FN Thomson Reuters Web of Science™ VR 1.0 PT J AU Hornstein, A Krusell, P Violante, GL AF Hornstein, Andreas Krusell, Per Violante, Giovanni L. TI Technology - Policy interaction in frictional labour-markets SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID EQUILIBRIUM UNEMPLOYMENT; GROWTH; INVESTMENT; EMPLOYMENT; SHOCKS AB Does capital-embodied technological change play an important role in shaping labour-market outcomes? To address this question, we develop a model with vintage capital and search-matching frictions where irreversible investment in new vintages of capital creates heterogeneity in productivity among firms, matched as well as vacant. We demonstrate that capital-embodied technological change reduces labour demand and raises equilibrium unemployment and unemployment durations. In addition, the presence of labour-market regulations (unemployment benefits, payroll taxes, and firing costs) exacerbates these effects. Thus, the model is qualitatively consistent with some key features of the European labour-market experience relative to that of the U.S.: it features a sharper rise in unemployment and a sharper fall in the vacancy rate and the labour share. A calibrated version of our model suggests that this technology-policy interaction could explain a sizeable fraction of the observed differences between the U.S. and Europe. C1 Fed Reserve Bank Richmond, Richmond, VA 23219 USA. Univ Rochester, Inst Int Econ Studies, Ctr Econ Policy Res, CAERP, Rochester, NY 14627 USA. NBER, Cambridge, MA 02138 USA. NYU, New York, NY 10011 USA. RP Hornstein, A (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RI Violante, Giovanni/F-1872-2017 NR 45 TC 21 Z9 22 U1 1 U2 6 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD OCT PY 2007 VL 74 IS 4 BP 1089 EP 1124 DI 10.1111/j.1467-937X.2007.00449.x PG 36 WC Economics SC Business & Economics GA 210CW UT WOS:000249435300004 ER PT J AU Barlevy, G AF Barlevy, Gadi TI On the cyclicality of research and development SO AMERICAN ECONOMIC REVIEW LA English DT Article ID BUSINESS CYCLES; CREATIVE DESTRUCTION; PRODUCTIVITY GROWTH; INCREASING RETURNS; FLUCTUATIONS AB Economists have recently argued recessions play a useful role in fostering growth. Yet a major source of growth, R&D, is procyclical. This paper argues one reason for procyclical R&D is a dynamic externality inherent in R&D that makes entrepreneurs short-sighted and concentrate their innovation in booms, even when it is optimal to concentrate it in recessions. Additional forces may imply that procyclical R&D is desirable, but equilibrium R&D is likely to be too procyclical, and,macroeconomic shocks are likely to have overly persistent effects on output and make growth more costly than in the absence of such shocks. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Barlevy, G (reprint author), Fed Reserve Bank Chicago, 230 S La Salle St, Chicago, IL 60604 USA. EM gbarlevy@frbchi.org NR 36 TC 60 Z9 60 U1 4 U2 24 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2007 VL 97 IS 4 BP 1131 EP 1164 DI 10.1257/aer.97.4.1131 PG 34 WC Economics SC Business & Economics GA 221HF UT WOS:000250217300004 ER PT J AU Khan, A Thomas, JK AF Khan, Aubhik Thomas, Julia K. TI Inventories and the business cycle: An equilibrium analysis of (S, s) policies SO AMERICAN ECONOMIC REVIEW LA English DT Article ID INDIVISIBLE LABOR; INVESTMENT; S,S; FLUCTUATIONS; BEHAVIOR; MODELS; US AB We develop an equilibrium business cycle model where nonconvex delivery costs lead firms to follow (S, s) inventory policies. Calibrated to postwar US data, the model reproduces two-thirds of the cyclical variability of inventory investment. Moreover, it delivers strongly procyclical inventory investment, greater volatility in production than sales, and a countercyclical inventory-to-sales ratio. Our model challenges several prominent claims involving inventories, including the widely held belief that they amplify aggregate fluctuations. Despite the comovement between inventory investment and final sales, GDP volatility is essentially unaltered by inventory accumulation, because procyclical inventory investment diverts resources from final production, thereby dampening fluctuations in sales. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. RP Khan, A (reprint author), Fed Reserve Bank Philadelphia, Dept Res, 10 Independence Mall, Philadelphia, PA 19106 USA. EM mail@aubhik-khan.net; mail@juliathomas.net NR 41 TC 35 Z9 36 U1 5 U2 15 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD SEP PY 2007 VL 97 IS 4 BP 1165 EP 1188 DI 10.1257/aer.97.4.1165 PG 24 WC Economics SC Business & Economics GA 221HF UT WOS:000250217300005 ER PT J AU Garrett, TA Wagner, GA Wheelock, DC AF Garrett, Thomas A. Wagner, Gary A. Wheelock, David C. TI Regional disparities in the spatial correlation of state income growth, 1977-2002 SO ANNALS OF REGIONAL SCIENCE LA English DT Article ID ECONOMIC-GROWTH; ECONOMETRIC PERSPECTIVE; DEREGULATION; CONVERGENCE; INSTITUTIONS; CYCLES; POLICY AB This paper presents new evidence of spatial correlation in USA state income growth. We extend the basic spatial econometric model used in the growth literature by allowing spatial correlation in state income growth to vary across geographic regions. We find positive spatial correlation in income growth rates across neighboring states, but that the strength of this spatial correlation varies considerably by region. Spatial correlation in income growth is highest for states located in the Northeast and the South. Our findings have policy implications both at the state and national level, and also suggest that growth models may benefit from incorporating more complex forms of spatial correlation. C1 Univ Arkansas, Dept Econ & Finance, Little Rock, AR 72204 USA. Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Wagner, GA (reprint author), Univ Arkansas, Dept Econ & Finance, 2801 W Univ Ave, Little Rock, AR 72204 USA. EM tom.a.garrett@stls.frb.org; gawagner@ualr.edu; david.c.wheelock@stls.frb.org RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 39 TC 27 Z9 28 U1 0 U2 8 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 0570-1864 J9 ANN REGIONAL SCI JI Ann. Reg. Sci. PD SEP PY 2007 VL 41 IS 3 BP 601 EP 618 DI 10.1007/s00168-007-0114-x PG 18 WC Environmental Studies; Geography SC Environmental Sciences & Ecology; Geography GA 195MP UT WOS:000248416600006 ER PT J AU Craig, BR Jackson, WE Thomson, JB AF Craig, Ben R. Jackson, William E., III Thomson, James B. TI Small firm credit market discrimination, small business administration guaranteed lending, and local market economic performance SO ANNALS OF THE AMERICAN ACADEMY OF POLITICAL AND SOCIAL SCIENCE LA English DT Article DE discrimination; employment rates; small firm credit markets; loan guarantees; credit rationing ID PRICE-CONCENTRATION RELATIONSHIP; FINANCE; BANKING; GROWTH; COMPETITION AB /In this article, the authors empirically test whether Small Business Administration (SBA) guaranteed lending has a greater impact on economic performance in markets with a high percentage of potential minority small businesses. This hypothesis is based on the assumptions that (1) credit rationing is more likely to occur in markets with a higher percentage of minority small businesses; and (2) SBA guaranteed lending is likely to reduce these credit rationing problems, thus improving economic performance in the local market. Using local market employment rates as the measure of economic performance, the authors find evidence consistent with this proposition. Specifically, the authors find a positive and significant impact of SBA guaranteed lending on the average employment rate in a local market. And, this impact is 200 percent larger in markets with a high percentage of potential minority small businesses. This result has important implications for public policy in general and SBA guaranteed lending in particular. C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. Univ Alabama, Culverhouse Coll Commerce, Smith Fdn Endowed Chair Business Integr, Tuscaloosa, AL 35487 USA. RP Jackson, WE (reprint author), Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. EM wjackson@cba.ua.edu NR 24 TC 4 Z9 4 U1 0 U2 7 PU SAGE PUBLICATIONS INC PI THOUSAND OAKS PA 2455 TELLER RD, THOUSAND OAKS, CA 91320 USA SN 0002-7162 J9 ANN AM ACAD POLIT SS JI Ann. Am. Acad. Polit. Soc. Sci. PD SEP PY 2007 VL 613 BP 73 EP 94 DI 10.1177/0002716207303579 PG 22 WC Political Science; Social Sciences, Interdisciplinary SC Government & Law; Social Sciences - Other Topics GA 203ZU UT WOS:000249013400006 ER PT J AU Hooks, LM Robinson, KJ AF Hooks, Linda M. Robinson, Kenneth J. TI Quantifying moral hazard: A reply to Gary Richardson SO ECON JOURNAL WATCH LA English DT Article DE deposit insurance; moral hazard; defalcation; mismanagement; bank failure AB In his comment on our 2002 Journal of Economic History paper, Gary Richardson (2007) proposes that our work specifies moral hazard too narrowly. Richardson posits that fixed-rate deposit insurance leads to moral hazard which takes many forms. These include not only the usual notion of risk-taking in the asset portfolio, but also mismanagement, malfeasance, and reduced incentives for depositor monitoring. We agree with his hypothesis and offer some evidence in support of additional avenues for moral hazard to have played a role in the activities of Texas banks in the 1920s. C1 [Hooks, Linda M.] Washington & Lee Univ, Dept Econ, Lexington, VA 24450 USA. [Robinson, Kenneth J.] Fed Reserve Bank Dallas, Financial Ind Studies Dept, Dallas, TX USA. RP Hooks, LM (reprint author), Washington & Lee Univ, Dept Econ, Lexington, VA 24450 USA. EM hooks1@wlu.edu; Kenneth.J.Robinson@dal.frb.org NR 2 TC 0 Z9 0 U1 0 U2 3 PU INST SPONTANEOUS ORDER ECONOMICS PI FAIRFAX PA 9745 KINGS CROWN COURT #102, FAIRFAX, VA 22031 USA SN 1933-527X J9 ECON J WATCH JI Econ. J. Watch PD SEP PY 2007 VL 4 IS 3 BP 303 EP U29 PG 6 WC Economics SC Business & Economics GA 299KX UT WOS:000255755600004 ER PT J AU Gorostiaga, A Rubio-Ramirez, JF AF Gorostiaga, Arantza Rubio-Ramirez, Juan F. TI Optimal minimum wage in a competitive economy: An alternative modelling approach SO ECONOMIC MODELLING LA English DT Article DE redistribution policy; minimum wage; Ramsey problem ID MONETARY-POLICY; EMPLOYMENT; REDISTRIBUTION; UNEMPLOYMENT; LEGISLATION; GROWTH; LABOR; LAWS AB This paper analyzes whether a minimum wage can be an optimal redistribution policy when distorting taxes and lump-sum transfers are also available in a competitive economy. We build a static general equilibrium model with a Ramsey planner making decisions on taxes, transfers, and minimum wage levels. Workers are assumed to differ only in their productivity. We find that optimal redistribution may imply the use of a minimum wage. The key factor driving our results is the reaction of the demand for low skilled labor to the minimum wage law. Hence, an optimal minimum wage appears to be most likely when low skilled households are scarce, the complementarity between the two types of workers is large or the difference in productivity is small. The main contribution of the paper is a modelling approach that allows us to adopt analysis and solution techniques widely used in recent public finance research. Moreover, this modelling strategy is flexible enough to allow for potential extensions to include dynamics into the model. (C) 2007 Elsevier B.V All rights reserved. C1 Univ Basque Country, Dept Fundamentos Anal Econ 2, E-48080 Bilbao, Spain. Duke Univ, Durham, NC 27706 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Gorostiaga, A (reprint author), Univ Basque Country, Dept Fundamentos Anal Econ 2, E-48080 Bilbao, Spain. EM arantza.gorostiaga@ehu.es RI Gorostiaga, Arantza/G-9808-2015 OI Gorostiaga, Arantza/0000-0001-5540-5396 NR 22 TC 1 Z9 1 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0264-9993 J9 ECON MODEL JI Econ. Model. PD SEP PY 2007 VL 24 IS 5 BP 778 EP 796 DI 10.1016/j.econmod.2007.02.004 PG 19 WC Economics SC Business & Economics GA 195UT UT WOS:000248438200004 ER PT J AU Cabrales, A Nagel, R Armenter, R AF Cabrales, Antonio Nagel, Rosemarie Armenter, Roc TI Equilibrium selection through incomplete information in coordination games: an experimental study SO EXPERIMENTAL ECONOMICS LA English DT Article DE global games; risk dominance; equilibrium selection; common knowledge ID FULFILLING CURRENCY ATTACKS; HIGHER-ORDER UNCERTAINTY; NORMAL-FORM GAMES; UNIQUE EQUILIBRIUM; GLOBAL GAMES; MODEL; BEHAVIOR; ROBUSTNESS; KNOWLEDGE; FEATURES AB We perform an experiment on a pure coordination game with uncertainty about the payoffs. Our game is closely related to models that have been used in many macroeconomic and financial applications to solve problems of equilibrium indeterminacy. In our experiment, each subject receives a noisy signal about the true payoffs. This game (inspired by the "global" games of Carlsson and van Damme, Econometrica, 61, 989-1018, 1993) has a unique strategy profile that survives the iterative deletion of strictly dominated strategies (thus a unique Nash equilibrium). The equilibrium outcome coincides, on average, with the risk-dominant equilibrium outcome of the underlying coordination game. In the baseline game, the behavior of the subjects converges to the theoretical prediction after enough experience has been gained. The data (and the comments) suggest that this behavior can be explained by learning. To test this hypothesis, we use a different game with incomplete information, related to a complete information game where learning and prior experiments suggest a different behavior. Indeed, in the second treatment, the behavior did not converge to equilibrium within 50 periods in some of the sessions. We also run both games under complete information. The results are sufficiently similar between complete and incomplete information to suggest that risk-dominance is also an important part of the explanation. C1 Univ Carlos III Madrid, Madrid, Spain. Univ Pompeu Fabra, Barcelona, Spain. Fed Reserve Bank New York, New York, NY 10045 USA. RP Cabrales, A (reprint author), Univ Carlos III Madrid, Madrid, Spain. EM antonio.cabrales@uc3m.es; rosemarie.nagel@upf.edu; roc.armenter@ny.frb.org RI Nagel, Rosemarie/C-6311-2013 OI Nagel, Rosemarie/0000-0001-6599-0664 NR 41 TC 13 Z9 13 U1 1 U2 11 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 1386-4157 J9 EXP ECON JI Exp. Econ. PD SEP PY 2007 VL 10 IS 3 BP 221 EP 234 DI 10.1007/s10683-007-9183-z PG 14 WC Economics SC Business & Economics GA 215MX UT WOS:000249814000003 ER PT J AU Williams, MM Anderson, RG AF Williams, Marcela M. Anderson, Richard G. TI Currency design in the United States and abroad: Counterfeit deterrence and visual accessibility SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB Despite the increasing use of electronic payments, currency retains an important role in the payment system of every country. In this article, the authors compare and contrast trade-offs among currency design features, including those primarily intended to deter counterfeiting and those to improve usability by the visually impaired. The authors conclude that periodic changes in the design of currency are an important aspect of counterfeit deterrence and that currency designers worldwide generally have been successful in efforts to deter counterfeiting. At the same time, currency designers have sought to be sensitive to the needs of the visually impaired. Although trade-offs among goals sometimes have forced compromises, new technologies promise banknotes that are both more difficult to counterfeit and more accessible to the visually impaired. Among the world's currencies, U.S. banknotes are the notes most widely used outside their country of issue and thus require special consideration. C1 Fed Reserve Bank, St Louis, MO 63106 USA. RP Williams, MM (reprint author), Fed Reserve Bank, St Louis, MO 63106 USA. NR 28 TC 2 Z9 2 U1 2 U2 6 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2007 VL 89 IS 5 BP 371 EP 414 PG 44 WC Business, Finance; Economics SC Business & Economics GA 213OL UT WOS:000249676900001 ER PT J AU Hernandez-Murillo, R AF Hernandez-Murillo, Ruben TI Experiments in financial liberalization: the Mexican banking sector SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID DEPOSIT INSURANCE; PRIVATIZATION; INEQUALITY; DEMOCRACY; SYSTEM; RISK AB Since the liberalization of its trade in the mid-1980s, Mexico has pursued an aggressive globalization strategy, which today makes it the country with the most free trade agreements in the world. This liberalization strategy has also included the banking sector, particularly since 1997, when all restrictions to the entry of foreign banks were removed. The history of the banking sector in Mexico includes episodes of nationalization in 1982, privatization in 1992, and near-complete failure in 1995. Since then, however, the Mexican government has undertaken a series of bold reforms that have contributed to the modernization of its financial system. This paper documents the evolution of Mexico's banking sector starting from its nationalization in 1982 and culminating with the increased entry of foreign banks in recent years that has driven the recovery of bank credit to the private sector. C1 Fed Reserve Bank, St Louis, MO 63106 USA. RP Hernandez-Murillo, R (reprint author), Fed Reserve Bank, St Louis, MO 63106 USA. NR 38 TC 5 Z9 5 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2007 VL 89 IS 5 BP 415 EP 432 PG 18 WC Business, Finance; Economics SC Business & Economics GA 213OL UT WOS:000249676900002 ER PT J AU Kliesen, KL AF Kliesen, Kevin L. TI How well does employment predict output? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID ACCURACY AB Economists, policymakers, and financial market analysts typically pay close attention to aggregate employment trends because employment is thought to be an important indicator of macroeconomic conditions. One difficulty is that there are two separate surveys of employment, which can diverge widely from one another, as the previous and current economic expansions demonstrate. The conventional wisdom is that, for assessing economic conditions, the survey that counts the number of jobs (establishment survey) is preferable to the survey that counts the number of people employed (household survey). However, results from a one-quarter-ahead forecasting exercise presented in this paper suggest that analysts should question whether employment is a useful indicator for predicting output growth. C1 Fed Reserve Bank, St Louis, MO 63106 USA. RP Kliesen, KL (reprint author), Fed Reserve Bank, St Louis, MO 63106 USA. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 24 TC 0 Z9 0 U1 3 U2 5 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2007 VL 89 IS 5 BP 433 EP 446 PG 14 WC Business, Finance; Economics SC Business & Economics GA 213OL UT WOS:000249676900003 ER PT J AU Rasche, RH Williams, MM AF Rasche, Robert H. Williams, Marcela M. TI The effectiveness of monetary policy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Conference on the Effectiveness of Stabilization Policies CY MAY 27, 2005 CL Seoul, SOUTH KOREA SP Bank Korea ID RATIONAL-EXPECTATIONS; PRACTICAL PROBLEMS; REAL-TIME; INFLATION; RULES; INSTRUMENT; OBSTACLES AB This analysis addresses changing views of the role and effectiveness of monetary policy, inflation targeting as an "effective monetary policy," monetary policy and short-run (output) stabilization, and problems in implementing a short-run stabilization policy. C1 Fed Reserve Bank, St Louis, MO 63106 USA. RP Rasche, RH (reprint author), Fed Reserve Bank, St Louis, MO 63106 USA. NR 58 TC 3 Z9 3 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2007 VL 89 IS 5 BP 447 EP 489 PG 43 WC Business, Finance; Economics SC Business & Economics GA 213OL UT WOS:000249676900004 ER PT J AU Craig, B Fecht, F AF Craig, Ben Fecht, Falko TI The eurosystem money market auctions: A banking perspective SO JOURNAL OF BANKING & FINANCE LA English DT Article DE money market auctions; liquidity management; interbank market ID SAMPLE SELECTION AB This paper analyzes the individual bidding behavior of German banks in the money market auctions conducted by the ECB from the beginning of 2000:IIIQ to the end of 2001:IQ. Our approach takes a variety of characteristics of the individual banks into account, particularly variables that capture the different use of liquidity and the different attitude towards liquidity risk of the individual banks. It turns out that these characteristics are reflected in banks' bidding behavior. Thus, our study contributes to a deeper understanding of the way liquidity risk is managed in the banking sector. (c) 2007 Elsevier B.V. All rights reserved. C1 Deutsch Bundesbank, Dept Econ, D-60431 Frankfurt, Germany. Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Fecht, F (reprint author), Deutsch Bundesbank, Dept Econ, Wilheim Epstein St 14, D-60431 Frankfurt, Germany. EM falko.fecht@bundesbank.de NR 8 TC 6 Z9 6 U1 0 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 SEP PY 2007 VL 31 IS 9 BP 2925 EP 2944 DI 10.1016/j.jbankfin.2007.04.019 PG 20 WC Business, Finance; Economics SC Business & Economics GA 214OH UT WOS:000249747500019 ER PT J AU Conley, TG Topa, G AF Conley, Timothy G. Topa, Giorgio TI Estimating dynamic local interactions models SO JOURNAL OF ECONOMETRICS LA English DT Article DE local interactions; spatial econometrics; unemployment ID SOCIAL INTERACTIONS; LABOR-MARKET; UNEMPLOYMENT-INSURANCE; NETWORKS; INFORMATION; INEQUALITY; TIES AB This paper presents empirical methods for studying a class of local interactions models in which agents' transitions are affected by their neighbors' states. We consider an application to urban unemployment and social networks in job search using publicly available cross-section and retrospective data. Most links in our model are local, but some span an entire metropolitan area. Our methods are designed to accommodate the presence of strong cross-sectional dependence arising from these few cross-metro-area links. We also present simple methods to compare data and model spell distributions and to illustrate the model's dynamic properties. (C) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Microecon & Reg Studies, New York, NY 10045 USA. RP Conley, TG (reprint author), Fed Reserve Bank New York, Microecon & Reg Studies, 33 Liberty St, New York, NY 10045 USA. EM tconley1@gsb.uchicago.edu; Giorgio.Topa@ny.frb.org NR 34 TC 10 Z9 10 U1 2 U2 10 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD SEP PY 2007 VL 140 IS 1 BP 282 EP 303 DI 10.1016/j.jeconom.2006.09.012 PG 22 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 207NB UT WOS:000249256700012 ER PT J AU Valderrama, D AF Valderrama, Diego TI Statistical nonlinearities in the business cycle: A challenge for the canonical RBC model SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE nonlinear; real business cycles; efficient method of moments ID INTEREST-RATES; TIME-SERIES; INVESTMENT AB The cyclical components of U.S. macroeconomic time series exhibit significant nonlinea-rities. Standard equilibrium models of business cycles cannot replicate nonlinear features of the data. Applying the efficient method of moments (Gallant, A.R., Tauchen, G., 1996. Which moments to match? Econometric Theory 12(4), 657-681) to build an algorithm that searches over the model's parameter space establishes the parameterization that best allows replication of all statistical properties of the data. The results show that under this parameterization, the model captures nonlinearities in investment but fails to account for observed properties of consumption. Published by Elsevier B.V. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Valderrama, D (reprint author), Fed Reserve Bank San Francisco, 101 Market St,MS 1130, San Francisco, CA 94105 USA. EM Diego.Valderrama@sf.frb.org NR 40 TC 2 Z9 2 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 2007 VL 31 IS 9 BP 2957 EP 2983 DI 10.1016/j.jedc.2006.09.012 PG 27 WC Economics SC Business & Economics GA 204EI UT WOS:000249026100004 ER PT J AU Huang, KXD AF Huang, Kevin X. D. TI Effective central bank communication under uncertainty SO JOURNAL OF ECONOMIC ISSUES LA English DT Article ID MONETARY-POLICY; INTEREST-RATES; TERM STRUCTURE; TRANSPARENCY; RATIONALITY; MODELS; INSTITUTIONS; EXPECTATIONS; INFORMATION; DISCRETION C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Huang, KXD (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM kevin.huang@phil.frb.org NR 89 TC 0 Z9 0 U1 3 U2 5 PU ASSOC EVOLUTIONARY ECONOMICS PI KNOXVILLE PA UNIV TENNESSEE, KNOXVILLE, DEPT OF ECONOMICS, KNOXVILLE, TN 37996-0550 USA SN 0021-3624 J9 J ECON ISSUES JI J. Econ. Issues PD SEP PY 2007 VL 41 IS 3 BP 661 EP 680 PG 20 WC Economics SC Business & Economics GA 210EH UT WOS:000249439000002 ER PT J AU Corsetti, G Martin, P Pesenti, P AF Corsetti, Giancarlo Martin, Philippe Pesenti, Paolo TI Productivity, terms of trade and the 'home market effect' SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE trade; productivity; terms of trade; taste for variety ID INTERNATIONAL-TRADE; MONOPOLISTIC COMPETITION; VARIETY; INCOME; ELASTICITIES AB This paper analyzes the international transmission and welfare implications of productivity gains and changes in market size when macroeconomic adjustment occurs both along the intensive margin of trade (changes in the relative price of existing varieties of tradable goods) and the extensive margin (creation and destruction of varieties). We draw a distinction between productivity gains that enhance manufacturing efficiency and gains that lower the cost of firms' entry and of product differentiation. Countries with lower manufacturing costs have higher GDP but supply their products at lower international prices. Instead, countries with lower entry costs supply a larger array of goods at improved terms of trade. Output growth driven by demographic expansions, as well as government spending, is associated with an improvement in international relative prices and firms' entry. While trade liberalization may result in a smaller array of goods available to consumers, efficiency gains from deeper economic integration benefit consumers via lower goods prices. The international transmission mechanism and the welfare spillovers vary under different asset market structures, depending on trade costs, the elasticity of labor supply, and consumers' taste for varieties. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Int Res, New York, NY 10045 USA. European Univ, Dept Econ, I-50133 Florence, Italy. CEPR, London EC1V 7RR, England. Univ Paris 01, F-75013 Paris, France. Paris Sch Econ, F-75014 Paris, France. NBER, Cambridge, MA 02138 USA. RP Pesenti, P (reprint author), Fed Reserve Bank New York, Int Res, New York, NY 10045 USA. EM giancarlo.corsetti@eui.eu; philippe.martin@univ-paris1.fr; paolo.pesenti@ny.frb.org OI Corsetti, Giancarlo/0000-0001-8965-9853 NR 29 TC 27 Z9 27 U1 1 U2 15 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD SEP PY 2007 VL 73 IS 1 BP 99 EP 127 DI 10.1016/j.jinteco.2006.08.005 PG 29 WC Economics SC Business & Economics GA 203PR UT WOS:000248987000005 ER PT J AU Bergin, PR Glick, R AF Bergin, Paul R. Glick, Reuven TI Tradability, productivity, and international economic integration SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE extensive margin; endogenous tradability; price dispersion; pricing to market; trade costs ID TRADE; MARKET; DYNAMICS; PRICE; COSTS; MODEL AB This paper develops a model of endogenously tradable goods to study the implications of international integration for price dispersion and pricing to market. A distinctive feature of the model is heterogeneity in both trade costs and productivity. The model highlights the role of heterogeneity in shaping how new entrants at the extensive margin differ from incumbent traders, thereby giving extensive margin movements distinctive implications relative to the intensive margin. In particular, the model predicts that international integration mainly along the extensive margin should be associated with a more limited degree of price convergence. This prediction finds support in cross-sectional regressions on European data and offers insight into recent integration episodes. (c) 2007 Elsevier B.V. All rights reserved. RP Glick, R (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St, San Francisco, CA 94105 USA. EM prbergin@ucdavis.edu; reuven.glick@sf.frb.org NR 26 TC 12 Z9 12 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD SEP PY 2007 VL 73 IS 1 BP 128 EP 151 DI 10.1016/j.jinteco.2007.01.002 PG 24 WC Economics SC Business & Economics GA 203PR UT WOS:000248987000006 ER PT J AU Bergin, PR Glick, R AF Bergin, Paul R. Glick, Reuven TI Global price dispersion: Are prices converging or diverging? SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article; Proceedings Paper CT Conference on Financial and Commercial Integrations CY SEP 29-30, 2006 CL UCSC, Santa Cruz, CA SP JIMF HO UCSC DE international price dispersion; price convergence; trade costs; oil prices ID TRADE AB This paper documents significant time-variation in the degree of global price convergence over the last fifteen years. In particular, there appears to be a general U-shaped pattern with price dispersion first falling and then rising in recent years, a pattern which is remarkably robust across country groupings and commodity groups. This time-variation is difficult to explain in terms of the standard gravity equation variables common in the literature, as these tend not to vary much over time or have not risen in recent years. However, regression analysis indicates that this time-varying pattern coincides well with oil price fluctuations, which are clearly time-varying and have risen substantially since the late 1990s. As a result, this paper offers new evidence on the role of transportation costs in driving international price dispersion. (c) 2007 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. NBER, Cambridge, MA 02138 USA. RP Glick, R (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St, San Francisco, CA 94105 USA. EM reuven.glick@sf.frb.org NR 16 TC 10 Z9 10 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 SEP PY 2007 VL 26 IS 5 BP 703 EP 729 DI 10.1016/j.jimonfin.2007.04.007 PG 27 WC Business, Finance SC Business & Economics GA 191MV UT WOS:000248136200004 ER PT J AU Ashcraft, AB Campello, M AF Ashcraft, Adam B. Campello, Murillo TI Firm balance sheets and monetary policy transmission SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary policy; balance sheet channel; financial conglomerates; internal capital markets; financial constraints AB The functioning of internal capital markets in financial conglomerates facilitates a novel identification strategy of the balance sheet channel of monetary policy. We look at small subsidiary banks that are affiliated with the same holding company but operate in different geographical areas. These banks face the same marginal cost of funds due to internal capital markets, but face different borrowers as they concentrate their lending with small local businesses. Exploring cross-sectional variation in local economic conditions across these subsidiaries, we investigate whether borrower creditworthiness influences the response of bank lending to monetary policy. Our results are consistent with a demand-driven transmission mechanism that works through firm balance sheets and is independent from the bank lending channel. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Univ Illinois, Urbana, IL 61801 USA. NBER, Cambridge, MA 02138 USA. RP Ashcraft, AB (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM adam.asheraft@ny.frb.org NR 8 TC 19 Z9 19 U1 1 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2007 VL 54 IS 6 BP 1515 EP 1528 DI 10.1016/j.jmoneco.2007.03.003 PG 14 WC Business, Finance; Economics SC Business & Economics GA 211EE UT WOS:000249506300001 ER PT J AU Chatterjee, S Corbae, D AF Chatterjee, Satyajit Corbae, Dean TI On the aggregate welfare cost of great depression unemployment SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE depression; unemployment; welfare cost ID BUSINESS CYCLES; IDIOSYNCRATIC RISK; LIQUIDITY AB The potential benefit of policies that eliminate a small likelihood of economic crises is calculated. An economic crisis is defined as an increase in unemployment of the magnitude observed during the Great Depression. For the U.S., the maximum likelihood estimate of entering a depression is found to be about once every 83 years. The welfare gain from setting this small probability to zero can range between 1% and 7% of annual consumption in perpetuity. For most estimates, more than half of these large gains results from a reduction in individual consumption volatility. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Res Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. Univ Texas, Austin, TX USA. RP Chatterjee, S (reprint author), Fed Res Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM satyajit.chatterjee@phil.frb.org NR 18 TC 8 Z9 8 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2007 VL 54 IS 6 BP 1529 EP 1544 DI 10.1016/j.jmoneco.2007.03.002 PG 16 WC Business, Finance; Economics SC Business & Economics GA 211EE UT WOS:000249506300002 ER PT J AU Gavin, WT Kydland, FE Pakko, MR AF Gavin, William T. Kydland, Finn E. Pakko, Michael R. TI Monetary policy, taxes, and the business cycle SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE inflation; tax code; business cycle ID CAPITAL GAINS TAXES; UNITED-STATES; US ECONOMY; INFLATION; TAXATION; MODEL; INVESTMENT; RATES AB This paper analyzes the interaction of inflation with the tax code and its contribution to aggregate fluctuations. We find significant effects operating through the tax on realized nominal capital gains. A tax on nominal bond income magnifies these effects. Our innovation is to combine monetary policy shocks with non-indexed taxes in a model where the central bank implements policy using an interest rate rule. Monetary policy had important effects on the behavior of the business cycle before 1980 because policymakers did not exert effective control over inflation. Monetary policy reform around 1980 led to better control, and with more stable inflation, the effect of the interaction between monetary policy and the nominal capital gains tax has become negligible. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. Univ Calif Santa Barbara, Dept Econ, Santa Barbara, CA 93106 USA. RP Gavin, WT (reprint author), Fed Reserve Bank St Louis, Res Dept, 1 Fed Reserve Pl,POB 442, St Louis, MO 63166 USA. EM gavin@stis.frb.org; kydland@econ.ucsb.edu; pakko@stls.frb.org NR 41 TC 3 Z9 3 U1 1 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2007 VL 54 IS 6 BP 1587 EP 1611 DI 10.1016/j.jmoneco.2006.06.007 PG 25 WC Business, Finance; Economics SC Business & Economics GA 211EE UT WOS:000249506300006 ER PT J AU Roush, JE AF Roush, Jennifer E. TI The expectations theory works for monetary policy shocks SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE term structure; monetary policy; structural vector autoregression; simultaneity; identification AB In practice, the expectations theory of the term structure is employed extensively in monetary policy analysis despite its empirical failure. This paper performs a conditional test of the theory that is directly relevant to monetary theory and policy. It finds that the theory holds quite well conditional on identified monetary policy shocks, but fails conditional on aggregate supply shocks that prompt an immediate jump in prices. It also finds that policy responses to movements in the term structure play an important role in uncovering evidence for the theory as predicted by McCallum [1994. Monetary policy and the term structure of interest rates. NBER Working Paper Series, no. 4938]. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Roush, JE (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM jennifer.roush@frb.gov NR 23 TC 2 Z9 2 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2007 VL 54 IS 6 BP 1631 EP 1643 DI 10.1016/j.jmoneco.2006.06.009 PG 13 WC Business, Finance; Economics SC Business & Economics GA 211EE UT WOS:000249506300008 ER PT J AU Edge, RM AF Edge, Rochelle M. TI Time-to-build, time-to-plan, habit-persistence, and the liquidity effect SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE investment gestation lags; habit-formation; liquidity effect; dynamic aggregative model ID MONETARY-POLICY; BUSINESS-CYCLE; MODEL; TRANSMISSION; PRICES AB The inability of sticky-price monetary business cycle models to generate liquidity effects has been extensively documented by a number of authors. This paper develops a sticky-price monetary business cycle model with investment gestation lags and habit-persistence in consumption that is capable of generating an empirically plausible liquidity effect. Published by Elsevier B.V. C1 Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Edge, RM (reprint author), Fed Reserve Board, Div Res & Stat, 20th & C St NW, Washington, DC 20551 USA. EM rochelle.m.edge@frb.gov NR 41 TC 9 Z9 9 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2007 VL 54 IS 6 BP 1644 EP 1669 DI 10.1016/j.jmoneco.2006.07.003 PG 26 WC Business, Finance; Economics SC Business & Economics GA 211EE UT WOS:000249506300009 ER PT J AU Kahn, JA Rich, RW AF Kahn, James A. Rich, Robert W. TI Tracking the new economy: Using growth theory to detect changes in trend productivity SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE productivity growth; regime-switching; neoclassical growth model; factor model ID TIME-SERIES; BUSINESS FLUCTUATIONS; PLUCKING MODEL; UNIT-ROOT; HYPOTHESIS; CYCLES; TECHNOLOGY; BREAKS AB The acceleration of productivity after 1995 prompted a debate over whether the economy's underlying growth rate would remain high. In this paper, we draw on growth theory to identify variables other than productivity-namely consumption and labor compensation-to help estimate trend productivity growth. We treat that trend as a common factor with two "regimes," high- and low-growth. Our analysis picks up striking evidence of a return in 1997 to the high-growth regime, nearly 25 years after a switch from high- to low-growth. We find that both the common factor and regime- switching aspects of the model are important for identifying changes in trend productivity, and also show that the trend breaks are more difficult to detect with per capita (as opposed to per hour) based data because of persistent labor supply shifts. Finally, we argue that our methodology is effective in detecting changes in trend in real time: In the case of the 1990s, the methodology would have signaled the regime switch by 1999, or within roughly six quarters of when it occurred according to the full sample. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Domest Res Dept, New York, NY 10045 USA. RP Kahn, JA (reprint author), Fed Reserve Bank New York, Domest Res Dept, 33 Liberty St, New York, NY 10045 USA. EM james.kahn@ny.frb.org NR 42 TC 14 Z9 14 U1 0 U2 6 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2007 VL 54 IS 6 BP 1670 EP 1701 DI 10.1016/j.jmoneco.2006.07.008 PG 32 WC Business, Finance; Economics SC Business & Economics GA 211EE UT WOS:000249506300010 ER PT J AU Alvarez, F Lucas, RE AF Alvarez, Fernando Lucas, Robert E., Jr. TI General equilibrium analysis of the Eaton-Kortum model of international trade SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE general equilibrium; ricardian trade theory; trade volume; tariff policy ID MONOPOLISTIC COMPETITION; TECHNOLOGY; CONTINUUM; RETURNS; TARIFF; SCALE; GOODS; COSTS AB We study a variation of the Eaton-Kortum model, a competitive, constant-returns-to-scale multicountry Ricardian model of trade. We establish existence and uniqueness of an equilibrium with balanced trade where each country imposes an import tariff. We analyze the determinants of the cross-country distribution of trade volumes, such as size, tariffs and distance, and compare a calibrated version of the model with data for the largest 60 economies. We use the calibrated model to estimate the gains of a world-wide trade elimination of tariffs, using the theory to explain the magnitude of the gains as well as the differential effect arising from cross-country differences in pre-liberalization tariff levels and country size. (c) 2006 Elsevier B.V. All rights reserved. C1 Univ Chicago, Chicago, IL 60637 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NBER, Cambridge, MA 02138 USA. RP Lucas, RE (reprint author), Univ Chicago, Chicago, IL 60637 USA. EM relucas@uchicago.edu NR 23 TC 80 Z9 80 U1 4 U2 14 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2007 VL 54 IS 6 BP 1726 EP 1768 DI 10.1016/j.jmoneco.2006.07.006 PG 43 WC Business, Finance; Economics SC Business & Economics GA 211EE UT WOS:000249506300012 ER PT J AU Cooper, R Haltiwanger, J Willis, JL AF Cooper, Russell Haltiwanger, John Willis, Jonathan L. TI Search frictions: Matching aggregate and establishment observations SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE labor search; adjustment costs; employment ID REAL WAGES; UNEMPLOYMENT AB We estimate a search model to match hours, employment, vacancies and unemployment at the micro- and macrolevels. We establish a set of facts concerning the variability of unemployment and vacancies in the aggregate and the distribution of net employment growth and the comovement of hours and employment growth at the establishment level. A search model with non-convex costs of posting vacancies, establishment-level profitability shocks and a contracting framework to set hours provides a structure to understand these observations. The estimated model is able to capture both the aggregate and establishment-level facts. (C) 2007 Elsevier B.V. All rights reserved. C1 Univ Texas, Dept Econ, Austin, TX 78712 USA. NBER, Austin, TX 78712 USA. Univ Maryland, Dept Econ, College Pk, MD 20742 USA. NBER, College Pk, MD 20742 USA. Fed Reserve Bank, Res Dept, Kansas City, KS USA. RP Cooper, R (reprint author), Univ Texas, Dept Econ, Austin, TX 78712 USA. EM cooper@eco.utexas.edu; haltiwan@econ.umd.edu; Jonathan.willis@kc.frb.org RI Villena, Benjamin/D-6996-2012 OI Villena, Benjamin/0000-0002-2780-0214 NR 19 TC 7 Z9 7 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 SEP PY 2007 VL 54 SU S BP S56 EP S78 DI 10.1016/j.jmoneco.2007.06.002 PG 23 WC Business, Finance; Economics SC Business & Economics GA 219KO UT WOS:000250083700005 ER PT J AU Gourio, F Kashyap, AK AF Gourio, Francois Kashyap, Anil K. TI Investment spikes: New facts and a general equilibrium exploration SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE adjustment costs; investment tax credit; fixed costs; extensive margin ID BUSINESS-CYCLE; INDIVISIBLE LABOR; DYNAMICS; ADJUSTMENT; MODELS AB Using plant-level data from Chile and the U.S., we show that investment spikes are highly pro-cyclical, so much so that changes in the number of establishments undergoing investment spikes (the "extensive margin") account for the bulk of variation in aggregate investment. The number of establishments undergoing investment spikes also has independent predictive power for aggregate investment, even controlling for past investment and sales. We re-calibrate the Thomas [2002. Is lumpy investment relevant for the business cycle. Journal of Political Economy, CX 508-534] model (that includes fixed costs of investing) so that it assigns a prominent role to extensive adjustment. The recalibrated model has different properties than the standard RBC model for some shocks. (C) 2007 Elsevier B.V. All rights reserved. C1 Boston Univ, Dept Econ, Boston, MA 02115 USA. Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. Fed Reserve Bank Chicago, Chicago, IL USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Gourio, F (reprint author), Boston Univ, Dept Econ, 264 Bay State Rd, Boston, MA 02115 USA. EM fgourio@bu.edu NR 25 TC 10 Z9 10 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 SEP PY 2007 VL 54 SU S BP S1 EP S22 DI 10.1016/j.jmoneco.2007.06.004 PG 22 WC Business, Finance; Economics SC Business & Economics GA 219KO UT WOS:000250083700002 ER PT J AU Klenow, PJ Willis, JL AF Klenow, Peter J. Willis, Jonathan L. TI Sticky information and sticky prices SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Microeconomic Adjustment and Macroeconomics Dynamics CY OCT, 2006 CL Monetary, ICELAND SP Natl Bank DE sticky information; state dependent pricing ID DYNAMICS AB In the U.S. and Europe, prices change at least once a year. Yet nominal macro shocks seem to have real effects lasting well beyond a year. "Sticky information" models, as posited by Mankiw and Reis [2002. Sticky information versus sticky prices: a proposal to replace the new Keynesian Phillips curve. Quarterly Journal of Economics 117, 1295-1328], Sims [2003. Implications of rational inattention. Journal of Monetary Economics 50(3), 665-690], and Woodford [2003. Princeton University Press: Princeton, NJ], can reconcile micro flexibility with macro rigidity. We simulate a sticky information model in which price setters update information on macro shocks less frequently than information on micro shocks. We then examine price changes in the micro data underlying the U.S. CPI. Empirical price changes react to old information, just as sticky information models predict. (C) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank, Res Dept, Kansas City, MO 64198 USA. NBER, Stanford, CA 94305 USA. Stanford Univ, Dept Econ, Stanford, CA 94305 USA. RP Willis, JL (reprint author), Fed Reserve Bank, Res Dept, Kansas City, MO 64198 USA. EM jonathan.willis@kc.frb.org NR 27 TC 13 Z9 13 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2007 VL 54 SU S BP S79 EP S99 DI 10.1016/j.jmoneco.2007.06.003 PG 21 WC Business, Finance; Economics SC Business & Economics GA 219KO UT WOS:000250083700006 ER PT J AU Chang, YS Doh, TY Schorfheide, F AF Chang, Yongsung Doh, Taeyoung Schorfheide, Frank TI Non-stationary hours in a DSGE model SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE bayesian econometrics; DSGE models; non-stationary hours ID AGGREGATE FLUCTUATIONS; BUSINESS-CYCLE; TECHNOLOGY SHOCKS; TIME; FIT AB The time series fit of dynamic stochastic general equilibrium (DSGE) models often suffers from restrictions on the long-run dynamics that are at odds with the data. Using Bayesian methods we estimate a stochastic growth model in which hours worked are stationary and a modified version with permanent labor supply shocks. If firms can freely adjust labor inputs, the data support the latter specification. Once we introduce frictions in terms of labor adjustment costs, the overall time series fit improves and the model specification in which labor supply shocks and hours worked are stationary is preferred. C1 Seoul Natl Univ, Sch Econ, Seoul 151742, South Korea. Fed Reserve Bank Kansas City, Res Dept, Kansas City, MO 64198 USA. Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Chang, YS (reprint author), Seoul Natl Univ, Sch Econ, Seoul 151742, South Korea. EM Yohg@snu.ac.kr; Taeyoung.Doh@kc.frb.org; schorf@ssc.upenn.edu NR 30 TC 27 Z9 27 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2007 VL 39 IS 6 BP 1357 EP 1373 DI 10.1111/j.1538-4616.2007.00070.x PG 17 WC Business, Finance; Economics SC Business & Economics GA 205XJ UT WOS:000249148200004 ER PT J AU Li, WL Yao, R AF Li, Wenli Yao, Rui TI The life-cycle effects of house price changes SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE life-cycle model; consumption; savings; housing; mortgage ID OPTIMAL CONSUMPTION; PORTFOLIO CHOICE; INCOME; CONSTRAINTS; TAXATION; MODELS; WEALTH; REAL AB We develop a life-cycle model that explicitly incorporates the dual feature of housing as both a consumption good and an investment asset. Our analysis indicates that the consumption and welfare consequences of house price changes on individual households vary significantly. In particular, the non-housing consumption of young and old homeowners is much more sensitive to house price changes than that of middle-aged homeowners. More importantly, while house price appreciation increases the net worth and consumption of all homeowners, it only improves the welfare of old homeowners. Renters and young homeowners are worse off due to higher lifetime housing consumption costs. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. CUNY Bernard M Baruch Coll, Zicklin Sch Business, Dept Real Estate, New York, NY 10010 USA. RP Li, WL (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. EM wenli.li@phil.frb.org; rui-yao@bar-uch.cuny.edu NR 43 TC 39 Z9 39 U1 8 U2 18 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2007 VL 39 IS 6 BP 1375 EP 1409 DI 10.1111/j.1538-4616.2007.00071.x PG 35 WC Business, Finance; Economics SC Business & Economics GA 205XJ UT WOS:000249148200005 ER PT J AU Hellerstein, R AF Hellerstein, Rebecca TI Is there a dead spot? New evidence on FOMC decisions before elections SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE central banks; political business cycles; Federal Reserve ID MONETARY-POLICY RULES; REAL-TIME DATA; FEDERAL-RESERVE; MACROECONOMIC POLICY; POLITICS; BEHAVIOR; CYCLES AB Using new data that chronicle the Fed's internal forecast of the output gap from 1973 to 1998, this paper tests for an electoral cycle in the decisions of the Federal Open Market Committee (FOMC). The paper provides evidence of a dead spot in the committee's decisions before presidential elections. For given values of these internal forecasts, the FOMC is less likely to decide to tighten monetary policy in the year preceding a presidential election than at other times. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Hellerstein, R (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM Rebecca.Hellerstein@ny.frb.org NR 40 TC 1 Z9 1 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 SEP PY 2007 VL 39 IS 6 BP 1411 EP 1427 DI 10.1111/j.1538-4616.2007.00072.x PG 17 WC Business, Finance; Economics SC Business & Economics GA 205XJ UT WOS:000249148200006 ER PT J AU Love, D Smith, PA Wilcox, D AF Love, David Smith, Paul A. Wilcox, David TI Why do firms offer risky defined-benefit pension plans? SO NATIONAL TAX JOURNAL LA English DT Article; Proceedings Paper CT National-Tax-Association Symposium on Tax Policy - Unfinished Business CY MAY 17-18, 2007 CL Washington, DC SP Natl Tax Assoc ID POLICY; SYSTEM AB Even risky pension sponsors could offer essentially riskless pension promises by contributing a sufficient level of resources to their pension trust funds and by investing those resources in fixed-income securities designed to deliver their payoffs just as pension obligations are coming due. However, almost no firm has chosen to fund its plan in this manner. We study the optimal funding choice for plan sponsors by developing a simple model of pension financing in which the total compensation offered to workers must clear the labor market. We find that if workers understand the implications of pension risk, they will demand greater compensation for riskier pension promises than for safer ones, all else equal. Indeed, in our model, pension sponsors maximize their value by making their pension promises free of risk. We close by positing some explanations for why no real-world firm follows the prescription of our model. C1 Williams Coll, Dept Econ, Williamstown, MA 01267 USA. Fed Reserve Board, Washington, DC 20551 USA. RP Love, D (reprint author), Williams Coll, Dept Econ, Williamstown, MA 01267 USA. NR 24 TC 3 Z9 3 U1 0 U2 4 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 2007 VL 60 IS 3 BP 507 EP 519 PG 13 WC Business, Finance; Economics SC Business & Economics GA 229AI UT WOS:000250773300010 ER PT J AU Tempelman, JH AF Tempelman, Jerry H. TI A commentary on "Does the Fed contribute to a political business cycle?" SO PUBLIC CHOICE LA English DT Editorial Material DE monetary policy ID MONETARY CYCLE AB Abrams and Iossifov (2006) find that during 1957-2004, monetary policy turned significantly more expansionary prior to U.S. presidential elections when the Federal Reserve chairman and the incumbent president belonged to the same political party. However, their long sample period obscures changes in trends during the period stemming from advances in macroeconomic theory and in the implementation of monetary policy. Indeed, when one considers only the Volcker-Greenspan era (1979-2004), there is insufficient evidence to accept the notion of a political business cycle effect. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Tempelman, JH (reprint author), Fed Reserve Bank New York, 33 Liberty St,9th Floor, New York, NY 10045 USA. EM j48t@yahoo.com NR 10 TC 6 Z9 6 U1 1 U2 2 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0048-5829 J9 PUBLIC CHOICE JI Public Choice PD SEP PY 2007 VL 132 IS 3-4 BP 433 EP 436 DI 10.1007/s11127-007-9169-6 PG 4 WC Economics; Political Science SC Business & Economics; Government & Law GA 200MF UT WOS:000248766800012 ER PT J AU Cremers, KJM Nair, VB Wei, CY AF Cremers, K. J. Martijn Nair, Vinay B. Wei, Chenyang TI Governance mechanisms and bond prices SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID CORPORATE GOVERNANCE; EQUITY PRICES; INSTITUTIONAL INVESTORS; OWNERSHIP STRUCTURE; LEVERAGED BUYOUTS; UNITED-STATES; AGENCY COSTS; EVENT RISK; FIRM VALUE; BONDHOLDERS AB We investigate the effects of shareholder governance mechanisms on bondholders and document two new findings. First, the impact of shareholder control (proxied by large institutional blockholders) on credit risk depends on takeover vulnerability. Shareholder control is associated with higher (lower) yields if the firm is exposed to (protected from) takeovers. In the presence of shareholder control, the difference in bond yields due to differences in takeover vulnerability can be as high as 66 basis points. Second, event risk covenants reduce the credit risk associated with strong shareholder governance. Therefore, without bond covenants, shareholder governance, and bondholder interests diverge. C1 Yale Univ, New Haven, CT 06520 USA. Univ Penn, Philadelphia, PA 19104 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Cremers, KJM (reprint author), Yale Univ, New Haven, CT 06520 USA. EM martijn.cremers@yale.edu NR 46 TC 55 Z9 56 U1 7 U2 24 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD SEP PY 2007 VL 20 IS 5 BP 1359 EP 1388 DI 10.1093/revfin/hhm006 PG 30 WC Business, Finance; Economics SC Business & Economics GA 210KE UT WOS:000249454300002 ER PT J AU Gagnon, JE AF Gagnon, Joseph E. TI Productive Capacity, Product Varieties, and the Elasticities Approach to the Trade Balance SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article AB Most macroeconomic models imply that faster income growth tends either to lower a country's trade balance by raising its imports with little change to its exports or to reduce its terms of trade in order to maintain balanced trade. Krugman (1989) proposed a model in which countries grow by producing new varieties of goods. In his model, faster-growing countries are able to export these new goods and maintain balanced trade without suffering any deterioration in their terms of trade. This paper analyzes the growth of US imports from different source countries and finds strong support for Krugman's model. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Gagnon, JE (reprint author), Fed Reserve Syst, Board Governors, 2000 C St NW, Washington, DC 20551 USA. EM joseph.e.gagnon@frb.gov NR 53 TC 4 Z9 4 U1 0 U2 2 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0965-7576 J9 REV INT ECON JI Rev. Int. Econ. PD SEP PY 2007 VL 15 IS 4 BP 639 EP 659 DI 10.1111/j.1467-9396.2007.00696.x PG 21 WC Economics SC Business & Economics GA V22FZ UT WOS:000208262400001 ER PT J AU Baier, SL Bergstrand, JH Vidal, E AF Baier, Scott L. Bergstrand, Jeffrey H. Vidal, Erika TI Free trade agreements In the americas: Are the trade effects larger than anticipated? SO WORLD ECONOMY LA English DT Article ID GRAVITY EQUATION; INTERNATIONAL-TRADE; SPECIFICATION; DETERMINANTS; ARRANGEMENTS; MODELS; FLOWS C1 Clemson Univ, Clemson, SC 29631 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. Univ Notre Dame, Notre Dame, IN 46556 USA. RP Baier, SL (reprint author), Clemson Univ, Clemson, SC 29631 USA. NR 36 TC 16 Z9 16 U1 3 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0378-5920 EI 1467-9701 J9 WORLD ECON JI World Econ. PD SEP PY 2007 VL 30 IS 9 BP 1347 EP 1377 DI 10.1111/j.1467-9701.2007.01047.x PG 31 WC Business, Finance; Economics; International Relations SC Business & Economics; International Relations GA 206RP UT WOS:000249200900001 ER PT J AU Veltri, SC Cavanagh, G AF Veltri, Stephen C. Cavanagh, Greg TI Payments: 2006 developments SO BUSINESS LAWYER LA English DT Editorial Material AB This year's survey of developments in payments law begins with a review of federal regulatory developments. The survey then continues with a review of the year's most important judicial decisions involving federal law and Articles 3, 4, and 4A of the Uniform Commercial Code (the "Code" or the "UCC"). C1 [Veltri, Stephen C.] Ohio No Univ, Ada, OH 45810 USA. [Cavanagh, Greg] Fed Reserve Bank New York, New York, NY 10045 USA. RP Veltri, SC (reprint author), Ohio No Univ, Ada, OH 45810 USA. NR 17 TC 5 Z9 5 U1 0 U2 0 PU AMER BAR ASSOC, ADMINISTRATIVE LAW & REGULATORY PRACTICE SECTION PI CHICAGO PA 321 N CLARK ST, CHICAGO, IL 60610 USA SN 0007-6899 J9 BUS LAWYER JI Bus. Lawyer PD AUG PY 2007 VL 62 IS 4 BP 1585 EP 1606 PG 22 WC Law SC Government & Law GA 244GH UT WOS:000251853900011 ER PT J AU Egloff, D Leippold, M Vanini, P AF Egloff, Daniel Leippold, Markus Vanini, Paolo TI A simple model of credit contagion SO JOURNAL OF BANKING & FINANCE LA English DT Article DE credit portfolio risk management; contagion; macroeconomic and microstructural interdependence ID RISK; DEFAULTS; LOSSES AB We propose a simple model of credit contagion in which we include macro- and microstructural interdependencies among the debtors within a credit portfolio. The microstructure captures interdependencies between debtors that go beyond their exposure to common factors, e.g., business or legal interdependencies. We show that even for diversified portfolios, moderate microstructural interdependencies have a significant impact on the tails of the loss distribution. This impact increases dramatically for less diversified microstructures. (C) 2007 Elsevier B.V. All rights reserved. C1 Univ Zurich, Swiss Banking Inst, CH-8006 Zurich, Switzerland. Zurich Cantonal Bank, Zurich, Switzerland. Fed Reserve Bank New York, New York, NY 10045 USA. RP Leippold, M (reprint author), Univ Zurich, Swiss Banking Inst, CH-8006 Zurich, Switzerland. EM leippold@isb.unizh.ch NR 21 TC 26 Z9 28 U1 1 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD AUG PY 2007 VL 31 IS 8 BP 2475 EP 2492 DI 10.1016/j.jbankfin.2006.10.023 PG 18 WC Business, Finance; Economics SC Business & Economics GA 205TP UT WOS:000249137800013 ER PT J AU Park, S Peristiani, S AF Park, Sangkyun Peristiani, Stavros TI Are bank shareholders enemies of regulators or a potential source of market discipline? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE moral hazard; Tobin's q ratio; deposit insurance; bank risk; implied default probability ID DEPOSIT INSURANCE; RISK; RESTRICTIONS; DEREGULATION; US AB in moral hazard models, bank shareholders have incentives to transfer wealth from the deposit insurer-that is, maximize put option value - by pursuing riskier strategies. For safe banks with large charter value, however, the risk-taking incentive is outweighed by the possibility of losing charter value. Focusing on the relationship between Tobin's q and an ex ante measure of the failure probability, this paper develops a semi-parametric model for estimating the critical level of bank risk at which put option value starts outweighing charter value. From these estimates, we infer the prevalence of moral hazard. Examining publicly held bank holding companies (BHC) during the tumultuous 1986-1992 period, we find that shareholders' risk-taking incentives were confined to a small fraction of highly risky institutions. Furthermore, our analysis shows that the inflection point at which banks begin to tilt in favor of moral hazard increased substantially in 1993-2005. These findings are encouraging to bank regulators and legislators because they indicate that tighter capital rules and more rigorous supervision introduced by several legislative initiatives in the 1990s have helped squeeze a lot of the moral hazard incentives out of the banking system. (C) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Market Anal Grp, Res Off, New York, NY 10045 USA. RP Peristiani, S (reprint author), Fed Reserve Bank New York, Market Anal Grp, Res Off, 33 Liberty St, New York, NY 10045 USA. EM steve.peristiani@ny.frb.org NR 23 TC 14 Z9 14 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 EI 1872-6372 J9 J BANK FINANC JI J. Bank Financ. PD AUG PY 2007 VL 31 IS 8 BP 2493 EP 2515 DI 10.1016/j.jbankfin.2006.10.025 PG 23 WC Business, Finance; Economics SC Business & Economics GA 205TP UT WOS:000249137800014 ER PT J AU Silos, P AF Silos, Pedro TI Housing, portfolio choice and the macroeconomy SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE heterogeneity; business cycles; life-cycle ID LIFE-CYCLE ECONOMIES; BEHAVIOR; RISK AB This paper investigates the properties of the wealth distribution and the portfolio composition regarding housing and equity holdings, and their relationship to macroeconomic shocks. To this end, I construct a business cycle model in which agents differ in age, income and wealth. Housing provides shelter services and serves as collateral for loans. The model is consistent with several facts such as the life-cycle pattern of housing-to-wealth ratios, the larger degree of concentration for non-housing wealth, the smaller weight of housing in richer households' portfolios as well as the larger housing-to-wealth ratios in recessions. In addition, the model shows that while relaxing the collateral constraint does not impact the business cycle dynamics for the entire economy, it significantly alters the behavior of residential and business investment for the younger and poorer fraction of the population. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Silos, P (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Pedro.Silos@atl.frb.org NR 24 TC 14 Z9 14 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD AUG PY 2007 VL 31 IS 8 BP 2774 EP 2801 DI 10.1016/j.jedc.2006.09.009 PG 28 WC Economics SC Business & Economics GA 196XP UT WOS:000248516800010 ER PT J AU Huang, KXD Meng, Q AF Huang, Kevin X. D. Meng, Qinglai TI Capital and macroeconomic instability in a discrete-time model with forward-looking interest rate rules SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE capital; indeterminacy; forward-looking interest rate rules; jump prices; predetermined prices ID INTEREST-RATE POLICY; MONETARY-POLICY; RATIONAL-EXPECTATIONS; MULTIPLE EQUILIBRIA; INDIVISIBLE LABOR; BUSINESS-CYCLE; TAYLOR RULES; PRICES; MONEY AB We establish the necessary and sufficient conditions for local real determinacy in a discrete-time production economy with monopolistic competition and a quadratic price adjustment cost under forward-looking policy rules, for the case where capital is in exogenously fixed supply and the case with endogenous capital accumulation. Using these conditions, we show that (i) indeterminacy is more likely to occur with a greater share of payment to capital in value-added production cost; (ii) indeterminacy can be more or less likely to occur with constant capital than with variable capital; (iii) indeterminacy is more likely to occur when prices are modelled as jump variables than as predetermined variables; (iv) indeterminacy is less likely to occur with a greater degree of steady-state monopolistic distortions; and (v) indeterminacy is less likely to occur with a greater degree of price stickiness or with a higher steady-state inflation rate. In contrast to some existing research, our analysis indicates that capital tends to lead to macroeconomic instability by affecting firms' pricing behavior in product markets rather than households' arbitrage activity in asset markets even under forward-looking policy rules.(c) 2006 Elsevier B.V. All rights reserved. C1 Vanderbilt Univ, Dept Econ, Nashville, TN 37235 USA. Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA USA. Chinese Univ Hong Kong, Dept Econ, Shatin, Hong Kong, Peoples R China. RP Huang, KXD (reprint author), Vanderbilt Univ, Dept Econ, Nashville, TN 37235 USA. EM kevin.huang@vanderbilt.edu NR 34 TC 9 Z9 9 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD AUG PY 2007 VL 31 IS 8 BP 2802 EP 2826 DI 10.1016/j.jedc.2006.09.010 PG 25 WC Economics SC Business & Economics GA 196XP UT WOS:000248516800011 ER PT J AU Mehran, H Stulz, RM AF Mehran, Hamid Stulz, Rene M. TI The economics of conflicts of interest in financial institutions SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE conflicts of interest; analyst; financial institution; underwriting; investment bank; bank; analyst forecast; analyst recommendation; analyst optimism; analyst bias; mutual fund; banking relationship; institutional investor ID REGULATION FAIR DISCLOSURE; SELL-SIDE ANALYSTS; REGULATION FD; BANKING RELATIONSHIPS; EARNINGS FORECASTS; SECURITY ANALYSTS; INVESTMENT BANKS; MUTUAL FUNDS; INFORMATION; FIRMS AB A conflict of interest exists when a party to a transaction can gain by taking actions that are detrimental to its counterparty. This paper examines the growing empirical literature on the economics of conflicts of interest in financial institutions. Economic analysis shows that, although conflicts of interest are omnipresent when contracting is costly and parties are imperfectly informed, there are important factors that mitigate their impact and, strikingly, it is possible for customers of financial institutions to benefit from the existence of such conflicts. The empirical literature reaches conclusions that differ across types of conflicts of interest but are overall more ambivalent and certainly more benign than the conclusions drawn by journalists and politicians from mostly anecdotal evidence. (C) 2007 Published by Elsevier B.V. C1 Ohio State Univ, Columbus, OH 43210 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Stulz, RM (reprint author), Ohio State Univ, 806 Fisher Hall,2100 Neil Ave, Columbus, OH 43210 USA. EM stulz_l@cob.osu.edu OI Stulz, Rene/0000-0003-2956-4806 NR 79 TC 47 Z9 48 U1 7 U2 26 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 2007 VL 85 IS 2 BP 267 EP 296 DI 10.1016/j.jfineco.2006.11.001 PG 30 WC Business, Finance; Economics SC Business & Economics GA 203QB UT WOS:000248988000002 ER PT J AU Miniane, J Rogers, JH AF Miniane, Jacques Rogers, John H. TI Capital controls and the international transmission of US money shocks SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article ID INCOMPLETE MARKET SEPARATION; EXCHANGE-RATE REGIMES; MONETARY-POLICY; ACCOUNT LIBERALIZATION; DEVELOPING-COUNTRIES; RATES; TRANSACTIONS; INDUSTRIAL AB We assess whether capital controls effectively insulate countries from U.S. monetary shocks, examining a large range of country experiences in a unified estimation framework. We estimate the effect of identified U.S. monetary shocks on the exchange rate and foreign country interest rates, and test whether countries with less open capital accounts exhibit systematically smaller responses. We find essentially no evidence of this. Other country factors such as the exchange rate regime or degree of dollarization explain more of the cross-country differences in responses. The significant differences in responses we do find are more pronounced at short horizons. C1 Int Monetary Fund, Washington, DC 20431 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Miniane, J (reprint author), Int Monetary Fund, Washington, DC 20431 USA. EM jminiane@imf.org; john.h.rogers@frb.gov NR 39 TC 30 Z9 30 U1 1 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2007 VL 39 IS 5 BP 1003 EP 1035 DI 10.1111/j.1538-4616.2007.00056.x PG 33 WC Business, Finance; Economics SC Business & Economics GA 193JJ UT WOS:000248270000001 ER PT J AU Bullard, J Mitra, K AF Bullard, James Mitra, Kaushik TI Determinacy, learnability, and monetary policy inertia SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE monetary policy rules; determinacy; learning; instrument instability ID RATIONAL-EXPECTATIONS; TERM STRUCTURE; RULES; INSTRUMENT; STABILITY; MODELS AB We show how monetary policy inertia can help alleviate problems of indeterminacy and non-existence of stationary equilibrium observed for some commonly studied monetary policy rules. We also find that inertia promotes learnability of equilibrium. The context is a simple, forward-looking model of the macroeconomy widely used in the rapidly expanding literature in this area. We conclude that this might be an important reason why central banks in the industrialized economies display considerable inertia when adjusting monetary policy in response to changing economic conditions. C1 Fed Reserve Bank, Res Dept, 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, Res Dept, St Louis, MO 63102 USA. EM bullard@stls.frb.org; Kaushik.Mitra@rhul.ac.uk RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 34 TC 31 Z9 31 U1 1 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 AUG PY 2007 VL 39 IS 5 BP 1177 EP 1212 DI 10.1111/j.1538-4616.2007.00062.x PG 36 WC Business, Finance; Economics SC Business & Economics GA 193JJ UT WOS:000248270000007 ER PT J AU Hurst, E Willen, P AF Hurst, Erik Willen, Paul TI Social security and unsecured debt SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE social security; life-cycle models; portfolio choice ID LIFE-CYCLE; UNCERTAIN LIFETIMES; CONSTRAINTS; INVESTMENT; WELFARE AB In this paper, we use a calibrated life-cycle model to explore quantitatively ways of reducing the burden of social security in a world populated by both optimizing and rule-of-thumb consumers. Social security contributions force young households with upward-sloping income profiles to save a sizeable portion of their income for retirement, when their optimal consumption plan would likely have them either saving little or borrowing. We first use household data to document that young households have accumulated social security contributions that are large relative to debt holdings. Then, using a calibrated life-cycle model, we show that both allowing households to use social security wealth to pay off their debt and exempting young households from social security contributions (but in both cases requiring higher contributions later) mitigate many of the inefficiencies of social security from the perspective of life-cycle financial planning. Specifically, in our preferred experiment, which exempts households whose heads are under 30 from making social security contributions, we find that certainly-equivalent consumption increases by 3.4% for optimizing households and by 3.3% for rule-of-thumb households. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. NBER, Cambridge, MA 02138 USA. RP Willen, P (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM erik.hurst@gsb.uchicago.edu; paul.willen@bos.frb.org NR 29 TC 11 Z9 11 U1 1 U2 14 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD AUG PY 2007 VL 91 IS 7-8 BP 1273 EP 1297 DI 10.1016/j.jpubeco.2006.12.009 PG 25 WC Economics SC Business & Economics GA 192AA UT WOS:000248171900003 ER PT J AU Burghart, DR Cameron, TA Gerdes, GR AF Burghart, Daniel R. Cameron, Trudy Ann Gerdes, Geoffrey R. TI Valuing publicly sponsored research projects: Risks, scenario adjustments, and inattention SO JOURNAL OF RISK AND UNCERTAINTY LA English DT Article DE failure risk; redundancy risk; scenario adjustment; inattention; stated preferences; willingness to pay; R&D benefits ID RESEARCH-AND-DEVELOPMENT; EASTERN UNITED-STATES; CONTINGENT VALUATION; CLIMATE-CHANGE; MORTALITY; INFORMATION; PREFERENCE; CHOICE; TEMPERATURE; SPILLOVERS AB Survey-based choice scenarios used to value non-market public goods typically preclude any risk that the benefits described may not be delivered. Our survey specifies explicit risks of (a) outright program failure and (b) program redundancy due to possible private sector substitutes. Additionally, most analyses assume that survey subjects fully accept these scenarios and that all provided information receives their complete attention. Our discounted expected utility model of choice accommodates both these objective risks and the possibility of subjective scenario adjustment or selective inattention by respondents. We then counterfactually simulate willingness-to-pay in the absence of these distortions. C1 Univ Oregon, Dept Econ, Eugene, OR 97403 USA. Fed Reserve Board Governors, Washington, DC USA. RP Cameron, TA (reprint author), Univ Oregon, Dept Econ, 435 PLC 1285, Eugene, OR 97403 USA. EM cameron@uoregon.edu RI Cameron, Trudy Ann/A-2952-2008 OI Cameron, Trudy Ann/0000-0001-9605-7770 NR 40 TC 13 Z9 15 U1 1 U2 8 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0895-5646 J9 J RISK UNCERTAINTY JI J. Risk Uncertain. PD AUG PY 2007 VL 35 IS 1 BP 77 EP 105 DI 10.1007/s11166-007-9018-5 PG 29 WC Business, Finance; Economics SC Business & Economics GA 193VO UT WOS:000248303500005 ER PT J AU Luttmer, EGJ AF Luttmer, Erzo G. J. TI Selection, growth, and the size distribution of firms SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID MONOPOLISTIC COMPETITION; INTERNATIONAL-TRADE; DYNAMICS; INDUSTRY; CITIES; ORGANIZATION; EQUILIBRIUM; INNOVATION; IMITATION; EVOLUTION AB This paper describes an analytically tractable model of balanced growth that is consistent with the observed size distribution of firms. Growth is the result of idiosyncratic firm productivity improvements, selection of successful firms, and imitation by entrants. Selection tends to improve aggregate productivity at a fast rate if entry and imitation are easy. The empirical phenomenon of Zipf's law can be interpreted to mean that entry costs are high or that imitation is difficult, or both. The small size of entrants indicates that imitation must be difficult. A calibration based on U. S. data suggests that about half of output growth can be attributed to selection. But the implied variance of the combined preference and technology shocks is puzzlingly high. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Luttmer, EGJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 57 TC 136 Z9 136 U1 5 U2 29 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD AUG PY 2007 VL 122 IS 3 BP 1103 EP 1144 DI 10.1162/qjec.122.3.1103 PG 42 WC Economics SC Business & Economics GA 198HW UT WOS:000248618600006 ER PT J AU Halpern, L Koren, M AF Halpern, Laszlo Koren, Miklos TI Pricing to Firm: an Analysis of Firm- and Product-level Import Prices SO REVIEW OF INTERNATIONAL ECONOMICS LA English DT Article AB We use Hungarian Customs data on product-level imports of manufacturing firms to document that the import price of a particular product varies substantially across buying firms. We relate the level of import prices to firm characteristics such as size, foreign ownership, and market power. We develop a theory of "pricing to firm" (PTF), where markups depend on the technology and competitive environment of the buyer. The predictions of the model are confirmed by the data: import prices are higher for firms with greater market power, and for more essential intermediate inputs (with a high share in material costs). We take account of the endogeneity of the buyer's market power with respect to higher import prices and unobserved cost heterogeneity within product categories. The magnitude of PTF is big: the standard deviation of price predicted by PTF is 21.5%. C1 [Halpern, Laszlo] Hungarian Acad Sci, Inst Econ, H-1112 Budapest, Hungary. [Koren, Miklos] Fed Reserve Bank New York, New York, NY 10045 USA. RP Halpern, L (reprint author), Hungarian Acad Sci, Inst Econ, Budaorsi Ut 45, H-1112 Budapest, Hungary. EM halpern@econ.core.hu; miklos.koren@ny.frb.org NR 15 TC 5 Z9 5 U1 0 U2 3 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0965-7576 J9 REV INT ECON JI Rev. Int. Econ. PD AUG PY 2007 VL 15 IS 3 BP 574 EP 591 DI 10.1111/j.1467-9396.2007.00668.x PG 18 WC Economics SC Business & Economics GA V22FY UT WOS:000208262300008 ER PT J AU Golosov, M Jones, LE Tertilt, M AF Golosov, Mikhail Jones, Larry E. Tertilt, Michele TI Efficiency with endogenous population growth SO ECONOMETRICA LA English DT Article DE Pareto optimality; first welfare theorem; fertility; dynasty; altruism ID FERTILITY; TRANSITION; SAVINGS AB In this paper, we generalize the notion of Pareto efficiency to make it applicable to environments with endogenous populations. Two efficiency concepts are proposed: -efficiency and -efficiency. The two concepts differ in how they treat potential agents that are not born. We show that these concepts are closely related to the notion of Pareto efficiency when fertility is exogenous. We prove a version of the first welfare theorem for Barro-Becker type fertility choice models and discuss how this result can be generalized. Finally, we study examples of equilibrium settings in which fertility decisions are not efficient, and we classify them into settings where inefficiencies arise inside the family and settings where they arise across families. C1 MIT, Dept Econ, Cambridge, MA 02142 USA. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. Stanford Univ, Dept Econ, Stanford, CA 94305 USA. RP Golosov, M (reprint author), MIT, Dept Econ, 50 Mem Dr, Cambridge, MA 02142 USA. EM golosov@mit.edu; lej@econ.umn.edu; tertilt@stanford.edu NR 51 TC 37 Z9 37 U1 1 U2 28 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0012-9682 J9 ECONOMETRICA JI Econometrica PD JUL PY 2007 VL 75 IS 4 BP 1039 EP 1071 DI 10.1111/j.1468-0262.2007.00781.x PG 33 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 183HA UT WOS:000247562100004 ER PT J AU Ackert, LF Martinez-Vazquez, J Rider, M AF Ackert, Lucy F. Martinez-Vazquez, Jorge Rider, Mark TI Social preferences and tax policy design: Some experimental evidence SO ECONOMIC INQUIRY LA English DT Article ID FAIRNESS; COMPETITION; BEHAVIOR; MARKET; GAMES AB This article reports the results of a set of experiments designed to examine whether a taste for fairness affects people's preferred tax structure. Using the Fehr and Schmidt model, we devise a simple test for the presence of social preferences in voting for alternative tax structures. The experimental results show that individuals demonstrate concern for their own payoff and inequality aversion in choosing between alternative tax structures. However, concern for redistribution decreases as the deadweight loss from progressive taxation increases. Our findings have important implications for tax policy design. C1 Kennesaw State Univ, Michael J Coles Coll Business, Kennesaw, GA 30144 USA. Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. Georgia State Univ, Andrew Young Sch Policy Studies, Atlanta, GA 30303 USA. RP Ackert, LF (reprint author), Kennesaw State Univ, Michael J Coles Coll Business, 1000 Chastain Rd, Kennesaw, GA 30144 USA. EM lackert@kennesaw.edu; jorgemartinez@gsu.edu; mrider@gsu.edu NR 32 TC 15 Z9 15 U1 1 U2 11 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JUL PY 2007 VL 45 IS 3 BP 487 EP 501 DI 10.1111/j.1465-7295.2007.00048.x PG 15 WC Economics SC Business & Economics GA 183JJ UT WOS:000247568800005 ER PT J AU Burke, MA Heiland, F AF Burke, Mary A. Heiland, Frank TI Social dynamics of obesity SO ECONOMIC INQUIRY LA English DT Article ID ENERGY-EXPENDITURE; BODY-WEIGHT; OVERWEIGHT; TRANSITION AB We explain the recent increases in obesity in the United States with a model involving falling food prices, endogenous social body weight norms, and heterogeneous human metabolism. Calibrating an analytical choice model to American women in the 30- to 60-yr-old age bracket, we compare the predicted weight distributions to National Health and Nutrition Examination survey data spanning (intermittently) the years 1976-2000. The model, the first to describe explicitly complete weight distribution dynamics for this group, predicts average weights and obesity rates with considerable accuracy and captures a significant portion of the recent growth in upper quantile weights. C1 Fed Reserve Bank Boston, Boston, MA 02205 USA. Florida State Univ, Tallahassee, FL 32306 USA. RP Burke, MA (reprint author), Fed Reserve Bank Boston, Boston, MA 02205 USA. EM mary.burke@bos.frb.org; fheiland@fsu.edu NR 43 TC 50 Z9 51 U1 0 U2 11 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JUL PY 2007 VL 45 IS 3 BP 571 EP 591 DI 10.1111/j.1465-7295.2007.00025.x PG 21 WC Economics SC Business & Economics GA 183JJ UT WOS:000247568800011 ER PT J AU Bansak, C Morin, N Starr, M AF Bansak, Cynthia Morin, Norman Starr, Martha TI Technology, capital spending, and capacity utilization SO ECONOMIC INQUIRY LA English DT Article ID DYNAMIC-MODELS; PANEL DATA; PRODUCTIVITY; PERFORMANCE; INDUSTRY AB Capacity utilization is a closely watched macroeconomic indicator because rising utilization may signal rising inflationary pressures. However, recent technological changes have increased the flexibility of relationships between inputs and outputs, potentially eroding the predictive value of the utilization rate. This paper examines relationships between technology, capital spending, and capacity utilization. After establishing conceptually that the effect of recent technological changes on capacity utilization is ambiguous, we investigate the effect empirically using panel data on III manufacturing industries. Our results suggest that, for the average industry, the technological change of the 1974-2000 period lowered capacity utilization by 0.2-2.3 percentage points. C1 San Diego State Univ, San Diego, CA 92182 USA. Fed Reserve Board Governors, Washington, DC 20551 USA. American Univ, Washington, DC 20016 USA. RP Bansak, C (reprint author), San Diego State Univ, 5500 Campanile Dr, San Diego, CA 92182 USA. EM cbansak@mail.sdsu.edu; norman.j.morin@frb.gov; mstarr@american.edu NR 36 TC 6 Z9 6 U1 3 U2 7 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JUL PY 2007 VL 45 IS 3 BP 631 EP 645 DI 10.1111/j.1465-7295.2007.00019.x PG 15 WC Economics SC Business & Economics GA 183JJ UT WOS:000247568800015 ER PT J AU Arias, A Hansen, GD Ohanian, LE AF Arias, Andres Hansen, Gary D. Ohanian, Lee E. TI Why have business cycle fluctuations become less volatile? SO ECONOMIC THEORY LA English DT Article DE aggregate fluctuations; volatility; real business cycles; factor utilization; technology shocks ID INDIVISIBLE LABOR; TIME AB This paper shows that a standard Real Business Cycle model driven by productivity shocks can successfully account for the 50% decline in cyclical volatility of output, its components, and labor input that has occurred since 1983. The model is successful because the volatility of productivity shocks has also declined significantly over the same time period. We then investigate whether the decline in the volatility of the Solow Residual is due to changes in the volatility of some other shock operating through a channel that is absent in the standard model. We therefore develop a model with variable capacity and labor utilization. We investigate whether government spending shocks, shocks that affect the household's first order condition for labor, and shocks that affect the household's first order condition for saving can plausibly account for the change in TFP volatility and in the volatility of output, its components, and labor. We find that none of these shocks are able to do this. This suggests that successfully accounting for the post-1983 decline in business cycle volatility requires a change in the volatility of a productivity-like shock operating within a standard growth model. C1 Univ Calif Los Angeles, Los Angeles, CA 90024 USA. Minist Agr & Desarrollo Rural, Bogota, Colombia. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Hansen, GD (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. EM ghansen@econ.ucla.edu NR 30 TC 14 Z9 14 U1 1 U2 7 PU SPRINGER PI NEW YORK PA 233 SPRING ST, NEW YORK, NY 10013 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD JUL PY 2007 VL 32 IS 1 BP 43 EP 58 DI 10.1007/s00199-006-0172-9 PG 16 WC Economics SC Business & Economics GA 158VQ UT WOS:000245823600004 ER PT J AU Poole, W AF Poole, William TI Proceedings of the Thirty-First Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis - President's message SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Poole, W (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2007 VL 89 IS 4 BP 207 EP 207 PG 1 WC Business, Finance; Economics SC Business & Economics GA 192VW UT WOS:000248232500001 ER PT J AU Gavin, WT AF Gavin, William T. TI A policy model for the UK economy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Gavin, WT (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 4 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2007 VL 89 IS 4 BP 209 EP 213 PG 5 WC Business, Finance; Economics SC Business & Economics GA 192VW UT WOS:000248232500002 ER PT J AU DiCecio, R Nelson, E AF DiCecio, Riccardo Nelson, Edward TI An estimated DSGE model for the United Kingdom SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 31st Annual Economic Policy Conference of the Federal-Reserve-Bank-of-St-Louis CY JUN 10-12, 2006 CL Washington, DC SP Fed Reserve Bank St Louis ID OPTIMAL MONETARY-POLICY; BUSINESS-CYCLE; PRICE; UK; STABILITY; FRAMEWORK; COST AB The authors estimate the dynamic stochastic general equilibrium model of Christiano, Eichenbaum, and Evans (2005) on U.K. data. Their estimates suggest that price stickiness is a more important source of nominal rigidity in the United Kingdom than wage stickiness. Their estimates of parameters governing investment behavior are only well behaved when post-1979 observations are included, which reflects government policies until the late 1970s that obstructed the influence of market forces on investment. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP DiCecio, R (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI DiCecio, Riccardo/K-6861-2016 OI DiCecio, Riccardo/0000-0002-3288-8396 NR 40 TC 10 Z9 10 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 JUL-AUG PY 2007 VL 89 IS 4 BP 215 EP 231 PG 17 WC Business, Finance; Economics SC Business & Economics GA 192VW UT WOS:000248232500003 ER PT J AU Rudebusch, GD Sack, BP Swanson, ET AF Rudebusch, Glenn D. Sack, Brian P. Swanson, Eric T. TI Macroeconomic implications of changes in the term premium SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 31st Annual Economic Policy Conference of the Federal-Reserve-Bank-of-St-Louis CY JUN 10-12, 2006 CL Washington, DC SP Fed Reserve Bank St Louis ID INTEREST-RATES; MONETARY-POLICY; STRUCTURE DYNAMICS; MACRO FACTORS; NO-ARBITRAGE; YIELD CURVE; CONSUMPTION; BEHAVIOR; MODELS; ECONOMIES AB Linearized New Keynesian models and empirical no-arbitrage macro-finance models offer little insight regarding the implications of changes in bond term premiums for economic activity. This paper investigates these implications using both a structural model and a reduced-form framework. The authors show that there is no structural relationship running from the term premium to economic activity, but a reduced-form empirical analysis does suggest that a decline in the term premium has typically been associated with stimulus to real economic activity, which contradicts earlier results in the literature. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Rudebusch, GD (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. EM Glenn.Rudebusch@sf.frb.org; bsack@macroadvisers.com; eric.swanson@sf.frb.org NR 60 TC 30 Z9 30 U1 0 U2 6 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2007 VL 89 IS 4 BP 241 EP 269 PG 29 WC Business, Finance; Economics SC Business & Economics GA 192VW UT WOS:000248232500005 ER PT J AU Antinolfi, G Azariadis, C Bullard, JB AF Antinolfi, Gaetano Azariadis, Costas Bullard, James B. TI Monetary policy as equilibrium selection SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 31st Annual Economic Policy Conference of the Federal-Reserve-Bank-of-St-Louis CY JUN 10-12, 2006 CL Washington, DC SP Fed Reserve Bank St Louis ID MODELS; RULES; DEBT AB Can monetary policy guide expectations toward desirable outcomes when equilibrium and welfare are sensitive to alternative, commonly held rational beliefs? This paper studies this question in an exchange economy with endogenous debt limits in which dynamic complementarities between dated debt limits support two Pareto-ranked steady states: a suboptimal, locally stable autarkic state and a constrained optimal, locally unstable trading state. The authors identify feedback policies that reverse the stability properties of the two steady states and ensure rapid convergence to the constrained optimal state. C1 Washington Univ, St Louis, MO 63130 USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Antinolfi, G (reprint author), Washington Univ, St Louis, MO 63130 USA. EM aaetano@artsci.wustl.edu; cre@artsci.wustl.edu; bullard@stls.frb.org RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 16 TC 9 Z9 9 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2007 VL 89 IS 4 BP 331 EP 341 PG 11 WC Business, Finance; Economics SC Business & Economics GA 192VW UT WOS:000248232500011 ER PT J AU Kocherlakota, NR AF Kocherlakota, Narayana R. TI Model fit and model selection SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT 31st Annual Economic Policy Conference of the Federal-Reserve-Bank-of-St-Louis CY JUN 10-12, 2006 CL Washington, DC SP Fed Reserve Bank St Louis ID MONETARY-POLICY AB This paper uses an example to show that a model that fits the available data perfectly may provide worse answers to policy questions than an alternative, imperfectly fitting model. The author argues that, in the context of Bayesian estimation, this result can be interpreted as being due to the use of an inappropriate prior over the parameters of shock processes. He urges the use of priors that are obtained from explicit auxiliary information, not from the desire to obtain identification. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Kocherlakota, NR (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. EM nkocher@econ.umn.edu NR 15 TC 8 Z9 8 U1 0 U2 3 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2007 VL 89 IS 4 BP 349 EP 360 PG 12 WC Business, Finance; Economics SC Business & Economics GA 192VW UT WOS:000248232500013 ER PT J AU Tempelman, JH AF Tempelman, Jerry H. TI "Do the markets care about the $2.4 trillion US deficit?": Comments SO FINANCIAL ANALYSTS JOURNAL LA English DT Letter C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Tempelman, JH (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 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 2007 VL 63 IS 4 BP 11 EP 11 DI 10.2469/faj.v63.n4.4744 PG 1 WC Business, Finance SC Business & Economics GA 193XY UT WOS:000248309700003 ER PT J AU Kamin, SB Schindler, J Saauel, S AF Kamin, Steven B. Schindler, John Saauel, Shawna TI The contribution of domestic and external factors to emerging market currency crises: An early warning systems approach SO INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS LA English DT Article DE devaluations; financial crises; early warning systems; currency crises ID FINANCIAL CRISES; LATIN-AMERICA; INDICATORS AB In this paper, a modified 'early warning system' (EWS) approach is developed to identify the roles of domestic and external factors in emerging market crises. Several probit models of currency crises were estimated for 26 emerging market countries. These models were used to identify the separate contributions to the probabilities of crisis of domestic and external variables. We found that, relative to domestic factors, adverse external shocks and large external imbalances contributed little to the average estimated probability of crisis in emerging market countries, but accounted for much more of the spikes in the probability of crisis estimated to occur during actual crisis years. We interpret these results to suggest that while, on average over time, domestic factors have tended to contribute to much of the underlying vulnerability of emerging market countries, adverse swings in external factors may have been important in pushing economies 'over the edge' and into currency crisis. In consequence, the costs of giving up exchange rate flexibility through adoption of strongly fixed exchange rate regimes-e.g. currency boards or dollarization-may be quite high for some countries. Published in 2007 by John Wiley & Sons, Ltd. C1 Fed Reserve Board, Int Finance Div, Washington, DC 20551 USA. RP Kamin, SB (reprint author), Fed Reserve Board, Int Finance Div, Mail Stop 21, Washington, DC 20551 USA. EM steven.kamin@frb.gov; john.w.schindler@frb.gov NR 23 TC 5 Z9 5 U1 1 U2 8 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 1076-9307 J9 INT J FINANC ECON JI Int. J. Financ. Econ. PD JUL PY 2007 VL 12 IS 3 BP 317 EP 336 DI 10.1002/ijfe.314 PG 20 WC Business, Finance SC Business & Economics GA 187GB UT WOS:000247834500004 ER PT J AU Irvine, FO AF Irvine, F. Owen TI Sales persistence and the reduction in GDP volatility SO INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS LA English DT Article; Proceedings Paper CT 13th International Symposium on Inventories CY AUG, 2004 CL Budapest, HUNGARY SP Int Soc Inventory Res DE GDP volatility; sales persistence; great moderation; inventory; production ID BUSINESS-CYCLE AB A number of explanations for the observed decline in GDP volatility since the mid-1980s have been offered. Valerie Ramey and Daniel Vine (2003a, 2003b) in a couple of recent papers offer the hypothesis that a decline in the persistence of sales is an explanation for the decline in GDP volatility [Ramey, V.A., Vine, D.J., 2003a. The Effects of Sales Persistence on Volatility in a Production Smoothing Model. Draft dated November 18; Ramey, V.A., Vine, D.J., 2003b. Tracking the source of the decline in GDP volatility: an analysis of the automobile industry. Unpublished Working Paper, presented on the ASSA program, San Diego, January 2004]. Their models show that a decrease in sales persistence leads to a decline in the variance of production relative to the variance of sales. They provide econometric evidence that the persistence of unit automobile sales has declined at both the aggregate and model level. This paper explores reasons why sales persistence may have declined and then tests the Ramey-Vine hypothesis with monthly chain-weighted sales data from 2- and 3-digit manufacturing and trade industries. The estimates confirm the Ramey-Vine findings for motor vehicle retailers, wholesalers, and manufacturers. For a number of industries outside of motor vehicles, especially those in wholesaling and nondurable manufacturing, considerable evidence is found of declines in sales persistence. These declines seem to be consistent with changes in supply and distribution chains that have occurred as the result of the introduction of new information, inventory, and production control systems. However, in equations estimated for aggregate manufacturing, wholesaling, and retail sector sales, declines in sales persistence are not found. (C) 2007 Published by Elsevier B.V. C1 Michigan State Univ, Fed Reserve Bank Boston, Dept Econ, E Lansing, MI 48823 USA. RP Irvine, FO (reprint author), Michigan State Univ, Fed Reserve Bank Boston, Dept Econ, E Lansing, MI 48823 USA. EM irvinef@msu.edu NR 15 TC 0 Z9 0 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0925-5273 J9 INT J PROD ECON JI Int. J. Prod. Econ. PD JUL PY 2007 VL 108 IS 1-2 SI SI BP 22 EP 30 DI 10.1016/j.ijpe.2006.12.041 PG 9 WC Engineering, Industrial; Engineering, Manufacturing; Operations Research & Management Science SC Engineering; Operations Research & Management Science GA 186QT UT WOS:000247793900005 ER PT J AU Irvine, FO Schuh, S AF Irvine, F. Owen Schuh, Scott TI Interest sensitivity and volatility reductions: Cross-section evidence SO INTERNATIONAL JOURNAL OF PRODUCTION ECONOMICS LA English DT Article; Proceedings Paper CT 13th International Symposium on Inventories CY AUG, 2004 CL Budapest, HUNGARY SP Int Soc Inventory Res DE GDP volatility; monetary policy; great moderation ID MONETARY-POLICY AB As has been widely observed, the volatility of GDP has declined since the mid-1980s compared to the prior years. One leading explanation of this decline is that monetary policy significantly improved in the later period. We utilize a cross-section of 2-digit manufacturing and trade industries to further investigate this explanation. Since a major channel through which monetary policy operates is through variation in the federal funds rate, we hypothesized that more interest sensitive industries should have experienced larger declines in the variance of their outputs in the post-1983 period. We estimate interest sensitivity measures for each industry from a variety of VAR models and then run cross-sectional regressions explaining industry volatility ratios as a function of their interest sensitivity measures. These regressions reveal little evidence of a statistically significant relationship between industry volatility reductions and our measures of the industry interest sensitivity. This result poses challenges for the hypothesis that improved monetary policy explains the decline in GDP volatility. (C) 2007 Published by Elsevier B.V. C1 Michigan State Univ, Dept Econ, E Lansing, MI 48823 USA. Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Irvine, FO (reprint author), Michigan State Univ, Dept Econ, E Lansing, MI 48823 USA. EM irvinef@msu.edu NR 20 TC 1 Z9 1 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0925-5273 J9 INT J PROD ECON JI Int. J. Prod. Econ. PD JUL PY 2007 VL 108 IS 1-2 SI SI BP 31 EP 42 DI 10.1016/j.ijpe.2006.12.036 PG 12 WC Engineering, Industrial; Engineering, Manufacturing; Operations Research & Management Science SC Engineering; Operations Research & Management Science GA 186QT UT WOS:000247793900006 ER PT J AU Berger, AN AF Berger, Allen N. TI Obstacles to a global banking system: "Old Europe" versus "New Europe" SO JOURNAL OF BANKING & FINANCE LA English DT Article DE banks; Europe; globalization; cross-border ID TRANSITION COUNTRIES; COMMERCIAL-BANKS; UNITED-STATES; EFFICIENCY; FOREIGN; INFORMATION; MERGERS; MARKET; LIBERALIZATION; PRIVATIZATION AB "Old Europe" - the developed nations of continental Europe - averages only about 15% foreign bank ownership, whereas "New Europe" - the transition nations of Eastern Europe - averages about 70%. Similar findings hold elsewhere in the world - developed nations tend to have much lower foreign bank ownership shares than developing nations. We examine the causes of the differences within Europe with an eye toward more general conclusions. Our findings suggest that the low foreign bank shares in "Old Europe" - and perhaps developed nations more generally - may primarily result from net comparative disadvantages for foreign banks and relatively high implicit government entry barriers. The high foreign penetration in "New Europe" - and perhaps developing nations more generally - may be due to net comparative advantages for foreign banks and low government entry barriers, particularly in nations that reduced their state bank ownership. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW,Mail Stop 153, Washington, DC 20551 USA. EM aberger@frb.gov NR 54 TC 13 Z9 13 U1 3 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 JUL PY 2007 VL 31 IS 7 BP 1955 EP 1973 DI 10.1016/j.jbankfin.2007.01.005 PG 19 WC Business, Finance; Economics SC Business & Economics GA 186BS UT WOS:000247754700004 ER PT J AU Sbordone, AM AF Sbordone, Argia M. TI Inflation persistence: Alternative interpretations and policy implications SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Monetary Policy CY NOV 10-11, 2006 CL Pittsburgh, PA DE inflation persistence; monetary policy ID MONETARY-POLICY; EURO AREA; DYNAMICS; WELFARE; US AB In this paper, I consider the policy implications of two alternative structural interpretations of observed inflation persistence, which correspond to two alternative specifications of the new Keynesian Phillips curve (NKPC). The first specification allows for some degree of intrinsic persistence by way of a lagged inflation term in the NKPC. The second is a purely forward-looking model, in which expectations farther into the future matter and coefficients are time-varying. In this specification, most of the observed inflation persistence is attributed to fluctuations in the underlying inflation trend, which are a consequence of monetary policy rather than a structural feature of the economy. With a simple quantitative exercise, I illustrate the consequences of implementing monetary policy, assuming a degree of intrinsic persistence that differs from the true one. The results suggest that the costs of implementing a stabilization policy when the policymaker overestimates the degree of intrinsic persistence are potentially higher than the costs of ignoring actual structural persistence; the result is more clear-cut when the policymaker minimizes a welfare-based loss function. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Sbordone, AM (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM argia.sbordone@ny.frb.org RI Sbordone, Argia/C-1721-2008 NR 33 TC 17 Z9 17 U1 1 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2007 VL 54 IS 5 BP 1311 EP 1339 DI 10.1016/j.jmoneco.2007.06.007 PG 29 WC Business, Finance; Economics SC Business & Economics GA 210PN UT WOS:000249468200001 ER PT J AU Wolman, AL AF Wolman, Alexander L. TI Comment on: "Reconsidering the natural rate hypothesis in a new Keynesian framework," by Andrew Levin and Tack Yun SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material ID PRICES; MONEY; TIME C1 Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Wolman, AL (reprint author), Fed Reserve Bank Richmond, 701 E Byrd St, Richmond, VA 23219 USA. EM alexander.wolman@rich.frb.org 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 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2007 VL 54 IS 5 BP 1366 EP 1371 DI 10.1016/j.jmoneco.2007.06.019 PG 6 WC Business, Finance; Economics SC Business & Economics GA 210PN UT WOS:000249468200004 ER PT J AU Brock, WA Durlauf, SN Nason, JM Rondina, G AF Brock, William A. Durlauf, Steven N. Nason, James M. Rondina, Giacomo TI Simple versus optimal rules as guides to policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Monetary Policy CY NOV 10-11, 2006 CL Pittsburgh, PA DE policy evaluation; model uncertainty; design limits; monetary policy rules ID ROBUST MONETARY-POLICY; MODEL UNCERTAINTY AB This paper compares the performance of different policy rules. Our comparisons focus on simple feedback rules versus rules which are optimal, given knowledge of the correct economic structure and the appropriate loss function for the policymaker. First, we compare rule performance when the correct model is not known. Second, we compare rule performance with respect to the frequency-specific behavior for variables of interest. Taken as a whole, our results indicate how the case for a model-specific optimal rule can break down when one relaxes the assumption that the true model is known as well as the assumption that the appropriate loss function is known. Links are made to the literature on monetary policy. (c) 2007 Elsevier B.V. All rights reserved. C1 Univ Wisconsin, Madison, WI 53706 USA. Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. Univ Calif San Diego, San Diego, CA 92103 USA. RP Durlauf, SN (reprint author), Univ Wisconsin, Madison, WI 53706 USA. EM sdurlauf@ssc.wisc.edu RI DURLAUF, Steven/H-4965-2016 NR 47 TC 9 Z9 9 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2007 VL 54 IS 5 BP 1372 EP 1396 DI 10.1016/j.jmoneco.2007.06.008 PG 25 WC Business, Finance; Economics SC Business & Economics GA 210PN UT WOS:000249468200005 ER PT J AU Tetlow, RJ AF Tetlow, Robert J. TI On the robustness of simple and optimal monetary policy rules SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material DE monetary policy; uncertainty; robustness; minimax; minimax regret; frequency domain ID MODEL UNCERTAINTY; INFLATION AB This is a discussion of the paper "Simple versus Optimal Rules as Guides to Policy" by Brock, Durlauf, Nason and Rondina (BDNR) presented in November 2006 at Carnegie-Mellon University under the auspices of the Carnegie-Rochester Conference Series on Public Policy. I review the authors' arguments, present a few suggestions for extension and outline where I think at least one strand of the literature should be heading. Published by Elsevier B.V. C1 Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. RP Tetlow, RJ (reprint author), Fed Reserve Board, Div Res & Stat, Washington, DC 20551 USA. EM rtetiow@frb.gov NR 25 TC 1 Z9 1 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2007 VL 54 IS 5 BP 1397 EP 1405 DI 10.1016/j.jmoneco.2007.06.014 PG 9 WC Business, Finance; Economics SC Business & Economics GA 210PN UT WOS:000249468200006 ER PT J AU Orphanides, A Williams, JC AF Orphanides, Athanasios Williams, John C. TI Robust monetary policy with imperfect knowledge SO JOURNAL OF MONETARY ECONOMICS LA English DT Article; Proceedings Paper CT Carnegie-Rochester Conference on Monetary Policy CY NOV 10-11, 2006 CL Pittsburgh, PA DE natural rate misperceptions; rational expectations; learning ID STABILIZATION POLICY; NATURAL RATE; TAYLOR RULE; OUTPUT-GAP; REAL-TIME; INFLATION AB We examine the performance and robustness properties of monetary policy rules in an estimated macroeconomic model in which the economy undergoes structural change and where private agents and the central bank possess imperfect knowledge about the true structure of the economy. Policyrnakers follow an interest rate rule aiming to maintain price stability and to minimize fluctuations of unemployment around its natural rate but are uncertain about the economy's natural rates of interest and unemployment and how private agents form expectations. In particular, we consider two models of expectations formation: rational expectations (RE) and learning. We show that in this environment the ability to stabilize the real side of the economy is significantly reduced relative to an economy under RE with perfect knowledge. Furthermore, policies that would be optimal under perfect knowledge can perform very poorly if knowledge is imperfect. Efficient policies that take account of private learning and misperceptions of natural rates call for greater policy inertia, a more aggressive response to inflation, and a smaller response to the perceived unemployment gap than would be optimal if everyone had perfect knowledge of the economy. We show that such policies are quite robust to potential misspecification of private sector learning and the magnitude of variation in natural rates. Published by Elsevier B.V. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Cent Bank Cyprus, CY-1076 Nicosia, Cyprus. RP Williams, JC (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM Athanasios.Orphanides@centralbank.gov.cy; John.C.Williams@sf.frb.org RI Williams, John/A-8226-2009 NR 47 TC 42 Z9 43 U1 4 U2 12 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2007 VL 54 IS 5 BP 1406 EP 1435 DI 10.1016/j.jmoneco.2007.06.005 PG 30 WC Business, Finance; Economics SC Business & Economics GA 210PN UT WOS:000249468200007 ER PT J AU Bullard, J AF Bullard, James TI Comments on Orphanides and Williams' "Robust monetary policy" SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material DE learning and monetary policy; lucas critique; tracking algorithms; expectational stability AB Comments on the paper by Orphanides and Williams from the November 2006 Carnegie-Rochester conference. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63106 USA. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63106 USA. EM bullard@stis.frb.org RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 6 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2007 VL 54 IS 5 BP 1436 EP 1440 DI 10.1016/j.jmoneco.2007.06.012 PG 5 WC Business, Finance; Economics SC Business & Economics GA 210PN UT WOS:000249468200008 ER PT J AU Nelson, E AF Nelson, Edward TI Comment on: Samuel Reynard, "Maintaining low inflation: Money, interest rates, and policy stance SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Nelson, E (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM Edward.Nelson@stls.frb.org NR 13 TC 7 Z9 7 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD JUL PY 2007 VL 54 IS 5 BP 1472 EP 1479 DI 10.1016/j.jmoneco.2007.06.011 PG 8 WC Business, Finance; Economics SC Business & Economics GA 210PN UT WOS:000249468200010 ER PT J AU Chappell, HW McGregor, RR Vermilyea, T AF Chappell, Henry W., Jr. McGregor, Rob Roy Vermilyea, Todd TI The persuasive power of a committee chairman: Arthur burns and the FOMC SO PUBLIC CHOICE LA English DT Article DE Federal Open Market Committee; FOMC; monetary policy; Federal Reserve ID MONETARY-POLICY AB This paper investigates persuasion as a means of influence for the Federal Reserve Chairman in meetings of the Federal Open Market Committee (FOMC). Using textual records of FOMC meetings, federal funds rate targets have been recorded for Committee members who served in the Arthur Burns era (1970-1978). Results show that Burns-member differences in stated funds rate targets were lower when Burns made recommendations early in the meeting, consistent with the hypothesis that the Chairman is persuasive. Additional results show that members' tendencies to respond to Burns's recommendations were related to their personal and political loyalties. C1 Univ S Carolina, Columbia, SC 29208 USA. Univ N Carolina, Charlotte, NC 28223 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Chappell, HW (reprint author), Univ S Carolina, Columbia, SC 29208 USA. EM chappell@moore.sc.edu NR 11 TC 5 Z9 5 U1 1 U2 5 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0048-5829 J9 PUBLIC CHOICE JI Public Choice PD JUL PY 2007 VL 132 IS 1-2 BP 103 EP 112 DI 10.1007/s11127-006-9136-7 PG 10 WC Economics; Political Science SC Business & Economics; Government & Law GA 184QT UT WOS:000247657500008 ER PT J AU Nosal, E Rupert, P AF Nosal, Ed Rupert, Peter TI How amenities affect job and wage choices over the life cycle SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE job changes; amenities; lifetime wage profile ID LABOR-MARKET AB Job amenities are explicitly included in a model of job choice over the life cycle. The amenities are characterized by an indivisibility-a worker must be present at a job to enjoy its amenities. This characterization has implications on initial job choice, a worker's wage profile and whether they move to a higher or lower paying job. (c) 2007 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Rupert, P (reprint author), Fed Reserve Bank Cleveland, POB 6387, Cleveland, OH 44101 USA. EM prupert@clev.frb.org NR 5 TC 4 Z9 4 U1 0 U2 3 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2007 VL 10 IS 3 BP 424 EP 443 DI 10.1016/j.red.2006.12.004 PG 20 WC Economics SC Business & Economics GA 200PG UT WOS:000248774700005 ER PT J AU Koop, G Potter, SM AF Koop, Gary Potter, Simon M. TI Estimation and forecasting in models with multiple breaks SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID TIME-SERIES; BAYESIAN-INFERENCE; STRUCTURAL BREAKS; LIKELIHOOD; OUTPUT AB This paper develops a new approach to change-point modelling that allows the number of change-points in the observed sample to be unknown. The model we develop assumes that regime durations have a Poisson distribution. It approximately nests the two most common approaches: the time-varying parameter (TVP) model with a change-point every period and the change-point model with a small number of regimes. We focus considerable attention on the construction of reasonable hierarchical priors both for regime durations and for the parameters that characterize each regime. A Markov chain Monte Carlo posterior sampler is constructed to estimate a version of our model, which allows for change in conditional means and variances. We show how real-time forecasting can be done in an efficient manner using sequential importance sampling. Our techniques are found to work well in an empirical exercise involving U.S. GDP growth and inflation. Empirical results suggest that the number of change-points is larger than previously estimated in these series and the implied model is similar to a TVP (with stochastic volatility) model. C1 Univ Strathclyde, Glasgow G1 1XQ, Lanark, Scotland. Fed Reserve Bank New York, New York, NY USA. RP Koop, G (reprint author), Univ Strathclyde, Glasgow G1 1XQ, Lanark, Scotland. OI Koop, Gary/0000-0002-6091-378X NR 40 TC 56 Z9 56 U1 0 U2 10 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JUL PY 2007 VL 74 IS 3 BP 763 EP 789 DI 10.1111/j.1467-937X.2007.00436.x PG 27 WC Economics SC Business & Economics GA 179BN UT WOS:000247264400005 ER PT J AU Davig, T AF Davig, Troy TI Change-points in US business cycle durations SO STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS LA English DT Article ID CONDITIONAL DURATION; GNP GROWTH; DEPENDENCE; MODEL; STABILIZATION AB This paper develops a change-point model that can endogenously detect a structural shift in a time series of durations. The model is applied to NBER data on U.S. business cycle durations for expansions and contractions. There are two primary results. First, the change-point model endogenously detects a shift in the distribution for the phases of the U.S. business cycle around WWII. The pattern of duration dependence for both contractions and expansions correspond to earlier work, such as Diebold and Rudebusch (1990), Sichel (1991) and Zuehlke(2003), that exogenously split the sample at WWII. The second result is that the change-points for expansions and contractions generally occur earlier than WWII when controlling for various factors, such as the duration of the preceding half-cycle, wars and a trend variable. For expansions, the only significant explanatory variable is a trend, resulting in each successive expansion's hazard rate uniformly shifting down. For contractions, both a trend and the lagged duration of the preceding expansion are found, when estimated separately, to be significant. Controlling for a trend, contractions no longer exhibit positive duration dependence following the estimated change-point. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Davig, T (reprint author), Fed Reserve Bank Kansas City, 925 Grand Blvd, Kansas City, MO 64198 USA. EM Troy.Davig@kc.frb.org NR 16 TC 2 Z9 2 U1 2 U2 7 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 2809 TELEGRAPH AVENUE, STE 202, BERKELEY, CA 94705 USA SN 1081-1826 J9 STUD NONLINEAR DYN E JI Stud. Nonlinear Dyn. Econom. PD JUN 2 PY 2007 VL 11 IS 2 AR 6 PG 22 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 174GE UT WOS:000246929400001 ER PT J AU Davig, T Leeper, EM AF Davig, Troy Leeper, Eric M. TI Generalizing the Taylor principle SO AMERICAN ECONOMIC REVIEW LA English DT Article ID ECONOMETRIC POLICY EVALUATION; US MONETARY-POLICY; REGIME; FRAMEWORK; RULES AB The paper generalizes the Taylor principle-the proposition that central banks can stabilize the macroeconomy by raising their interest rate instrument more than one-for-one in response to higher inflation-to an environment in which reaction coefficients in the monetary policy rule change regime, evolving according to a Markov process. We derive a long-run Taylor principle which delivers unique bounded equilibria in two standard models. Policy can satisfy the Taylor principle in the long run, even while deviating from it substantially for brief periods or modestly for prolonged periods. Macroeconomic volatility can be higher in periods when the Taylor principle is not satisfied, not because of indeterminacy, but because monetary policy amplifies the impacts of fundamental shocks. Regime change alters the qualitative and quantitative predictions of a conventional new Keynesian model, yielding fresh interpretations of existing empirical work. C1 Fed Reserve Bank Kansas City, Dept Res, Kansas City, MO 64198 USA. Indiana Univ, Dept Econ, Bloomington, IN 47405 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Davig, T (reprint author), Fed Reserve Bank Kansas City, Dept Res, 925 Grand Blvd, Kansas City, MO 64198 USA. EM Troy.Davig@kc.frb.org; eleeper@indiana.edu NR 59 TC 88 Z9 89 U1 1 U2 7 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD JUN PY 2007 VL 97 IS 3 BP 607 EP 635 DI 10.1257/aer.97.3.607 PG 29 WC Economics SC Business & Economics GA 190PG UT WOS:000248070600005 ER PT J AU Olivei, G Tenreyro, S AF Olivei, Giovanni Tenreyro, Silvana TI The timing of monetary policy shocks SO AMERICAN ECONOMIC REVIEW LA English DT Article ID CONTRACTS; DYNAMICS; PRICES; OUTPUT AB A vast empirical literature has documented delayed and persistent effects of monetary policy shocks on output. We show that this finding results from the aggregation of output impulse responses that differ sharply depending on the timing of the shock. When the monetary policy shock takes place in the first two quarters of the year, the response of output is quick, sizable, and dies out at a relatively fast pace. In contrast, output responds very little when the shock takes place in the third or fourth quarter. We propose a potential explanation for the differential responses based on uneven staggering of wage contracts across quarters. Using a dynamic general equilibrium model, we show that a realistic amount of uneven staggering can generate differences in output responses quantitatively similar to those found in the data. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. Univ London London Sch Econ & Polit Sci, London WC2A 2AE, England. RP Olivei, G (reprint author), Fed Reserve Bank Boston, 600 Atlantic Ave, Boston, MA 02210 USA. EM Giovanni.Olivei@bos.frb.org; S.Tenreyro@lse.ac.uk NR 20 TC 23 Z9 23 U1 3 U2 9 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD JUN PY 2007 VL 97 IS 3 BP 636 EP 663 DI 10.1257/aer.97.3.636 PG 28 WC Economics SC Business & Economics GA 190PG UT WOS:000248070600006 ER PT J AU Zanjani, G AF Zanjani, George TI Regulation, capital, and the evolution of organizational form in US life insurance SO AMERICAN ECONOMIC REVIEW LA English DT Article C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Zanjani, G (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM george.zanjani@ny.frb.org NR 25 TC 11 Z9 11 U1 1 U2 14 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD JUN PY 2007 VL 97 IS 3 BP 973 EP 983 DI 10.1257/aer.97.3.973 PG 11 WC Economics SC Business & Economics GA 190PG UT WOS:000248070600021 ER PT J AU Fernandez-Villaverde, J Rubio-Ramirez, JF Sargent, TJ Watson, MW AF Fernandez-Villaverde, Jesus Rubio-Ramirez, Juan F. Sargent, Thomas J. Watson, Mark W. TI ABCs (and Ds) of understanding VARs SO AMERICAN ECONOMIC REVIEW LA English DT Article C1 Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Duke Univ, Dept Econ, Durham, NC 27008 USA. NYU, Dept Econ, New York, NY 10003 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. Princeton Univ, Woodrow Wilson Sch, Princeton, NJ 08544 USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, Dept Econ, 3718 Locust Walk, Philadelphia, PA 19104 USA. EM jesusfv@econ.upenn.edu; juan.rubio-ramirez@duke.edu; ts43@nyu.edu; mwatson@princeton.edu NR 19 TC 100 Z9 102 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 JUN PY 2007 VL 97 IS 3 BP 1021 EP 1026 DI 10.1257/aer.97.3.1021 PG 6 WC Economics SC Business & Economics GA 190PG UT WOS:000248070600025 ER PT J AU Fernandez-Villaverde, J Rubio-Ramirez, JF AF Fernandez-Villaverde, Jesus Rubio-Ramirez, Juan F. TI On the solution of the growth model with investment-specific technological change SO APPLIED ECONOMICS LETTERS LA English DT Article AB Recent work by Greenwood et al. (1997, 2000) and Fisher (2003) has emphasized the importance of investment-specific technological change as a main driving force behind long-run growth and the business cycle. This article shows how the growth model with investment-specific technological change has a closed-form solution if capital fully depreciates. This solution furthers our understanding of the model and it constitutes a useful benchmark to check the accuracy of numerical procedures to solve dynamic macroeconomic models in cases with several state variables. C1 Duke Univ & Res Dept, Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. Univ Penn, NBER, Philadelphia, PA 19104 USA. Duke Univ, CPER, Philadelphia, PA 19104 USA. RP Rubio-Ramirez, JF (reprint author), Duke Univ & Res Dept, Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM juan.rubio@atl.frb.org NR 6 TC 0 Z9 0 U1 0 U2 3 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1350-4851 J9 APPL ECON LETT JI Appl. Econ. Lett. PD JUN-JUL PY 2007 VL 14 IS 7-9 BP 549 EP 553 DI 10.1080/13504850600592564 PG 5 WC Economics SC Business & Economics GA 199XR UT WOS:000248729000016 ER PT J AU Geithner, TF AF Geithner, Timothy F. TI Liquidity risk and the global economy SO INTERNATIONAL FINANCE LA English DT Article C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Geithner, TF (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM calvin.mitchell@ny.frb.org NR 0 TC 1 Z9 1 U1 0 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1367-0271 J9 INT FINANC JI Int. Financ. PD SUM PY 2007 VL 10 IS 2 BP 183 EP 189 DI 10.1111/j.1468-2362.2007.00204.x PG 7 WC Business, Finance; Economics SC Business & Economics GA 308HW UT WOS:000256380500005 ER PT J AU Chakravorti, S To, T AF Chakravorti, Sujit To, Ted TI A theory of credit cards SO INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION LA English DT Article DE payment cards; merchant discount; payment systems; network effect ID INTERCHANGE FEES; PAYMENT SYSTEMS; ECONOMICS; CASH AB A two-period model is constructed to study the interactions among consumers, merchants, and a card issuer. The model yields the following results. First, if the issuer's cost of funds is not too high and the merchant's profit margin is sufficiently high, in every equilibrium of our model the issuer extends credit to qualified consumers, merchants accept credit cards and consumers face a positive probability of default. Second, the issuer's ability to charge higher merchant discount fees depends on the number of customers gained when credit cards are accepted. Thus, credit cards exhibit characteristics of network goods. Third, each merchant faces a prisoner's dilemma where each independently chooses to accept credit cards, however all merchants' two-period profits are reduced because of intertemporal business stealing across industries. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. US Bur Labor Stat, Washington, DC 20212 USA. RP Chakravorti, S (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM Sujit.Chakravorti@chi.frb.org; To_T@bls.gov NR 26 TC 12 Z9 12 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0167-7187 J9 INT J IND ORGAN JI Int. J. Ind. Organ. PD JUN PY 2007 VL 25 IS 3 BP 583 EP 595 DI 10.1016/j.ijindorg.2006.06.005 PG 13 WC Economics SC Business & Economics GA 164KF UT WOS:000246231900009 ER PT J AU Turner, C Tamura, R Mulholland, SE Baier, S AF Turner, Chad Tamura, Robert Mulholland, Sean E. Baier, Scott TI Education and income of the states of the United States: 1840-2000 SO JOURNAL OF ECONOMIC GROWTH LA English DT Article DE state years of schooling; state real output per worker ID GROWTH; SCHOOL AB This article introduces original annual average years of schooling measures for each state from 1840 to 2000. Our methodology results in state estimates similar to those reported in the United States Census from 2000 back to 1940 and national, turn of the century estimates strikingly close to those presented by Schultz (Schultz, T. (1961). In N. B. Henry (Ed.), Social forces influencing American education. Chicago: University of Chicago Press.) and Fishlow (Fishlow, A. (1966). In H. Rosovsky (Ed.), Industrialization in two systems. John Wiley & Sons). To further determine the validity of our state schooling estimates, we first combine original data on real state per worker output with existing data to provide a more comprehensive series of real state output per worker from 1840 to 2000. We then estimate aggregate Mincerian earnings regressions and discover that the return to a year of schooling for the average individual in a state ranges from 11% to 15%. This range is robust to various time periods, various estimation methods, various assumptions about the endogeneity of schooling and is in line with the body of evidence from the labor literature. C1 Clemson Univ, Clemson, SC 29631 USA. Nicholls State Univ, Thibodaux, LA 70310 USA. Atlanta Fed Reserve Bank, Atlanta, GA USA. Mercer Univ, Macon, GA 31207 USA. RP Tamura, R (reprint author), Clemson Univ, Clemson, SC 29631 USA. NR 38 TC 19 Z9 19 U1 0 U2 4 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 1381-4338 J9 J ECON GROWTH JI J. Econ. Growth PD JUN PY 2007 VL 12 IS 2 BP 101 EP 158 DI 10.1007/s10887-007-9016-0 PG 58 WC Economics SC Business & Economics GA 181CP UT WOS:000247414800002 ER PT J AU Weber, W AF Weber, Warren TI New evidence on state banking before the Civil War SO JOURNAL OF ECONOMIC HISTORY LA English DT Meeting Abstract C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD JUN PY 2007 VL 67 IS 2 BP 520 EP 520 PG 1 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 177JY UT WOS:000247150600023 ER PT J AU Campbell, JR Hopenhayn, HA AF Campbell, Jeffrey R. Hopenhayn, Hugo A. TI Market size matters (vol 53, pg 1) SO JOURNAL OF INDUSTRIAL ECONOMICS LA English DT Correction C1 Fed Reserve Bank Chicago, NBER, Chicago, IL 60604 USA. Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. Univ Torcuato Di Tella, Los Angeles, CA 90095 USA. RP Campbell, JR (reprint author), Fed Reserve Bank Chicago, NBER, 230 S LaSalle St, Chicago, IL 60604 USA. EM jcampbell@frbchi.org; hopen@econ.ucla.edu NR 2 TC 0 Z9 0 U1 0 U2 1 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-1821 J9 J IND ECON JI J. Indust. Econ. PD JUN PY 2007 VL 55 IS 2 BP 373 EP 378 DI 10.1111/j.1467-6451.2007.00315.x PG 6 WC Business, Finance; Economics SC Business & Economics GA 205XI UT WOS:000249148100008 ER PT J AU Gruber, JW Kamin, SB AF Gruber, Joseph W. Kamin, Steven B. TI Explaining the global pattern of current account imbalances SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article; Proceedings Paper CT Conference on Financial Globalisation and Integration CY JUL 17-18, 2006 CL Frank am Main, GERMANY SP European Cent Bank DE current account; financial crisis; capital flows AB We assess some of the explanations that have been put forward for the global pattern of current account imbalances that has emerged in recent years, particularly the large U.S. current account deficit and the large surpluses of the Asian developing economies. Adopting a panel-regression approach, as in Chinn and Prasad (2003. Medium-term determinants of current accounts in industrial and developing countries: an empirical exploration. Journal of International Economics 59, 47-76), we find that the Asian surpluses are well explained by a model that incorporates, in addition to standard determinants, the impact of financial crises on current accounts. However, our model, even when augmented by measures of institutional quality, fails to explain the large U.S. current account deficit. Published by Elsevier Ltd. C1 Fed Reserve Syst, Board Governors, Int Finance Div, Washington, DC 20551 USA. RP Gruber, JW (reprint author), Fed Reserve Syst, Board Governors, Int Finance Div, Washington, DC 20551 USA. EM joseph.w.gruber@frb.gov NR 38 TC 79 Z9 79 U1 1 U2 14 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD JUN PY 2007 VL 26 IS 4 BP 500 EP 522 DI 10.1016/j.jimonfin.2007.03.003 PG 23 WC Business, Finance SC Business & Economics GA 180HS UT WOS:000247354300002 ER PT J AU Berger, AN Dick, AA AF Berger, Allen N. Dick, Astrid A. TI Entry into banking markets and the early-mover advantage SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE banks; market entry; market structure; firm strategy; first-mover advantage ID INTERNAL CAPITAL-MARKETS; CONSUMER SWITCHING COSTS; SMALL BUSINESS; PIONEER ADVANTAGES; ADVERSE SELECTION; GOODS INDUSTRIES; DEPOSIT MARKET; COMPETITION; PERFORMANCE; PHARMACEUTICALS AB Using a sample for 1972-2002 with over 10,000 bank entries into local markets, we find a market share advantage for early entrants. In particular, the earlier a bank enters, the larger is its market share relative to other banks, controlling for firm, market, and time effects, with a market share advantage for early movers between 1 and 15 percentage points, depending on the order of entry. The strongest early-mover advantage is for banks that were in our sample in 1972 and survive into the 1990s. Moreover, early entrants appear to have such hold in the market by strategically investing in larger branch networks. Even controlling for the potential survivorship bias, we find that a bank's share decreases by 0.1 percentage points for a change in its order of entry from nth to (n + 1)th. High growth markets show a smaller difference between late and early movers, consistent with a larger fraction of consumers yet to be locked in with a bank in these markets. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Wharton Financial Inst Ctr, Philadelphia, PA USA. INSEAD, Sch Business, F-77305 Fontainebleau, France. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM aberger@frb.gov; astrid.dick@insead.edu RI Dick, Astrid/C-1261-2010 NR 53 TC 20 Z9 20 U1 1 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2007 VL 39 IS 4 BP 775 EP 807 DI 10.1111/j.1538-4616.2007.00046.x PG 33 WC Business, Finance; Economics SC Business & Economics GA 177EA UT WOS:000247135200002 ER PT J AU Chung, H Davig, T Leeper, EM AF Chung, Hess Davig, Troy Leeper, Eric M. TI Monetary and fiscal policy switching SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE regime change; policy interactions; Taylor rule; fiscal theory of the price level ID TIME-SERIES FACTS; PRICE-LEVEL; DEBT; EQUILIBRIA; ECONOMY; MODELS; RULES; MONEY AB A growing body of evidence finds that policy reaction functions vary substantially over different periods in the United States. This paper explores how moving to an environment in which monetary and fiscal regimes evolve according to a Markov process can change the impacts of policy shocks. In one regime monetary policy follows the Taylor principle and taxes rise strongly with debt; in another regime the Taylor principle fails to hold and taxes are exogenous. An example shows that a unique bounded non-Ricardian equilibrium exists in this environment. A computational model illustrates that because agents' decision rules embed the probability that policies will change in the future, monetary and tax shocks always produce wealth effects. When it is possible that fiscal policy will be unresponsive to debt at times, active monetary policy (like a Taylor rule) in one regime is not sufficient to insulate the economy against tax shocks in that regime and it can have the unintended consequence of amplifying and propagating the aggregate demand effects of tax shocks. The paper also considers the implications of policy switching for two empirical issues. C1 Indiana Univ, Ctr Appl Econ & Policy Res, Bloomington, IN 47405 USA. Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Chung, H (reprint author), Indiana Univ, Ctr Appl Econ & Policy Res, Bloomington, IN 47405 USA. EM htchung@indiana.edu; Troy.Davig@kc.frb.org; eleeper@indiana.edu NR 91 TC 16 Z9 17 U1 3 U2 14 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2007 VL 39 IS 4 BP 809 EP 842 DI 10.1111/j.1538-4616.2007.00047.x PG 34 WC Business, Finance; Economics SC Business & Economics GA 177EA UT WOS:000247135200003 ER PT J AU Aguiar-Conraria, L Wen, Y AF Aguiar-Conraria, Luis Wen, Yi TI Understanding the large negative impact of oil shocks SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE oil prices; real business cycle; capacity utilization; externalities; monopolistic competition; multiplier accelerator ID PRICE MACROECONOMY RELATIONSHIP; REAL BUSINESS-CYCLE; INCREASING RETURNS; ECONOMIC-ACTIVITY; AGGREGATE DEMAND; MONETARY-POLICY; ENERGY; INDETERMINACY; COMPETITION; SCALE AB This paper offers a plausible explanation for the close link between oil prices and aggregate macroeconomic performance in the 1970s. Although this link has been well documented in the empirical literature, standard economic models are not able to replicate this link when actual oil prices are used to simulate the models. In particular, standard models cannot explain the depth of the recession in 1974-75 and the strong revival in 1976-78 based on the oil price movements in that period. This paper argues that a missing multiplier-accelerator mechanism from standard models may hold the key. C1 Univ Minho, P-4719 Braga, Portugal. Fed Reserve Bank St Louis, St Louis, MO USA. RP Aguiar-Conraria, L (reprint author), Univ Minho, P-4719 Braga, Portugal. EM aguiarconraria@gmail.com; yi.wen@stls.frb.org RI EEG, Universidade Minho/F-9143-2010; nipe, cef/A-4218-2010; Minho, Universidade /A-7977-2010; NIPE, Universidade Minho/F-9327-2010; Wen, Yi/I-5756-2016; Aguiar-Conraria, Luis/B-5864-2009 OI Wen, Yi/0000-0001-5658-1578; Aguiar-Conraria, Luis/0000-0001-6822-7103 NR 34 TC 23 Z9 24 U1 1 U2 12 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2007 VL 39 IS 4 BP 925 EP 944 DI 10.1111/j.1538-4616.2007.00051.x PG 20 WC Business, Finance; Economics SC Business & Economics GA 177EA UT WOS:000247135200007 ER PT J AU Hutchinson, KP Yates, AJ AF Hutchinson, Kevin P. Yates, Andrew J. TI Crime on the court: A correction SO JOURNAL OF POLITICAL ECONOMY LA English DT Article C1 Fed Reserve Bank Richmond, Richmond, VA 23219 USA. Univ Richmond, Richmond, VA 23173 USA. RP Hutchinson, KP (reprint author), Fed Reserve Bank Richmond, 701 E Byrd St, Richmond, VA 23219 USA. NR 6 TC 4 Z9 4 U1 0 U2 5 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 2007 VL 115 IS 3 BP 515 EP 519 DI 10.1086/518810 PG 5 WC Economics SC Business & Economics GA 195LK UT WOS:000248413500006 ER PT J AU Brewer, E Carson, JM Elyasiani, E Mansur, I Scott, WL AF Brewer, Elijah, III Carson, James M. Elyasiani, Elyas Mansur, Iqbal Scott, William L. TI Interest rate risk and equity values of life insurance companies: A GARCH-M model SO JOURNAL OF RISK AND INSURANCE LA English DT Article ID INTEREST-RATE SENSITIVITY; BANK STOCK RETURNS; EXCHANGE-RATE RISKS; COMMON-STOCK; TIME-SERIES; FINANCIAL INSTITUTIONS; EMPIRICAL-EVIDENCE; CAPITAL STRUCTURE; 2-INDEX MODEL; UNIT-ROOT AB The importance of managerial decisions related to interest-sensitive cash flows has received considerable attention in the insurance literature. Consistent with the interest-sensitive nature of insurer assets and liabilities, empirical research has shown that insurer insolvency is significantly related to interest rate volatility. We investigate the interest rate sensitivity of monthly stock returns of life insurers based on a generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) model. We examine three different portfolios (equally weighted, risk-based, and size-based) with binary variables to explicitly account for varying interest rate strategies adopted by the Federal Reserve System. Results based on data for the period 1975 through 2000 indicate that life insurer equity values are sensitive to long-term interest rates and that interest sensitivity varies across subperiods and across risk-based and size-based portfolios. The results complement insolvency research that links insurer financial performance to changes in interest rates. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Florida State Univ, Coll Business, Tallahassee, FL 32306 USA. Temple Univ, Sch Business & Management, Philadelphia, PA 19122 USA. Widener Univ, Sch Business Adm, Chester, PA 19013 USA. Illinois State Univ, Coll Business, Normal, IL 61761 USA. RP Brewer, E (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM jcarson@fsu.edu NR 61 TC 11 Z9 12 U1 1 U2 14 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-4367 J9 J RISK INSUR JI J. Risk Insur. PD JUN PY 2007 VL 74 IS 2 BP 401 EP 423 DI 10.1111/j.1539-6975.2007.00218.x PG 23 WC Business, Finance; Economics SC Business & Economics GA 169WL UT WOS:000246622700006 ER PT J AU Mills, DC AF Mills, David C., Jr. TI A model in which outside and inside money are essential SO MACROECONOMIC DYNAMICS LA English DT Article DE inside and outside money ID EXCHANGE; PRICES; SEARCH AB present an environment for which both outside and inside money are essential as means of payment. The key model feature is that there is imperfect monitoring of issuers of inside money. I use a random-matching model of money where some agents have private trading histories and others have trading histories that can be publicly observed only after a lag. I show via an example that for lags that are neither too long nor too short, there exist allocations that use both types of money that cannot be duplicated when only one type is used. Inside money provides liquidity that increases the frequency of trades, but incentive constraints restrict the amount of output that can be traded. Outside money is immune to such constraints and can trade for higher levels of output. C1 Fed Reserve Board Governors, Washington, DC 20551 USA. RP Mills, DC (reprint author), Fed Reserve Board Governors, Mail Stop 188,20th & C St NW, Washington, DC 20551 USA. EM david.c.mills@frb.gov NR 11 TC 4 Z9 4 U1 1 U2 10 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 JUN PY 2007 VL 11 IS 3 BP 347 EP 366 DI 10.1017/S1365100506060123 PG 20 WC Economics SC Business & Economics GA 166IM UT WOS:000246372400003 ER PT J AU Haughwout, A AF Haughwout, Andrew TI The economic impacts of terrorist attacks. SO PAPERS IN REGIONAL SCIENCE LA English DT Book Review C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Haughwout, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 1 TC 0 Z9 0 U1 0 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1056-8190 J9 PAP REG SCI JI Pap. Reg. Sci. PD JUN PY 2007 VL 86 IS 2 BP 333 EP 335 DI 10.1111/j.1435-5957.2007.00123.x PG 3 WC Economics; Environmental Studies; Geography SC Business & Economics; Environmental Sciences & Ecology; Geography GA 181QN UT WOS:000247451300009 ER PT J AU Soramaki, K Bech, ML Arnold, J Glass, RJ Beyeler, WE AF Soramaki, Kimmo Bech, Morten L. Arnold, Jeffrey Glass, Robert J. Beyeler, Walter E. TI The topology of interbank payment flows SO PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS LA English DT Article DE complex networks; scale-free networks; payment systems; economic networks ID COMPLEX NETWORKS; SYSTEM; WEB AB We explore the network topology of the interbank payments transferred between commercial banks over the Fedwire (R) Funds Service. We find that the network has both a low average path length and low connectivity. The network includes a tightly connected core of banks to which most other banks connect. The degree distribution is scale free over a substantial range. We find that the properties of the network changed considerably in the immediate aftermath of the events of September 11, 2001. (c) 2007 Published by Elsevier B.V. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Helsinki Univ Technol, FIN-02150 Espoo, Finland. Sandia Natl Labs, Albuquerque, NM USA. RP Bech, ML (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM morten.bech@ny.frb.org OI Arnold, Jeffrey/0000-0001-9953-3904 NR 38 TC 155 Z9 160 U1 2 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4371 J9 PHYSICA A JI Physica A PD JUN 1 PY 2007 VL 379 IS 1 BP 317 EP 333 DI 10.1016/j.physa.2006.11.093 PG 17 WC Physics, Multidisciplinary SC Physics GA 160RT UT WOS:000245960700029 ER PT J AU Aarland, K Davis, JC Henderson, JV Ono, Y AF Aarland, Kristin Davis, James C. Henderson, J. Vernon Ono, Yukako TI Spatial organization of firms: the decision to split production and administration SO RAND JOURNAL OF ECONOMICS LA English DT Article AB A firm's production activities are often supported by nonproduction activities, such as administrative units including headquarters, which process information both within and between firms. Firms may physically separate such administrative units from their production activities and create stand-alone central administrative offices (CAOs). However, activities in multiple locations may cause internal communication costs. What types of firms are more likely to separate such functions? If firms separate administration and production, where do they locate CAOs? This paper examines firms' spatial organization using microlevel data from the US Census Bureau. C1 [Aarland, Kristin] Brown Univ, Providence, RI 02912 USA. [Davis, James C.] Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM kra@nova.no; jdavis@nber.org; J_Henderson@brown.edu; Yukako.Ono@chi.frb.org NR 17 TC 14 Z9 14 U1 0 U2 5 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0741-6261 J9 RAND J ECON JI Rand J. Econ. PD SUM PY 2007 VL 38 IS 2 BP 480 EP 494 DI 10.1111/j.1756-2171.2007.tb00079.x PG 15 WC Economics SC Business & Economics GA 239WT UT WOS:000251549700011 ER PT J AU Agarwal, S AF Agarwal, Sumit TI The impact of homeowners' housing wealth misestimation on consumption and saving decisions SO REAL ESTATE ECONOMICS LA English DT Article ID HOME; MARKET; PRICES; EQUITY; ERRORS; MODEL; BIAS AB Using a unique data set of 81,943 house value estimates by the homeowners and their financial institution, I find that homeowners overestimate their house value by 3.1%. After controlling for homeowners' socioeconomic characteristics, I find that ex ante homeowners who rate (cash-out) refinance an existing loan to increase savings (consumption) are significantly more likely to underestimate (overestimate) their house value. Moreover, overestimators (underestimators) are more likely to increase (reduce) their spending ex post. Finally, I also find that underestimators are more likely to prepay their loans and overestimators are more likely to default on their loans. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM sagarwal@frbchi.org RI Agarwal, Sumit/F-4836-2012 NR 32 TC 22 Z9 22 U1 0 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1080-8620 EI 1540-6229 J9 REAL ESTATE ECON JI Real Estate Econ. PD SUM PY 2007 VL 35 IS 2 BP 135 EP 154 DI 10.1111/j.1540-6229.2007.00185.x PG 20 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 169XM UT WOS:000246625400001 ER PT J AU Goette, L Huffman, D AF Goette, Lorenz Huffman, David TI Affect and the motivational foundations of social capital SO REVIEW OF GENERAL PSYCHOLOGY LA English DT Article DE emotion; social capital; decision; economic; cooperation ID PUBLIC-GOODS EXPERIMENTS; NEURAL BASIS; ALTRUISTIC PUNISHMENT; PRISONERS-DILEMMA; NORM ENFORCEMENT; COOPERATION; RECIPROCITY; REPUTATION; FAIRNESS; TRUST AB Social capital is a resource that includes the willingness of members of society to cooperate with each other, even when it is not in their own individual material self-interests to do so, or enforce beneficial social norms, even when this is materially costly for the enforcer. Evidence from economic choice experiments suggests that affect may play an important role in the individual-level decision process that generates these behavioral tendencies. Negative affective responses to uncooperative behavior can lead to a breakdown in social capital, if there is no option to punish. Given a punishment option, however, individuals discipline uncooperative types, even though it is materially costly to do so. This can completely counteract the tendency for social capital to decline in repeated interactions. Positive affect, triggered by punishing uncooperative types, appears to play a role in generating this socially beneficial willingness to sanction. C1 Fed Reserve Bank Boston, Ctr Behav Econ & Decis Making, Boston, MA 02110 USA. Inst Study Labor, Bonn, Germany. RP Goette, L (reprint author), Fed Reserve Bank Boston, Ctr Behav Econ & Decis Making, 600 Atlantic Ave, Boston, MA 02110 USA. EM lorenz.goette@bos.frb.org NR 55 TC 3 Z9 3 U1 1 U2 5 PU EDUCATIONAL PUBLISHING FOUNDATION PI WASHINGTON PA 750 FIRST ST, NE, WASHINGTON, DC 20002-4242 USA SN 1089-2680 J9 REV GEN PSYCHOL JI Rev. Gen. Psychol. PD JUN PY 2007 VL 11 IS 2 BP 142 EP 154 DI 10.1037/1089-2680.11.2.142 PG 13 WC Psychology, Multidisciplinary SC Psychology GA 182NV UT WOS:000247512200006 ER PT J AU Gunderson, JM Hotchkiss, JL AF Gunderson, Jill Marie Hotchkiss, Julie L. TI Job separation behavior of WOTC workers: Results from a unique case study SO SOCIAL SERVICE REVIEW LA English DT Article ID WELFARE-REFORM; QUIT BEHAVIOR; YOUNG WORKERS; TURNOVER; FIRM; DURATION; GENDER AB This article makes use of a unique personnel data set to explore job separation behavior among workers who qualify for the Work Opportunity Tax Credit (WOTC). Results indicate that WOTC workers do not exhibit overall higher turnover than similar non-WOTC workers. The tenures of the two groups differ, however, when calculated by reasons for separation. Evidence tends to suggest that the availability of a variety of job assistance programs might be useful in increasing workers' tenure in jobs. C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. Georgia State Univ, Atlanta, GA 30303 USA. NR 45 TC 1 Z9 1 U1 1 U2 5 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0037-7961 J9 SOC SERV REV JI Soc. Serv. Rev. PD JUN PY 2007 VL 81 IS 2 BP 317 EP 342 DI 10.1086/518079 PG 26 WC Social Work SC Social Work GA 163XN UT WOS:000246196700005 ER PT J AU Lagos, R Rocheteau, G AF Lagos, Ricardo Rocheteau, Guillaume TI Search in asset markets: Market structure, liquidity, and welfare SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 119th Annual Meeting of the American-Economic-Association CY JAN 05-07, 2007 CL Chicago, IL SP Amer Econ Assoc ID NASDAQ C1 NYU, Dept Econ, New York, NY 10012 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. RP Lagos, R (reprint author), NYU, Dept Econ, 19 W 4th St,6th Floor, New York, NY 10012 USA. EM ricardo.lagos@nyu.edu; guillaume.rocheteau@clev.frb.org NR 4 TC 12 Z9 12 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 2007 VL 97 IS 2 BP 198 EP 202 DI 10.1257/aer.97.2.198 PG 5 WC Economics SC Business & Economics GA 175BH UT WOS:000246986500032 ER PT J AU Ashcraft, AB Duffie, D AF Ashcraft, Adam B. Duffie, Darrell TI Systemic illiquidity in the federal funds market SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 119th Annual Meeting of the American-Economic-Association CY JAN 05-07, 2007 CL Chicago, IL SP Amer Econ Assoc C1 Fed Reserve Bank New York, New York, NY 10045 USA. Stanford Univ, Grad Sch Business, Stanford, CA 94395 USA. RP Ashcraft, AB (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM ashcraft@ny.trb.org; duffie_darrell@gsb.stanford.edu NR 10 TC 32 Z9 32 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 2007 VL 97 IS 2 BP 221 EP 225 DI 10.1257/aer.97.2.221 PG 5 WC Economics SC Business & Economics GA 175BH UT WOS:000246986500036 ER PT J AU Dynan, KE Ravina, E AF Dynan, Karen E. Ravina, Enrichetta TI Increasing income inequality, external habits, and self-reported happiness SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 119th Annual Meeting of the American-Economic-Association CY JAN 05-07, 2007 CL Chicago, IL SP Amer Econ Assoc C1 Fed Reserve Board, Washington, DC 20551 USA. NYU, Stern Sch Business, New York, NY 10012 USA. RP Dynan, KE (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM kdynan@frb.gov; cravina@stern.nyu.edu NR 9 TC 36 Z9 36 U1 3 U2 19 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2007 VL 97 IS 2 BP 226 EP 231 DI 10.1257/aer.97.2.226 PG 6 WC Economics SC Business & Economics GA 175BH UT WOS:000246986500037 ER PT J AU Quinn, S Roberds, W AF Quinn, Stephen Roberds, William TI The Bank of Amsterdam and the leap to Central Bank money SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 119th Annual Meeting of the American-Economic-Association CY JAN 05-07, 2007 CL Chicago, IL SP Amer Econ Assoc C1 Texas Christian Univ, Dept Econ, Ft Worth, TX 76129 USA. Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. RP Quinn, S (reprint author), Texas Christian Univ, Dept Econ, Box 298510, Ft Worth, TX 76129 USA. EM s.quinn@tcu.edu; william.roberds@atl.frb.org NR 12 TC 7 Z9 8 U1 0 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2007 VL 97 IS 2 BP 262 EP 265 DI 10.1257/aer.97.2.262 PG 4 WC Economics SC Business & Economics GA 175BH UT WOS:000246986500043 ER PT J AU Velde, FR AF Velde, Francois R. TI John Law's system SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 119th Annual Meeting of the American-Economic-Association CY JAN 05-07, 2007 CL Chicago, IL SP Amer Econ Assoc C1 Fed Reserve Bank Chicago, Dept Res, Chicago, IL 60690 USA. RP Velde, FR (reprint author), Fed Reserve Bank Chicago, Dept Res, POB 834, Chicago, IL 60690 USA. EM fvelde@frbchi.org NR 6 TC 8 Z9 8 U1 0 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2007 VL 97 IS 2 BP 276 EP 279 DI 10.1257/aer.97.2.276 PG 4 WC Economics SC Business & Economics GA 175BH UT WOS:000246986500046 ER PT J AU Nason, JM Vahey, SP AF Nason, James M. Vahey, Shaun P. TI The McKenna rule and UK World War I finance SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 119th Annual Meeting of the American-Economic-Association CY JAN 05-07, 2007 CL Chicago, IL SP Amer Econ Assoc ID DEBT C1 Fed Res Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. Melbourne Business Sch, Melbourne, Vic 3053, Australia. RP Nason, JM (reprint author), Fed Res Bank Atlanta, Dept Res, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM jim.nason@atl.frb.org; shaun.vahey@norges-bank.no NR 14 TC 1 Z9 1 U1 0 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2007 VL 97 IS 2 BP 290 EP 294 DI 10.1257/aer.97.2.290 PG 5 WC Economics SC Business & Economics GA 175BH UT WOS:000246986500049 ER PT J AU Alvarez, F Atkeson, A Kehoe, PJ AF Alvarez, Fernando Atkeson, Andrew Kehoe, Patrick J. TI If exchange rates are random walks, then almost everything we say about monetary policy is wrong SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 119th Annual Meeting of the American-Economic-Association CY JAN 05-07, 2007 CL Chicago, IL SP Amer Econ Assoc ID RATE MODELS; FIT C1 Univ Chicago, Dept Econ, Chicago, IL 60636 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90095 USA. Fed Reserve Board Minneapolis, Minneapolis, MN USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. RP Alvarez, F (reprint author), Univ Chicago, Dept Econ, 1126 E 59th St, Chicago, IL 60636 USA. EM f-alvarez1@uchicago.edu; andy@atkeson.net; pkehoe@res.mpls.frb.fed.us NR 6 TC 5 Z9 5 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 2007 VL 97 IS 2 BP 339 EP 345 DI 10.1257/aer.97.2.339 PG 7 WC Economics SC Business & Economics GA 175BH UT WOS:000246986500058 ER PT J AU Dekle, R Eaton, J Kortum, S AF Dekle, Robert Eaton, Jonathan Kortum, Samuel TI Unbalanced trade SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 119th Annual Meeting of the American-Economic-Association CY JAN 05-07, 2007 CL Chicago, IL SP Amer Econ Assoc C1 Univ So Calif, New York, NY 10045 USA. Fed Reserve Bank New York, New York, NY 10045 USA. NYU, New York, NY 10003 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Univ Chicago, Chicago, IL 60637 USA. RP Dekle, R (reprint author), Univ So Calif, 33 Liberty St, New York, NY 10045 USA. EM dekle@usc.edu; jonathan.eaton@nyu.edu; kortum@uchicago.edu NR 11 TC 39 Z9 39 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 2007 VL 97 IS 2 BP 351 EP 355 DI 10.1257/aer.97.2.351 PG 5 WC Economics SC Business & Economics GA 175BH UT WOS:000246986500060 ER PT J AU Hotchkiss, JL Pitts, MM AF Hotchkiss, Julie L. Pitts, M. Melinda TI The role of labor market intermittency in explaining gender wage differentials SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 119th Annual Meeting of the American-Economic-Association CY JAN 05-07, 2007 CL Chicago, IL SP Amer Econ Assoc ID SWITCHING REGRESSION-MODEL; UNKNOWN SAMPLE SELECTION C1 Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. Georgia State Univ, Atlanta, GA 30303 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, Dept Res, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Julie.L.Hotchkiss@atl.frb.org; Melinda.Pitts@atl.frb.org NR 7 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 2007 VL 97 IS 2 BP 417 EP 421 DI 10.1257/aer.97.2.417 PG 5 WC Economics SC Business & Economics GA 175BH UT WOS:000246986500073 ER PT J AU Choi, WG Wen, Y AF Choi, Woon Gyu Wen, Yi TI Measuring interest rates as determined by thrift and productivity SO ANNALS OF ECONOMICS AND FINANCE LA English DT Article DE interest rates; marginal rate of substitution; marginal rate of transformation; general equilibrium; asset pricing ID MONETARY-POLICY RULES; EQUITY PREMIUM PUZZLE; REAL INTEREST-RATES; RISK-FREE RATE; BUSINESS CYCLES; TERM STRUCTURE; ASSET PRICES; LIQUIDITY; MODEL; ECONOMIES AB This paper investigates the behavior of real and nominal interest rates by combining consumption- and production-based models into a single general equilibrium framework. Based on the theoretical nonlinear relationships that link interest rates to both the marginal rates of substitution and transformation in a monetary production economy, our study develops an estimation and simulation procedure to predict historical series of interest rates. We find that the model predictions of interest rates are consistent with U.S. data in many respects. However, the model fails to explain the abnormal drift in real rates in the early 1980s and to deliver the smooth movement of nominal rates at high frequencies. C1 [Choi, Woon Gyu] Int Monetary Fund, Washington, DC 20431 USA. [Wen, Yi] Fed Reserve Bank, Div Res, St Louis, MO USA. RP Choi, WG (reprint author), Int Monetary Fund, 700 19th St,NW, Washington, DC 20431 USA. EM wchoi@imf.org; yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 51 TC 0 Z9 0 U1 1 U2 6 PU WUHAN UNIV JOURNALS PRESS PI WUHAN PA DONGHU RD, 155, WUHAN, HUBEI 430072, PEOPLES R CHINA SN 1529-7373 J9 ANN ECON FINANC JI Ann. Econ. Financ. PD MAY PY 2007 VL 8 IS 1 BP 167 EP 195 PG 29 WC Economics SC Business & Economics GA 337IP UT WOS:000258430100010 ER PT J AU Poole, W AF Poole, William TI The GSEs: Where do we stand? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Meeting of the Chartered-Financial-Analysts-of-St-Louis CY JAN 17, 2007 CL St Louis, MO SP Chartered Financial Analysts St Louis ID GOVERNMENT C1 Fed Reserve Bank, St Louis, MO USA. RP Poole, W (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 15 TC 0 Z9 0 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2007 VL 89 IS 3 BP 143 EP 151 PG 9 WC Business, Finance; Economics SC Business & Economics GA 167WK UT WOS:000246483000001 ER PT J AU Nelson, E AF Nelson, Edward TI Milton Friedman and US monetary history: 1961-2006 SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID ERGO PROPTER HOC; STOCK-MARKET; POLICY; MONEY; INFLATION; LESSONS; LECTURE; INCOME; 1980S AB This paper, using extensive archival material from several countries, brings together scattered information about Milton Friedman's views and predictions regarding U.S. monetary policy developments after 1960 (i.e., the period beyond that covered by his and Anna Schwartz's Monetary History of the United States). The author evaluates these interpretations and predictions in light of subsequent events. C1 Fed Reserve Bank, St Louis, MO 63102 USA. RP Nelson, E (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. NR 70 TC 11 Z9 11 U1 0 U2 7 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2007 VL 89 IS 3 BP 153 EP 182 PG 30 WC Business, Finance; Economics SC Business & Economics GA 167WK UT WOS:000246483000002 ER PT J AU Thornton, DL AF Thornton, Daniel L. TI The lower and upper bounds of the Federal open market committee's long-run inflation objective SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB It is widely acknowledged that the Fed can control the average inflation rate over a period of time reasonably well. Because of this and the Federal Open Market Committee's (FOMC's) long-standing commitment to price stability, the author argues that the FOMC has an implicit long-run inflation objective (LIO)-lower and upper bounds to the long-run inflation rate. He shows that the statements made by the FOMC in 2003 clarified the lower bound of its LIO and that the average of long-run inflation expectations responded by rising about 80 basis points. Moreover, consistent with reducing the market's uncertainty about the FOMC's LIO, long-run inflation expectations became more stable. The FOMC has recently been more specific about the upper bound of its LIO as well. The FOMC could eliminate the remaining uncertainty by establishing an explicit, numerical inflation objective. C1 Fed Res Bank, St Louis, MO 63102 USA. RP Thornton, DL (reprint author), Fed Res Bank, St Louis, MO 63102 USA. NR 23 TC 2 Z9 2 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2007 VL 89 IS 3 BP 183 EP 193 PG 11 WC Business, Finance; Economics SC Business & Economics GA 167WK UT WOS:000246483000003 ER PT J AU Wen, Y AF Wen, Yi TI Granger causality and equilibrium business cycle theory SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID INCREASING RETURNS; INDETERMINACY AB Postwar U.S. data show that consumption growth "Granger-causes" output and investment growth, which is puzzling if technology is the driving force of the business cycle. The author asks whether general equilibrium models with information frictions and non-technology shocks can rationalize the observed causal relationships. His conclusion is they cannot. C1 Fed Res Bank, St Louis, MO 63102 USA. RP Wen, Y (reprint author), Fed Res Bank, St Louis, MO 63102 USA. RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 12 TC 5 Z9 5 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2007 VL 89 IS 3 BP 195 EP 205 PG 11 WC Business, Finance; Economics SC Business & Economics GA 167WK UT WOS:000246483000004 ER PT J AU Basu, S Fernald, J AF Basu, Susanto Fernald, John TI Information and communications technology as a general-purpose technology: Evidence from US industry data SO GERMAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT Conference on the Determinants of Productivity Growth CY SEP, 2006 CL Vienna, AUSTRIA DE information technology; general-purpose technology; productivity acceleration ID FIRM-LEVEL EVIDENCE; STOCK-MARKET; GROWTH; PRODUCTIVITY; DEMAND; LABOR AB Many people point to information and communications technology (ICT) as the key for understanding the acceleration in productivity in the United States since the mid-1990s. Stories of ICT as a 'general-purpose technology' suggest that measured total factor productivity (TFP) should rise in ICT-using sectors (reflecting either unobserved accumulation of intangible organizational capital; spillovers; or both), but with a long lag. Contemporaneously, however, investments in ICT may be associated with lower TFP as resources are diverted to reorganization and learning. We find that US industry results are consistent with general-purpose technology (GPT) stories: the acceleration after the mid-1990s was broad-based - located primarily in ICT-using industries rather than ICT-producing industries. Furthermore, industry TFP accelerations in the 2000s are positively correlated with (appropriately weighted) industry ICT capital growth in the 1990s. Indeed, as GPT stories would suggest, after controlling for past ICT investment, industry TFP accelerations are negatively correlated with increases in ICT usage in the 2000s. C1 [Basu, Susanto] Boston Coll, Dept Econ, Boston, MA 02467 USA. [Basu, Susanto] NBER, Cambridge, MA 02138 USA. [Fernald, John] Fed Reserve Bank San Francisco, Res Dept, San Francisco, CA 94105 USA. RP Basu, S (reprint author), Boston Coll, Dept Econ, Chestnut Hill, Boston, MA 02467 USA. EM susanto.basu@bc.edu; john.fernald@sf.frb.org NR 48 TC 28 Z9 28 U1 2 U2 11 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1465-6485 J9 GER ECON REV JI Ger. Econ. Rev. PD MAY PY 2007 VL 8 IS 2 BP 146 EP 173 DI 10.1111/j.1468-0475.2007.00402.x PG 28 WC Economics SC Business & Economics GA 303BQ UT WOS:000256014900003 ER PT J AU Stiroh, K Botsch, M AF Stiroh, Kevin Botsch, Matthew TI Information technology and productivity growth in the 2000s SO GERMAN ECONOMIC REVIEW LA English DT Article DE productivity growth; information technology ID ICT AB US productivity growth experienced continued productivity growth after 2000 even as investment, particularly in information technology (IT), slowed. This paper uses industry-level data to examine the link between average labor productivity (ALP) growth and IT in the post-2000 period. We use difference-indifference and cross-sectional regressions to show that the link between ALP growth and IT-intensity is weaker after 2000 than before. These results are robust to alternative measures of IT-intensity such as the IT share of capital services, the level of IT capital depth, and the share of IT capital services in total output. We conclude that the post-2000 productivity gains in the United States do not appear to have been driven directly by IT. C1 [Stiroh, Kevin; Botsch, Matthew] Fed Reserve Bank New York, New York, NY 10045 USA. RP Stiroh, K (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM kevin.stiroh@ny.frb.org NR 27 TC 12 Z9 12 U1 1 U2 4 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1465-6485 J9 GER ECON REV JI Ger. Econ. Rev. PD MAY PY 2007 VL 8 IS 2 BP 255 EP 280 DI 10.1111/j.1468-0475.2007.00407.x PG 26 WC Economics SC Business & Economics GA 303BQ UT WOS:000256014900008 ER PT J AU Clark, TE West, KD AF Clark, Todd E. West, Kenneth D. TI Approximately normal tests for equal predictive accuracy in nested models SO JOURNAL OF ECONOMETRICS LA English DT Article DE out of sample; causality; random walk; testing; efficient markets; principle of parsimony ID STOCK RETURNS; DIFFUSION INDEXES; EXCHANGE-RATES; OUTPUT GROWTH; REAL-TIME; FORECASTS; PREDICTABILITY; FUNDAMENTALS; REGRESSIONS; CONSUMPTION AB Forecast evaluation often compares a parsimonious null model to a larger model that nests the null model. Under the null that the parsimonious model generates the data, the larger model introduces noise into its forecasts by estimating parameters whose population values are zero. We observe that the mean squared prediction error (MSPE) from the parsimonious model is therefore expected to be smaller than that of the larger model. We describe how to adjust MSPEs to account for this noise. We propose applying standard methods [West, K.D., 1996. Asymptotic inference about predictive ability. Econometrica 64, 1067-1084] to test whether the adjusted mean squared error difference is zero. We refer to nonstandard limiting distributions derived in Clark and McCracken [2001. Tests of equal forecast accuracy and encompassing for nested models. Journal of Econometrics 105, 85-110; 2005a. Evaluating direct multistep forecasts. Econometric Reviews 24, 369-404] to argue that use of standard normal critical values will yield actual sizes close to, but a little less than, nominal size. Simulation evidence supports our recommended procedure. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Res Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. Univ Wisconsin, Madison, WI 53706 USA. RP Clark, TE (reprint author), Fed Res Bank Kansas City, Econ Res Dept, 925 Grand Blvd, Kansas City, MO 64198 USA. EM todd.e.clark@kc.frb.org RI West, Kenneth/A-5693-2008; Rohlf, F/A-8710-2008 NR 38 TC 253 Z9 256 U1 3 U2 20 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 2007 VL 138 IS 1 BP 291 EP 311 DI 10.1016/j.jeconom.2006.05.023 PG 21 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 161XP UT WOS:000246050700013 ER PT J AU Trehan, B Wu, T AF Trehan, Bharat Wu, Tao TI Time-varying equilibrium real rates and monetary policy analysis SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE monetary policy rules ID INERTIA AB We show how a positive correlation between the equilibrium real interest rate (ERR) and trend growth matters for two widely debated issues in monetary policy. First, a simple Taylor rule is more robust to uncertainty about the trend growth rate than suggested by some analyses of the increase in U.S. inflation during the 1970s, because the policy mistake made when measuring the change in trend growth gets offset by the accompanying mistake in measuring the change in the ERR. Second, ignoring this correlation when estimating policy rules results in coefficients that exaggerate both the degree of interest rate smoothing and the strength of the monetary authority's response to inflation. (C) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Econ Res, Dallas, TX 75206 USA. Fed Reserve Bank San Francisco, Econ Res, San Francisco, CA 94105 USA. RP Wu, T (reprint author), Fed Reserve Bank Dallas, Econ Res, 2200 N Pearl St, Dallas, TX 75206 USA. EM Bharat.Trehan@sf.frb.org; Tao.Wu@dal.frb.org NR 26 TC 9 Z9 9 U1 1 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAY PY 2007 VL 31 IS 5 BP 1584 EP 1609 DI 10.1016/j.jedc.2006.04.009 PG 26 WC Economics SC Business & Economics GA 168QB UT WOS:000246538000006 ER PT J AU Sengupta, R AF Sengupta, Rajdeep TI Foreign entry and bank competition SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE bank competition; credit allocation; cross-border liberalization ID ASYMMETRIC INFORMATION; LENDING RELATIONSHIPS; CORPORATE GOVERNANCE; ECONOMIC-GROWTH; CREDIT MARKETS; FINANCE; INDUSTRY; EQUILIBRIUM; BARRIER; RISK AB Foreign entry and bank competition are modeled as the interaction between asymmetrically informed principals: The entrant uses collateral as a screening device to contest the incumbent's informational advantage. Both better information ex ante and stronger legal protection ex post are shown to facilitate the entry of low-cost outside competitors into credit markets. The entrant's success in gaining borrowers of higher quality by offering cheaper loans increases with its efficiency (cost) advantage. This paper accounts for evidence suggesting that foreign banks tend to lend more to large firms thereby neglecting small and medium enterprises. The results also explain why this observed bias is stronger in emerging markets. (c) 2007 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Sengupta, R (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63166 USA. EM rajdeep.sengupta@stls.frb.org NR 52 TC 36 Z9 40 U1 1 U2 15 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD MAY PY 2007 VL 84 IS 2 BP 502 EP 528 DI 10.1016/j.jfineco.2006.04.002 PG 27 WC Business, Finance; Economics SC Business & Economics GA 170CI UT WOS:000246639100008 ER PT J AU Bown, CP Crowley, MA AF Bown, Chad P. Crowley, Meredith A. TI Trade deflection and trade depression SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE deflected trade; depressed trade; antidumping; safeguards; MFN ID PANEL-DATA; DYNAMIC-MODELS; UNITED-STATES; EQUATIONS; BLOCS AB This is the first paper to empirically examine whether a country's use of an import restricting trade policy distorts a foreign country's exports to third markets. We first develop a theoretical model of worldwide trade in which the imposition of antidumping and safeguard tariffs, or "trade remedies," by one country causes significant distortions in world trade flows. We then empirically test this model by investigating the effect of the United States' use of such import restrictions on Japanese exports of roughly 4800 products into 37 countries between 1992 and 2001. Our estimation yields evidence that US restrictions both deflect and depress Japanese export flows to third countries. Imposition of a US antidumping measure against Japan deflects trade, as the average antidumping duty on Japanese exports leads to a 5-7% increase in Japanese exports of the same product to the average third country market. The imposition of a US antidumping measure against a third country depresses trade, as the average US duty imposed on a third country leads to a 5-19% decrease in Japanese exports of that same product to the average third country's market. We also document the substantial variation in trade deflection and trade depression across different importing countries and exported products. (C) 2006 Elsevier B.V. All rights reserved. C1 Brandeis Univ, Dept Econ, Waltham, MA 02454 USA. Brandeis Univ, Int Business Sch, Waltham, MA 02454 USA. Fed Reserve Bank Chicago, Dept Econ Res, Chicago, IL 60604 USA. RP Bown, CP (reprint author), Brandeis Univ, Dept Econ, MS 021, Waltham, MA 02454 USA. EM cbown@brandeis.edu; mcrowley@frbchi.org NR 37 TC 41 Z9 43 U1 2 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 J9 J INT ECON JI J. Int. Econ. PD MAY PY 2007 VL 72 IS 1 BP 176 EP 201 DI 10.1016/j.jinteco.2006.09.005 PG 26 WC Economics SC Business & Economics GA 165RH UT WOS:000246322600009 ER PT J AU Kahn, CM Roberds, W AF Kahn, Charles M. Roberds, William TI Transferability, finality, and debt settlement SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE settlement; transferability; finality; negotiability; mechanism design; inside money ID PAYMENTS; MONEY AB Payment, fundamental to exchange in a decentralized economy, often takes the form of transfers of inside money, i.e., specialized forms of debt. Associated with each type of inside money is a set of rules that governs both the legitimacy of such transfers as means of extinguishing other debts, and the allocation of the ensuing risks. In this paper we develop a model of debt as inside money. In a simple mechanism design framework we show that transferable debt that can be used to settle other debt obligations with finality can be a welfare improving arrangement in the presence of limited enforcement powers. Transferable debt has two advantages over simple chains of credit: it allows for removal of less-than-perfectly reliable agents from the chain in a timely fashion, and it allows agents to direct payments to the proper party without direct communication with other members of the credit chain. (C) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA USA. Univ Illinois, Dept Finance, Chicago, IL 60680 USA. RP Roberds, W (reprint author), Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA USA. EM c-kahn@uiuc.edu; william.roberds@atl.frb.org NR 25 TC 5 Z9 5 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 MAY PY 2007 VL 54 IS 4 BP 955 EP 978 DI 10.1016/j.jmoneco.2006.06.005 PG 24 WC Business, Finance; Economics SC Business & Economics GA 173OO UT WOS:000246882600001 ER PT J AU Nosal, E Wallace, N AF Nosal, Ed Wallace, Neil TI A model of (the threat of) counterfeiting SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE counterfeiting; matching model; Cho-Kreps refinement ID MONETARY EXCHANGE; MONEY; PRICES; SEARCH AB A simple matching-model of money with the potential for counterfeiting is constructed. In contrast to the existing literature, lotteries are included. These provide scope for the operation of the intuitive criterion of Cho and Kreps. The application of that refinement is shown to imply that there is no equilibrium with counterfeiting. If the cost of producing counterfeits is low enough, then there is no monetary equilibrium. Otherwise, there is a monetary equilibrium without counterfeiting. In other words, the threat of counterfeiting can eliminate the monetary equilibrium. (C) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44101 USA. Penn State Univ, Dept Econ, University Pk, PA 16802 USA. RP Nosal, E (reprint author), Fed Reserve Bank Cleveland, Res Dept, POB 6387, Cleveland, OH 44101 USA. EM ed.nosal@clev.frb.org NR 11 TC 13 Z9 13 U1 0 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2007 VL 54 IS 4 BP 994 EP 1001 DI 10.1016/j.jmoneco.2006.02.006 PG 8 WC Business, Finance; Economics SC Business & Economics GA 173OO UT WOS:000246882600003 ER PT J AU Monnet, C Quintin, E AF Monnet, Cyril Quintin, Erwan TI Why do financial systems differ? History matters SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE financial systems; financial markets; financial institutions; banks; convergence ID ECONOMIC-GROWTH; EQUILIBRIUM AB We describe a dynamic model of financial intermediation in which fundamental characteristics of the economy imply a unique equilibrium path of bank and financial market lending. Yet we also show that economies whose fundamental characteristics have converged may continue to have very different financial structures. Because setting up financial markets is costly in our model, economies that emphasize bank lending are more likely to continue doing so in the future, all else equal. (C) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Dallas, TX USA. EM cyril.monnet@ecb.int; erwan.quintin@dal.frb.org NR 17 TC 6 Z9 6 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2007 VL 54 IS 4 BP 1002 EP 1017 DI 10.1016/j.jmoneco.2006.03.003 PG 16 WC Business, Finance; Economics SC Business & Economics GA 173OO UT WOS:000246882600004 ER PT J AU Faust, J Rogers, JH Wang, SYB Wright, JH AF Faust, Jon Rogers, John H. Wang, Shing-Yi B. Wright, Jonathan H. TI The high-frequency response of exchange rates and interest rates to macroeconomic announcements SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE data releases; exchange rates; uncovered interest parity; overshooting ID US TREASURY MARKET; STOCK-PRICES; FOREIGN-EXCHANGE; ECONOMIC-NEWS; INFORMATION; MODELS; MONEY; VOLATILITY; PARAMETERS; DOLLAR AB The joint movements of exchange rates and U.S. and foreign term structures over short-time windows around macro announcements are studied using a 14-year span of high-frequency data. In order to evaluate whether the joint effects can be reconciled with conventional theory, the implications of these joint movements for changes in expected future exchange rates and changes in foreign exchange risk premia are deduced. For several real macro announcements, a stronger than expected release appreciates the dollar today, and must either (i) lower the risk premium for holding foreign currency rather than dollars, or (ii) imply net expected dollar depreciation over the ensuing decade. (C) 2006 Elsevier B.V. All rights reserved. C1 Board Governors, Fed Reserve Syst, Int Finance Div, Washington, DC 20551 USA. Yale Univ, Dept Econ, New Haven, CT 06520 USA. Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Rogers, JH (reprint author), Board Governors, Fed Reserve Syst, Int Finance Div, Washington, DC 20551 USA. EM John.H.Rogers@frb.gov NR 49 TC 66 Z9 66 U1 3 U2 17 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2007 VL 54 IS 4 BP 1051 EP 1068 DI 10.1016/j.jmoneco.2006.05.015 PG 18 WC Business, Finance; Economics SC Business & Economics GA 173OO UT WOS:000246882600007 ER PT J AU Lubik, TA Schorfheide, F AF Lubik, Thomas A. Schorfheide, Frank TI Do central banks respond to exchange rate movements? A structural investigation SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE small open economy models; monetary policy rules; exchange rates; structural estimation; Bayesian analysis ID MONETARY-POLICY RULES; ECONOMETRIC-ANALYSIS; INFLATION DYNAMICS; PHILLIPS-CURVE; IDENTIFICATION; PRICES AB We estimate a small-scale, structural general equilibrium model of a small open economy using Bayesian methods. Our main focus is the conduct of monetary policy in Australia, Canada, New Zealand and the UK. We consider generic Taylor-type rules, where the monetary authority reacts in response to output, inflation, and exchange-rate movements. We perform posterior odds tests to investigate the hypothesis whether central banks do target exchange rates. The main result of this paper is that the central banks of Australia and New Zealand do not, whereas the Bank of Canada and the Bank of England do include the nominal exchange rate in its policy rule. This result is robust for various specification of the policy rule. We also find that terms-of-trade movements do not contribute significantly to domestic business cycles. (C) 2006 Published by Elsevier B.V. C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23219 USA. Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. RP Lubik, TA (reprint author), Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23219 USA. EM Thomas.Lubik@rich.frb.org NR 26 TC 136 Z9 137 U1 2 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2007 VL 54 IS 4 BP 1069 EP 1087 DI 10.1016/j.jmoneco.2006.01.009 PG 19 WC Business, Finance; Economics SC Business & Economics GA 173OO UT WOS:000246882600008 ER PT J AU Eusepi, S AF Eusepi, Stefano TI Learnability and monetary policy: A global perspective SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE learnability; inflation targeting; simple feedback rules; endogenous fluctuations ID INTEREST-RATE RULES; CYCLES; EQUILIBRIA; STABILITY; SUNSPOTS; MODELS AB The recent literature on monetary policy design has emphasized the importance of equilibrium determinacy and learnability in the choice of policy rules. This paper contains an analysis of the learnability of the equilibrium in a class of simple, micro-founded models in which the policy authority uses a Taylor-type monetary-policy rule. Unlike previous analyses, the model economy is not linearized about a steady state-instead, a global perspective is adopted. Globally, the nonlinear model economy can possess rational expectations equilibria, other than the steady state consistent with the inflation target of the monetary authorities. These include a second, low inflation 'liquidity trap' steady state, periodic equilibria, and sunspot equilibria. The main results in the paper characterize the conditions under which these alternative equilibria maybe stable under adaptive learning, even when the policy rule obeys the Taylor principle. The stability of multiple equilibria is associated with policy rules which are forecast-based. An important finding is that backward-looking Taylor-type policy rules can guarantee that the unique learnable equilibrium is the steady state associated with the inflation target of the monetary authority. (C) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Eusepi, S (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM stefano.eusepi@ny.frb.org NR 21 TC 9 Z9 9 U1 0 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2007 VL 54 IS 4 BP 1115 EP 1131 DI 10.1016/j.jmoneco.2006.02.003 PG 17 WC Business, Finance; Economics SC Business & Economics GA 173OO UT WOS:000246882600010 ER PT J AU Ang, A Bekaert, G Wei, M AF Ang, Andrew Bekaert, Geert Wei, Min TI Do macro variables, asset markets, or surveys forecast inflation better? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE ARIMA; Phillips curve; forecasting; term structure models; Livingston; SPF ID TERM-STRUCTURE; INTEREST-RATES; ECONOMETRIC-ANALYSIS; PREDICTIVE ABILITY; MONETARY-POLICY; BUSINESS-CYCLE; AFFINE MODELS; UNITED-STATES; RISK PREMIA; TELL US AB Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time-series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also investigate several methods of combining forecasts. Our results show that surveys outperform the other forecasting methods and that the term structure. specifications perform relatively poorly. We find little evidence that combining forecasts produces superior forecasts to survey information alone. When combining forecasts. the data consistently places the highest weights on survey information. (C) 2006 Elsevier B.V. All rights reserved. C1 Columbia Business Sch, New York, NY 10027 USA. Fed Reserve Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP Ang, A (reprint author), Columbia Business Sch, 805 Uris Hall,3022 Broadway, New York, NY 10027 USA. EM aa610@columbia.edu; gb241@columbia.edu; min.wei@frb.gov NR 79 TC 160 Z9 162 U1 4 U2 31 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 2007 VL 54 IS 4 BP 1163 EP 1212 DI 10.1016/j.jmoneco.2006.04.006 PG 50 WC Business, Finance; Economics SC Business & Economics GA 173OO UT WOS:000246882600012 ER PT J AU Veracierto, M AF Veracierto, Marcelo TI On the short-run effects of labor market reforms SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE fixed term contracts; temporary contracts; firing costs; severance payments AB While several countries have recognized the need of introducing flexibility to their labor markets, there are different ways of doing so. Using a small open economy with tenure-dependent separation taxes, this paper compares introducing a full reform with two partial alternatives: (1) the introduction of temporary contracts, and (2) the elimination of separation costs from all new hires while freezing them on the workers that were hired prior to the reform. The first alternative can achieve a first-best long run outcome but leads to a sharp initial recession. The second alternative generates a similar long run outcome but avoids the recessionary adjustment. (C) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Dept Res, Chicago, IL 60604 USA. RP Veracierto, M (reprint author), Fed Reserve Bank Chicago, Dept Res, 230 S LaSalle St, Chicago, IL 60604 USA. EM mveracierto@frbchi.org NR 8 TC 4 Z9 4 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2007 VL 54 IS 4 BP 1213 EP 1229 DI 10.1016/j.jmoneco.2006.02.007 PG 17 WC Business, Finance; Economics SC Business & Economics GA 173OO UT WOS:000246882600013 ER PT J AU Huang, KXD Liu, Z AF Huang, Kevin X. D. Liu, Zheng TI Business cycles with staggered prices and international trade in intermediate inputs SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE multiple stages of production; international trade in intermediate goods; staggered prices; international quantity correlations; exchange rates ID EXCHANGE-RATE DYNAMICS; PRICING-TO-MARKET; VERTICAL SPECIALIZATION; WORLD-TRADE; RATES; MACROECONOMICS; PERSISTENCE; PROTECTION; MODEL; PRODUCTIVITY AB International trade in intermediate inputs and, increasingly, in goods produced at multiple stages of processing has been widely studied in the real trade literature. We assess the role of this feature of modern world trade in accounting for some stylized facts about international business cycles. Our model with staggered prices and trade in intermediates across four stages of processing does well in explaining the observed international correlations in aggregate quantities, and it performs much bet, ter than a single-stage model with no trade in intermediates. The model in itself does not provide a full account of the cyclical behavior of the real exchange rate, but, compared to the single-stage model, it moves in the right direction. (C) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. Vanderbilt Univ, Dept Econ, Nashville, TN 37235 USA. Emory Univ, Dept Econ, Atlanta, GA 30322 USA. RP Huang, KXD (reprint author), Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. EM kevin.huang@vanderbilt.edu NR 46 TC 10 Z9 10 U1 3 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2007 VL 54 IS 4 BP 1271 EP 1289 DI 10.1016/j.jmoneco.2006.05.016 PG 19 WC Business, Finance; Economics SC Business & Economics GA 173OO UT WOS:000246882600016 ER PT J AU Carlino, GA Chatterjee, S Hunt, RM AF Carlino, Gerald A. Chatterjee, Satyajit Hunt, Robert M. TI Urban density and the rate of invention SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE agglomeration economies; knowledge spillovers; urban density; innovation; patents ID GEOGRAPHIC LOCALIZATION; SPATIAL ECONOMETRICS; INNOVATION; KNOWLEDGE; AGGLOMERATION; SPILLOVERS; GROWTH; CITIES; DETERMINANTS; DIFFUSION AB Economists, beginning with Alfred Marshall, have studied the significance of cities in the production and exploitation of information externalities that, today, we call knowledge spillovers. This paper presents robust evidence of those effects. We show that patent intensity-the per capita invention rate-is positively related to the density of employment in the highly urbanized portion of MAs. All else equal, a city with twice the employment density (jobs per square mile) of another city will exhibit a patent intensity (patents per capita) that is 20 percent higher. Patent intensity is maximized at an employment density of about 2200 jobs per square mile. A city with a more competitive market structure or one that is not too large (a population less than 1 million) will also have a higher patent intensity. These findings confirm the widely held view that the nation's densest locations play an important role in creating the flow of ideas that generate innovation and growth. (C) 2006 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Carlino, GA (reprint author), Fed Reserve Bank Philadelphia, Res Dept, Ten Independence Mall, Philadelphia, PA 19106 USA. EM jerry.carlino@phil.frb.org NR 56 TC 126 Z9 129 U1 4 U2 34 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 2007 VL 61 IS 3 BP 389 EP 419 DI 10.1016/j.jue.2006.08.003 PG 31 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 167OC UT WOS:000246460000001 ER PT J AU Rappaport, J AF Rappaport, Jordan TI Moving to nice weather SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE economic growth; population density; migration; quality of life ID QUALITY-OF-LIFE; INCREASING RETURNS; URBAN AREAS; CLIMATE; POPULATION; MIGRATION AB U.S. residents have been moving en masse to places with nice weather. Well known is the migration towards places with warm winters, which is often attributed to the introduction of air conditioning. But people have also been moving to places with cooler, less-humid summers, which is the opposite of what is expected from the introduction of air conditioning. Nor can the movement to nice weather be primarily explained by shifting industrial composition or by migration of the elderly. Instead, a large portion of weather-related movement appears to be driven by an increased valuation of nice weather as a consumption amenity, probably due to broad-based rising per capita income. (C) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Rappaport, J (reprint author), Fed Reserve Bank Kansas City, 925 Grand Blvd, Kansas City, MO 64198 USA. EM jordan.rappaport@kc.frb.org NR 40 TC 112 Z9 113 U1 8 U2 22 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD MAY PY 2007 VL 37 IS 3 BP 375 EP 398 DI 10.1016/j.regsciurbeco.2006.11.004 PG 24 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 163CV UT WOS:000246137200005 ER PT J AU Cunningham, CR AF Cunningham, Christopher R. TI Growth controls, real options, and land development SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID URBAN-GROWTH; HOUSING PRICES; IRREVERSIBLE INVESTMENT; BOUNDARIES; PORTLAND; CITY; UNCERTAINTY; VALUATION; VALUES; LOCATION AB Many urban growth controls attempt to check sprawl by restricting allowable new housing densities. However, land may be undeveloped to preserve its real-option value. Real options in land markets arise from uncertainty as to the optimum use of a site. By limiting allowable development choices, growth controls can narrow real options and potentially accelerate investment. This paper examines the effect of price volatility, a generator of option value, on the timing of development after the imposition of an Urban Growth Boundary (UGB) around Seattle. While the net effect of the UGB is to lower the likelihood of new housing outside the boundary by between 28% and 39%, price volatility is no longer a deterrent to development. C1 Fed Reserve Bank Atlanta, Atlanta, GA 30303 USA. RP Cunningham, CR (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA 30303 USA. NR 49 TC 33 Z9 33 U1 2 U2 20 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2007 VL 89 IS 2 BP 343 EP 358 DI 10.1162/rest.89.2.343 PG 16 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 164AW UT WOS:000246206000013 ER PT J AU Mester, LJ Nakamura, LI Renault, M AF Mester, Loretta J. Nakamura, Leonard I. Renault, Micheline TI Transactions accounts and loan monitoring SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID BANKS; FINANCE AB We show that transactions accounts, by providing ongoing data on borrowers' activities, help financial intermediaries monitor borrowers. This information is most readily available to commercial banks, which offer these accounts and lending together. We find that (1) monthly changes in accounts receivable are reflected in transactions accounts; (2) borrowings in excess of collateral predict credit downgrades and loan write-downs; and (3) the lender intensifies monitoring in response. This is evidence on a key issue in financial intermediation-there is an advantage to providing deposit-taking and lending jointly. But this advantage may have fallen as the cost of communication has declined. