together. We also show that as demand increases, it is easier to sustain tacit collusion, given firm locations. The above results are in contrast to existing results regarding mill pricing in the context of product differentiation models. C1 Miami Univ, Dept Econ, Oxford, OH 45056 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Gupta, B (reprint author), Miami Univ, Dept Econ, Oxford, OH 45056 USA. NR 27 TC 15 Z9 15 U1 0 U2 1 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. PY 2002 VL 76 IS 1 BP 49 EP 64 DI 10.1007/s712-002-8220-0 PG 16 WC Economics SC Business & Economics GA 563NR UT WOS:000176262900003 ER PT J AU Lettau, M Ludvigson, S AF Lettau, M Ludvigson, S TI Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Q-theory; investment; risk-premia ID EXPECTED STOCK RETURNS; DIVIDEND YIELDS; REAL ACTIVITY; UNCERTAINTY; CONSUMPTION; MODEL AB Evidence suggests that expected excess stock market returns vary over time, and that this variation is much larger than that of expected real interest rates. It follows that a large fraction of the movement in the cost of capital in standard investment models must be attributable to movements in equity risk-premia. In this paper we emphasize that such movements in equity risk premia should have implications not merely for investment today, but also for future investment over long horizons. In this case, predictive variables for excess stock returns over long-horizons are also likely to forecast long-horizon fluctuations in the growth of marginal Q, and therefore investment. We test this implication directly by performing long-horizon forecasting regressions of aggregate investment growth using a variety of predictive variables shown elsewhere to have forecasting power for excess stock market returns. (C) 2002 Elsevier Science B.V. All rights reserved. C1 NYU, Dept Econ, New York, NY 10003 USA. Ctr Econ Policy Res, London SW1Y 6LA, England. Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. NYU, Stern Sch Business, New York, NY 10012 USA. RP Ludvigson, S (reprint author), NYU, Dept Econ, 269 Mercer St,7th Floor, New York, NY 10003 USA. NR 33 TC 35 Z9 35 U1 1 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 2002 VL 49 IS 1 BP 31 EP 66 AR PII S0304-3932(01)00097-6 DI 10.1016/S0304-3932(01)00097-6 PG 36 WC Business, Finance; Economics SC Business & Economics GA 598LJ UT WOS:000178277200004 ER PT J AU Cecchetti, SG McConnell, MM Perez-Quiros, G AF Cecchetti, SG McConnell, MM Perez-Quiros, G TI Policymakers' revealed preferences and the output-inflation variability trade-off: Implications for the European system of central banks SO MANCHESTER SCHOOL LA English DT Article ID SMALL OPEN-ECONOMY; MONETARY-POLICY AB This paper explores two aspects of the conduct of monetary policy under a monetary union. First, even if the preferences of policymakers over inflation and output variability are identical across member countries, differences in economic structure will mean different desired policy responses to even a common shock. Second, policymakers may be forced to make important concessions in their preferences over inflation and output variability. To examine these issues, in this paper we estimate the objective functions that the European national central banks were implicitly maximizing over the 15 or so years prior to monetary union, as well as the slopes of the inflation-output variability trade-off in each country. While the slopes of the trade-offs vary dramatically across countries, the objective functions are quite similar, with most countries having weights in excess of three-quarters on inflation variability and less than one-quarter on output variability. Our findings suggest that the concessions (in terms of preferences over output and inflation variability) that current inflation-targeting countries such as the UK and Sweden would have to make on accession to the European Monetary Union (EMU) are likely to be minimal. On the other hand, the differences in economic structure across the Eurosystem countries might make it difficult to formulate a common policy even in the face of common goals, suggesting that there may still be significant costs to joining for countries currently outside the EMU. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Ohio State Univ, Columbus, OH 43210 USA. NBER, Cambridge, MA 02138 USA. RP Cecchetti, SG (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. NR 13 TC 11 Z9 12 U1 1 U2 3 PU BLACKWELL PUBL LTD PI OXFORD PA 108 COWLEY RD, OXFORD OX4 1JF, OXON, ENGLAND SN 1463-6786 J9 MANCH SCH JI Manch. Sch. PY 2002 VL 70 IS 4 BP 596 EP 618 DI 10.1111/1467-9957.00302 PG 23 WC Economics SC Business & Economics GA 579RM UT WOS:000177191700006 ER PT B AU Feldman, R Stern, GH AF Feldman, R Stern, GH BE Gup, BE TI Addressing the too-big-to-fail problem SO MEGAMERGERS IN A GLOBAL ECONOMY: CAUSES AND CONSEQUENCES LA English DT Proceedings Paper CT 30th Annual Meeting of the Financial-Management-Association-International CY OCT 25-28, 2000 CL SEATTLE, WA SP Financial Management Assoc Int C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 43 TC 0 Z9 0 U1 0 U2 1 PU QUORUM BOOKS PI WESTPORT PA 88 POST ROAD WEST, WESTPORT, CT 06881 USA BN 1-56720-402-3 PY 2002 BP 187 EP 206 PG 20 WC Business, Finance; Economics SC Business & Economics GA BW76H UT WOS:000183087600011 ER PT B AU Dwyer, GP Lin, JL Shea, JD Wu, CS AF Dwyer, GP Lin, JL Shea, JD Wu, CS BE Dwyer, GP Lin, JL Shea, JD Wu, CS TI Monetary policy and Taiwan's economy - Editors' introduction SO MONETARY POLICY AND TAIWAN'S ECONOMY SE ACADEMIA STUDIES IN ASIAN ECONOMICS LA English DT Proceedings Paper CT International Conference on the Conduct of Monetary Policy CY JUN, 1998 CL ACAD SINICA, INST ECON, TAIPEI, TAIWAN SP Cent Bank China, Taiwan, Econ Res Dept HO ACAD SINICA, INST ECON C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 3 TC 0 Z9 0 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 1-84064-986-0 J9 ACAD STUD ASIAN ECON PY 2002 BP 3 EP 10 PG 8 WC Business, Finance; Economics SC Business & Economics GA BW51Y UT WOS:000182258700001 ER PT B AU Dewald, WG AF Dewald, WG BE Dwyer, GP Lin, JL Shea, JD Wu, CS TI Historical US money growth, inflation, and inflation credibility SO MONETARY POLICY AND TAIWAN'S ECONOMY SE ACADEMIA STUDIES IN ASIAN ECONOMICS LA English DT Proceedings Paper CT International Conference on the Conduct of Monetary Policy CY JUN, 1998 CL ACAD SINICA, INST ECON, TAIPEI, TAIWAN SP Cent Bank China, Taiwan, Econ Res Dept HO ACAD SINICA, INST ECON C1 Fed Reserve Bank St Louis, Sedona, AZ USA. NR 7 TC 0 Z9 0 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 1-84064-986-0 J9 ACAD STUD ASIAN ECON PY 2002 BP 48 EP 66 PG 19 WC Business, Finance; Economics SC Business & Economics GA BW51Y UT WOS:000182258700003 ER PT B AU Dwyer, GP AF Dwyer, GP BE Dwyer, GP Lin, JL Shea, JD Wu, CS TI Money growth and inflation in the United States SO MONETARY POLICY AND TAIWAN'S ECONOMY SE ACADEMIA STUDIES IN ASIAN ECONOMICS LA English DT Proceedings Paper CT International Conference on the Conduct of Monetary Policy CY JUN, 1998 CL ACAD SINICA, INST ECON, TAIPEI, TAIWAN SP Cent Bank China, Taiwan, Econ Res Dept HO ACAD SINICA, INST ECON ID MONETARY-POLICY; OUTPUT; PRICES C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. NR 19 TC 1 Z9 1 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 1-84064-986-0 J9 ACAD STUD ASIAN ECON PY 2002 BP 67 EP 85 PG 19 WC Business, Finance; Economics SC Business & Economics GA BW51Y UT WOS:000182258700004 ER PT S AU Barth, MJ Ramey, VA Evans, CL Gilchrist, S AF Barth, MJ Ramey, VA Evans, CL Gilchrist, S BE Bernanke, BS Rogoff, K TI The cost channel of monetary transmission SO NBER MACROECONOMICS ANNUAL 2001 SE NBER MACROECONOMICS ANNUAL LA English DT Article; Proceedings Paper CT Annual Macroeconomics Conference CY APR 21-22, 2001 CL CAMBRIDGE, MASSACHUSETTS SP Natl Bur Econ Res ID CREDIT CONDITIONS; BUSINESS-CYCLE; INTEREST-RATES; POLICY; MONEY; FLUCTUATIONS; LIQUIDITY; BEHAVIOR; INVENTORIES; SHOCKS AB This paper presents evidence that the cost channel may be an important part of the monetary transmission mechanism. We first highlight three puzzles that might be explained by a cost channel of monetary transmission. We then provide evidence on the importance of working capital and argue why monetary contractions can affect output through a supply channel as well as the traditional demand-type channels. Using a vector autoregression analysis, we investigate the effects across industries. Following a monetary contraction, many industries exhibit periods of falling output and rising price-wage ratios, consistent with a supply shock. The effects are noticeably more pronounced during the period before 1979. C1 Univ Calif San Diego, San Diego, CA 92103 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Chicago, Chicago, IL USA. Boston Univ, Boston, MA 02215 USA. Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 53 TC 22 Z9 22 U1 3 U2 8 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0889-3365 BN 0-262-02520-5 J9 NBER MACROECON ANN PY 2002 VL 16 BP 199 EP + PG 58 WC Economics SC Business & Economics GA BX24E UT WOS:000184719200004 ER PT J AU Kodrzycki, YK AF Kodrzycki, YK TI Education in the 21st century: Meeting the challenges of a changing world SO NEW ENGLAND ECONOMIC REVIEW LA English DT Editorial Material AB During the twentieth century, the United States was a world leader in raising the educational attainment of its population. This important achievement contributed to national productivity growth and extended economic opportunity to formerly disadvantaged groups in society. Now, at the beginning of the twenty-first century, U.S. institutions of higher learning retain an excellent reputation for quality. Less confidence exists, however, in the educational system's ability to meet broad economic and social objectives adequately. This uncertainty stems in part from the shifting global economy and the evolving nature of employment. These doubts also reflect the legacy of widening income inequality over the past quarter century. These concerns have sparked both federal and state legislation to reform elementary and secondary schooling. In June 2002, the Federal Reserve Bank of Boston held its 47th annual conference, titled "Education in the 21st Century: Meeting the Challenges of a Changing World." This conference brought together educators, researchers, economists, policymakers, and individuals from the private sector to analyze current institutional and financial arrangements in the area of education. In this article, conference organizer Yolanda Kodrzycki provides an overview of the conference's themes and areas of consensus, as well as a synopsis of each of the formal presentations. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Kodrzycki, YK (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 0 TC 0 Z9 0 U1 0 U2 2 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2002 IS 4 BP 3 EP + PG 17 WC Economics SC Business & Economics GA 661PZ UT WOS:000181900100001 ER PT J AU Kopcke, RW AF Kopcke, RW TI The practice of central banking in other industrialized countries SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article C1 Fed Reserve Bank Boston, Boston, MA USA. RP Kopcke, RW (reprint author), Fed Reserve Bank Boston, Boston, MA USA. NR 7 TC 1 Z9 1 U1 0 U2 0 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2002 IS 2 BP 3 EP 9 PG 7 WC Economics SC Business & Economics GA 573HW UT WOS:000176824500001 ER PT J AU Olivei, GP AF Olivei, GP TI Exchange rates and the prices of manufacturing products imported into the United States SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article ID RATE PASS-THROUGH AB Local-currency prices of foreign products do not usually respond one-for-one to changes in the exchange rate. The extent and pervasiveness of this incomplete "pass-through" of exchange rates to import prices has long been debated. Yet, despite the abundance of empirical research on the relationship between exchange rates and import prices, there is little systematic evidence on the time-series dimension of pass-through that encompasses the most recent years. In this article, the author provides some updated estimates of the responsiveness of U.S. import prices to changes in the exchange rate in a sample of manufacturing industries over the period 1981 to 1999. Pass-through is generally incomplete, but there is a considerable degree of variation across different industries. The author also documents a decline in pass-through for the majority of examined industries in the most recent decade. While pass-through was 0.50 on average in the 1980s, it dropped to an average of about 0.25 in the 1990s. Thus, during the 1990s larger changes in the exchange rate were needed to move the dollar price of imported goods relative to the price of domestic goods. As with other studies, the author finds that it is difficult to relate the change in pass-through to macroeconomic outcomes such as the lower inflation rates achieved in many countries. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Olivei, GP (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 17 TC 25 Z9 26 U1 1 U2 1 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2002 IS 1 BP 3 EP + PG 17 WC Economics SC Business & Economics GA 572AF UT WOS:000176750800001 ER PT J AU Stavins, J AF Stavins, J TI Who uses electronic check products: A look at depository institutions SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article AB Approximately 42 billion checks were written and collected in the United States in 2000. The vast majority of noncash transactions continue to be settled with paper checks, which despite gains in efficiency and speed, still require costly and time-consuming sorting and transportation. An alternative-electronic check presentment-could save time and money. Yet, electronic services have been slow to take off, possibly because of the way the Federal Reserve prices them. If the pricing structure were revised, there might be more demand from banks for electronic services, and a higher level of efficiency might be obtained. This paper uses data on purchases of the Federal Reserve's electronic check services by individual banks and tests whether demand for these services varies among depository institutions. The author finds that small and large banks use the services differently and that demand elasticities may vary as well. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Stavins, J (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 10 TC 1 Z9 1 U1 0 U2 0 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2002 IS 3 BP 3 EP + PG 15 WC Economics SC Business & Economics GA 619QL UT WOS:000179487600001 ER PT J AU Bartolini, L AF Bartolini, L TI Foreign exchange swaps SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article C1 Fed Reserve Bank New York, New York, NY USA. RP Bartolini, L (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 3 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2002 IS 2 BP 11 EP 12 PG 2 WC Economics SC Business & Economics GA 573HW UT WOS:000176824500002 ER PT J AU Little, JS AF Little, JS TI Australia's approach to monetary policy SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article C1 Fed Reserve Bank Boston, Boston, MA USA. RP Little, JS (reprint author), Fed Reserve Bank Boston, Boston, MA USA. NR 10 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2002 IS 2 BP 13 EP 17 PG 5 WC Economics SC Business & Economics GA 573HW UT WOS:000176824500003 ER PT J AU Tannenwald, R AF Tannenwald, R TI Interstate fiscal disparity in 1997 SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article ID STATES AB Readily available tax statistics tell state and local policymakers the amount and mix of revenues that their governments receive. However, the fiscal health of a state depends on more than just how much money is flowing into its coffers. Questions abound about the capacity to raise revenues (apart from the amount actually raised), the need for public services, and differences in fiscal comfort across states. These questions pertain to the issue of the appropriate level of government-federal or state-for certain fiscal responsibilities, with strong arguments on both sides of the "devolution" debate. This article begins with a discussion of the principal issues confronting analysts in the evaluation of fiscal comfort. The author explains the methods used in this evaluation, detailing the changes in his methodology from previous studies, and he updates state-by-state estimates of fiscal capacity, fiscal need, and fiscal comfort to fiscal year 1997. He discusses key findings and draws implications for New England, which according to his analysis, is still the most fiscally comfortable region in the nation. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Tannenwald, R (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 11 TC 5 Z9 5 U1 0 U2 0 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2002 IS 3 BP 17 EP + PG 19 WC Economics SC Business & Economics GA 619QL UT WOS:000179487600002 ER PT J AU Bradbury, KL AF Bradbury, KL TI Education and wages in the 1980s and 1990s: Are all groups moving up together? SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article ID RELATIVE EARNINGS; UNITED-STATES; HIGH-SCHOOL; BLACK; TRENDS AB A considerable body of economics research has described and investigated the educational wage premium-the degree to which highly educated workers are paid more than less educated workers. The payoff to education has risen steeply in recent decades and accounts for a significant fraction of the increase in overall wage inequality. These two facts have led many to conclude that, at least from an individual perspective, higher educational attainment is a passport out of the lower end of the income distribution. However, given the time and resources that both individuals and society are investing in higher education, it seems useful to ask if everyone sees the same payoff to educational upgrading. The author describes median earnings by sex, race, Hispanic origin, and educational attainment during the 1980s and 1990s and then seeks out the sources of wage differences at each education level. She finds that some wage differences are attributable to differences in non-education worker qualifications such as work experience, or job characteristics such as occupation. But after controlling for a variety of these observable characteristics and for business cycle influences, wage disparities by race, Hispanic origin, and sex remain, even within educational categories. For example, at the end of the 1990s, blacks not only earned lower wages at each education level, but also realized less of an increment to wages for additional education (graduating from high school or earning a college degree) than otherwise similar nonblacks. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Bradbury, KL (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 27 TC 14 Z9 14 U1 0 U2 12 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2002 IS 1 BP 19 EP + PG 30 WC Economics SC Business & Economics GA 572AF UT WOS:000176750800002 ER PT J AU Fortune, P AF Fortune, P TI Security loans at banks and nonbanks: Regulation U SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 47th annual Conference of the Federal-Reserve-Bank-of-Boston CY JUN, 2002 CL BOSTON, MASSACHUSETTS SP Fed Reserve Bank Boston ID MARGIN REQUIREMENTS; VOLATILITY AB Over the years, the Board of Governors of the Federal Reserve and Nonbanks: Regulation U System has established margin regulations to limit purpose loans by banks and nonbanks, to broker-dealers or other borrowers. In this study, Peter Fortune the author reviews those regulations affecting security lending by banks and nonbanks. He examines data on security loans during the 1920s and 1930s, as well as in recent years, noting that security lending by banks and borrowing by broker-dealers often diverge-the popular notion that the two are tightly linked is not correct-and that during the 1920s the volume of loans by banks to brokers may have been driven less by margin loans than by new issues of stocks and bonds by corporations. Also, during the 1928-29 episode, security loans by nonbank lenders, domestic and foreign, became increasingly important. The author points out that these observations have recent parallels. The author also looks at the credit absorption hypothesis popular in the 1930s, which argues that margin loans diverted credit from legitimate business uses to speculation, thereby weakening the financial positions of businesses. While the credit absorption view suggests that an increase in bank security loans should result in higher business loan rates relative to other short-term interest rates, the author finds no such effect. He concludes that the recent evidence suggests no credit absorption from bank security loans. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Fortune, P (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 17 TC 2 Z9 2 U1 0 U2 1 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2002 IS 4 BP 19 EP + PG 24 WC Economics SC Business & Economics GA 661PZ UT WOS:000181900100002 ER PT J AU Little, JS AF Little, JS TI Canada's approach to monetary policy SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article C1 Fed Reserve Bank Boston, Boston, MA USA. RP Little, JS (reprint author), Fed Reserve Bank Boston, Boston, MA USA. NR 20 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2002 IS 2 BP 19 EP 23 PG 5 WC Economics SC Business & Economics GA 573HW UT WOS:000176824500004 ER PT J AU Bartolini, L AF Bartolini, L TI Monetary policy in pre-ECB Italy SO NEW ENGLAND ECONOMIC REVIEW LA English DT Article C1 Fed Reserve Bank New York, New York, NY USA. RP Bartolini, L (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 5 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK BOSTON PI BOSTON PA PO BOX 2076, BOSTON, MA 02106-2076 USA SN 0028-4726 J9 NEW ENGL ECON REV JI New Engl. Econ. Rev. PY 2002 IS 2 BP 35 EP 38 PG 4 WC Economics SC Business & Economics GA 573HW UT WOS:000176824500008 ER EF