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. Univ Quebec, Montreal, PQ H3C 3P8, Canada. RP Nakamura, LI (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM leonard.nakamura@phil.frb.org NR 16 TC 28 Z9 29 U1 0 U2 7 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 EI 1465-7368 J9 REV FINANC STUD JI Rev. Financ. Stud. PD MAY PY 2007 VL 20 IS 3 BP 529 EP 556 DI 10.1093/rfs/hhl018 PG 28 WC Business, Finance; Economics SC Business & Economics GA 169WA UT WOS:000246621600001 ER PT J AU Paulson, A AF Paulson, Anna TI Insurance against poverty. SO ECONOMIC DEVELOPMENT AND CULTURAL CHANGE LA English DT Book Review C1 Fed Reserve Banck Chicago, Chicago, IL USA. RP Paulson, A (reprint author), Fed Reserve Banck Chicago, Chicago, IL USA. NR 1 TC 0 Z9 0 U1 1 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0013-0079 EI 1539-2988 J9 ECON DEV CULT CHANGE JI Econ. Dev. Cult. Change PD APR PY 2007 VL 55 IS 3 BP 625 EP 627 DI 10.1086/511287 PG 3 WC Area Studies; Economics; Planning & Development SC Area Studies; Business & Economics; Public Administration GA 147PN UT WOS:000245015000010 ER PT J AU Neely, CJ Taylor, MP AF Neely, Christopher J. Taylor, Mark P. TI Exchange rate intervention SO INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. Univ Warwick, Coventry CV4 7AL, W Midlands, England. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Box 442, St Louis, MO 63166 USA. EM neely@stls.frb.org; mark.taylor@warwick.ac.uk NR 0 TC 1 Z9 1 U1 0 U2 0 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 1076-9307 J9 INT J FINANC ECON JI Int. J. Financ. Econ. PD APR PY 2007 VL 12 IS 2 BP 107 EP 108 DI 10.1002/ijfe.331 PG 2 WC Business, Finance SC Business & Economics GA 165ZC UT WOS:000246345400001 ER PT J AU Bordo, MD Humpage, O Schwartz, AJ AF Bordo, Michael D. Humpage, Owen Schwartz, Anna J. TI The historical origins of US exchange market intervention policy SO INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS LA English DT Article; Proceedings Paper CT Conference on Exchange Rate Intervention - Theory and Evidence CY SEP 07-08, 2006 CL Clare Coll, Cambridge, ENGLAND HO Clare Coll DE foreign exchange market intervention; Bretton Woods; Exchange Stabilization Fund; gold standard; Federal Reserve System AB This paper examines the historical precedents of US exchange market intervention. Before 1934 we describe operations by the Second Bank of the United States, the US Treasury and the Federal Reserve. We then examine the operations of the Exchange Stabilization Fund, created in 1934 as a Treasury Department agency. Our study, based on unique, unpublished sources, analyses ESF dealings with the Banque de France and the Bank of England before and after the Tripartite Agreement of 1936. Finally, using unique data we discuss US efforts from 1961 through 1972 to defend the dollar's parity under the Bretton Woods System. Copyright (c) 2007 John Wiley & Sons, Ltd. C1 Rutgers State Univ, Piscataway, NJ 08855 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Bordo, MD (reprint author), Rutgers State Univ, Piscataway, NJ 08855 USA. EM bordo@econ.rutgers.edu NR 39 TC 5 Z9 5 U1 0 U2 3 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 1076-9307 J9 INT J FINANC ECON JI Int. J. Financ. Econ. PD APR PY 2007 VL 12 IS 2 BP 109 EP 132 DI 10.1002/ijfe.332 PG 24 WC Business, Finance SC Business & Economics GA 165ZC UT WOS:000246345400002 ER PT J AU Beine, M Lahaye, J Laurent, S Neely, CJ Palm, FC AF Beine, Michel Lahaye, Jerome Laurent, Sebastien Neely, Christopher J. Palm, Franz C. TI Central bank intervention and exchange rate volatility, its continuous and jump components SO INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS LA English DT Article DE intervention; jumps; bi-power variation; exchange rate; volatility ID FOREIGN-EXCHANGE; MODELS; ANNOUNCEMENTS; MARKET AB We analyse the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bi-power variation to decompose this volatility into a continuously varying and jump component. Analysis of the timing and direction of jumps and interventions imply that coordinated interventions tend to cause few, but large jumps. Most coordinated operations explain, statistically, an increase in the persistent (continuous) part of exchange rate volatility. This correlation is even stronger on days with jumps. Copyright (c) 2007 John Wiley & Sons, Ltd. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. Free Univ Brussels, Brussels, Belgium. Univ Luxembourg, Luxembourg, Luxembourg. Univ Namur, CeReFiM, Namur, Belgium. Maastricht Univ, Fac Econ & Business Adm, Maastricht, Netherlands. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. EM neely@stls.frb.org RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 32 TC 17 Z9 17 U1 0 U2 7 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 1076-9307 J9 INT J FINANC ECON JI Int. J. Financ. Econ. PD APR PY 2007 VL 12 IS 2 BP 201 EP 223 DI 10.1002/ijfe.330 PG 23 WC Business, Finance SC Business & Economics GA 165ZC UT WOS:000246345400006 ER PT J AU Galati, G Higgins, P Humpage, O Melick, W AF Galati, Gabriele Higgins, Patrick Humpage, Owen Melick, William TI Option prices, exchange market intervention, and the higher moment expectations channel: A user's guide SO INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS LA English DT Article DE exchange rates; central bank intervention and reaction functions; option prices; probability density functions ID CENTRAL BANK INTERVENTION; FOREIGN-EXCHANGE; INVESTMENT PERFORMANCE; US INTERVENTION; RATE VOLATILITY; IMPLICIT; JAPAN; PROBABILITY AB A vast literature on the effects of sterilized intervention by the monetary authorities in the foreign exchange markets concludes that intervention systematically moves the spot exchange rate only if it is publicly announced, coordinated across countries, and consistent with the underlying stance of fiscal and monetary policy. Over the past 15 years, researchers have also attempted to determine if intervention has any effects on the dispersion and directionality of market views concerning the future exchange rate. These studies usually focus on the variance around the expected future exchange rate-the second moment. In this paper we demonstrate how to use over-the-counter option prices to recover the risk-neutral probability density function (PDF) for the future exchange rate. Using the yen/dollar exchange rate as an example, we calculate measures of dispersion and directionality, such as variance and skewness, from estimated PDFs to test whether intervention by the Japanese Ministry of Finance during the period 1996-2004 had any impact on the higher moments of the exchange rate. We find little or no systematic effect, consistent with the findings of the literature on the spot rate as: Japanese intervention was not publicly announced prior to August 2000, and since that time only publicly announced after the fact, over the past 10 years rarely coordinated across countries and, in hindsight, probably inconsistent with the underlying stance of monetary policy. Copyright (c) 2007 John Wiley & Sons, Ltd. C1 Kenyon Coll, Dept Econ, Gambier, OH 43022 USA. Fed Reserve Bank Cleveland, Res Dept, Cleveland, OH 44114 USA. RP Melick, W (reprint author), Kenyon Coll, Dept Econ, Gambier, OH 43022 USA. EM melickw@kenyon.edu NR 55 TC 4 Z9 4 U1 1 U2 6 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 1076-9307 J9 INT J FINANC ECON JI Int. J. Financ. Econ. PD APR PY 2007 VL 12 IS 2 BP 225 EP 247 DI 10.1002/ijfe.325 PG 23 WC Business, Finance SC Business & Economics GA 165ZC UT WOS:000246345400007 ER PT J AU Neely, CJ Weller, PA AF Neely, Christopher J. Weller, Paul A. TI Central bank intervention with limited arbitrage SO INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS LA English DT Article DE intervention; foreign exchange; limits to arbitrage; arbitrage; noise trader ID EXCHANGE-RATE VOLATILITY; RATE PASS-THROUGH; MONETARY FUNDAMENTALS; RATE DISCONNECT; MARKETS; STOCKS; FUNDS; RATES AB Shleifer and Vishny (SV) pointed out some of the practical and theoretical problems associated with assuriling that rational risk-arbitrage would quickly drive asset prices back to long-run equilibrium. In particular, they showed that the possibility that asset price disequilibrium would worsen, before being corrected, tends to limit rational speculators. Uniquely, SV showed that 'performance-based asset management' would tend to reduce risk-arbitrage when it is needed most, when asset prices are furthest from equilibrium. We analyse a generalized SV model for central bank intervention. We show that increasing availability of arbitrage capital has a pronounced effect on the dynamic intervention strategy of the central bank. Intervention is reduced during periods of moderate misalignment and amplified at times of extreme misalignirient. This pattern is consistent with empirical observation. Copyright (c) 2007 John Wiley & Sons, Ltd. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. Univ Iowa, Dept Finance, Iowa City, IA 52242 USA. RP Neely, CJ (reprint author), Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. EM neely@stls.frb.org RI Neely, Christopher/D-3636-2012; Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 39 TC 2 Z9 2 U1 1 U2 4 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 1076-9307 J9 INT J FINANC ECON JI Int. J. Financ. Econ. PD APR PY 2007 VL 12 IS 2 BP 249 EP 260 DI 10.1002/ijfe.328 PG 12 WC Business, Finance SC Business & Economics GA 165ZC UT WOS:000246345400008 ER PT J AU DeYoung, R Lang, WW Nolle, DL AF DeYoung, Robert Lang, William W. Nolle, Daniel L. TI How the Internet affects output and performance at community banks SO JOURNAL OF BANKING & FINANCE LA English DT Article DE community banks; Internet banking; process innovation; product innovation ID SMALL BUSINESS AB Internet web sites have become an important alternative distribution channel for most banking institutions. However, we still know little about the impact of this delivery channel on bank performance. We observe 424 community banks among the first wave of US banks to adopt transactional banking web sites in the late-1990s, and compare the change in their 1999-2001 financial performance to that of 5175 branching-only community banks. Whereas today virtually all viable community banking franchises offer the Internet banking channel, studying this earlier time period allows us to make clean comparisons between subsamples of "brick-and-mortar" and "click-and-mortar" community banks. We find that Internet adoption improved community bank profitability, chiefly through increased revenues from deposit service charges. Internet adoption was also associated with movements of deposits from checking accounts to money market deposit accounts, increased use of brokered deposits, and higher average wage rates for bank employees. We find little evidence of changes in loan portfolio mix. Our findings suggest that these initial click-and-mortar banks (and their customers) used the Internet channel as a complement to, rather than a substitute for, physical branches. (c) Published by Elsevier B.V. C1 Fed Deposit Insurance Corp, Washington, DC 20429 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. Off Comptroller Currency, Washington, DC 20219 USA. RP DeYoung, R (reprint author), Fed Deposit Insurance Corp, 550 17th St NW, Washington, DC 20429 USA. EM rdeyoung@fdic.gov NR 19 TC 35 Z9 38 U1 3 U2 33 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD APR PY 2007 VL 31 IS 4 BP 1033 EP 1060 DI 10.1016/j.jbankfin.2006.10.003 PG 28 WC Business, Finance; Economics SC Business & Economics GA 161OG UT WOS:000246024300003 ER PT J AU Hannan, TH AF Hannan, Timothy H. TI ATM surcharge bans and bank market structure: The case of Iowa and its neighbors SO JOURNAL OF BANKING & FINANCE LA English DT Article DE ATMs; surcharges; market structure AB It is frequently claimed that high ATM surcharges actually attract customers to the banks that impose them, particularly if they operate large ATM networks. By exploiting as "natural experiments" two events associated with the lifting of surcharge bans in Iowa and in the states that neighbor Iowa, this paper seeks to test for the implications of this phenomenon as it applies to the market shares of banking institutions and to several aspects of market structure. Consistent with predictions, results of "difference-in-difference" analyses suggest that the retail account shares of larger market participants increased relative to those of smaller competitors, market concentration increased, and the number of market competitors decreased after the lifting of surcharge bans - all relative to what would have occurred had there been no change in authority to surcharge. (c) Published by Elsevier B.V. C1 Fed Reserve Board, Div Reserve & Stat, Fed Res Syst, Financial Struct Sect, Washington, DC 20551 USA. RP Hannan, TH (reprint author), Fed Reserve Board, Div Reserve & Stat, Fed Res Syst, Financial Struct Sect, Washington, DC 20551 USA. EM Timothy.H.Hannan@frb.gov NR 14 TC 3 Z9 3 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD APR PY 2007 VL 31 IS 4 BP 1061 EP 1082 DI 10.1016/j.jbankfin.2006.10.002 PG 22 WC Business, Finance; Economics SC Business & Economics GA 161OG UT WOS:000246024300004 ER PT J AU Hirtle, BJ Stiroh, KJ AF Hirtle, Beverly J. Stiroh, Kevin J. TI The return to retail and the performance of US banks SO JOURNAL OF BANKING & FINANCE LA English DT Article DE commercial banking; retail banking; risk ID HOLDING COMPANIES; RISK-MANAGEMENT; DIVERSIFICATION; POLICIES AB The US banking industry is experiencing a renewed focus on retail banking, a trend often attributed to the stability and profitability of retail activities. This paper examines the impact of banks' retail intensity on performance from 1997 to 2004 by developing three complementary definitions of retail intensity (retail loan share, retail deposit share, and branches per dollar of assets) and comparing these measures with both equity market and accounting measures of performance. We find that an increased focus on retail banking across US banks is linked with significantly lower equity market and accounting returns for all banks, but lower volatility for only the largest banking companies. We conclude that retail banking may be a relatively stable activity, but it is also a low return one. (c) 2006 Elsevier B.V. All rights reserved. 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. EM beverly.hirtle@ny.frg.org; kevin.stiroh@ny.frb.org NR 17 TC 20 Z9 20 U1 3 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD APR PY 2007 VL 31 IS 4 BP 1101 EP 1133 DI 10.1016/j.jbankfin.2006.10.004 PG 33 WC Business, Finance; Economics SC Business & Economics GA 161OG UT WOS:000246024300006 ER PT J AU Del Negro, M Schorfheide, F Smets, F Wouters, R AF Del Negro, Marco Schorfheide, Frank Smets, Frank Wouters, Rafael TI On the fit of new Keynesian models SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Bayesian analysis; dynamic stochastic general equilibrium model; model evaluation; vector autoregression ID GENERAL EQUILIBRIUM-MODELS; MONETARY-POLICY; BAYESIAN-APPROACH; BUSINESS-CYCLE; FRAMEWORK; TIME; CALIBRATION; INFERENCE; PRICES; PRIORS AB This article provides new tools for the evaluation of dynamic stochastic general equilibrium (DSGE) models and applies them to a large-scale new Keynesian model. We approximate the DSGE model by a vector autoregression, and then systematically relax the implied cross-equation restrictions and document how the model fit changes. We also compare the DSGE model's impulse responses to structural shocks with those obtained after relaxing its restrictions. We find that the degree of misspecification in this large-scale DSGE model is Do longer so large as to prevent its use in day-to-day policy analysis, yet is not small enough to be ignored. C1 Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. European Cent Bank, D-60311 Frankfurt, Germany. Natl Bank Belgium, B-1000 Brussels, Belgium. RP Del Negro, M (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. EM marcodelnegro@frbatlanta.org; schorf@ssc.upenn.edu; Frank.Smets@ecb.int; Rafael.Wouters@nbb.be NR 34 TC 125 Z9 125 U1 5 U2 21 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 732 N WASHINGTON ST, ALEXANDRIA, VA 22314-1943 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD APR PY 2007 VL 25 IS 2 BP 123 EP 143 DI 10.1198/073500107000000016 PG 21 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 153ID UT WOS:000245424700001 ER PT J AU Del Negro, M Schorfheide, F Smets, F Wouters, R AF Del Negro, Marco Schorfheide, Frank Smets, Frank Wouters, Rafael TI On the fit of new Keynesian models - Rejoiner SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Editorial Material C1 Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. European Cent Bank, D-60311 Frankfurt, Germany. Natl Bank Belgium, B-1000 Brussels, Belgium. RP Del Negro, M (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. EM marcodelnegro@frbatlanta.org; schorf@ssc.upenn.edu; Frank.Smets@ecb.int; Rafael.Wouters@nbb.be NR 0 TC 4 Z9 4 U1 0 U2 6 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD APR PY 2007 VL 25 IS 2 BP 159 EP 162 DI 10.1198/073500107000000070 PG 4 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 153ID UT WOS:000245424700007 ER PT J AU Campbell, SD AF Campbell, Sean D. TI Macroeconomic volatility, predictability, and uncertainty in the great moderation: Evidence from the survey of professional forecasters SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE great moderation; predictability; uncertainty; volatility ID BUSINESS-CYCLE; TIME-SERIES; US ECONOMY; ACCURACY AB examine the extent to which the large decline in observed real output volatility, that is, the great moderation, can be attributed to changes in macroeconomic uncertainty and macroeconomic predictability using forecasts of future real output growth from the Survey of Professional Forecasters (SPF). The results indicate that both predictability and uncertainty have declined over the great moderation. The results indicate that measuring the decline in macroeconomic uncertainty with the volatility of shocks from a fixed-parameter autoregressive model overstates the decline in uncertainty by between 20% and 25%. 1 examine how this overstatement affects predictions of the equity premium in the consumption capital asset pricing model (CCAPM), and I relate the decline in predictability to a significant change in the relationship between SPF forecasts and key measures of current macroeconomic performance. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Campbell, SD (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 19 TC 21 Z9 21 U1 0 U2 4 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD APR PY 2007 VL 25 IS 2 BP 191 EP 200 DI 10.1198/073500106000000558 PG 10 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 153ID UT WOS:000245424700010 ER PT J AU Gurkaynak, RS Sack, BP Swanson, ET AF Guerkaynak, Refet S. Sack, Brian P. Swanson, Eric T. TI Market-based measures of monetary policy expectations SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE Federal Reserve; futures; monetary policy ID FEDERAL-RESERVE POLICY; INTEREST-RATES; FORECASTS; MODELS AB A number of recent articles have used different financial market instruments to measure near-term expectations of the federal funds rate and the high-frequency changes in these instruments around Federal Open Market Committee announcements to measure monetary policy shocks. This article evaluates the empirical success of a variety of financial market instruments in predicting the future path of monetary policy. All of the instruments we consider provide forecasts that are clearly superior to those of standard time series models at all of the horizons considered. Among financial market instruments, we find that federal funds futures dominate all the other securities in forecasting monetary policy at horizons out to six months. For longer horizons, the predictive power of many of the instruments we consider is very similar. In addition, we present evidence that monetary policy shocks computed using the current-month federal funds futures contract are influenced by changes in the timing of policy actions that do not influence the expected course of policy beyond a horizon of about six weeks. We propose an alternative shock measure that captures changes in market expectations of policy over slightly longer horizons. C1 Bilkent Univ, Dept Econ, Ankara, Turkey. Macroecon Advisers LLC, Washington, DC 20006 USA. Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Gurkaynak, RS (reprint author), Bilkent Univ, Dept Econ, Ankara, Turkey. EM refet@bilkent.edu.tr; sack@macroadvisers.com; eric.swanson@sf.frb.org NR 27 TC 57 Z9 58 U1 0 U2 12 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD APR PY 2007 VL 25 IS 2 BP 201 EP 212 DI 10.1198/073500106000000387 PG 12 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 153ID UT WOS:000245424700011 ER PT J AU Kroszner, RS Laeven, L Klingebiel, D AF Kroszner, Randall S. Laeven, Luc Klingebiel, Daniela TI Banking crises, financial dependence, and growth SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE banking and financial crises; financing constraints; financial development; credit channel ID MONETARY-POLICY; CREDIT; TRANSMISSION; MARKETS; LAW AB This paper contributes to the literature that analyzes the mechanisms linking financial shocks and real activity. In particular, we investigate the growth impact of banking crises on industries with different levels of dependence on external finance. If banks are the key institutions allowing credit constraints to be relaxed, then a sudden loss of these intermediaries in a system in which such intermediaries are important should have a disproportionately contractionary impact on the sectors that flourished due to their reliance on banks. Using data from 38 developed and developing countries that experienced financial crises during the last quarter century, we find that those sectors that are highly dependent on external finance tend to experience a substantially greater contraction of value added during a banking crisis in countries with deeper financial systems than in countries with shallower financial systems. Our results do not suggest, however, that on net the externally dependent firms fare worse in deep financial systems. (c) 2006 Elsevier B.V. All rights reserved. C1 Int Monetary Fund, Washington, DC 20431 USA. Board Governors Fed Reserve Syst, Washington, DC 20551 USA. CEPR, London EC1 V7RR, England. World Bank, Washington, DC 20433 USA. RP Laeven, L (reprint author), Int Monetary Fund, 700 19th St,NW, Washington, DC 20431 USA. EM llaeven@imf.org NR 34 TC 114 Z9 116 U1 4 U2 35 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD APR PY 2007 VL 84 IS 1 BP 187 EP 228 DI 10.1016/j.jfineco.2006.05.001 PG 42 WC Business, Finance; Economics SC Business & Economics GA 161TJ UT WOS:000246038600006 ER PT J AU Fleming, MJ Garbade, KD AF Fleming, Michael J. Garbade, Kenneth D. TI Dealer behavior in the specials market for US Treasury securities SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE securities lending; repurchase agreements; federal reserve; treasury securities ID SPECIAL REPO RATES; STOCK; RETURNS; MODEL AB We assess dealer behavior in the specials market for US Treasury securities by comparing dealer participation in the Federal Reserve's securities loan auctions with prices in the private market. Dealer behavior is generally consistent with the law of one price and apparent violations can largely be explained by institutional differences between the private market and the Fed's program. However, for auctions that are effectively noncompetitive, dealers regularly pass up true arbitrage opportunities and frequently overpay to borrow securities. Dealers apparently do not realize that certain auctions are noncompetitive, even though the information needed to discern this fact is publicly available in advance. (C) 2007 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank New York, Capital Markets Res, New York, NY 10045 USA. RP Fleming, MJ (reprint author), Fed Reserve Bank New York, Capital Markets Res, 33 Liberty St, New York, NY 10045 USA. EM michael.fleming@ny.frb.org NR 41 TC 5 Z9 5 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 APR PY 2007 VL 16 IS 2 BP 204 EP 228 DI 10.1016/j.jfi.2006.12.003 PG 25 WC Business, Finance SC Business & Economics GA 168QL UT WOS:000246539000003 ER PT J AU Sullivan, RJ Spong, KR AF Sullivan, Richard J. Spong, Kenneth R. TI Manager wealth concentration, ownership structure, and risk in commercial banks SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article ID DEPOSIT INSURANCE; CORPORATE-CONTROL; TAKING BEHAVIOR; FIRM; INDUSTRY; DEREGULATION; INVESTMENT; REDUCTION AB Of key importance in the governance structure of firms is the role of financial incentives for each major player. The main contribution of this article is an analysis of how an insider's concentration of wealth in his or her bank investment affects incentives to take risk. Major empirical findings are that, first, bank earnings variation falls when bank managers have more of their wealth concentrated in their banks; second, hired-manager banks become less risky when a person who has significant motivation to monitor bank management has his or her wealth highly concentrated in the bank; and third, stock ownership by hired managers can increase total risk of a bank. Further analysis suggests that community banks in our sample control earnings variation by manipulating idiosyncratic risk, credit risk, and leverage but not systematic risk or the loan-to-asset ratio. (C) 2007 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Kansas City, Payments Syst Res, Kansas City, MO 64198 USA. Fed Reserve Bank Kansas City, Banking Studies & Struct, Kansas City, MO 64198 USA. RP Sullivan, RJ (reprint author), Fed Reserve Bank Kansas City, Payments Syst Res, 925 Grand Blvd, Kansas City, MO 64198 USA. EM Rick.J.Sullivan@kc.frb.org; Ken.R.Spong@kc.frb.org NR 39 TC 25 Z9 25 U1 2 U2 13 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1042-9573 J9 J FINANC INTERMED JI J. Financ. Intermed. PD APR PY 2007 VL 16 IS 2 BP 229 EP 248 DI 10.1016/j.jfi.2006.12.001 PG 20 WC Business, Finance SC Business & Economics GA 168QL UT WOS:000246539000004 ER PT J AU Krause, MU Lubik, TA AF Krause, Michael U. Lubik, Thomas A. TI The (ir)relevance of real wage rigidity in the New Keynesian model with search frictions SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE labor market; real wage; search and matching; new Keynesian model; Beveridge curve ID LABOR-MARKET SEARCH; BUSINESS-CYCLE; JOB DESTRUCTION; MONETARY-POLICY; PRICES; UNEMPLOYMENT; STICKINESS; SHOCKS; CURVE AB We develop a New Keynesian model with search and matching frictions in the labor market. We show that the model generates counterfactual labor market dynamics. In particular, it fails to generate the negative correlation between vacancies and unemployment in the data, i.e., the Beveridge curve. Introducing real wage rigidity leads to a negative correlation, and increases the magnitude of labor market flows to more realistic values. However, inflation dynamics are only weakly affected by real wage rigidity. The reason is that labor market frictions give rise to long-run employment relationships. The measure of real marginal costs that is relevant for inflation in the Phillips curve contains a present value component that varies independently of the real wage. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23219 USA. Deutsch Bundesbank, Econ Res Ctr, D-60431 Frankfurt, Germany. RP Lubik, TA (reprint author), Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23219 USA. EM Thomas.Lubik@rich.frb.org NR 31 TC 108 Z9 109 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 APR PY 2007 VL 54 IS 3 BP 706 EP 727 DI 10.1016/j.jmoneco.2005.12.001 PG 22 WC Business, Finance; Economics SC Business & Economics GA 172SP UT WOS:000246824700006 ER PT J AU Adam, K Billi, RM AF Adam, Klaus Billi, Roberto M. TI Discretionary monetary policy and the zero lower bound on nominal interest rates SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE nonlinear optimal policy; occasionally binding constraint; sequential policy; Markov perfect equilibrium; liquidity trap ID LIQUIDITY TRAP AB ignoring the existence of the zero lower bound on nominal interest rates one considerably understates the value of monetary commitment in New Keynesian models. A stochastic forward-looking model with an occasionally binding lower bound, calibrated to the U.S. economy, suggests that low values for the natural rate of interest lead to sizeable output losses and deflation under discretionary monetary policy. The fall in output and deflation are much larger than in the case with policy commitment and do not show up at all if the model abstracts from the existence of the lower bound. The welfare losses of discretionary policy increase even further when inflation is partly determined by lagged inflation in the Phillips curve. These results emerge because private sector expectations and the discretionary policy response to these expectations reinforce each other and cause the lower bound to be reached much earlier than under commitment. (c) 2006 Elsevier B.V. All rights reserved. C1 London & European Cent Bank, CEPR, Directorate Gen Res, D-60311 Frankfurt, Germany. Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Adam, K (reprint author), London & European Cent Bank, CEPR, Directorate Gen Res, Kaiserstr 29, D-60311 Frankfurt, Germany. EM klaus.adam@ecb.int; roberto.billi@kc.frb.org NR 28 TC 54 Z9 54 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2007 VL 54 IS 3 BP 728 EP 752 DI 10.1016/j.jmoneco.2005.11.003 PG 25 WC Business, Finance; Economics SC Business & Economics GA 172SP UT WOS:000246824700007 ER PT J AU Golosov, M Lucas, RE AF Golosov, Mikhail Lucas, Robert E., Jr. TI Menu costs and Phillips curves SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID PRICE ADJUSTMENT; BUSINESS-CYCLE; STICKY PRICES; INFLATION; MONEY; DYNAMICS; OUTPUT; TRANSACTIONS; DEMAND AB This paper develops a model of a monetary economy in which individual firms are subject to idiosyncratic productivity shocks as well as general inflation. Sellers can change price only by incurring a real "menu cost." We calibrate this cost and the variance and autocorrelation of the idiosyncratic shock using a new U. S. data set of individual prices due to Klenow and Kryvtsov. The prediction of the calibrated model for the effects of high inflation on the frequency of price changes accords well with international evidence from various studies. The model is also used to conduct numerical experiments on the economy's response to various shocks. In none of the simulations we conducted did monetary shocks induce large or persistent real responses. C1 MIT, Cambridge, MA 02139 USA. Univ Chicago, Chicago, IL 60637 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Golosov, M (reprint author), MIT, Cambridge, MA 02139 USA. NR 33 TC 137 Z9 140 U1 2 U2 17 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 2007 VL 115 IS 2 BP 171 EP 199 DI 10.1086/512625 PG 29 WC Economics SC Business & Economics GA 156WO UT WOS:000245680800001 ER PT J AU Tomz, M Wright, MLJ AF Tomz, Michael Wright, Mark L. J. TI Do countries default in "bad times"? SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 21th Annual Congress of the European-Economic-Association CY AUG 24-28, 2006 CL Vienna, AUSTRIA SP European Econ Assoc ID DEBT AB This paper uses a new dataset to study the relationship between economic output and sovereign default for the period 1820-2004. We find a negative but surprisingly weak relationship between economic output in the borrowing country and default on loans from private foreign creditors. Throughout history, countries have indeed defaulted during bad times (when output was relatively low), but they have also suspended payments when the domestic economy was favorable, and they have maintained debt service in the face of adverse shocks. This constitutes a puzzle for standard theories of international debt, which predict a much tighter negative relationship as default provides partial insurance against declines in output. C1 Stanford Univ, Dept Polit Sci, Stanford, CA 94305 USA. Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90024 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Tomz, M (reprint author), Stanford Univ, Dept Polit Sci, Stanford, CA 94305 USA. EM tomz@stanford.edu; mlwright@econ.ucia.edu NR 14 TC 47 Z9 48 U1 1 U2 4 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR-MAY PY 2007 VL 5 IS 2-3 BP 352 EP 360 DI 10.1162/jeea.2007.5.2-3.352 PG 9 WC Economics SC Business & Economics GA 169DT UT WOS:000246573600005 ER PT J AU Piazzesi, M Schneider, M AF Piazzesi, Monika Schneider, Martin TI Asset prices and asset quantities SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 21th Annual Congress of the European-Economic-Association CY AUG 24-28, 2006 CL Vienna, AUSTRIA SP European Econ Assoc AB We propose an organizing framework that determines asset prices by equating household sector asset demand derived from an economic model to the observed supply of assets provided by other sectors. We then use a specific model of household asset demand to decompose historical changes in asset positions into changes in new asset supply and household income, as well as changes in return expectations. Our findings show that supply and income changes are important determinants of the wealth-to-GDP ratio and real estate positions, and return expectations are the key determinant of equity positions. C1 Univ Chicago, Chicago, IL 60637 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Piazzesi, M (reprint author), Univ Chicago, Chicago, IL 60637 USA. EM piazzesi@uchicago.edu; ms1927@nyu.edu NR 3 TC 2 Z9 2 U1 0 U2 1 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR-MAY PY 2007 VL 5 IS 2-3 BP 380 EP 389 DI 10.1162/jeea.2007.5.2-3.380 PG 10 WC Economics SC Business & Economics GA 169DT UT WOS:000246573600008 ER PT J AU Wheeler, CH AF Wheeler, Christopher H. TI Job flows and productivity dynamics: Evidence from US manufacturing SO MACROECONOMIC DYNAMICS LA English DT Article DE productivity growth; job flows; creative destruction; job matching ID CYCLICAL FLUCTUATIONS; EMPLOYMENT; GROWTH; LABOR; UNEMPLOYMENT; REALLOCATION; DESTRUCTION; TECHNOLOGY; INDUSTRY; WORKERS AB Through their influence on the cross-sectional distribution of productivity across firms and workers, job creation and destruction likely have an impact on the rate at which aggregate productivity changes over time. However, the nature of this effect is not, a priori, clear. Although a broad consensus has emerged suggesting that job destruction enhances productivity by eliminating inefficient production units, theories disagree with regard to the effect of job creation. If job flows represent the reallocation of labor from low- to high-productivity positions, job creation would boost productivity growth. If, instead, they represent changes in employment along a primarily low-skill dimension, the effect would be negative. This paper estimates the influence of job creation and destruction on total factor productivity (TFP) growth using annual data on four-digit U.S. manufacturing. As expected, the results reveal a positive association between job destruction and changes in TFP. Yet, they also indicate that job creation tends to have a negative effect on productivity growth. C1 Fed Res Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Wheeler, CH (reprint author), Fed Res Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM christopher.h.wheeler@stls.frb.org NR 36 TC 0 Z9 0 U1 2 U2 5 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2007 VL 11 IS 2 BP 175 EP 201 DI 10.1017/S1365100506060020 PG 27 WC Economics SC Business & Economics GA 151VD UT WOS:000245318000002 ER PT J AU Sarno, L Thornton, DL Wen, Y AF Sarno, Lucio Thornton, Daniel L. Wen, Yi TI What's unique about the federal funds rate? Evidence from a spectral perspective SO OXFORD BULLETIN OF ECONOMICS AND STATISTICS LA English DT Article ID MONETARY-POLICY RULES; TERM STRUCTURE; UNIT ROOTS; IDENTIFICATION; COINTEGRATION; DISTURBANCES; FLUCTUATIONS; RESERVES; DEMAND; VARS AB This paper compares the behaviour of the effective federal funds rate to 10 US interest rates with maturities ranging from overnight to 10 years. Using spectral estimation methods, we identified idiosyncratic shocks to the funds rate and provided evidence on their impact on other rates at various frequencies. Our results suggest that, while all of the interest rates examined have common shocks at low frequencies, the federal funds rate contains some unique information at high frequency, although this information appears to be relevant only at the short end of the term structure. In turn, these results are open to various alternative interpretations. C1 Univ Warwick, Warwick Business Sch, Finance Grp, Coventry CV4 7AL, W Midlands, England. Ctr Econ Policy Res, London SW1Y 6LA, England. Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. RP Sarno, L (reprint author), Univ Warwick, Warwick Business Sch, Finance Grp, Coventry CV4 7AL, W Midlands, England. EM lucio.sarno@warwick.ac.uk; thornton@stls.frb.org; yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 41 TC 1 Z9 1 U1 0 U2 7 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0305-9049 J9 OXFORD B ECON STAT JI Oxf. Bull. Econ. Stat. PD APR PY 2007 VL 69 IS 2 BP 293 EP 319 DI 10.1111/j.1468-0084.2006.00444.x PG 27 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 162DH UT WOS:000246066500006 ER PT J AU Duarte, M Restuccia, D AF Duarte, Margarida Restuccia, Diego TI The structural transformation and aggregate productivity in Portugal SO PORTUGUESE ECONOMIC JOURNAL LA English DT Article DE structural transformation; sectoral productivity ID ECONOMIC-GROWTH AB We document the substantial process of structural transformation-the reallocation of labor between agriculture, manufacturing, and services-and aggregate productivity growth undergone by Portugal between 1956 and 1995. We assess the quantitative role of sectoral labor productivity in accounting for these processes. We calibrate a model of the structural transformation to data for the United States and use the model to gain insight into the factors driving the structural transformation and aggregate productivity growth in Portugal. The model implies that Portugal features low and roughly constant relative productivity in agriculture and services (around 22%) and a modest but growing relative productivity in manufacturing (from 44 to 110%). We find that productivity growth in manufacturing accounts for most of the reduction of the aggregate productivity gap with the United States and that a further closing of this gap can only be accomplished via improvements in the relative productivity of services. C1 Univ Toronto, Dept Econ, Toronto, ON M5S 3G7, Canada. Fed Reserve Bank Richmond, Richmond, VA USA. RP Duarte, M (reprint author), Univ Toronto, Dept Econ, 150 St George St, Toronto, ON M5S 3G7, Canada. EM margarida.duarte@utoronto.ca; diego.restuccia@utoronto.ca RI nipe, cef/A-4218-2010 NR 23 TC 7 Z9 7 U1 0 U2 11 PU SPRINGER HEIDELBERG PI HEIDELBERG PA TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANY SN 1617-982X J9 PORT ECON J JI Port. Econ. J. PD APR PY 2007 VL 6 IS 1 BP 23 EP 46 DI 10.1007/s10258-006-0016-3 PG 24 WC Economics SC Business & Economics GA 155AZ UT WOS:000245551200002 ER PT J AU Carlstrom, CT Fuerst, TS AF Carlstrom, Charles T. Fuerst, Timothy S. TI Asset prices, nominal rigidities, and monetary policy SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE monetary policy; equilibrium determinacy; interest rate rules ID MODELS; RULES; MONEY AB Should monetary policy respond to asset prices? This paper analyzes this question from the vantage point of equilibrium determinacy. A central bank responding to asset prices is indirectly responding to firm profits. In a model with sticky prices, increases in inflation tend to lower firm profits so that a central bank responding to share prices implicitly weakens its overall response to inflation. This is the novel source of equilibrium indeterminacy highlighted in the paper. (c) 2006 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. Bowling Green State Univ, Bowling Green, OH 43403 USA. RP Fuerst, TS (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. EM tfuerst@cba.bgsu.edu NR 20 TC 24 Z9 25 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 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD APR PY 2007 VL 10 IS 2 BP 256 EP 275 DI 10.1016/j.red.2006.11.005 PG 20 WC Economics SC Business & Economics GA 162KE UT WOS:000246085100005 ER PT J AU Baier, SL Bergstrand, JH AF Baier, Scott L. Bergstrand, Jeffrey H. TI Do free trade agreements actually increase members' international trade? SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE free trade agreements; international trade flows; gravity equation ID GRAVITY EQUATION; WORLD-TRADE; DETERMINANTS; ARRANGEMENTS; GROWTH; POLICY; COSTS; BLOCS; EEC AB For over 40 years, the gravity equation has been a workhorse for cross-country empirical analyses of international trade flows and -in particular- the effects of free trade agreements (FTAs) on trade flows. However, the gravity equation is subject to the same econometric critique as earlier cross-industry studies of U.S. tariff and nontariff barriers and U.S. multilateral imports: trade policy is not an exogenous variable. We address econometrically the endogeneity of FTAs. Although instrumental-variable and control-function approaches do not adjust for endogeneity well, a panel approach does. Accounting econometrically for the FTA variable's endogeneity yields striking empirical results: the effect of FTAs on trade flows is quintupled. We find that, on average, an FTA approximately doubles two members' bilateral trade after 10 years. (c) 2006 Elsevier B.V. All rights reserved. C1 Univ Notre Dame, Mendoza Coll Business, Dept Finance, Notre Dame, IN 46556 USA. Fed Res Bank Atlanta, Atlanta, GA 30309 USA. Clemson Univ, John E Walker Dept Econ, Clemson, SC 29634 USA. Univ Notre Dame, Kellogg Inst Int Studies, Notre Dame, IN 46556 USA. RP Bergstrand, JH (reprint author), Univ Notre Dame, Mendoza Coll Business, Dept Finance, Notre Dame, IN 46556 USA. EM Bergstrand.1@nd.edu NR 48 TC 353 Z9 357 U1 11 U2 76 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0022-1996 EI 1873-0353 J9 J INT ECON JI J. Int. Econ. PD MAR 8 PY 2007 VL 71 IS 1 BP 72 EP 95 DI 10.1016/j.jinteco.2006.02.005 PG 24 WC Economics SC Business & Economics GA 149PN UT WOS:000245159200004 ER PT J AU Atkeson, A Kehoe, PJ AF Atkeson, Andrew Kehoe, Patrick J. TI Modeling the transition to a new economy: Lessons from two technological revolutions SO AMERICAN ECONOMIC REVIEW LA English DT Article ID US MANUFACTURING PLANTS; INFORMATION TECHNOLOGY; HISTORICAL-PERSPECTIVE; PRODUCTIVITY DYNAMICS; LEARNING-CURVES; DIFFUSION; ORGANIZATION; INDUSTRY; VINTAGE AB Many view the period after the Second Industrial Revolution as a paradigm of a transition to a new economy following a technological revolution, including the Information Technology Revolution. We build a quantitative model of diffusion and growth during transitions to evaluate that view. With a learning process quantified by data on the life cycle of US manufacturing plants, the model accounts for the key features of the transition after the Second Industrial Revolution. But we find that features like those will occur in other transitions only if a large amount of knowledge about old technologies exists before the transition begins. C1 Univ Calif Los Angeles, Los Angeles, CA 90095 USA. Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55401 USA. RP Atkeson, A (reprint author), Univ Calif Los Angeles, Box 951477, Los Angeles, CA 90095 USA. EM andy@atkeson.net; pkehoe@res.mpls.frb.fed.us NR 48 TC 30 Z9 32 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 MAR PY 2007 VL 97 IS 1 BP 64 EP 88 DI 10.1257/aer.97.1.64 PG 25 WC Economics SC Business & Economics GA 155VZ UT WOS:000245608000003 ER PT J AU Lubik, TA Schorfheide, F AF Lubik, Thomas A. Schorfheide, Frank TI Testing for indeterminacy: An application to US monetary policy: Reply SO AMERICAN ECONOMIC REVIEW LA English DT Editorial Material ID MACROECONOMICS; MODELS C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. Univ Penn, Philadelphia, PA 19104 USA. RP Lubik, TA (reprint author), Fed Reserve Bank Richmond, Dept Res, POB 27622, Richmond, VA 23261 USA. EM ThomasLubik@rich.frb.org; schorf@ssc.upenn.edu NR 16 TC 7 Z9 7 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 2007 VL 97 IS 1 BP 530 EP 533 DI 10.1257/aer.97.1.530 PG 4 WC Economics SC Business & Economics GA 155VZ UT WOS:000245608000028 ER PT J AU Wheeler, CH AF Wheeler, Christopher H. TI Do localization economies derive from human capital externalities? SO ANNALS OF REGIONAL SCIENCE LA English DT Article ID INCREASING RETURNS; GEOGRAPHIC CONCENTRATION; LABOR-MARKET; CITIES; PRODUCTIVITY; SPILLOVERS; INEQUALITY; EDUCATION; WORKERS; SCALE AB One of the most robust findings emerging from studies of industrial agglomeration is the rise in productivity that tends to accompany it. What most studies have not addressed, however, is the potential role played by human capital externalities in driving this relationship. This paper seeks to do so using data from the 1980, 1990, and 2000 US Census covering a collection of 77 (primarily) three-digit manufacturing industries across a sample of more than 200 metropolitan areas. The analysis generates two primary results. First, a variety of education- and experience-based measures of average human capital rise significantly as an industry's employment in a metropolitan area increases. Hence, clusters of industry do tend to be characterized by larger stocks of human capital. However, second, even after accounting for the level of human capital in a worker's own industry, the overall size of the industry remains strongly associated with wages. Such results cast some doubt on the notion that localization economies emanate from education- or experience-based knowledge spillovers. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Wheeler, CH (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM christopher.h.wheeler@stls.frb.org NR 26 TC 12 Z9 12 U1 1 U2 3 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 0570-1864 J9 ANN REGIONAL SCI JI Ann. Reg. Sci. PD MAR PY 2007 VL 41 IS 1 BP 31 EP 50 DI 10.1007/s00168-006-0085-3 PG 20 WC Environmental Studies; Geography SC Environmental Sciences & Ecology; Geography GA 130QI UT WOS:000243813700004 ER PT J AU Kocherlakota, NR Pistaferri, L AF Kocherlakota, Narayana R. Pistaferri, Luigi TI Household heterogeneity and real exchange rates SO ECONOMIC JOURNAL LA English DT Article ID CONSUMPTION GROWTH; CONSISTENT; TAXATION AB We assume that individuals can fully insure themselves against cross-country shocks but not against individual-specific shocks. We consider two particular models of limited risk-sharing: domestically incomplete markets (DI) and private information-Pareto optimal (PIPO) risk-sharing. For each model, we derive a restriction relating the cross-sectional distributions of consumption and real exchange rates. We evaluate these restrictions using household-level consumption data from the US and the UK. We show that the PIPO restriction fits the data well when households have a coefficient of relative risk aversion of around 5. The restrictions implied by the complete risk-sharing model and the DI model fare poorly. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Stanford Univ, Stanford, CA 94305 USA. RP Kocherlakota, NR (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. NR 20 TC 9 Z9 9 U1 1 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0013-0133 J9 ECON J JI Econ. J. PD MAR PY 2007 VL 117 IS 519 BP C1 EP C25 DI 10.1111/j.1468-0297.2007.02032.x PG 25 WC Economics SC Business & Economics GA 157ST UT WOS:000245741900001 ER PT J AU Poole, W AF Poole, William TI Data dependence SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Middle-Tennessee-State-University Annual Economic Outlook Conference CY SEP, 2006 CL Murfreesbouro, TN SP Middle Tennessee State Univ AB This article was originally presented as a speech at the Middle Tennessee State University Annual Economic Outlook Conference, Murfreesboro, Tennessee, September 29, 2006. 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 5 TC 0 Z9 0 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2007 VL 89 IS 2 BP 77 EP 83 PG 7 WC Business, Finance; Economics SC Business & Economics GA 146UZ UT WOS:000244961500001 ER PT J AU Poole, W AF Poole, William TI Data, data, and yet more data SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Annual Meeting of the Association-for-University-Business-and-Economic-Research (AUBER) CY OCT, 2006 CL Univ Memphis, Memphis, TN SP Assoc Univ Business & Econ Res HO Univ Memphis AB This article was originally presented as a speech at the Association for University Business and Economic Research (AUBER) Annual Meeting, University of Memphis, Memphis, Tennessee, October 16, 2006. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Poole, W (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 7 TC 1 Z9 1 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2007 VL 89 IS 2 BP 85 EP 89 PG 5 WC Business, Finance; Economics SC Business & Economics GA 146UZ UT WOS:000244961500002 ER PT J AU Wheeler, CH AF Wheeler, Christopher H. TI Trends in neighborhood-level unemployment in the United States: 1980 to 2000 SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID INEQUALITY; DECENTRALIZATION; DECLINE; RISE; CITY AB Although the average rate of unemployment across U.S. metropolitan areas declined between 1980 and 2000, the geographic concentration of the unemployed rose sharply over this period. That is, residential neighborhoods throughout the nation's metropolitan areas became increasingly divided into high- and low-unemployment areas. This paper documents this trend using data on more than 165,000 U.S. Census block groups (neighborhoods) in 361 metropolitan areas over the years 1980, 1990, and 2000; it also examines three potential explanations: (i) urban decentralization, (ii) industrial shifts and declining unionization, and (iii) increasing segregation by income and education. The results offer little support for either of the first two explanations. Rising residential concentration of the unemployed shows little association with changes in population density, industrial composition, or union activity. It does, however, show a significant association with both the degree of segregation according to income as well as education, suggesting that decreases in the extent to which individuals with different levels of income and education live in the same neighborhood may help account for this trend. C1 Fed Reserve Bank, St Louis, MO USA. RP Wheeler, CH (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 18 TC 2 Z9 2 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2007 VL 89 IS 2 BP 123 EP 141 PG 19 WC Business, Finance; Economics SC Business & Economics GA 146UZ UT WOS:000244961500004 ER PT J AU Cyree, KB Lindley, JT Winters, DB AF Cyree, Ken B. Lindley, James T. Winters, Drew B. TI The effect of substitute assets on yields in financial markets SO FINANCIAL MANAGEMENT LA English DT Article ID BID-ASK SPREAD; TRADING ACTIVITY; LIQUIDITY; INFORMATION; RETURNS; STOCKS AB We examine the link between volume and liquidity in money markets where there are close substitutes. We find that the size of the market, as a proxy for trading volume, affects yield spreads over T-bill rates. We examine the bankers acceptances market, when market size declined by half over the decade of the 1990s. Controlling for interest-rate levels, day-of-the-week, calendar, term structure, credit spread, time-series, and cross-equation effects, we find that the substitution effect does not eliminate the impact of market-size changes on rates, but it does preserve the hierarchy of rates across instruments. C1 Univ Mississippi, University, MS 38677 USA. Univ So Mississippi, Hattiesburg, MS 39406 USA. Texas Tech Univ, Lubbock, TX 79409 USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Winters, DB (reprint author), Univ Mississippi, University, MS 38677 USA. NR 20 TC 0 Z9 0 U1 0 U2 2 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 2007 VL 36 IS 1 BP 27 EP 47 DI 10.1111/j.1755-053X.2007.tb00163.x PG 21 WC Business, Finance SC Business & Economics GA 193NM UT WOS:000248280700002 ER PT J AU Hale, G AF Hale, Galina TI IMF essays from a time of crisis: The international financial system, stabilization, and development SO INTERNATIONAL FINANCE LA English DT Book Review C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM galina.b.hale@sf.frb.org NR 1 TC 0 Z9 0 U1 0 U2 0 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1367-0271 J9 INT FINANC JI Int. Financ. PD SPR PY 2007 VL 10 IS 1 BP 101 EP 114 DI 10.1111/j.1468-2362.2007.00193.x PG 14 WC Business, Finance; Economics SC Business & Economics GA 307WK UT WOS:000256349400007 ER PT J AU Hale, G AF Hale, Galina TI Emerging capital markets in Turmoil: Bad luck or bad policy? SO INTERNATIONAL FINANCE LA English DT Book Review C1 [Hale, Galina] Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM galina.b.hale@sf.frb.org NR 1 TC 0 Z9 0 U1 0 U2 0 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1367-0271 EI 1468-2362 J9 INT FINANC JI Int. Financ. PD SPR PY 2007 VL 10 IS 1 BP 101 EP 114 DI 10.1111/j.1468-2362.2007.00193.x PG 14 WC Business, Finance; Economics SC Business & Economics GA 307WK UT WOS:000256349400006 ER PT J AU Spiegel, MM Yamori, N AF Spiegel, Mark M. Yamori, Nobuyoshi TI Market price accounting and depositor discipline: The case of Japanese regional banks SO JOURNAL OF BANKING & FINANCE LA English DT Article DE disclosure; Japanese banking; market discipline ID INFORMATION; DISCLOSURE AB We examine the determinants of Japanese regional bank pricing-to-market decisions and their impact on the intensity of depositor discipline, in the form of the sensitivity of deposit growth to bank financial conditions. To obtain consistent estimates, we first model and estimate the bank pricing-to-market decision and then estimate the intensity of depositor discipline after conditioning for that decision. We find that banks were less likely to adopt market price accounting the larger were their unrealized securities losses. We also find statistically significant evidence of depositor discipline among banks that elected to price to market. Our results indicate that depositor discipline was more intense for the subset of banks that adopted market price accounting. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Nagoya Univ, Dept Econ, Chikusa Ku, Nagoya, Aichi 4648601, Japan. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM mark.spiegel@sf.frb.org OI Yamori, Nobuyoshi/0000-0002-4145-0476 NR 14 TC 3 Z9 3 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD MAR PY 2007 VL 31 IS 3 BP 769 EP 786 DI 10.1016/j.jbankfin.2006.05.015 PG 18 WC Business, Finance; Economics SC Business & Economics GA 151LX UT WOS:000245293000013 ER PT J AU Laderman, ES Pilloff, SJ AF Laderman, Elizabeth S. Pilloff, Steven J. TI USING COUNTY-BASED MARKETS TO SUPPORT AND FEDERAL RESERVE MARKETS TO IMPLEMENT BANK MERGER POLICY SO JOURNAL OF COMPETITION LAW & ECONOMICS LA English DT Article AB In this paper, we consider three issues raised by the apparent inconsistency between the current research practice of using county-based markets (Metropolitan Statistical Areas (MSAs) and non-MSA counties) to investigate the validity of the theoretical underpinnings of bank merger policy and the current regulatory practice of using Federal Reserve (FR) banking markets, which often do not follow county lines, to implement that policy. Using a national sample of bank and thrift branch deposit data, we find that county-based areas cannot simply substitute for FR markets in the implementation of bank merger policy. For example, numerous potential mergers would raise competitive issues in county-based areas, but not in FR markets, and vice versa. We also conclude that, because of the relative difficulty of assembling demographic data for non-county-based areas, it is impractical to consistently use FR markets in bank merger policy research. However, we do find that, despite the inconsistencies between the two types of markets, analysis that uses county-based areas is relevant for bank merger policy that is implemented with FR markets. For example, we find that profitability regression results using variables based on FR markets are similar to those found using variables based on MSAs and non-MSA counties. C1 [Laderman, Elizabeth S.] Fed Reserve Bank San Francisco, San Francisco, CA USA. [Pilloff, Steven J.] Hood Coll, Frederick, MD USA. RP Laderman, ES (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM elizabeth.laderman@sf.frb.org; pilloff@hood.edu NR 13 TC 1 Z9 1 U1 0 U2 1 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 1744-6414 J9 J COMPET LAW ECON JI J. Compet. Law Econ. PD MAR PY 2007 VL 3 IS 1 BP 127 EP 148 DI 10.1093/joclec/nhm001 PG 22 WC Economics; Law SC Business & Economics; Government & Law GA V20IN UT WOS:000208133800004 ER PT J AU Dickens, WT Goette, L Groshen, EL Holden, S Messina, J Schweitzer, ME Turunen, J Ward, ME AF Dickens, William T. Goette, Lorenz Groshen, Erica L. Holden, Steinar Messina, Julian Schweitzer, Mark E. Turunen, Jarkko Ward, Melanie E. TI How wages change: Micro evidence from the International Wage Flexibility Project SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID INFLATION C1 Univ Zurich, CH-8006 Zurich, Switzerland. Fed Reserve Bank New York, New York, NY 10045 USA. Univ Oslo, N-0316 Oslo, Norway. European Cent Bank, Frankfurt, Germany. Univ Salerno, I-84100 Salerno, Italy. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. EM wdickens@brookings.edu; lorenz@iew.unizh.ch; erica.groshen@ny.frb.org; steinar.holden@econ.uio.no; julian.messina@udg.es; mark.e.schweitzer@clev.frb.org; jarkko.turunen@ecb.int; melanie.ward-warmedinger@ecb.int NR 18 TC 83 Z9 84 U1 0 U2 7 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD SPR PY 2007 VL 21 IS 2 BP 195 EP 214 DI 10.1257/jep.21.2.195 PG 20 WC Economics SC Business & Economics GA 175CF UT WOS:000246989400010 ER PT J AU Bessen, J Hunt, RM AF Bessen, James Hunt, Robert M. TI An empirical look at software patents SO JOURNAL OF ECONOMICS & MANAGEMENT STRATEGY LA English DT Article ID RESEARCH-AND-DEVELOPMENT; INDUSTRY AB Software patents have grown rapidly in number and now comprise 15% of all patents. They are acquired primarily by large manufacturing firms in industries known for strategic patenting; only 5% belong to software publishers. The very large increase in software patent propensity over time is not adequately explained by changes in R&D investments, employment of computer programmers, or productivity growth. The residual increase in software patent propensity is consistent with a sizeable increase in the cost effectiveness of software patents during the 1990s, perhaps arising from changes in the application of patent law to computer software. C1 Boston Univ, Sch Law, Boston, MA 02215 USA. Independance Mall, Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Bessen, J (reprint author), Boston Univ, Sch Law, Boston, MA 02215 USA. EM jbessen@researchoninnovation.org; bob.hunt@phil.frb.org NR 51 TC 73 Z9 73 U1 2 U2 12 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1058-6407 J9 J ECON MANAGE STRAT JI J. Econ. Manage. Strategy PD SPR PY 2007 VL 16 IS 1 BP 157 EP 189 PG 33 WC Economics; Management SC Business & Economics GA 126RZ UT WOS:000243534100007 ER PT J AU Sarno, L Thornton, DL Valente, G AF Sarno, Lucio Thornton, Daniel L. Valente, Giorgio TI The empirical failure of the expectations hypothesis of the term structure of bond yields SO JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS LA English DT Article ID FEDERAL-FUNDS RATE; INTEREST-RATES; REGIME SHIFTS; UNIT-ROOT; TESTS; COINTEGRATION; MODELS AB This paper tests the expectations hypothesis (EH) using U.S. monthly data for bond yields spanning the 1952-2003 sample period and ranging in maturity from one month to 10 years. We apply the Lagrange multiplier test developed by Bekaert and Hodrick (2001) and extend it to increase the test power by introducing economic variables as conditioning information and by using more than two bond yields in the model and testing the EH jointly on more than one pair of yields. While the conventional bivariate procedure provides mixed results, the more powerful testing procedures suggest rejection of the EH throughout the maturity spectrum examined. C1 Univ Warwick, Warwick Business Sch, Finance Grp, Coventry CV4 7AL, W Midlands, England. Fed Reserve Bank St Louis, St Louis, MO 63166 USA. Chinese Univ Hong Kong, Dept Finance, Shatin, Hong Kong, Peoples R China. RP Sarno, L (reprint author), Univ Warwick, Warwick Business Sch, Finance Grp, Coventry CV4 7AL, W Midlands, England. EM lucio.sarno@warwick.ac.uk; thornton@stls.frb.org; giorgio.valente@cuhk.edu.hk OI VALENTE, Giorgio/0000-0001-6737-3627 NR 42 TC 24 Z9 24 U1 0 U2 10 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 2007 VL 42 IS 1 BP 81 EP 100 PG 20 WC Business, Finance; Economics SC Business & Economics GA 145CW UT WOS:000244843900003 ER PT J AU Adams, RM Brevoort, KP Kiser, EK AF Adams, Robert M. Brevoort, Kenneth P. Kiser, Elizabeth K. TI Who competes with whom? The case of depository institutions SO JOURNAL OF INDUSTRIAL ECONOMICS LA English DT Article ID MODELS AB The willingness of consumers to substitute between banks and thrifts and between multimarket and single-market institutions is of strong interest to policymakers, yet little empirical work exists in this area. We estimate a structural model of consumer choice of depository institutions using a broadly representative panel data set covering the U.S. from 1990-2001. Using a flexible framework, we uncover utility parameters that affect a consumer's institution choice and measure the degree of market segmentation for two institutional subgroups. Our estimated parameters, elasticities and policy experiments suggest limited substitutability between banks and thrifts and between multimarket and single-market institutions, especially in urban markets. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Adams, RM (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM robert.m.adams@frb.gov; kenneth.p.brevoort@frb.gov; elizabeth.k.kiser@frb.gov NR 18 TC 24 Z9 24 U1 0 U2 3 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-1821 J9 J IND ECON JI J. Indust. Econ. PD MAR PY 2007 VL 55 IS 1 BP 141 EP 167 DI 10.1111/j.1467-6451.2007.00306.x PG 27 WC Business, Finance; Economics SC Business & Economics GA 162RS UT WOS:000246107800006 ER PT J AU Balke, NS Wynne, MA AF Balke, Nathan S. Wynne, Mark A. TI The relative price effects of monetary shocks SO JOURNAL OF MACROECONOMICS LA English DT Article; Proceedings Paper CT 72nd Annual Meeting of the Southern-Economic-Association CY NOV 25, 2002 CL New Orleans, LA SP SO Econ Assoc DE monetary policy; relative prices; VAR ID INTEREST-RATES; POLICY; INFLATION; MONEY; EXPECTATIONS; LIQUIDITY; RESPONSES AB We document the response of the individual components of the Producer Price Index (PPI) to commonly used measures of monetary shocks, and show that these responses are at variance with many widely used models of monetary nonneutrality. Monetary shocks are shown to have large relative price effects, resulting in an increase in the dispersion of the cross-section distribution of prices. Furthermore, in response to a contractionary (expansionary) monetary shock, a substantial number of prices tend to rise (fall). Most existing models of monetary nonneutrality are incapable of replicating these types of relative price responses. (c) 2006 Elsevier Inc. All rights reserved. C1 So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Balke, NS (reprint author), So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. EM nbalke@mail.smu.edu NR 30 TC 9 Z9 10 U1 3 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0164-0704 EI 1873-152X J9 J MACROECON JI J. Macroecon. PD MAR PY 2007 VL 29 IS 1 BP 19 EP 36 DI 10.1016/j.jmacro.2005.04.002 PG 18 WC Economics SC Business & Economics GA 155WN UT WOS:000245609400002 ER PT J AU Schaumburg, E Tambalotti, A AF Schaumburg, Ernst Tambalotti, Andrea TI An investigation of the gains from commitment in monetary policy SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE commitment; discretion; credibility; welfare ID TIME CONSISTENCY; CENTRAL BANKS; MODEL; INCONSISTENCY; CREDIBILITY; REPUTATION; EQUILIBRIA; PLANS AB We propose a simple framework for analyzing a continuum of monetary policy rules characterized by differing degrees of credibility, in which commitment and discretion become special cases of what we call quasi-commitment. The monetary policy authority is assumed to formulate optimal commitment plans, to be tempted to renege on them, and to succumb to this temptation with a constant exogenous probability known to the private sector. By interpreting this probability as a continuous measure of the (lack of) credibility of the monetary policy authority, we investigate the welfare effect of a marginal increase in credibility. Our main finding is that, in a simple model of the monetary transmission mechanism, most of the gains from commitment accrue at relatively low levels of credibility. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Northwestern Univ, Kellogg Grad Sch Management, Evanston, IL 60208 USA. RP Tambalotti, A (reprint author), Fed Reserve Bank New York, 33 Liberty St,3rd Floor, New York, NY 10045 USA. EM Andrea.Tambalotti@ny.frb.org OI Tambalotti, Andrea/0000-0002-9323-2470 NR 33 TC 37 Z9 37 U1 1 U2 18 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2007 VL 54 IS 2 BP 302 EP 324 DI 10.1016/j.jmoneco.2005.08.018 PG 23 WC Business, Finance; Economics SC Business & Economics GA 157NE UT WOS:000245726100004 ER PT J AU Leduc, S Sill, K Stark, T AF Leduc, Sylvain Sill, Keith Stark, Tom TI Self-fulfilling expectations and the inflation of the 1970s: Evidence from the Livingston Survey SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary policy; inflation; expectations; time-series model ID COSTLY CAPITAL REALLOCATION; MONETARY-POLICY RULES; MACROECONOMIC STABILITY; OIL; DISCRETION; BEHAVIOR; SHOCKS; MODEL AB Using survey data on expectations, we examine whether the response of monetary policy to sudden movements in expected inflation contributed to the persistent high inflation of the 1970s. The evidence suggests that, prior to 1979, the Fed accommodated temporary shocks to expected inflation, which then led to persistent increases in actual inflation. We do not find this behavior in the post 1979 data. Among commonly cited factors, oil and fiscal shocks do not appear to have triggered an increase in expected inflation that eventually resulted in higher actual inflation. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. Fed Reserve Board, Washington, DC 20551 USA. RP Sill, K (reprint author), Fed Reserve Bank Philadelphia, Dept Res, 10 Independence Mall, Philadelphia, PA 19106 USA. EM sylvain.leduc@frb.gov; keith.sill@phil.frb.org; tom.stark@phil.frb.org NR 31 TC 27 Z9 28 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 MAR PY 2007 VL 54 IS 2 BP 433 EP 459 DI 10.1016/j.jmoneco.2005.08.019 PG 27 WC Business, Finance; Economics SC Business & Economics GA 157NE UT WOS:000245726100009 ER PT J AU Gomme, P Rupert, P AF Gomme, Paul Rupert, Peter TI Theory, measurement and calibration of macroeconomic models SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE calibration; capital stock; business cycles; investment ID INDIVIDUAL INCOME-TAX; BUSINESS-CYCLE; UNITED-STATES; AGGREGATE FLUCTUATIONS; HOUSEHOLD PRODUCTION; TECHNOLOGICAL-CHANGE; SOCIAL-SECURITY; HOME PRODUCTION; RATES; TIME AB Calibration has become a standard tool of macroeconomics. This paper extends and refines the calibration methodology along several important dimensions. First, accounting for home production is important both in measuring calibration targets and in organizing the data in a model-consistent fashion. For this reason, thinking about home production is important even if the model under consideration does not include home production. Second, investment-specific technological change is included because of its strong balanced growth parameter restrictions. Third, the measurement strategy is laid out as transparently as possible so that others can easily replicate the underlying calculations. The data and calculations used in this paper are available at http://clevelandfed.org/research/Models/rbc/Index.cfm (c) 2006 Elsevier B.V. All rights reserved. C1 Concordia Univ, Dept Econ, Montreal, PQ H3G 2M8, Canada. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Gomme, P (reprint author), Concordia Univ, Dept Econ, 1455 Maisonneuve Blvd W, Montreal, PQ H3G 2M8, Canada. EM Paul.Gomme@concordia.ca NR 39 TC 48 Z9 48 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 MAR PY 2007 VL 54 IS 2 BP 460 EP 497 DI 10.1016/j.jmoneco.2005.09.005 PG 38 WC Business, Finance; Economics SC Business & Economics GA 157NE UT WOS:000245726100010 ER PT J AU Dwyer, GP Hasan, I AF Dwyer, Gerald P., Jr. Hasan, Iftekhar TI Suspension of payments, bank failures, and the nonbank public's losses SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE suspension of payments; banking panic; free banking ID PARTIAL OBSERVABILITY AB We present evidence on the effects of suspensions of payments from an episode that is close to a controlled experiment for examining those effects. In 1861, about 44% of the banks in Wisconsin closed, 81% of the banks in Illinois closed, and noteholders suffered substantial losses. The historical record suggests that an effective suspension of payments in Wisconsin but not in Illinois may explain the difference. Our statistical evidence indicates that the suspension of payments increased the probability of a bank remaining open by about 21 percentage points and decreased noteholders' losses by about 14 cents per dollar. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. Rensselaer Polytech Inst, Troy, NY 12181 USA. RP Dwyer, GP (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM gdwyer@dwyerecon.com NR 22 TC 12 Z9 12 U1 1 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 2007 VL 54 IS 2 BP 565 EP 580 DI 10.1016/j.jmoneco.2005.06.005 PG 16 WC Business, Finance; Economics SC Business & Economics GA 157NE UT WOS:000245726100014 ER PT J AU Berger, AN Dick, AA Goldberg, LG White, LJ AF Berger, Allen N. Dick, Astrid A. Goldberg, Lawrence G. White, Lawrence J. TI Competition from large, multimarket firms and the performance of small, single-market firms: Evidence from the banking industry SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE banks; community banking; bank size; multimarket banks; technological progress ID SMALL BUSINESS CREDIT; TECHNOLOGICAL-PROGRESS; GEOGRAPHIC EXPANSION; CONSOLIDATION; EFFICIENCY; ECONOMIES; MERGERS; SCALE; ACQUISITIONS; PAYMENTS AB We offer and test two competing hypotheses for the consolidation trend in banking using U.S. banking industry data over the period 1982-2000. Under the efficiency hypothesis, technological progress improved the performance of large, multimarket firms relative to small, single-market firms, whereas under the hubris hypothesis, consolidation was largely driven by corporate hubris. Our results are consistent with an empirical dominance of the efficiency hypothesis over the hubris hypothesis-on net, technological progress allowed large, multimarket banks to compete more effectively against small, single-market banks in the 1990s than in the 1980s. We also isolate the extent to which technological progress occurred through scale versus geographic effects and how they affected the performance of small, single-market banks through revenues versus costs. The results may shed light as well on some of the research and policy issues related to community banking. C1 Wharton Financial Inst, Fed Reserve Syst, Board Governors, Philadelphia, PA USA. Fed Reserve Bank New York, New York, NY 10045 USA. Univ Miami, Dept Finance, Coral Gables, FL 33124 USA. NYU, Stern Sch Business, New York, NY USA. RP Berger, AN (reprint author), Wharton Financial Inst, Fed Reserve Syst, Board Governors, Philadelphia, PA USA. EM aberger@frb.gov; astrid.dick@ny.frb.org; lwhite@stern.nyu.edu RI Dick, Astrid/C-1261-2010 NR 45 TC 19 Z9 19 U1 0 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2007 VL 39 IS 2-3 BP 331 EP 368 DI 10.1111/j.0022-2879.2007.00028.x PG 38 WC Business, Finance; Economics SC Business & Economics GA 155SL UT WOS:000245598300003 ER PT J AU Rudebusch, GD Wu, T AF Rudebusch, Glenn D. Wu, Tao TI Accounting for a shift in term structure behavior with no-arbitrage and macro-finance models SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE yield curve; terra premium; inflation target ID INTEREST-RATE FORECASTS; INTEREST-RATES; MONETARY-POLICY; FEDERAL-RESERVE; RATIONAL-EXPECTATIONS; AFFINE MODELS; MACRO FACTORS; STABILITY; REGIME; PREMIA AB This paper examines a shift in the dynamics of the term structure of interest rates in the United States during the mid-1980s. We document this shift using standard interest rate regressions and using dynamic, affine, no-arbitrage models estimated for the pre- and post-shift subsamples. The term structure shift largely appears to be the result of changes in the pricing of risk associated with a "level" factor. Using a macro-finance model, we suggest a link between this shift in term structure behavior and changes in the dynamics and risk pricing of the Federal Reserve's inflation target as perceived by investors. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. Fed Reserve Bank Dallas, Dallas, TX USA. RP Rudebusch, GD (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. EM Glenn.Rudebusch@sf.frb.org; Tao.Wu@dal.frb.org NR 44 TC 29 Z9 29 U1 2 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2007 VL 39 IS 2-3 BP 395 EP 422 DI 10.1111/j.0022-2879.2007.00030.x PG 28 WC Business, Finance; Economics SC Business & Economics GA 155SL UT WOS:000245598300005 ER PT J AU McCarthy, J Zakrajsek, E AF McCarthy, Jonathan Zakrajsek, Egon TI Inventory dynamics and business cycles: What has changed? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE inventory dynamics; monetary policy; GDP volatility ID IMPULSE-RESPONSE ANALYSIS; MONETARY-POLICY RULES; MACROECONOMIC STABILITY; UNITED-STATES; LAG ORDER; INFLATION; BEHAVIOR; GUIDE AB To what extent can information-technology led improvements in inventory management account for the apparent moderation of economic fluctuations in the United States since the mid-1980s? We argue that changes in inventory dynamics played a reinforcing-rather than a leading-role in the reduction of output volatility. Since the mid-1980s, inventory dynamics have changed in a manner consistent with a faster resolution of inventory imbalances. However, these changes appear to be a consequence of changes in the response of industry-level sales and aggregate economic activity to monetary policy shocks. Our results suggest that it is the interaction between the changes in inventory behavior at the industry level and the macroeconomic environment-where the latter likely includes changes in the conduct of monetary policy and the responses of the economy to policy disturbances-rather than any single factor, that has contributed importantly to the observed decline in economic volatility. C1 Fed Reserve Bank New York, Dept Res, New York, NY 10045 USA. Fed Reserve Syst, Board Governors, Div Monetary Affairs, Washington, DC 20551 USA. RP McCarthy, J (reprint author), Fed Reserve Bank New York, Dept Res, New York, NY 10045 USA. EM jonathan.mccarthy@ny.frb.org; egon.zakrajsek@frb.gov NR 44 TC 13 Z9 13 U1 0 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR-APR PY 2007 VL 39 IS 2-3 BP 591 EP 613 DI 10.1111/j.0022-2879.2007.00037.x PG 23 WC Business, Finance; Economics SC Business & Economics GA 155SL UT WOS:000245598300012 ER PT J AU Wheeler, CH AF Wheeler, Christopher H. TI Industry localisation and earnings inequality: Evidence from US manufacturing SO PAPERS IN REGIONAL SCIENCE LA English DT Article DE wage inequality; skill premiums; localisation; agglomeration economies ID WAGE INEQUALITY; RELATIVE WAGES; PRODUCTIVITY; EXTERNALITIES; DETERMINANTS; COMPUTERS; EDUCATION; DENSITY; GROWTH; RETURN AB While the productivity gains associated with the geographic concentration of industry (i.e., localisation) are by now well-documented, little work has considered how those gains are distributed across individual workers. This article offers evidence on the connection between total employment and the relative wage earnings of high- and low-skill workers (i.e., inequality) within two-digit manufacturing industries across the states, and a collection of metropolitan areas in the U.S. between 1970 and 1990. Using measures of overall, between-education-group and residual inequality, I find that wage dispersion falls significantly as industry employment expands. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Wheeler, CH (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM chfistopher.h.wheeler@stls.frb.org NR 40 TC 5 Z9 5 U1 1 U2 5 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1056-8190 J9 PAP REG SCI JI Pap. Reg. Sci. PD MAR PY 2007 VL 86 IS 1 BP 77 EP 100 DI 10.1111/j.1435-5957.2007.00107.x PG 24 WC Economics; Environmental Studies; Geography SC Business & Economics; Environmental Sciences & Ecology; Geography GA 158KP UT WOS:000245790700004 ER PT J AU Ono, Y AF Ono, Yukako TI Market thickness and outsourcing services SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE outsourcing; in-house production; business service ID CITY SIZE; PRODUCTIVITY; INDUSTRY AB This paper examines whether the outsourcing of business services is supported more in thicker local markets. In particular, I examine manufacturing plants' practices of outsourcing business services. Using plant-level data from the 1992 Annual Survey of Manufactures (ASM), I find evidence that supports the view that a plant's likelihood of outsourcing is greater in thicker local markets, while the extent of the effect varies across services. (c) 2006 Elsevier B.V. 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. EM yono@frbchi.org NR 18 TC 18 Z9 18 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0166-0462 J9 REG SCI URBAN ECON JI Reg. Sci. Urban Econ. PD MAR PY 2007 VL 37 IS 2 BP 220 EP 238 DI 10.1016/j.regsciurbeco.2006.08.007 PG 19 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 142CF UT WOS:000244625900005 ER PT J AU Dueker, M Neely, CJ AF Dueker, Michael Neely, Christopher J. TI Can Markov switching models predict excess foreign exchange returns? SO JOURNAL OF BANKING & FINANCE LA English DT Article DE technical trading rules; Markov switching; exchange rates; excess returns; predictability ID TRADING-RULE PROFITS; CENTRAL BANK INTERVENTION; TECHNICAL ANALYSIS; CURRENCY MARKETS; SAMPLE; TIME AB This paper merges the literature on technical trading rules with the literature on Markov switching to develop economically useful trading rules. The Markov models' out-of-sample, excess returns modestly exceed those of standard technical rules and are profitable over the most recent subsample. A portfolio of Markov and standard technical rules outperforms either set individually, on a risk-adjusted basis. The Markov rules' high excess returns contrast with mixed performance on statistical tests of forecast accuracy. There is no clear source for the trends, but permitting the mean to depend on higher moments of the exchange rate distribution modestly increases returns. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Syst, Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63166 USA. RP Dueker, M (reprint author), Fed Reserve Syst, Fed Reserve Bank St Louis, Dept Res, POB 442, St Louis, MO 63166 USA. EM mdueker@stls.frb.org; neely@stls.frb.org RI Neely, Christopher/D-3636-2012; Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 26 TC 25 Z9 26 U1 1 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD FEB PY 2007 VL 31 IS 2 BP 279 EP 296 DI 10.1016/j.jbankfin.2006.03.002 PG 18 WC Business, Finance; Economics SC Business & Economics GA 141NS UT WOS:000244586200001 ER PT J AU Ahlin, C Townsend, RM AF Ahlin, Christian Townsend, Robert M. TI Selection into and across credit contracts: Theory and field research SO JOURNAL OF ECONOMETRICS LA English DT Article DE empirical contract theory; adverse selection; mechanism design; joint liability; micro-credit ID NONPARAMETRIC REGRESSION; PEER SELECTION; INFORMATION; INEQUALITY AB Lenders may choose to encourage borrower side contracting using group, or co-signed, loans or discourage it using individual loans, so as to make relative performance comparisons. In this context wealth of the agents relative to outsiders, and wealth inequality among potential joint liability partners, are important factors determining the choice among loan contracts. In a related model of whether to borrow, higher covariance of returns mitigates an adverse selection effect. We test these models using relatively rich data gathered in field research in Thailand. The prevalence of joint liability contracts relative to individual contracts exhibits a U-shaped relationship with the wealth of the borrowing household and increases with the wealth dispersion. The likelihood of joint-liability borrowing increases the lower is the probability of project success, a direct affirmation of adverse selection. Higher correlation across projects makes joint liability borrowing more likely relative to all other alternatives. Strikingly, most of the results disappear if we do not condition the sample according to the dictates of the models, with selection into and across credit contracts. (c) 2006 Elsevier B.V. All rights reserved. C1 Vanderbilt Univ, Dept Econ, Nashville, TN 37235 USA. Univ Chicago, Chicago, IL 60637 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Ahlin, C (reprint author), Vanderbilt Univ, Dept Econ, VU Stn B 351819, Nashville, TN 37235 USA. EM c.ahlin@Vanderbilt.edu NR 20 TC 14 Z9 14 U1 0 U2 11 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD FEB PY 2007 VL 136 IS 2 BP 665 EP 698 DI 10.1016/j.jeconom.2005.11.013 PG 34 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 137KE UT WOS:000244290700013 ER PT J AU Delong, G Deyoung, R AF Delong, Gayle Deyoung, Robert TI Learning by observing: Information spillovers in the execution and valuation of commercial bank M&As SO JOURNAL OF FINANCE LA English DT Article ID ACQUIRING FIRMS; MERGERS; PERFORMANCE; MARKET; ACQUISITIONS; INDUSTRY; GAINS; CONSOLIDATION; MEGAMERGERS; KNOWLEDGE AB We offer a new explanation for why academic studies typically fail to find value creation in bank mergers. Our conjectures are predicated on the idea that, until recently, large bank acquisitions were a new phenomenon, with no best practices history to inform bank managers or market investors. We hypothesize that merging banks, and investors pricing bank mergers, learn by observing information that spills over from previous bank mergers. We find evidence consistent with these conjectures for 216 M&As of large, publicly traded U.S. commercial banks between 1987 and 1999. Our findings are consistent with semistrong stock market efficiency. C1 CUNY Bernard M Baruch Coll, Zicklin Sch Business, New York, NY 10010 USA. Fed Deposit Insurance Corp, Washington, DC 20429 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Delong, G (reprint author), CUNY Bernard M Baruch Coll, Zicklin Sch Business, New York, NY 10010 USA. NR 55 TC 33 Z9 33 U1 4 U2 11 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-1082 J9 J FINANC JI J. Financ. PD FEB PY 2007 VL 62 IS 1 BP 181 EP 216 DI 10.1111/j.1540-6261.2007.01205.x PG 36 WC Business, Finance SC Business & Economics GA 125AE UT WOS:000243413100006 ER PT J AU Agarwal, S Liu, CL Rhee, SG AF Agarwal, Sumit Liu, Chunlin Rhee, S. Ghon TI Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE dually listed stocks; price discovery; liquidity-driven trading ID EXECUTION COSTS; LISTED STOCKS; NASDAQ; NYSE; INFORMATION; SECURITIES; VOLATILITY; LIQUIDITY; LOCATION AB Using a sample of Hong Kong-listed stocks that are also traded on the London Stock Exchange, we document the following results: first, London market makers use Hong Kong's closing prices as the benchmark for setting the opening prices in London. Second, trading in the London market plays only a limited role in price discovery in the Hong Kong market. Third, the stock returns from London trading are closely correlated with those of the Hong Kong market. The above findings are consistent with the explanation that London trading is predominantly liquidity-driven but not iDformation-driven. (c) 2006 Elsevier Ltd. All rights reserved. C1 Univ Hawaii, CBA, FEI, Honolulu, HI 96822 USA. Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Univ Nevada, Coll Business Adm, Reno, NV 89557 USA. RP Rhee, SG (reprint author), Univ Hawaii, CBA, FEI, C-304,2404 Maile Way, Honolulu, HI 96822 USA. EM rheesg@hawaii.edu RI Cherkes, Martin/A-4726-2012; Agarwal, Sumit/F-4836-2012 NR 32 TC 13 Z9 13 U1 4 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 FEB PY 2007 VL 26 IS 1 BP 46 EP 63 DI 10.1016/j.jimonfin.2006.10.011 PG 18 WC Business, Finance SC Business & Economics GA 142FK UT WOS:000244634600003 ER PT J AU Dick, AA AF Dick, Astrid A. TI Market size, service quality, and competition in banking SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE banks; market size; quality; sunk costs AB Local banking markets depict enormous variation in population size. Yet this paper finds that the nature of bank competition across markets is strikingly similar. First, markets remain similarly concentrated regardless of size. Second, the number of dominant banks is roughly constant across markets of different size; it is the number of fringe banks that increases with market size. Third, service quality increases in larger markets and is higher for dominant banks. The findings suggest that banks use fixed-cost quality investments to capture the additional demand when market size grows, thereby raising barriers to entry. C1 Fed Reserve Bank New York, New York, NY USA. RP Dick, AA (reprint author), Fed Reserve Bank New York, New York, NY USA. EM astrid.dick@ny.frb.org RI Dick, Astrid/C-1261-2010 NR 28 TC 22 Z9 23 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2007 VL 39 IS 1 BP 49 EP 81 DI 10.1111/j.0022-2879.2007.00003.x PG 33 WC Business, Finance; Economics SC Business & Economics GA 137AV UT WOS:000244266100003 ER PT J AU Frame, WS White, LJ AF Frame, W. Scott White, Lawrence J. TI Charter value, risk-taking incentives, and emerging competition for Fannie Mae and Freddie Mac SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE government-sponsored enterprises; mortgages; securitization; risk-based capital; moral hazard; charter value ID MORTGAGE SECURITIZATION; CAPITAL REQUIREMENTS; BANKING; RATES; GSES AB This paper examines two forces that may soon increase competition in the U.S. secondary conforming mortgage market: (1) the Federal Home Loan Bank mortgage purchase programs, and (2) the adoption of revised risk-based capital requirements for large U.S. banks (Basel 11). We argue that this competition is likely to reduce the growth and relative importance of Fannie Mae and Freddie Mac and hence reduce their charter values and effective capital. Such developments could, in turn, lead to more risky behaviors by these two companies. This last consequence warrants greater supervisory awareness and legal authorities. C1 Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. RP Frame, WS (reprint author), Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. EM scott.frame@atl.frb.org; Lwhite@stem.nyu.edu NR 54 TC 5 Z9 5 U1 12 U2 14 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2007 VL 39 IS 1 BP 83 EP 103 DI 10.1111/j.0022-2879.2007.00004.x PG 21 WC Business, Finance; Economics SC Business & Economics GA 137AV UT WOS:000244266100004 ER PT J AU Kiley, MT AF Kiley, Michael T. TI A quantitative comparison of sticky-price and sticky-information models of price setting SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article; Proceedings Paper CT Conference on Quantitative Evidence on Pricw Determination CY SEP 29-30, 2005 CL Feder Reserve Board Gemgf, Washington, DC SP JMCB, Feder Reserve Board HO Feder Reserve Board Gemgf DE Phillips curve; new-Keynesian model; inflation persistence ID KEYNESIAN PHILLIPS-CURVE; INFLATION DYNAMICS; DRIVE INFLATION; COSTS; POLICY AB I estimate sticky-price and sticky-information models of price setting for the United States via maximum-likelihood techniques, reaching several conclusions. First, the sticky-price model fits best, and captures inflation dynamics as well as reduced-form equations once hybrid-behavior is allowed. Second, the importance of hybrid behavior in sticky-price models is potentially consistent with a role for some information imperfections, such as sticky information, as a complement to nominal price rigidities. Finally, the favorable results herein for the hybrid sticky-price model when evaluated by statistics that summarize the relative fit of different models is consistent with the existing literature that is both supportive and dismissive of such models, as this literature has largely ignored fit in evaluating such models. Many previous studies have focused on ancillary issues, such as the standard errors associated with certain parameters or Granger-causality tests that may not provide much information about sticky-price models. C1 Fed Reserve Board, Macroecon & Quantitat Studies Sect, Washington, DC USA. RP Kiley, MT (reprint author), Fed Reserve Board, Macroecon & Quantitat Studies Sect, Washington, DC USA. EM mkiley@frb.gov RI Kiley, Michael/H-1132-2012; OI Kiley, Michael/0000-0003-0427-0131 NR 39 TC 42 Z9 42 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2007 VL 39 IS 1 SU S BP 101 EP 125 DI 10.1111/j.1538-4616.2007.00017.x PG 25 WC Business, Finance; Economics SC Business & Economics GA 136NC UT WOS:000244230400005 ER PT J AU Laforte, JP AF Laforte, Jean-Philippe TI Pricing models: A Bayesian DSGE approach for the US economy SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article; Proceedings Paper CT Conference on Quantitative Evidence on Pricw Determination CY SEP 29-30, 2005 CL Feder Reserve Board Gemgf, Washington, DC SP JMCB, Feder Reserve Board HO Feder Reserve Board Gemgf DE Bayesian analysis; DSGE models; inflation persistence ID MONETARY-POLICY; BUSINESS-CYCLE; PRICES; INFLATION AB This paper compares and estimates three pricing mechanisms in the context of a small DSGE model of the U.S. economy. We interpret our results as favoring the pricing mechanism presented in Wolman (1999 Wolman model) over the New Keynesian model with indexation (Gali and Gertler 1999, Smets and Wouters 2004a) and the sticky information model of Mankiw and Reis (2002). The key factor that explains the performance of the Wolman model is that the data reject the key assumption of the New Keynesian model that the firm's probability of price change is constant over time and independent of the contract's vintage. Our results also show that incorporating indexation in the New Keynesian model represents a poor expedient in matching the autocorrelation function of the inflation process over the last 20 years. C1 Fed Reserve Syst, Board Governors, Macroecon & Quantitat Studies Sect, Washington, DC USA. RP Laforte, JP (reprint author), Fed Reserve Syst, Board Governors, Macroecon & Quantitat Studies Sect, Washington, DC USA. EM jean-philippe.laforte@frb.gov NR 39 TC 13 Z9 13 U1 1 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2007 VL 39 IS 1 SU S BP 127 EP 154 DI 10.1111/j.1538-4616.2007.00018.x PG 28 WC Business, Finance; Economics SC Business & Economics GA 136NC UT WOS:000244230400006 ER PT J AU Rudd, J Whelan, K AF Rudd, Jeremy Whelan, Karl TI Modeling inflation dynamics: A critical review of recent research SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article; Proceedings Paper CT Conference on Quantitative Evidence on Pricw Determination CY SEP 29-30, 2005 CL Feder Reserve Board Gemgf, Washington, DC SP JMCB, Feder Reserve Board HO Feder Reserve Board Gemgf DE Phillips curve; sticky prices; rational expectations ID KEYNESIAN PHILLIPS-CURVE; MONETARY-POLICY; PRICES AB In recent years, a broad academic consensus has arisen that favors using rational expectations sticky-price models to capture inflation dynamics. We review the principal conclusions of this literature concerning: (1) the ability of these models to fit the data; (2)the importance of rational forward-looking expectations in price setting; and (3) the appropriate measure of inflationary pressures. We argue that existing models fail to provide a useful empirical description of the inflation process. C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC USA. RP Rudd, J (reprint author), Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC USA. EM jeremy.b.rudd@frb.gov; karl.whelan@centralbank.ie NR 21 TC 79 Z9 80 U1 1 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2007 VL 39 IS 1 SU S BP 155 EP 170 DI 10.1111/j.1538-4616.2007.00019.x PG 16 WC Business, Finance; Economics SC Business & Economics GA 136NC UT WOS:000244230400007 ER PT J AU Kohn, DL AF Kohn, Donald L. TI Inflation modeling: A policymaker's perspective SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material C1 Fed Reserve Syst, Board Governors, Quantitat Evidence Price Determinat Conference, Washington, DC USA. RP Kohn, DL (reprint author), Fed Reserve Syst, Board Governors, Quantitat Evidence Price Determinat Conference, Martin Bldg, Washington, DC USA. EM donald.l.kohn@frb.gov NR 4 TC 0 Z9 0 U1 0 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2007 VL 39 IS 1 SU S BP 181 EP 186 DI 10.1111/j.1538-4616.2007.00021.x PG 6 WC Business, Finance; Economics SC Business & Economics GA 136NC UT WOS:000244230400009 ER PT J AU Fisher, JDM AF Fisher, Jonas D. M. TI Why does household investment lead business investment over the business cycle? SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID HOME PRODUCTION; AGGREGATE FLUCTUATIONS; COMOVEMENT; TIME; ALLOCATION AB Household investment leads nonresidential business fixed investment over the U. S. business cycle. Because real business cycle theory has not been able to account for this observation, it represents a potent challenge to the view that transitory productivity disturbances are the main source of aggregate fluctuations. This paper reconciles RBC theory with the investment dynamics by extending the traditional home production model to make household capital complementary to business capital and labor in market production. Empirical evidence suggesting that household capital is a complementary input in market production is also presented. C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Fisher, JDM (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 29 TC 26 Z9 26 U1 1 U2 3 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 2007 VL 115 IS 1 BP 141 EP 168 DI 10.1086/511994 PG 28 WC Economics SC Business & Economics GA 134LI UT WOS:000244084100005 ER PT J AU Wolfe, B Haveman, R Pence, K Schwabish, JA AF Wolfe, Barbara Haveman, Robert Pence, Karen Schwabish, Jonathan A. TI Do youth nonmarital childbearing choices reflect income and relationship expectations? SO JOURNAL OF POPULATION ECONOMICS LA English DT Article DE teen births; nonmarital fertility; family planning ID TEENAGE CHILDBEARING; ECONOMIC INCENTIVES; NATURAL EXPERIMENT; FEMALE HEADSHIP; WELFARE; BIRTHS; VARIABLES; COHABITATION; FERTILITY; BENEFITS AB We hypothesize that teen nonmarital birth events are influenced by adolescent girls' perceptions of the consequences of their choices. Two such consequences are explored: (1) a teen's expected future marriage and cohabitation relationships and (2) the present value of expected future income. We also measure the effects of the characteristics of the teen, her prior choices, her family, her neighborhood, and the social and economic environment in which she lives. The results, based on the Michigan Panel Study of Income Dynamics, suggest that teens place greater weight on the relationship consequences than the income consequences, but that both consequences influence their nonmarital birth choices. C1 Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. Fed Reserve Board, Washington, DC 20551 USA. US Congress Budget Off, Washington, DC 20515 USA. RP Wolfe, B (reprint author), Univ Wisconsin, Dept Econ, 1180 Observ Dr, Madison, WI 53706 USA. EM wolfe@lafollette.wisc.edu; haveman@lafollette.wisc.edu; Karen.Pence@frb.gov; jonathan.schwabish@cbo.gov NR 50 TC 4 Z9 4 U1 1 U2 6 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 0933-1433 J9 J POPUL ECON JI J. Popul. Econ. PD FEB PY 2007 VL 20 IS 1 BP 73 EP 100 DI 10.1007/s00148-006-0109-4 PG 28 WC Demography; Economics SC Demography; Business & Economics GA 127WV UT WOS:000243617900007 ER PT J AU Dennis, R AF Dennis, Richard TI Optimal policy in rational expectations models: New solution algorithms SO MACROECONOMIC DYNAMICS LA English DT Article DE optimal policy; commitment; discretion ID OPTIMAL MONETARY-POLICY; OPEN-ECONOMY; PERSPECTIVE; RULES AB This paper develops methods to solve for optimal discretionary policies and optimal commitment policies in rational expectations models. These algorithms, which allow the optimization constraints to be conveniently expressed in second-order structural form, are more general than existing methods and are simple to apply. We use several New Keynesian business cycle models to illustrate their application. Simulations show that the procedures developed in this paper can quickly solve small-scale models and that they can be usefully and effectively applied to medium- and large-scale models. C1 Fed Reserve Bank San Francisco, Econ Res, San Francisco, CA 94105 USA. RP Dennis, R (reprint author), Fed Reserve Bank San Francisco, Econ Res, Mail Stop 1130,101 Market St, San Francisco, CA 94105 USA. EM richard.dennis@sf.frb.org NR 40 TC 22 Z9 22 U1 0 U2 1 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 2007 VL 11 IS 1 BP 31 EP 55 DI 10.1017/S1365100506050346 PG 25 WC Economics SC Business & Economics GA 134QW UT WOS:000244099900002 ER PT J AU Koren, M Tenreyro, S AF Koren, Miklos Tenreyro, Silvana TI Volatility and development SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID ECONOMIC-DEVELOPMENT; GROWTH; RISK; DIVERSIFICATION AB Why is GDP growth so much more volatile in poor countries than in rich ones? We identify three possible reasons: G) poor countries specialize in fewer and more volatile sectors; GO poor countries experience more frequent and more severe aggregate shocks (e.g., from macroeconomic policy); and (iii) poor countries' macroeconomic fluctuations are more highly correlated with the shocks affecting the sectors they specialize in. We show how to decompose volatility into the various sources, quantify their contribution to aggregate volatility, and study how they relate to the stage of development. We document the following regularities. First, as countries develop, their productive structure moves from more volatile to less volatile sectors. Second, the volatility of country-specific macroeconomic shocks falls with development. Third, the covariance between sector-specific and country-specific shocks does not vary systematically with the level of development. There is also some evidence that the degree of sectoral concentration declines with development at early stages, and increases at later stages. We argue that many theories linking volatility and development are not consistent with these findings, and suggest new directions for future theoretical work. C1 Fed Reserve Bank New York, New York, NY USA. London Sch Econ, CEP, London, England. RP Koren, M (reprint author), Fed Reserve Bank New York, New York, NY USA. NR 33 TC 110 Z9 110 U1 3 U2 11 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD FEB PY 2007 VL 122 IS 1 BP 243 EP 287 DI 10.1162/qjec.122.1.243 PG 45 WC Economics SC Business & Economics GA 135US UT WOS:000244180000007 ER PT J AU Alessandria, G Choi, H AF Alessandria, George Choi, Horag TI Do sunk costs of exporting matter for net export dynamics? SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID INTERNATIONAL-BUSINESS CYCLES; REAL EXCHANGE-RATES; AGGREGATE FLUCTUATIONS; TRADE; MODEL; ENTRY; EXPECTATIONS; HYSTERESIS; COLOMBIA; GROWTH AB Firms start and stop exporting. Previous research suggests that these export participation decisions alter the comovement of net exports with the real exchange rate. We evaluate these predictions in a general equilibrium environment. Specifically, assuming firms face an up-front, sunk cost of entering foreign markets, and a smaller period-by-period continuation cost, we derive the discrete entry and exit decisions yielding exporter dynamics in an open economy business cycle model. The model's business cycle exporter dynamics are consistent with that of U.S. exporters. However, in contrast to previous partial equilibrium analyses, model results reveal that export decisions have negligible aggregate effects. C1 Univ Auckland, Auckland 1, New Zealand. Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Alessandria, G (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. OI Choi, Horag/0000-0002-8250-539X NR 43 TC 41 Z9 42 U1 4 U2 11 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD FEB PY 2007 VL 122 IS 1 BP 289 EP 336 DI 10.1162/qjec.122.1.289 PG 48 WC Economics SC Business & Economics GA 135US UT WOS:000244180000008 ER PT J AU Gine, X Townsend, R Vickery, J AF Gine, Xavier Townsend, Robert Vickery, James TI Statistical analysis of rainfall insurance payouts in southern India SO AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS LA English DT Article; Proceedings Paper CT Annual Meeting of the American-Agricultural-Economics-Association CY JUL, 2007 CL Portland, OR SP Amer Agr Econ Assoc ID RISK-MANAGEMENT; INCOME C1 World Bank, DECRG, Washington, DC 20433 USA. Univ Chicago, Chicago, IL 60637 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Gine, X (reprint author), World Bank, DECRG, Washington, DC 20433 USA. EM xgine@worldbank.org; rtownsen@uchicago.edu; james.vickery@ny.frb.org NR 13 TC 21 Z9 21 U1 1 U2 16 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0002-9092 J9 AM J AGR ECON JI Am. J. Agr. Econ. PY 2007 VL 89 IS 5 BP 1248 EP 1254 DI 10.1111/j.1467-8276.2007.01092.x PG 7 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 238FC UT WOS:000251431700021 ER PT J AU Johnson, KW AF Johnson, Kathleen W. TI The transactions demand for credit cards SO B E JOURNAL OF ECONOMIC ANALYSIS & POLICY LA English DT Article DE credit cards; transactions demand; household credit ID LIQUIDITY CONSTRAINTS; CONSUMPTION; INCOME; MONEY; MODEL AB I argue that the measure of credit card debt used by researchers has grown rapidly in part because it captures debt arising from transactions in which a credit card is used because of its advantages over other payment instruments. Increases in debt stemming from such use may not signal greater household financial vulnerability if households are willing and able to repay this short-term debt. However, it may suggest that the cost of using credit cards to pay for purchases has declined relative to other payment instruments. I conclude that had transactions demand remained at its real 1992 levels, rather than growing almost 15 percent per year, measured credit card debt would have grown a bit less than 1 percentage point slower per year between 1992 and 2001. Moreover, I show that removing transactions demand from aggregate consumer credit can alter conclusions about the relationship between credit and consumption. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Johnson, KW (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM kathleen.w.johnson@frb.gov NR 37 TC 1 Z9 1 U1 2 U2 4 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 2809 TELEGRAPH AVENUE, STE 202, BERKELEY, CA 94705 USA SN 1935-1682 J9 BE J ECON ANAL POLI JI B E J. Econ. Anal. Policy PY 2007 VL 7 IS 1 AR 16 PG 33 WC Economics SC Business & Economics GA 307FC UT WOS:000256302600002 ER PT J AU Barseghyan, L DiCecio, R AF Barseghyan, Levon DiCecio, Riccardo TI Optimal monetary policy, endogenous sticky prices, and multiple equilibria SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE optimal monetary policy; multiple equilibria; sticky prices ID DISCRETION; DYNAMICS; OUTPUT; MONEY AB We analyze optimal discretionary monetary policy in an endogenous sticky prices model. Similar models with exogenous sticky prices can deliver multiple equilibria. This is a necessary condition for the occurrence of expectation traps (when private agents' expectations determine the equilibrium level of inflation). In our model, sticky-price firms are allowed to switch to flexible pricing by paying a random cost. For plausible parametrizations, our model has a unique low-inflation equilibrium. With endogenous sticky prices, the monetary authority does not validate high-inflation expectations and deviates to the Friedman rule. C1 [Barseghyan, Levon] Cornell Univ, Ithaca, NY 14853 USA. [DiCecio, Riccardo] Fed Reserve Bank St Louis, St Louis, MO USA. RP Barseghyan, L (reprint author), Cornell Univ, Ithaca, NY 14853 USA. EM LB247@cornell.edu; dicecio@stls.frb.org RI DiCecio, Riccardo/K-6861-2016 OI DiCecio, Riccardo/0000-0002-3288-8396 NR 13 TC 1 Z9 1 U1 0 U2 2 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 2809 TELEGRAPH AVENUE, STE 202, BERKELEY, CA 94705 USA SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2007 VL 7 IS 1 AR 8 PG 19 WC Economics SC Business & Economics GA 307EX UT WOS:000256302100010 ER PT J AU Bordo, MD Dittmar, RD Gavin, WT AF Bordo, Michael D. Dittmar, Robert D. Gavin, William T. TI Gold, fiat money, and price stability SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE gold standard; compensated dollar; inflation targeting ID INFLATION PERSISTENCE; BUSINESS CYCLES; TIME-SERIES; STANDARD; MODEL; ROOT AB The classical gold standard has long been associated with long-run price stability. But short-run price variability led critics of the gold standard to propose reforms that look much like modern versions of price-path targeting. This paper uses a dynamic stochastic general equilibrium model to examine price dynamics under alternative policy regimes. In the model, a pure inflation target provides more short-run price stability than does the gold standard and, although it introduces a unit root into the price level, it leads to as much long-term price stability as does the gold standard for horizons shorter than 20 years. Relative to these regimes, Fisher's compensated dollar (or pure price-path targeting) reduces inflation uncertainty by an order of magnitude at all horizons. A Taylor rule, with its relatively large weight on output, leads to large uncertainty about inflation at long horizons. This long-run inflation uncertainty can be largely eliminated by introducing an additional response to the deviation of the price level from a desired path. C1 [Bordo, Michael D.] Rutgers State Univ, Piscataway, NJ 08855 USA. [Gavin, William T.] Fed Reserve Bank St Louis, St Louis, MO USA. RP Bordo, MD (reprint author), Rutgers State Univ, Piscataway, NJ 08855 USA. EM bordo@econ.rutgers.edu; Robert.Dittmar@radian.biz; gavin@stls.frb.org NR 40 TC 2 Z9 2 U1 2 U2 7 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 2809 TELEGRAPH AVENUE, STE 202, BERKELEY, CA 94705 USA SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2007 VL 7 IS 1 AR 26 PG 31 WC Economics SC Business & Economics GA 307EX UT WOS:000256302100025 ER PT J AU Silos, P AF Silos, Pedro TI Housing tenure and wealth distribution in life cycle economies SO B E JOURNAL OF MACROECONOMICS LA English DT Article DE wealth concentration; life cycle; housing tenure AB Common practice in the housing and wealth distribution literature has proceeded as if the modeling of housing rental markets was unnecessary due to renters' relative low levels of wealth and the smaller fraction they represent in the total population. This paper shows, however, that their inclusion matters substantially when dealing with wealth concentration over the life-cycle. Renters are concentrated in the poorer and younger groups and when matching the data on wealth inequality by age groups, the model improves relative to a one asset economy and relative to a housing model with no rental markets. C1 Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Silos, P (reprint author), Fed Reserve Bank Atlanta, Atlanta, GA USA. EM Pedro.Silos@atl.frb.org NR 18 TC 1 Z9 1 U1 1 U2 1 PU BERKELEY ELECTRONIC PRESS PI BERKELEY PA 2809 TELEGRAPH AVENUE, STE 202, BERKELEY, CA 94705 USA SN 1935-1690 J9 BE J MACROECON JI B E J. Macroecon. PY 2007 VL 7 IS 1 AR 27 PG 24 WC Economics SC Business & Economics GA 307EX UT WOS:000256302100019 ER PT J AU Oliner, SD Sichel, DE Stiroh, KJ AF Oliner, Stephen D. Sichel, Daniel E. Stiroh, Kevin J. TI Explaining a productive decade SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article; Proceedings Paper CT 38th Annual Conference of the Brookings Panel on Economic Activity Conference CY MAR 29-30, 2007 CL Washington, DC SP Brookings Panel Econ Activity ID INFORMATION TECHNOLOGY; SKILLED LABOR; UNITED-STATES; GROWTH; ECONOMY; PERFORMANCE; SPILLOVERS; DEMAND; ICT C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Oliner, SD (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. NR 91 TC 23 Z9 23 U1 0 U2 1 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 2007 IS 1 BP 81 EP 152 PG 72 WC Economics SC Business & Economics GA 210SO UT WOS:000249476100003 ER PT J AU Backus, DK Wright, JH AF Backus, David K. Wright, Jonathan H. TI Cracking the conundrum SO BROOKINGS PAPERS ON ECONOMIC ACTIVITY LA English DT Article; Proceedings Paper CT 38th Annual Conference of the Brookings Panel on Economic Activity Conference CY MAR 29-30, 2007 CL Washington, DC SP Brookings Panel Econ Activity ID TERM INTEREST-RATES; AFFINE MODELS; NO-ARBITRAGE; RISK PREMIA C1 NYU, New York, NY 10011 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Backus, DK (reprint author), NYU, New York, NY 10011 USA. NR 34 TC 7 Z9 7 U1 0 U2 1 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 2007 IS 1 BP 293 EP 329 PG 37 WC Economics SC Business & Economics GA 210SO UT WOS:000249476100006 ER PT J AU Adams, RM Sickles, RC AF Adams, Robert M. Sickles, Robin C. TI Semiparametric efficient distribution free estimation of panel models SO COMMUNICATIONS IN STATISTICS-THEORY AND METHODS LA English DT Article DE banking efficiency; efficient estimation; information bound; panel models; semiparametric estimation ID ASYMPTOTIC EFFICIENCY; MOMENT RESTRICTIONS; REGRESSION; FRONTIERS; BOUNDS AB This article generalizes results from Park et al. (1998) and Adams et al. (1999) on semiparametric efficient estimation of panel models. The form of semiparametric efficient estimators depends on the statistical assumptions imposed. Normality assumptions on the transitory error are sometimes inappropriate. We relax the normality assumption used in the articles above to derive more general semiparametric efficient estimators. These estimators are illustrated in a Monte Carlo simulation and an analysis of banking productivity. C1 [Sickles, Robin C.] Rice Univ, Dept Econ, Houston, TX 77005 USA. [Adams, Robert M.] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Sickles, RC (reprint author), Rice Univ, Dept Econ, Houston, TX 77005 USA. EM rsickles@rice.edu NR 24 TC 1 Z9 1 U1 1 U2 1 PU TAYLOR & FRANCIS INC PI PHILADELPHIA PA 325 CHESTNUT ST, SUITE 800, PHILADELPHIA, PA 19106 USA SN 0361-0926 J9 COMMUN STAT-THEOR M JI Commun. Stat.-Theory Methods PY 2007 VL 36 IS 13-16 BP 2425 EP 2442 DI 10.1080/03610920701215563 PG 18 WC Statistics & Probability SC Mathematics GA 244OY UT WOS:000251876400009 ER PT J AU Grunewald, R Rolnick, A AF Grunewald, Rob Rolnick, Arthur BE Young, ME TI A Productive Investment: Early Child Development SO EARLY CHILD DEVELOPMENT FROM MEASUREMENT TO ACTION: A PRIORITY FOR GROWTH AND EQUITY LA English DT Article; Book Chapter ID HEAD-START; QUALITY; CARE C1 [Grunewald, Rob; Rolnick, Arthur] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Grunewald, R (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 19 TC 2 Z9 2 U1 0 U2 0 PU WORLD BANK INST PI WASHINGTON PA 1818 H ST NW, WASHINGTON, DC 20433 USA BN 978-0-8213-7087-2 PY 2007 BP 17 EP 32 D2 10.1596/978-0-8213-7086-5 PG 16 WC Psychology, Developmental SC Psychology GA BZX85 UT WOS:000303263000004 ER PT J AU Zha, T AF Zha, Tao TI Comment on An and Schorfheide's Bayesian analysis of DSGE models SO ECONOMETRIC REVIEWS LA English DT Article DE ad hoc identification; beliefs; B/W ratio; off-equilibrium paths; self-confirming equilibrium ID INFLATION; PRIORS AB An and Schorfheide's article provides an excellent review of Bayesian estimation of DSGE models. Rather than. recapitulating the points already made in this article, my comment focuses on three aspects. It proposes a convergence measure to lake account of serial correlation of MCMC draws, explains why the DSGE-VAR framework for policy analysis can be improved by avoiding the ad hoc identification assumption, and discusses an alternative structural approach to model misspecification. C1 Fed Res Bank Atlanta, Atlanta, GA 30309 USA. RP Zha, T (reprint author), Fed Res Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM tzha@earthlink.net NR 11 TC 0 Z9 0 U1 0 U2 0 PU TAYLOR & FRANCIS INC PI PHILADELPHIA PA 325 CHESTNUT ST, SUITE 800, PHILADELPHIA, PA 19106 USA SN 0747-4938 J9 ECONOMET REV JI Econom. Rev. PY 2007 VL 26 IS 2-4 BP 205 EP 210 DI 10.1080/07474930701220212 PG 6 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 164BV UT WOS:000246208500007 ER PT J AU Hamilton, JD Waggoner, DF Zha, T AF Hamilton, James D. Waggoner, Daniel F. Zha, Tao TI Normalization in econometrics SO ECONOMETRIC REVIEWS LA English DT Article DE cointegration; local identification; mixture distributions; maximum likelihood estimate; numerical Bayesian methods; regime-switching; small sample distributions; vector autoregressions; weak identification ID SIMULTANEOUS-EQUATIONS MODEL; WEAK INSTRUMENTS; MIXTURE-MODELS; VECTOR AUTOREGRESSIONS; INFORMATION ANALYSIS; MAXIMUM-LIKELIHOOD; COINTEGRATION; IDENTIFICATION; VARIABLES; ESTIMATORS AB The issue of normalization arises whenever two different values for a vector of unknown parameters imply the identical economic model. A normalization implies not just a rule,for selecting which among equivalent points to call the maximum likelihood estimate (MLE), but also governs the topography of the set of points that go into a small-sample confidence interval associated with that MI-E. A poor normalization can lead to multimodal distributions, disjoint confidence internals, and very misleading characterizations of the true statistical uncertainty. This paper introduces an identification principle as a framework upon which a normalization should be imposed, according to which the boundaries of the allowable parameter space should correspond to loci along which the model is locally unidentified. We illustrate these issues with examples taken from mixture models, structural vector autoregressions, and cointegration models. C1 Fed Reserve Bank Atlanta, Atlanta, GA 30309 USA. Univ Calif San Diego, San Diego, CA 92103 USA. RP Zha, T (reprint author), Fed Reserve Bank Atlanta, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM tzha@earthlink.net NR 50 TC 25 Z9 25 U1 1 U2 7 PU TAYLOR & FRANCIS INC PI PHILADELPHIA PA 325 CHESTNUT ST, SUITE 800, PHILADELPHIA, PA 19106 USA SN 0747-4938 J9 ECONOMET REV JI Econom. Rev. PY 2007 VL 26 IS 2-4 BP 221 EP 252 DI 10.1080/07474930701220329 PG 32 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 164BV UT WOS:000246208500009 ER PT J AU Canals-Cerda, J Gurmu, S AF Canals-Cerda, Jose Gurmu, Shiferaw TI Semiparametric competing risks analysis SO ECONOMETRICS JOURNAL LA English DT Article DE competing risks; unobserved heterogeneity; series approximation; survival analysis ID UNEMPLOYMENT-INSURANCE; UNOBSERVED HETEROGENEITY; REGRESSION-MODELS; DURATION; TRANSFORMATION; IMPACT; WORK AB In this paper we analyse a semi-parametric estimation technique for competing risks models based on series expansion of the joint density of the unobserved heterogeneity components. This technique allows for unrestricted correlation among the risks. The finite sample behavior of the estimation technique is analysed in a Monte Carlo experiment using an empirically relevant data-generating process. The estimator performs well when compared with the Heckman-Singer estimator. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. Georgia State Univ, Andrew Young Sch Policy Studies, Dept Econ, Atlanta, GA 30302 USA. RP Canals-Cerda, J (reprint author), Fed Reserve Bank Philadelphia, 10 Independence Mall, Philadelphia, PA 19106 USA. EM Jose.Canals-Cerda@phil.frb.org; sgurmu@gsu.edu NR 27 TC 6 Z9 6 U1 0 U2 1 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1368-4221 J9 ECONOMET J JI Econom. J. PY 2007 VL 10 IS 2 BP 193 EP 215 DI 10.1111/j.1365-423X.2007.00205.x PG 23 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 181LZ UT WOS:000247439500001 ER PT J AU Stiroh, KJ AF Stiroh, Kevin J. TI Playing for keeps: Pay and performance in the NBA SO ECONOMIC INQUIRY LA English DT Article ID INCENTIVE CONTRACTS; PIECE RATES; LABOR CONTRACTS; MORAL HAZARD; FIXED WAGES; PRODUCTIVITY; FIRMS AB This paper examines contract-related incentive effects using a unique dataset on individual Performance and individual contracts. Evidence from professional basketball players in the 1980s and 1990s shows that individual performance improves significantly in the year before signing a multi-year contract but declines after the contract is signed. One interpretation is that workers strategically increase effort to obtain the most lucrative, multi-year contract but then reduce it once the contract is locked in. This highlights the double-edged nature of long-term contracts: good for employers when workers are fighting for them, but less so when workers have them. 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. EM kevin.stiroh@ny.frb.org NR 33 TC 19 Z9 19 U1 4 U2 13 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0095-2583 J9 ECON INQ JI Econ. Inq. PD JAN PY 2007 VL 45 IS 1 BP 145 EP 161 DI 10.1111/j.1465-7295.2006.00004.x PG 17 WC Economics SC Business & Economics GA 133WJ UT WOS:000244044300011 ER PT J AU Berentsen, A Rocheteau, G Shi, SY AF Berentsen, Aleksander Rocheteau, Guillaume Shi, Shouyong TI Friedman meets Hosios: Efficiency in search models of money SO ECONOMIC JOURNAL LA English DT Article ID FIAT MONEY; MONETARY-ECONOMICS; EQUILIBRIUM; PRICES AB This article studies optimal monetary policy in an economy with endogenous search decisions. We show that the same frictions that give fiat money a positive value generate an inefficient quantity of goods in each trade and an inefficient number of trades. The Friedman rule eliminates the first inefficiency and the Hosios rule the second. A monetary equilibrium attains the social optimum if and only if both rules are satisfied. When they cannot be satisfied simultaneously, optimal monetary policy achieves only the second best. We analyse the conditions under which the second-best monetary policy exceeds the Friedman rule. C1 Univ Basel, CH-4003 Basel, Switzerland. Fed Reserve Bank Cleveland, Cleveland, OH USA. Univ Toronto, Toronto, ON, Canada. RP Berentsen, A (reprint author), Univ Basel, CH-4003 Basel, Switzerland. NR 27 TC 18 Z9 18 U1 2 U2 8 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0013-0133 J9 ECON J JI Econ. J. PD JAN PY 2007 VL 117 IS 516 BP 174 EP 195 DI 10.1111/j.1468-0297.2007.02006.x PG 22 WC Economics SC Business & Economics GA 127CI UT WOS:000243562500007 ER PT J AU Hale, G AF Hale, Galina TI Bonds or loans? The effect of macroeconomic fundamentals SO ECONOMIC JOURNAL LA English DT Article ID BANK LOANS; EMERGING MARKETS; PUBLIC DEBT; CHOICE; INFORMATION AB The costs of debt crises are not invariant to the foreign debt instrument composition: bank loans or bonds. The lending boom of the 1990s witnessed considerable variation over time and across countries in the debt instrument used by emerging market (EM) borrowers. This article tests how macroeconomic fundamentals affect the composition of international debt instruments used by EM borrowers. Analysis of micro-level data using an ordered probability model shows that macroeconomic fundamentals explain a significant share of variation in the ratio of bonds to loans for private borrowers, but not for the sovereigns. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Hale, G (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. OI Hale, Galina/0000-0002-5604-9730 NR 34 TC 12 Z9 12 U1 2 U2 4 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0013-0133 J9 ECON J JI Econ. J. PD JAN PY 2007 VL 117 IS 516 BP 196 EP 215 DI 10.1111/j.1468-0297.2007.02007.x PG 20 WC Economics SC Business & Economics GA 127CI UT WOS:000243562500008 ER PT J AU Pingle, JF AF Pingle, Jonathan F. TI A note on measuring internal migration in the United States SO ECONOMICS LETTERS LA English DT Article DE migration; current population survey AB Census Bureau estimates of annual interstate migration indicate that internal migration in the U.S. has declined steadily since the 1950s. However, as this paper shows, that decline is largely due to the reduction in the relative size of the military. (c) 2006 Published by Elsevier B.V. C1 Board Governors Fed Reserve Syst, Washington, DC 20051 USA. RP Pingle, JF (reprint author), Board Governors Fed Reserve Syst, Washington, DC 20051 USA. EM Jonathan.F.Pingle@frb.gov NR 10 TC 3 Z9 3 U1 0 U2 2 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD JAN PY 2007 VL 94 IS 1 BP 38 EP 42 DI 10.1016/j.econlet.2006.07.004 PG 5 WC Economics SC Business & Economics GA 127QN UT WOS:000243601500007 ER PT J AU Gagnon, J AF Gagnon, Joseph BE DiMauro, F Anderton, R TI Product variety and macro trade models: implications for the new EU Member States SO EXTERNAL DIMENSION OF THE EURO AREA: ASSESSING THE LINKAGES LA English DT Article; Book Chapter ID DEMAND; PRICES C1 Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. RP Gagnon, J (reprint author), Fed Reserve Syst, Board Governors, Div Int Finance, Washington, DC 20551 USA. NR 20 TC 0 Z9 0 U1 0 U2 0 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-86700-9 PY 2007 BP 52 EP 62 DI 10.1017/CBO9780511492365.004 PG 11 WC Business, Finance; Economics SC Business & Economics GA BXO27 UT WOS:000296569100004 ER PT J AU Campa, JM Goldberg, LS Gonzalez-Minguez, JM AF Campa, Jose Manuel Goldberg, Linda S. Gonzalez-Minguez, Jose M. BE DiMauro, F Anderton, R TI Exchange-rate pass-through to import prices in the euro area SO EXTERNAL DIMENSION OF THE EURO AREA: ASSESSING THE LINKAGES LA English DT Article; Book Chapter ID RATE DYNAMICS; GOODS PRICES; PARAMETER; TESTS C1 [Campa, Jose Manuel] IESE Business Sch, Barcelona, Spain. [Goldberg, Linda S.] Fed Reserve Bank New York, New York, NY USA. NBER, Cambridge, MA 02138 USA. RP Campa, JM (reprint author), IESE Business Sch, Barcelona, Spain. NR 35 TC 4 Z9 4 U1 1 U2 1 PU CAMBRIDGE UNIV PRESS PI CAMBRIDGE PA THE PITT BUILDING, TRUMPINGTON ST, CAMBRIDGE CB2 1RP, CAMBS, ENGLAND BN 978-0-521-86700-9 PY 2007 BP 63 EP 94 DI 10.1017/CBO9780511492365.005 PG 32 WC Business, Finance; Economics SC Business & Economics GA BXO27 UT WOS:000296569100005 ER PT J AU Poole, W AF Poole, William TI Milton Friedman, 1912-2006: Some personal reflections SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Biographical-Item C1 Fed Res Bank St Louis, St Louis, MO USA. RP Poole, W (reprint author), Fed Res Bank St Louis, St Louis, MO USA. NR 0 TC 1 Z9 1 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2007 VL 89 IS 1 BP 1 EP 2 PG 2 WC Business, Finance; Economics SC Business & Economics GA 130US UT WOS:000243825100001 ER PT J AU Poole, W AF Poole, William TI Understanding the fed SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank, St Louis, MO USA. RP Poole, W (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 5 TC 14 Z9 14 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2007 VL 89 IS 1 BP 3 EP 13 PG 11 WC Business, Finance; Economics SC Business & Economics GA 130US UT WOS:000243825100002 ER PT J AU Garrett, TA AF Garrett, Thomas A. TI The rise in personal bankruptcies: The eighth federal reserve district and beyond SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID CONSUMER BANKRUPTCY; REFORM-ACT; US STATES; CONVERGENCE; GROWTH; IMPACT; INCOME; RATES AB Personal bankruptcy filings in the United States increased, per capita, nearly 350 percent between 1980 and 2005. This paper first addresses the changes in economic and institutional factors that have occurred over the past 100 years, many of which have occurred in the past 30 years, which are likely contributors to the dramatic rise in personal bankruptcy filings seen across the country. These factors include a reduction in personal savings, an increase in consumer debt, the proliferation of revolving credit, changes to bankruptcy law, and a reduced social stigma associated with filing for bankruptcy. Given the availability of bankruptcy data at various levels of aggregation, the remaining sections of the paper contain results from several different empirical analyses of bankruptcy filings using various data sets. Careful attention is paid to personal bankruptcy filings in counties located in Eighth Federal Reserve District states. C1 Fed Reserve Bank, St Louis, MO USA. RP Garrett, TA (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 28 TC 4 Z9 4 U1 3 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2007 VL 89 IS 1 BP 15 EP 37 PG 23 WC Business, Finance; Economics SC Business & Economics GA 130US UT WOS:000243825100003 ER PT J AU Ho, G Pennington-Cross, A AF Ho, Giang Pennington-Cross, Anthony TI The varying effects of predatory lending laws on high-cost mortgage applications SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID CREDIT; MARKET AB Federal, state, and local predatory lending laws are designed to restrict and in some cases prohibit certain types of high-cost mortgage credit in the subprime market. Empirical evidence using the spatial variation in these laws shows that the aggregate flow of high-cost mortgage credit can increase, decrease, or be unchanged after these laws are enacted. Although it may seem counter-intuitive to find that a law that prohibits lending could be associated with more lending, it is hypothesized that a law may reduce the cost of sorting honest loans from dishonest loans and lessen borrowers' fears of predation, thus stimulating the high-cost mortgage market. C1 Fed Reserve Bank, St Louis, MO USA. Univ Calif Los Angeles, Dept Econ, Los Angeles, CA 90024 USA. RP Ho, G (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 15 TC 4 Z9 4 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2007 VL 89 IS 1 BP 39 EP 59 PG 21 WC Business, Finance; Economics SC Business & Economics GA 130US UT WOS:000243825100004 ER PT J AU Wall, HJ AF Wall, Howard J. TI Regional business cycle phases in Japan SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB This paper uses a Markov-switching model with structural breaks to characterize and compare regional business cycles in Japan for the period 1976-2005. An early-1990s structural break meant a reduction in national and regional growth rates in expansion and recession, usually resulting in an increase in the spread between the two phases. Although recessions tended to be experienced across a majority of regions throughout the sample period, the occurrence and lengths of recessions at the regional level have increased over time. C1 Fed Reserve Bank, St Louis, MO USA. RP Wall, HJ (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 16 TC 1 Z9 1 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JAN-FEB PY 2007 VL 89 IS 1 BP 61 EP 76 PG 16 WC Business, Finance; Economics SC Business & Economics GA 130US UT WOS:000243825100005 ER PT J AU Thornton, DL AF Thornton, Daniel L. BE Papadimitriou, DB TI Net Intergenerational Transfers from an Increase in Social Security Benefits Comment SO GOVERNMENT SPENDING ON THE ELDERLY LA English DT Editorial Material; Book Chapter 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 2 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-59144-8 PY 2007 BP 189 EP 190 D2 10.1057/9780230591448 PG 2 WC Gerontology; Political Science SC Geriatrics & Gerontology; Government & Law GA BRA89 UT WOS:000282280400013 ER PT J AU Burdick, C AF Burdick, Clark BE Papadimitriou, DB TI Population Forecasts, Fiscal Policy, and Risk Comment SO GOVERNMENT SPENDING ON THE ELDERLY LA English DT Editorial Material; Book Chapter C1 [Burdick, Clark] Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA USA. [Burdick, Clark] Georgia Tech Univ, Atlanta, GA USA. [Burdick, Clark] Indiana Univ, Bloomington, IN 47405 USA. NR 2 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-59144-8 PY 2007 BP 266 EP 271 D2 10.1057/9780230591448 PG 6 WC Gerontology; Political Science SC Geriatrics & Gerontology; Government & Law GA BRA89 UT WOS:000282280400019 ER PT J AU Triest, RK AF Triest, Robert K. BE Papadimitriou, DB TI Minimum Benefits in Social Security Comment SO GOVERNMENT SPENDING ON THE ELDERLY LA English DT Editorial Material; Book Chapter C1 Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. RP Triest, RK (reprint author), Fed Reserve Bank Boston, Res Dept, Boston, MA 02210 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-230-59144-8 PY 2007 BP 389 EP 392 D2 10.1057/9780230591448 PG 4 WC Gerontology; Political Science SC Geriatrics & Gerontology; Government & Law GA BRA89 UT WOS:000282280400025 ER PT J AU Cutler, DM Long, G Berndt, ER Royer, J Fournier, AA Sasser, A Cremieux, P AF Cutler, David M. Long, Genia Berndt, Ernst R. Royer, Jimmy Fournier, Andree-Anne Sasser, Alicia Cremieux, Pierre TI The value of antihypertensive drugs: A perspective on medical innovation SO HEALTH AFFAIRS LA English DT Article ID JOINT NATIONAL COMMITTEE; HIGH BLOOD-PRESSURE; UNITED-STATES; CARE EXPENDITURES; HYPERTENSION; HEALTH; RISK AB Using national survey data and risk equations from the Framingham Heart Study, we quantify the impact of anti hypertensive therapy changes on blood pressures and the number and cost of heart attacks, strokes, and deaths. Anti hypertensive therapy has had a major impact on health. Without it, 1999-2000 average blood pressures (at age 40+) would have been 10-13 percent higher, and 86,000 excess premature deaths from cardiovascular disease would have occurred in 2001. Treatment has generated a benefit-to-cost ratio of at least 6:1, but much more can be achieved. More effective use of antihypertensive medication would have an impact on mortality akin to eliminating all deaths from medical errors or accidents. C1 Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. Anal Grp Inc, Boston, MA USA. MIT, Alfred P Sloan Sch Management, Dept Econ, Cambridge, MA 02139 USA. Anal Grp, Montreal, PQ, Canada. Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Cutler, DM (reprint author), Harvard Univ, Dept Econ, Cambridge, MA 02138 USA. EM dcutler@fas.harvard.edu NR 34 TC 57 Z9 58 U1 2 U2 7 PU PROJECT HOPE PI BETHESDA PA 7500 OLD GEORGETOWN RD, STE 600, BETHESDA, MD 20814-6133 USA SN 0278-2715 J9 HEALTH AFFAIR JI Health Aff. PD JAN-FEB PY 2007 VL 26 IS 1 BP 97 EP 110 DI 10.1377/hlthaff.26.1.97 PG 14 WC Health Care Sciences & Services; Health Policy & Services SC Health Care Sciences & Services GA 136LF UT WOS:000244223200012 PM 17211019 ER PT J AU Agarwal, S Ambrose, BW AF Agarwal, Sumit Ambrose, Brent W. BE Agarwal, S Ambrose, BW TI HOUSEHOLD FINANCE AND THE FINANCIAL DECISION-MAKING PROCESS SO HOUSEHOLD CREDIT USAGE: PERSONAL DEBT AND MORTGAGES LA English DT Article; Book Chapter C1 [Agarwal, Sumit] Fed Reserve Bank Chicago, Chicago, IL USA. [Ambrose, Brent W.] Penn State Univ, University Pk, PA 16802 USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. RI Ambrose, Brent/C-8531-2017 OI Ambrose, Brent/0000-0001-5977-3663 NR 1 TC 0 Z9 0 U1 0 U2 1 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-23060-891-7 PY 2007 BP 3 EP 9 D2 10.1057/9780230608917 PG 7 WC Business, Finance; Economics SC Business & Economics GA BRC59 UT WOS:000282362800002 ER PT J AU Hunt, RM AF Hunt, Robert M. BE Agarwal, S Ambrose, BW TI WHITHER CONSUMER CREDIT COUNSELING SO HOUSEHOLD CREDIT USAGE: PERSONAL DEBT AND MORTGAGES LA English DT Article; Book Chapter ID BANKRUPTCY; SERVICE C1 Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Hunt, RM (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA USA. NR 36 TC 0 Z9 0 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-23060-891-7 PY 2007 BP 37 EP 54 D2 10.1057/9780230608917 PG 18 WC Business, Finance; Economics SC Business & Economics GA BRC59 UT WOS:000282362800004 ER PT J AU Lehnert, A Maki, D AF Lehnert, Andreas Maki, Dean BE Agarwal, S Ambrose, BW TI CONSUMPTION, DEBT, AND PORTFOLIO CHOICE: TESTING THE EFFECTS OF BANKRUPTCY LAW SO HOUSEHOLD CREDIT USAGE: PERSONAL DEBT AND MORTGAGES LA English DT Article; Book Chapter ID HOUSEHOLD CONSUMPTION; EARNINGS; DECISION; CREDIT C1 [Lehnert, Andreas] Fed Reserve Board Governors, Washington, DC USA. RP Lehnert, A (reprint author), Fed Reserve Board Governors, Washington, DC USA. NR 32 TC 1 Z9 1 U1 0 U2 0 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-23060-891-7 PY 2007 BP 55 EP 76 D2 10.1057/9780230608917 PG 22 WC Business, Finance; Economics SC Business & Economics GA BRC59 UT WOS:000282362800005 ER PT J AU Agarwal, S Ambrose, BW Chomsisengphet, S AF Agarwal, Sumit Ambrose, Brent W. Chomsisengphet, Souphala BE Agarwal, S Ambrose, BW TI ASYMMETRIC INFORMATION AND THE AUTOMOBILE LOAN MARKET SO HOUSEHOLD CREDIT USAGE: PERSONAL DEBT AND MORTGAGES LA English DT Article; Book Chapter ID MORTGAGE TERMINATIONS; MODEL; PREPAYMENT; BANKRUPTCY; MOBILITY; CHOICE C1 [Agarwal, Sumit] Fed Reserve Bank Chicago, Chicago, IL USA. [Ambrose, Brent W.] Penn State Univ, University Pk, PA 16802 USA. RP Agarwal, S (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. RI Ambrose, Brent/C-8531-2017 OI Ambrose, Brent/0000-0001-5977-3663 NR 24 TC 0 Z9 0 U1 0 U2 1 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-23060-891-7 PY 2007 BP 93 EP 116 D2 10.1057/9780230608917 PG 24 WC Business, Finance; Economics SC Business & Economics GA BRC59 UT WOS:000282362800007 ER PT J AU Chakravorti, S AF Chakravorti, Sujit BE Agarwal, S Ambrose, BW TI LINKAGES BETWEEN CONSUMER PAYMENTS AND CREDIT SO HOUSEHOLD CREDIT USAGE: PERSONAL DEBT AND MORTGAGES LA English DT Article; Book Chapter ID COMPETITION; CARDS C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Chakravorti, S (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 45 TC 1 Z9 1 U1 1 U2 1 PU PALGRAVE PI BASINGSTOKE PA HOUNDMILLS, BASINGSTOKE RG21 6XS, ENGLAND BN 978-0-23060-891-7 PY 2007 BP 161 EP 174 D2 10.1057/9780230608917 PG 14 WC Business, Finance; Economics SC Business & Economics GA BRC59 UT WOS:000282362800011 ER PT J AU Pescatori, A Sy, ANR AF Pescatori, Andrea Sy, Amadou N. R. TI Are debt crises adequately defined? SO IMF STAFF PAPERS LA English DT Article ID EXCHANGE-RATE RETURNS; CURRENCY CRISES; DEFAULT AB Crises on external sovereign debt are typically defined as defaults. Such a definition adequately captures debt-servicing difficulties in the 1980s, a period of numerous defaults oil bank loans. However, defining defaults as debt crises is problematic for the 1990s, when sovereign bond markets emerged. Not only were there very few, defaults in the 1990s, bill liquidity indicators do not play any role in explaining defaults in this period. In order to overcome the resulting dearth of data oil defaults and capture the evolution of debt markets in the 1990s, we define debt crises as events occurring when either a country defaults or its bond spreads are above a critical threshold. We find that, when information from bond markets is included, standard indicators-solvency and liquidity measures, as well as macroeconomic control variables-are signficant. C1 Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. Pompeu Fabra Univ, Barcelona, Spain. RP Pescatori, A (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 34 TC 15 Z9 15 U1 1 U2 2 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 1020-7635 J9 IMF STAFF PAPERS JI IMF Staff Pap. PY 2007 VL 54 IS 2 BP 306 EP 337 DI 10.1057/palgrave.imfsp.9450010 PG 32 WC Business, Finance; Economics SC Business & Economics GA 184KM UT WOS:000247640100004 ER PT J AU Amiti, M Romalis, J AF Amiti, Mary Romalis, John TI Will the Doha Round lead to preference erosion? SO IMF STAFF PAPERS LA English DT Article ID GSP AB This paper assesses the effects of reducing tariffs under the Doha Round on market access for developing countries. It shows that for many developing countrics actual preferential access is less generous than it appears because of low project coverage or complex rules of origin. Thus, lowering tariff under the multilateral system is likely to lead to a net increase in market access for many developing countries, with gains in market access offsetting losses from preference erosion. Furthermore, comparing various tariff-cutting Proposals, the research shows that the largest gains in market access are generated by higher tariff cuts in agriculture. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Univ Chicago, Chicago, IL 60637 USA. RP Amiti, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 23 TC 5 Z9 5 U1 0 U2 3 PU PALGRAVE MACMILLAN LTD PI BASINGSTOKE PA BRUNEL RD BLDG, HOUNDMILLS, BASINGSTOKE RG21 6XS, HANTS, ENGLAND SN 1020-7635 J9 IMF STAFF PAPERS JI IMF Staff Pap. PY 2007 VL 54 IS 2 BP 338 EP 384 DI 10.1057/palgrave.imfsp.9450009 PG 47 WC Business, Finance; Economics SC Business & Economics GA 184KM UT WOS:000247640100005 ER PT J AU Mazumder, B AF Mazumder, Bhashkar TI Editor's introduction - Trends in intergenerational mobility SO INDUSTRIAL RELATIONS LA English DT Editorial Material ID TRANSMISSION C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Mazumder, B (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM bmazumde@frbchi.org NR 10 TC 2 Z9 2 U1 0 U2 1 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0019-8676 J9 IND RELAT JI Ind. Relat. PD JAN PY 2007 VL 46 IS 1 BP 1 EP 6 DI 10.1111/j.1468-232X.2007.00454.x PG 6 WC Industrial Relations & Labor SC Business & Economics GA 119EH UT WOS:000242994500001 ER PT J AU Levine, DI Mazumder, B AF Levine, David I. Mazumder, Bhashkar TI The growing importance of family: Evidence from brothers' earnings SO INDUSTRIAL RELATIONS LA English DT Article ID UNITED-STATES; ECONOMIC-STATUS; SONS AB We examine between-brother correlation of earnings, family income, and wages from two cohorts of the National Longitudinal Surveys. Young brothers who entered the labor market in the 1970s had lower correlations of economic outcomes than did those who entered in the 1980s and early 1990s. Neither the rising brother correlation in education nor the rising return to schooling accounts for much of the increase in the brother correlation in earnings. These results suggest that family and community influences other than years of education that are shared by brothers have become increasingly important in determining economic outcomes. C1 Univ Calif Berkeley, Sch Business, Berkeley, CA 94720 USA. Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Levine, DI (reprint author), Univ Calif Berkeley, Sch Business, Berkeley, CA 94720 USA. EM levine@haas.berkeley.edu; bmazumde@frbchi.org NR 13 TC 17 Z9 17 U1 0 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0019-8676 J9 IND RELAT JI Ind. Relat. PD JAN PY 2007 VL 46 IS 1 BP 7 EP 21 DI 10.1111/j.1468-232X.2007.00455.x PG 15 WC Industrial Relations & Labor SC Business & Economics GA 119EH UT WOS:000242994500002 ER PT J AU Berger, AN Rosen, RJ Udell, GF AF Berger, Allen N. Rosen, Richard J. Udell, Gregory F. TI Does market size structure affect competition? The case of small business lending SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT 17th Australasian Finance and Banking Conference CY DEC, 2004 CL Sydney, AUSTRALIA DE banks; small business; mergers; relationship lending; size structure; loan prices ID SMALL BANKS; CREDIT; INDUSTRY; CONSOLIDATION; ACQUISITIONS; EFFICIENCY; MERGERS; FIRMS AB Market size structure refers to the distribution of shares of different size classes of local market participants, where the sizes are inclusive of assets both within and outside the local market. We apply this new measure of market structure in two empirical analyses of the US banking industry to address concerns regarding the effects of the consolidation in banking. Our quantity analysis of the likelihood that small businesses borrow from large versus small banks and our small business loan price analysis that includes market size structure as well as conventional measures yield very different findings from most of the literature on bank size and small business lending. Our results do not suggest a significant net advantage or disadvantage for large banks in small business lending overall, or in lending to informationally opaque small businesses in particular. We argue that the prior research that excluded market size structure may be misleading and offer some likely explanations of why our results differ. (c) 2006 Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA. Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Indiana Univ, Kelley Sch Business, Bloomington, IN 47405 USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM aberger@frb.gov; rrosen@frbchi.org; gudell@indiana.edu NR 52 TC 49 Z9 49 U1 1 U2 18 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD JAN PY 2007 VL 31 IS 1 BP 11 EP 33 DI 10.1016/j.jbankfin.2005.10.010 PG 23 WC Business, Finance; Economics SC Business & Economics GA 127XY UT WOS:000243620900003 ER PT J AU Carvalho, V Harvey, A Trimbur, T AF Carvalho, Vasco Harvey, Andrew Trimbur, Thomas TI A note on common cycles, common trends, and convergence SO JOURNAL OF BUSINESS & ECONOMIC STATISTICS LA English DT Article DE balanced growth; common features; error correction mechanism; stochastic trend; unobserved components ID TIME-SERIES; TESTS AB This article compares and contrasts structural time series models and the common features methodology. The way in which trends are handled is highlighted by describing a recent structural time series model that allows convergence to a common growth path. Postsample data are used to test its forecasting performance for income per head in U.S. regions. A test for common cycles is proposed, its asymptotic distribution is given, and small-sample properties are studied by Monte Carlo experiments. Applications are presented, with special attention given to the implications of using higher-order cycles. C1 Univ Chicago, Dept Econ, Chicago, IL 60637 USA. Univ Cambridge, Fac Econ, Cambridge CB3 9DD, England. Fed Reserve Syst, Div Res & Stat, Washington, DC 20551 USA. RP Carvalho, V (reprint author), Univ Chicago, Dept Econ, Chicago, IL 60637 USA. EM andrew.harvey@econ.cam.ac.uk RI nipe, cef/A-4218-2010; Carvalho, Vasco/B-4289-2013 OI Carvalho, Vasco/0000-0002-6128-9157 NR 20 TC 6 Z9 7 U1 1 U2 6 PU AMER STATISTICAL ASSOC PI ALEXANDRIA PA 1429 DUKE ST, ALEXANDRIA, VA 22314 USA SN 0735-0015 J9 J BUS ECON STAT JI J. Bus. Econ. Stat. PD JAN PY 2007 VL 25 IS 1 BP 12 EP 20 DI 10.1198/073500106000000431 PG 9 WC Economics; Social Sciences, Mathematical Methods; Statistics & Probability SC Business & Economics; Mathematical Methods In Social Sciences; Mathematics GA 117KE UT WOS:000242871200002 ER PT J AU Wen, Y AF Wen, Yi TI By force of demand: Explaining international comovements SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE international-business-cycle; international comovements; demand shocks; saving-investment puzzle; Feldstein-Horioka puzzle ID REAL BUSINESS CYCLES; AGGREGATE FLUCTUATIONS; CAPACITY UTILIZATION; CORRELATION PUZZLE; HABIT PERSISTENCE; INDIVISIBLE LABOR; ASSET RETURNS; CONSUMPTION; PRODUCTIVITY; SHOCKS AB This paper explores the possibility that economic fluctuations may be largely demand-driven. It is shown that the stylized open-economy business cycle regularities documented by Feldstein and Horioka [1980. The Economic Journal 90 (June), 314 329] and Backus et al., [1992. Journal of Political Economy 100 (4), 745-775] can be explained by demand shocks alone even in a standard general equilibrium model. Frictions such as market incompleteness, increasing returns to scale, and sticky prices do not appear to be the preconditions for resolving these long-standing puzzles. (C) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. RP Wen, Y (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. EM yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 64 TC 10 Z9 10 U1 1 U2 7 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JAN PY 2007 VL 31 IS 1 BP 1 EP 23 DI 10.1016/j.jedc.2005.09.007 PG 23 WC Economics SC Business & Economics GA 128QI UT WOS:000243672600001 ER PT J AU Guidolin, M Timmermann, A AF Guidolin, Massimo Timmermann, Allan TI Properties of equilibrium asset prices under alternative learning schemes SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE rational learning; adaptive learning; Bayesian updating; lattice models; asset prices ID RATIONAL-EXPECTATIONS EQUILIBRIUM; STOCK-PRICES; INCOMPLETE INFORMATION; EXCESS VOLATILITY; EQUITY PREMIUM; MODELS; RETURNS; CONVERGENCE; DYNAMICS; TESTS AB This paper characterizes equilibrium asset prices under adaptive, rational and Bayesian learning schemes in a model where dividends evolve on a binomial lattice. The properties of equilibrium stock and bond prices under learning are shown to differ significantly. Learning causes the discount factor and risk-neutral probability measure to become path-dependent and introduces serial correlation and volatility clustering in stock returns. We also derive conditions under which the expected value and volatility of stock prices will be higher under learning than under full information. Finally, we investigate restrictions on prior beliefs under which Bayesian and rational learning lead to identical prices and show how the results can be generalized to more complex settings where dividends follow either multi-state i.i.d. distributions or multi-state Markov chains. (C) 2006 Elsevier B.V. All rights reserved. C1 Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA. Fed Reserve Bank St Louis, Div Res, St Louis, MO USA. RP Timmermann, A (reprint author), Univ Calif San Diego, Dept Econ, 9500 Gilman Dr, La Jolla, CA 92093 USA. EM atimmerm@ucsd.edu NR 65 TC 5 Z9 5 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JAN PY 2007 VL 31 IS 1 BP 161 EP 217 DI 10.1016/j.jedc.2005.10.006 PG 57 WC Economics SC Business & Economics GA 128QI UT WOS:000243672600007 ER PT J AU Luttmer, EGJ Mariotti, T AF Luttmer, Erzo G. J. Mariotti, Thomas TI Efficiency and equilibrium when preferences are time-inconsistent SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE time-inconsistent preferences; competitive equilibrium; Pareto efficiency ID GROWTH AB We consider an exchange economy with time-inconsistent consumers whose preferences are additively separable. If consumers have identical discount factors, then allocations that are Pareto efficient at the initial date are also renegotiation-proof. In an economy with a sequence of markets, competitive equilibria are Pareto efficient in this sense, and for generic endowments, only if preferences are locally homothetic. (c) 2005 Elsevier Inc. All rights reserved. C1 Univ Toulouse 1, GREMAQ, CNRS, UMR 5604, F-31000 Toulouse, France. IDEI, F-31000 Toulouse, France. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. Univ London London Sch Econ & Polit Sci, Dept Econ, London WC2A 2AE, England. Ctr Econ Policy Res, London SW1Y 6LA, England. RP Mariotti, T (reprint author), Univ Toulouse 1, GREMAQ, CNRS, UMR 5604, 21 Allee Brienne, F-31000 Toulouse, France. EM mariotti@cict.fr NR 16 TC 6 Z9 6 U1 0 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD JAN PY 2007 VL 132 IS 1 BP 493 EP 506 DI 10.1016/j.jet.2005.07.004 PG 14 WC Economics SC Business & Economics GA 129EP UT WOS:000243711600023 ER PT J AU Downing, C Oliner, S AF Downing, Chris Oliner, Stephen TI The term structure of commercial paper rates SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE term structure; expectations hypothesis; commercial paper ID EXPECTATIONS HYPOTHESIS; PORTFOLIO DISCLOSURES; MONETARY-POLICY; MONEY MARKETS; SPREAD; TESTS AB This paper tests a generalized version of the expectations hypothesis in the market for commercial paper. Our main data set, which is new to the literature, consists of daily yield indexes constructed from the market yields for nearly all commercial paper issued by US corporations between 1998 and 2004. We show that term premia for commercial paper often rise dramatically at year-end. However, once we control for these year-end effects, we find considerable support for the generalized expectations hypothesis in the market for commercial paper. (c) 2006 Elsevier B.V. All rights reserved. C1 Rice Univ, Jesse H Jones Grad Sch Management, Houston, TX 77005 USA. Fed Res Board, Washington, DC 20551 USA. RP Downing, C (reprint author), Rice Univ, Jesse H Jones Grad Sch Management, Houston, TX 77005 USA. EM cdowning@rice.edu NR 27 TC 8 Z9 8 U1 2 U2 6 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 2007 VL 83 IS 1 BP 59 EP 86 DI 10.1016/j.jfineco.2005.09.007 PG 28 WC Business, Finance; Economics SC Business & Economics GA 130OL UT WOS:000243808800003 ER PT J AU Aaronson, D Barrow, L Sander, W AF Aaronson, Daniel Barrow, Lisa Sander, William TI Teachers and student achievement in the Chicago public high schools SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID IMPACT; RESOURCES; QUALITY; MODELS; MATTER; RACE AB We estimate the importance of teachers in Chicago public high schools using matched student-teacher administrative data. A one standard deviation, one semester improvement in math teacher quality raises student math scores by 0.13 grade equivalents or, over 1 year, roughly one-fifth of average yearly gains. Estimates are relatively stable over time, reasonably impervious to a variety of conditioning variables, and do not appear to be driven by classroom sorting or selective score reporting. Also, teacher quality is particularly important for lower-ability students. Finally, traditional human capital measures-including those determining compensation-explain little of the variation in estimated quality. C1 Fed Reserve Bank Chicago, Chicago, IL USA. Depaul Univ, Chicago, IL 60604 USA. RP Barrow, L (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM lbarrow@frbchi.org NR 39 TC 228 Z9 229 U1 4 U2 29 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 2007 VL 25 IS 1 BP 95 EP 135 DI 10.1086/508733 PG 41 WC Economics; Industrial Relations & Labor SC Business & Economics GA 121BD UT WOS:000243131800004 ER PT J AU Aaronson, D French, E AF Aaronson, Daniel French, Eric TI Product market evidence on the employment effects of the minimum wage SO JOURNAL OF LABOR ECONOMICS LA English DT Article ID FAST-FOOD INDUSTRY; PASS-THROUGH; SUBSTITUTION; UNEMPLOYMENT; COMPETITION; ECONOMICS; BRITAIN; DEMAND AB We infer the employment response to a minimum wage change by calibrating a model of employment for the restaurant industry. Whereas perfect competition implies that employment falls and prices rise after a minimum wage increase, the monopsony model potentially implies the opposite. We show that estimated price responses are consistent with the competitive model. We place fairly tight bounds on the employment response, with the most plausible parameter values suggesting that a 10% increase in the minimum wage lowers low-skill employment by 2%-4% and total restaurant employment by 1%-3%. C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Aaronson, D (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. EM daaronson@frbchi.org; efrench@frbchi.org NR 40 TC 19 Z9 19 U1 0 U2 14 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0734-306X J9 J LABOR ECON JI J. Labor Econ. PD JAN PY 2007 VL 25 IS 1 BP 167 EP 200 DI 10.1086/508734 PG 34 WC Economics; Industrial Relations & Labor SC Business & Economics GA 121BD UT WOS:000243131800006 ER PT J AU Klee, E Kornhauser, L AF Klee, Elizabeth Kornhauser, Lewis TI Comparisons of the incentive for insolvency under different legal regimes SO JOURNAL OF LEGAL STUDIES LA English DT Article ID LIABILITY; DAMAGES AB This paper compares the effects of joint and several liability on capital and production decisions with the effects of several- only liability in the context of hazardous- waste generation. Our main result shows that increased potential liability causes firms to decrease asset exposure but may also lead firms to create less waste. First, we find that both several- only and joint and several liability induce firms to go bankrupt more often and create more waste than is socially optimal. Then we find that, for a given level of funds, joint and several liability induces firms to go bankrupt more often and to create more waste than does several- only liability. This implies that society will be responsible for a larger share of cleanup under joint and several liability than under several- only liability. Finally, we show that firms with potentially higher liabilities for cleanup will raise fewer funds, creating " smaller" firms and thus the possibility of less waste generated overall. C1 Fed Reserve Syst, Board Governors, Washington, DC USA. NYU, Sch Law, New York, NY 10003 USA. RP Klee, E (reprint author), Fed Reserve Syst, Board Governors, Washington, DC USA. NR 12 TC 3 Z9 3 U1 1 U2 1 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0047-2530 J9 J LEGAL STUD JI J. Legal Stud. PD JAN PY 2007 VL 36 IS 1 BP 141 EP 170 DI 10.1086/509273 PG 30 WC Law SC Government & Law GA 142GJ UT WOS:000244637100006 ER PT J AU Kennickell, AB AF Kennickell, Arthur B. TI Considerations in the estimation of retirement wealth: Comments on "The retirement wealth of the baby boom generation" by Edward N. Wolff SO JOURNAL OF MONETARY ECONOMICS LA English DT Editorial Material C1 Fed Reserve Syst, Washington, DC 20551 USA. RP Kennickell, AB (reprint author), Fed Reserve Syst, Mail Stop 153,20th & C St NW, Washington, DC 20551 USA. EM Arthur.Kennickell@frb.gov 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 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD JAN PY 2007 VL 54 IS 1 BP 41 EP 48 DI 10.1016/j.jmoneco.2006.12.002 PG 8 WC Business, Finance; Economics SC Business & Economics GA 159AY UT WOS:000245839000002 ER PT J AU Fugazza, C Guidolin, M Nicodano, G AF Fugazza, Carolina Guidolin, Massimo Nicodano, Giovanna TI Investing for the long-run in European real estate SO JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS LA English DT Article; Proceedings Paper CT 6th Cambridge-Maastricht Symposium CY JUN, 2005 CL Univ Cambridge, Madingley Hall, Cambridge, ENGLAND HO Univ Cambridge, Madingley Hall DE optimal asset allocation; real estate; predictability; parameter uncertainty ID LIFETIME PORTFOLIO SELECTION; STRATEGIC ASSET ALLOCATION; EXPECTED RETURNS; TERM STRUCTURE; STOCK RETURNS; PREDICTABILITY; INFLATION; MODEL; RISK; CONSUMPTION AB We calculate optimal portfolio choices for a long-horizon, risk-averse investor who diversifies among European stocks, bonds, real estate, and cash, when excess asset returns are predictable. Simulations are performed for scenarios involving different risk aversion levels, horizons, and statistical models capturing predictability in risk premia. Importantly, under one of the scenarios, the investor takes into account the parameter uncertainty implied by the use of estimated coefficients to characterize predictability. We find that real estate ought to play a significant role in optimal portfolio choices, with weights between 12 and 44%. Under plausible assumptions, the welfare costs of either ignoring predictability or restricting portfolio choices to traditional financial assets only are found to be in the order of 150-300 basis points per year. These results are robust to changes in the benchmarks and in the statistical framework. C1 CeRP, Coll CArlo Alberto, I-10024 Turin, Italy. Fed Reserve Bank St Louis, St Louis, MO 63166 USA. Univ Turin, Fac Econ, I-10134 Turin, Italy. Fdn Coll Carlo Alberto, I-10024 Turin, Italy. RP Nicodano, G (reprint author), CeRP, Coll CArlo Alberto, Via Real Coll,30 Moncalieri, I-10024 Turin, Italy. EM giovanna.nicodano@unito.it OI FUGAZZA, Carolina/0000-0003-0900-983X NR 50 TC 14 Z9 14 U1 0 U2 8 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 JAN PY 2007 VL 34 IS 1 BP 35 EP 80 DI 10.1007/s11146-007-9002-5 PG 46 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 168JT UT WOS:000246521600003 ER PT J AU Berger, AN Frame, WS AF Berger, Allen N. Frame, W. Scott TI Small business credit scoring and credit availability SO JOURNAL OF SMALL BUSINESS MANAGEMENT LA English DT Article ID BANKING INDUSTRY; TECHNOLOGICAL-PROGRESS; INFORMATION; ACQUISITIONS; FINANCE; MERGERS; FIRMS; RISK AB U.S. commercial banks are increasingly using small business credit-scoring models to underwrite small business credits. The paper discusses this lending technology, evaluates the research findings on the effects of this technology on small business credit availability, and links these findings to a number of research and policy issues. C1 Fed Reserve bank Atlanta, Dept Res, Atlanta, GA 30309 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Berger, AN (reprint author), Fed Reserve bank Atlanta, Dept Res, 1000 Peachtree St NE, Atlanta, GA 30309 USA. NR 41 TC 54 Z9 54 U1 5 U2 26 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0047-2778 J9 J SMALL BUS MANAGE JI J. Small Bus. Manag. PD JAN PY 2007 VL 45 IS 1 BP 5 EP 22 DI 10.1111/j.1540-627X.2007.00195.x PG 18 WC Management SC Business & Economics GA 118TM UT WOS:000242964600002 ER PT J AU Wall, LD AF Wall, Larry D. TI On investing in the equity of small firms SO JOURNAL OF SMALL BUSINESS MANAGEMENT LA English DT Article AB This comment provides a brief discussion of the roles of different investors in small business firms. It then evaluates the contribution made in papers by in this issue by Robinson and Cottrell on informal investors in Alberta, Canada, and by Pintado, Perez de Lema, and Van Auken on venture capital investment in Spain. C1 Fed Res Bank Atlanta, Dept Res, Atlanta, GA USA. RP Wall, LD (reprint author), Fed Res Bank Atlanta, Dept Res, 1000 Peachtree St NE, Atlanta, GA USA. EM larry.wall@atl.frb.org NR 2 TC 0 Z9 0 U1 0 U2 0 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0047-2778 J9 J SMALL BUS MANAGE JI J. Small Bus. Manag. PD JAN PY 2007 VL 45 IS 1 BP 89 EP 93 DI 10.1111/j.1540-627X.2007.00200.x PG 5 WC Management SC Business & Economics GA 118TM UT WOS:000242964600007 ER PT J AU Craig, BR Jackson, WE Thomson, JB AF Craig, Ben R. Jackson, William E., III Thomson, James B. TI Small firm finance, credit rationing, and the impact of SBA-guaranteed lending on local economic growth SO JOURNAL OF SMALL BUSINESS MANAGEMENT LA English DT Article AB Increasingly, policymakers look to the small business sector as a potential engine of economic growth. Policies to promote small businesses include tax relief, direct subsidies, and indirect subsidies through government lending programs. Encouraging lending to small business is the primary policy objective of the Small Business Administration (SBA) loan-guarantee program. Using a panel data set of SBA-guaranteed loans, we assess whether or not SBA-guaranteed lending has an observable impact on local economic performance. We find a positive and significant (although economically small) relationship between the relative levels of SBA-guaranteed lending in a local market and the future per capita income growth in that market. C1 Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Jackson, WE (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. EM jthomson@clev.frb.org NR 8 TC 19 Z9 20 U1 0 U2 7 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0047-2778 J9 J SMALL BUS MANAGE JI J. Small Bus. Manag. PD JAN PY 2007 VL 45 IS 1 BP 116 EP 132 DI 10.1111/j.1540-627X.2007.00202.x PG 17 WC Management SC Business & Economics GA 118TM UT WOS:000242964600009 ER PT J AU Blackburn, M Vermilyea, T AF Blackburn, McKinley Vermilyea, Todd TI The role of information externalities and scale economies in home mortgage lending decisions SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE mortgage lending; redlining; information externalities ID NEIGHBORHOODS; BOSTON AB Theories of rational redlining suggest a low volume of sales should lead to greater uncertainty in house price appraisals, making the mortgage loan less attractive to lenders. This paper represents the first test of this "information externality" theory using a well-specified model of lending. In our preferred model, information externalities are relevant but the marginal effect diminishes quickly, with only about 10 percent of applications materially disadvantaged by a low volume of sales. Our results also support the presence of bank-level economies of scale to reviewing applications in a given area, with increased bank-level applications associated with higher acceptance rates. Published by Elsevier Inc. C1 Univ S Carolina, Dept Econ, Columbia, SC 29208 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Blackburn, M (reprint author), Univ S Carolina, Dept Econ, Columbia, SC 29208 USA. EM blackbrn@moore.sc.edu; todd.vermilyea@phil.frb.org NR 13 TC 5 Z9 5 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 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD JAN PY 2007 VL 61 IS 1 BP 71 EP 85 DI 10.1016/j.jue.2006.05.005 PG 15 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 128QD UT WOS:000243672100005 ER PT J AU Bordo, MD AF Bordo, Michael D. BE Capie, F Wood, GE TI The lender of last resort Alternative views and historical experience SO LENDER OF LAST RESORT SE Routledge International Studies in Money and Banking LA English DT Article; Book Chapter ID CENTRAL BANKING; CLEARINGHOUSES RP Bordo, MD (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. NR 43 TC 0 Z9 0 U1 0 U2 0 PU ROUTLEDGE PI LONDON PA 11 NEW FETTER LANE, LONDON EC4P 4EE, ENGLAND BN 978-0-203-32758-6 J9 ROUTL INT STUD MONEY PY 2007 BP 279 EP 296 PG 18 WC Business, Finance; History Of Social Sciences SC Business & Economics; Social Sciences - Other Topics GA BND96 UT WOS:000274249200012 ER PT B AU Goldberg, LS AF Goldberg, Linda S. BE Frankel, JA Pissarides, CA TI Trade invoicing in the accession countries: Are they suited to the Euro? SO NBER International Seminar on Macroeconomics 2005 LA English DT Proceedings Paper CT 28th International Seminar on Macroeconomics CY JUN 17-18, 2005 CL Budapest, HUNGARY SP Natl Bur Econ Res ID RATE PASS-THROUGH; INTERNATIONAL-TRADE; EXCHANGE-RATES; PRICES; CURRENCY; SET AB The accession countries to the euro area are increasingly binding their economic activity, external and internal, to the euro area countries. One aspect of this phenomenon concerns the currency invoicing of international trade transactions, where accession countries have reduced their use of the U.S. dollar in invoicing international trade transactions. Theory predicts that the optimal invoicing choices for accession countries depend on the composition of goods in exports and imports and on the macroeconomic fluctuations of trade partners, both bearing on the role of herding and hedging considerations within exporter profitability. These considerations yield country-specific estimates about the degree of euro-denominated invoicing of exports. I find that the exporters of some accession countries, even in their trade transactions with the euro zone and other European Union countries, might be pricing too much of their trade in euros rather than in dollars, thus taking on excessive risk in international markets. C1 Fed Reserve Bank New York, NBER, New York, NY USA. NR 24 TC 1 Z9 1 U1 0 U2 1 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-06265-7 PY 2007 BP 357 EP + PG 47 WC Economics SC Business & Economics GA BGH77 UT WOS:000247061600009 ER PT B AU Christiano, LJ Eichenbaum, M Vigfusson, R AF Christiano, Lawrence J. Eichenbaum, Martin Vigfusson, Robert BE Acemoglu, D Rogoff, K Woodford, M TI Assessing Structural VARs SO NBER MACROECONOMICS ANNUAL 2006 SE NBER Macroeconomics Annual-Series LA English DT Article; Book Chapter ID LONG-RUN RESTRICTIONS; MONETARY-POLICY; TECHNOLOGY SHOCKS; BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; VECTOR AUTOREGRESSIONS; EXCHANGE-RATES; MODELS; REALITY; DEMAND C1 [Christiano, Lawrence J.; Eichenbaum, Martin] Northwestern Univ, Fed Reserve Bank Chicago, Evanston, IL 60208 USA. [Christiano, Lawrence J.; Eichenbaum, Martin] NBER, Cambridge, MA 02138 USA. [Vigfusson, Robert] Fed Reserve Board Governors, Washington, DC USA. RP Christiano, LJ (reprint author), Northwestern Univ, Fed Reserve Bank Chicago, Evanston, IL 60208 USA. NR 52 TC 22 Z9 22 U1 0 U2 0 PU MIT PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-01239-3 J9 NBER MACROEC ANN-SER PY 2007 VL 21 BP 1 EP 72 PG 72 WC Economics SC Business & Economics GA BJM47 UT WOS:000266811600002 ER PT S AU Kehoe, PJ AF Kehoe, Patrick J. BE Acemoglu, D Rogoff, K Woodford, M TI Assessing Structural VARs Comment SO NBER MACROECONOMICS ANNUAL 2006 SE NBER Macroeconomics Annual LA English DT Editorial Material; Book Chapter ID BUSINESS-CYCLE MODEL; AGGREGATE FLUCTUATIONS; TECHNOLOGY SHOCKS; MONETARY-POLICY; MONEY; LIQUIDITY; OUTPUT; RATES C1 [Kehoe, Patrick J.] Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. [Kehoe, Patrick J.] NBER, Cambridge, MA 02138 USA. RP Kehoe, PJ (reprint author), Univ Minnesota, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. NR 35 TC 1 Z9 1 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0889-3365 BN 978-0-262-01239-3 J9 NBER MACROECON ANNU PY 2007 VL 21 BP 73 EP 96 PG 24 WC Economics SC Business & Economics GA BJM47 UT WOS:000266811600003 ER PT S AU Foote, C AF Foote, Christopher BE Acemoglu, D Rogoff, K Woodford, M TI Volatility and Dispersion in Business Growth Rates: Publicly Traded versus Privately Held Firms Comment SO NBER MACROECONOMICS ANNUAL 2006 SE NBER Macroeconomics Annual LA English DT Editorial Material; Book Chapter ID INVESTMENT C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Foote, C (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. NR 10 TC 0 Z9 0 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA SN 0889-3365 BN 978-0-262-01239-3 J9 NBER MACROECON ANNU PY 2007 VL 21 BP 157 EP 166 PG 10 WC Economics SC Business & Economics GA BJM47 UT WOS:000266811600007 ER PT B AU Davig, T Leeper, EM AF Davig, Troy Leeper, Eric M. BE Acemoglu, D Rogoff, K Woodford, M TI Fluctuating Macro Policies and the Fiscal Theory SO NBER MACROECONOMICS ANNUAL 2006 SE NBER Macroeconomics Annual-Series LA English DT Article; Book Chapter ID US MONETARY-POLICY; PRICE-LEVEL; BUSINESS-CYCLE; TIME-SERIES; INFLATION; DEBT; BELIEFS; MODELS; MONEY; RULE C1 [Davig, Troy] Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. [Leeper, Eric M.] Indiana Univ, Bloomington, IN 47405 USA. [Leeper, Eric M.] NBER, Cambridge, MA 02138 USA. RP Davig, T (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. NR 98 TC 20 Z9 20 U1 0 U2 0 PU MIT PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-01239-3 J9 NBER MACROEC ANN-SER PY 2007 VL 21 BP 247 EP 298 PG 52 WC Economics SC Business & Economics GA BJM47 UT WOS:000266811600014 ER PT B AU Piazzesi, M Schneider, M AF Piazzesi, Monika Schneider, Martin BE Acemoglu, D Rogoff, K Woodford, M TI Equilibrium Yield Curves SO NBER MACROECONOMICS ANNUAL 2006 SE NBER Macroeconomics Annual-Series LA English DT Article; Book Chapter ID TERM INTEREST-RATES; REAL INTEREST-RATES; BOND PRICES; RISK PREMIA; CONSUMPTION; INFLATION; MODEL; VOLATILITY; RESOLUTION; UTILITY C1 [Piazzesi, Monika] Univ Chicago, Chicago, IL 60637 USA. [Schneider, Martin] NYU, New York, NY 10003 USA. [Schneider, Martin] Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Piazzesi, M (reprint author), Univ Chicago, Chicago, IL 60637 USA. NR 48 TC 51 Z9 51 U1 0 U2 0 PU MIT PRESS PI CAMBRIDGE PA FIVE CAMBRIDGE CENTER, CAMBRIDGE, MA 02142 USA BN 978-0-262-01239-3 J9 NBER MACROEC ANN-SER PY 2007 VL 21 BP 389 EP 442 PG 54 WC Economics SC Business & Economics GA BJM47 UT WOS:000266811600022 ER PT J AU Jorgenson, D Ho, MS Stiroh, KJ AF Jorgenson, Dale Ho, Mun S. Stiroh, Kevin J. BE Jorgenson, D Kuroda, M Motohashi, K TI The sources of growth of US industries SO PRODUCTIVITY IN ASIA: ECONOMIC GROWTH AND COMPETITIVENESS LA English DT Article; Book Chapter ID INFORMATION TECHNOLOGY; PRODUCTIVITY; ECONOMY C1 [Jorgenson, Dale; Ho, Mun S.] Harvard Univ, Program Technol & Econ Policy, John F Kennedy Sch Govt, Cambridge, MA 02138 USA. [Stiroh, Kevin J.] Fed Reserve Bank New York, New York, NY 10045 USA. RP Jorgenson, D (reprint author), Harvard Univ, Program Technol & Econ Policy, John F Kennedy Sch Govt, Cambridge, MA 02138 USA. NR 37 TC 0 Z9 0 U1 1 U2 1 PU EDWARD ELGAR PUBLISHING LTD PI CHELTENHAM PA GLENSANDA HOUSE, MONTPELLIER PARADE, CHELTENHAM GL50 1UA, GLOS, ENGLAND BN 978-1-84720-399-1 PY 2007 BP 23 EP 75 PG 53 WC Economics SC Business & Economics GA BTV87 UT WOS:000288202700003 ER PT J AU Armenter, R AF Armenter, Roc TI Time-consistent fiscal policy and heterogeneous agents SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE fiscal policy; time-consistency; equity considerations ID GOVERNMENT; TAXATION; INCONSISTENCY; EQUILIBRIUM; PLANS; MODEL AB This paper characterizes the time-consistency properties of the set of Pareto efficient (or second best) fiscal policies, in a two-class, stochastic economy similar to that in [Judd, K.L., 1985, Redistributive taxation in a simple perfect foresight model, Journal Of Public Economics 28, 59-83]. The key finding is that the Continuation of any Pareto efficient policy is always Pareto efficient. Hence, to require any policy revision to be approved by Unanimity safeguards the time consistency of efficient fiscal policy. I also show that any Pareto efficient policy from a timeless perspective can he rendered time consistent by a policymaker whose objective function is given by a utilitarian social Welfare function with precise welfare weights. These results link the policymaker's eccuity considerations with the credibility of efficient fiscal policy. (c) 2006 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank New York, Int Res Dept, New York, NY 10045 USA. RP Armenter, R (reprint author), Fed Reserve Bank New York, Int Res Dept, 33 Liberty St, New York, NY 10045 USA. EM roc.armenter@ny.frb.org NR 28 TC 1 Z9 1 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 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2007 VL 10 IS 1 BP 31 EP 54 DI 10.1016/j.red.2006.08.003 PG 24 WC Economics SC Business & Economics GA 137IG UT WOS:000244285700002 ER PT J AU Wang, Z AF Wang, Zhu TI Technological innovation and market turbulence: The dot-com experience SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE technology diffusion; industry dynamics; shakeout ID PRICE DISPERSION; INTERNET; INDUSTRY; PERFORMANCE; CRASHES AB This paper explains market turbulence, Such as the recent dot-com boom/bust cycle, as equilibrium industry dynamics driven by the synergy between new and existing technologies. When a major technological innovation arrives, a wave of new firms implement the innovation and enter the market. However, if the innovation complements existing technology, some new entrants later will be forced Out as more and more incumbent firms Succeed in adopting the innovation. It is argued that the diffusion of Internet technology among traditional brick-and-mortar firms was indeed the driving force behind the rise and fall of dot-coms as well as the Sustained growth of e-commerce. Systematic empirical evidence from retail and banking industries Supports the theoretical findings. (c) 2006 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Wang, Z (reprint author), Fed Reserve Bank Kansas City, 925 Grand Blvd, Kansas City, MO 64198 USA. EM zhu.wang@kc.frb.org NR 26 TC 3 Z9 4 U1 1 U2 8 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2007 VL 10 IS 1 BP 78 EP 105 DI 10.1016/j.red.2006.10.001 PG 28 WC Economics SC Business & Economics GA 137IG UT WOS:000244285700004 ER PT J AU Arseneau, DM AF Arseneau, David M. TI The inflation tax in an open economy with imperfect competition SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE optimal monetary policy; imperfect competition; Friedman rule; international monetary policy coordination AB This paper studies the national welfare maximizing inflation tax in an open economy with imperfect competition. It shows that the presence of a monopolistic distortion dampens the incentive to engage in strategic use of the inflation tax. If this dampening effect is strong enough, monetary policy becomes completely inward-looking, restoring the Friedman rule as an equilibrium strategy regardless of the actions of the foreign government. This aspect of the policy interaction-driven entirely by the presence of imperfect competition-is important because it determines the underlying structure of the policy game and is therefore crucial for determining whether or not there exist welfare gains from international monetary cooperation. Published by Elsevier Inc. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Arseneau, DM (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM david.m.arseneau@frb.gov NR 17 TC 8 Z9 8 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JAN PY 2007 VL 10 IS 1 BP 126 EP 147 DI 10.1016/j.red.2006.08.004 PG 22 WC Economics SC Business & Economics GA 137IG UT WOS:000244285700006 ER PT J AU Albuquerque, R Bauer, GH Schneider, M AF Albuquerque, Rui Bauer, Gregory H. Schneider, Martin TI International equity flows and returns: A quantitative equilibrium approach SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID CAPITAL FLOWS; INVESTMENT; INFORMATION; INVESTORS; BEHAVIOR; MARKETS; MODEL AB This paper considers the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information sets; and (ii) these knowledgeable investors have access to both public equity markets and private investment opportunities. The model delivers a unified explanation for three stylized facts about U.S. investors' international equity trades: (i) trading by U.S. investors occurs in waves of simultaneous buying and selling; (ii) U.S. investors build and unwind foreign equity positions gradually; and (iii) U.S. investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries. C1 Boston Univ, Boston, MA 02215 USA. NYU, New York, NY USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Albuquerque, R (reprint author), Boston Univ, Boston, MA 02215 USA. RI Albuquerque, Rui/B-5852-2009; nipe, cef/A-4218-2010 OI Albuquerque, Rui/0000-0001-9348-5673; NR 23 TC 23 Z9 23 U1 0 U2 5 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD JAN PY 2007 VL 74 IS 1 BP 1 EP 30 DI 10.1111/j.1467-937X.2007.00412.x PG 30 WC Economics SC Business & Economics GA 127LD UT WOS:000243586500001 ER PT J AU Polkovnichenko, V AF Polkovnichenko, Valery TI Life-cycle portfolio choice with additive habit formation preferences and uninsurable labor income risk SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID ASSET PRICES; OPTIMAL CONSUMPTION; EQUITY PREMIUM; MODEL; PUZZLE; RULES AB This article explores the implications of additive and endogenous habit formation preferences in the context of a life-cycle model of an investor who has stochastic uninsurable labor income. To solve the model, I analytically derive the habit-wealth feasibility constraints and show that they depend on the worst possible path of future labor income and on the habit strength, but not on the probability of the worst income. When there is only a slim chance of a severe income shock, the model implies much more conservative portfolios. The model also predicts that for some low to moderately wealthy households, the portfolio share allocated to stocks increases with wealth. Because of this feature, the model can generate more conservative portfolios for younger than for middle-aged households. The effects of habits on portfolio choice are robust to income smoothing through borrowing or flexible labor supply. One controversial finding is that for high values of the habit strength parameter, usually required for the resolution of asset pricing puzzles in general equilibrium, the life-cycle model predicts counterfactually high wealth accumulation. (JEL: G11, G12) C1 Univ Minnesota, Carlson Sch Management, Dept Finance, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Polkovnichenko, V (reprint author), Univ Minnesota, Carlson Sch Management, Dept Finance, 3-122 CSOM,312 19th Ave S, Minneapolis, MN 55455 USA. EM polkovni@umn.edu NR 40 TC 30 Z9 30 U1 2 U2 11 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD JAN PY 2007 VL 20 IS 1 BP 83 EP 124 DI 10.1093/rfs/hhl006 PG 42 WC Business, Finance; Economics SC Business & Economics GA 120FU UT WOS:000243070700003 ER PT J AU Rocheteau, G Rupert, P Wright, R AF Rocheteau, Guillaume Rupert, Peter Wright, Randall TI Inflation and unemployment in general equilibrium SO SCANDINAVIAN JOURNAL OF ECONOMICS LA English DT Article DE Phillips curve; inflation; unemployment ID COMPETITIVE SEARCH EQUILIBRIUM; RANDOM-MATCHING MODEL; BUSINESS-CYCLE; MONETARY-ECONOMICS; INDIVISIBLE LABOR; MONEY; PRICES; EXISTENCE; EXCHANGE AB When labor is indivisible, there exist efficient outcomes with some agents randomly unemployed, as in Rogerson (1988). We integrate this idea into the modern theory of monetary exchange, where some trade occurs in centralized markets and some in decentralized markets, as in Lagos and Wright (2005). This delivers a general equilibrium model of unemployment and money, with explicit microeconomic foundations. We show that the implied relation between inflation and unemployment can be positive or negative, depending on simple preference conditions. Our Phillips curve provides a long-run, exploitable, trade-off for monetary policy; it turns out, however, that the optimal policy is the Friedman rule. C1 [Rocheteau, Guillaume] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. [Rupert, Peter] Univ Calif Santa Barbara, Santa Barbara, CA 93106 USA. [Wright, Randall] Univ Penn, Philadelphia, PA 19104 USA. RP Rocheteau, G (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. EM guillaume.rocheteau@clev.frb.org; rupert@econ.ucsb.edu; rwright@econ.upenn.edu NR 47 TC 6 Z9 6 U1 0 U2 5 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0347-0520 J9 SCAND J ECON JI Scand. J. Econ. PY 2007 VL 109 IS 4 BP 837 EP 855 DI 10.1111/j.1467-9442.2007.00511.x PG 19 WC Economics SC Business & Economics GA 269GY UT WOS:000253638700009 ER PT J AU Burke, MA Fournier, GM Prasad, K AF Burke, Mary A. Fournier, Gary M. Prasad, Kislaya TI The diffusion of a medical innovation: Is success in the stars? SO SOUTHERN ECONOMIC JOURNAL LA English DT Article; Proceedings Paper CT 3rd Annual Southeastern-Health-Economics-Study- Group Conference CY NOV, 2005 CL Univ S Carolina, Dept Econ, Charleston, SC SP SE Hlth Econ Study Grp HO Univ S Carolina, Dept Econ ID RANDOMIZED CONTROLLED-TRIAL; OPINION LEADERS; QUALITY IMPROVEMENT; BALLOON ANGIOPLASTY; GUIDELINES; IMPLEMENTATION; TECHNOLOGIES AB This paper relates the diffusion of the coronary stent to the presence of prominent or "star" physicians within a local peer group. The paper uses panel data on coronary care in Florida covering the period immediately following the 1995 Food and Drug Administration (FDA) approval of the stent, a significant improvement in coronary angioplasty. Adoption timing and utilization varied considerably across doctors between 1995 and 2001. We consider the role of asymmetric social influence among physicians based on professional status. Defining "star" status as having completed residency at a top-ranked hospital, we find that the diffusion of stents by non-stars depends positively on the number of stars practicing contemporaneously at the same hospitals, while we find no social influence in the opposite direction. The findings indicate that lack of local exposure to star physicians may slow adoption, and clustering of stars in a small number of hospitals may entail welfare costs. C1 Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. Fed Reserve Bank Boston, Econ Res Dept, Boston, MA 02205 USA. Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20742 USA. RP Fournier, GM (reprint author), Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. EM mary.burke@bos.frb.org; gary.fournier@fsu.edu; kprasad@rhsmith.umd.edu NR 28 TC 27 Z9 27 U1 0 U2 7 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 2007 VL 73 IS 3 BP 588 EP 603 PG 16 WC Economics SC Business & Economics GA 131TG UT WOS:000243892200004 ER PT S AU Bandyopadhyay, S Wall, HJ AF Bandyopadhyay, Subhayu Wall, Howard J. BE Lahiri, S TI The Determinants of Aid in the Post-Cold War Era SO THEORY AND PRACTICE OF FOREIGN AID SE Frontiers of Economics and Globalization LA English DT Article; Book Chapter DE Foreign aid ID FOREIGN-AID; ALLOCATION; COUNTRIES; POLICIES; GROWTH AB This paper estimates the responsiveness of aid to recipient countries' economic and physical needs, civil/political rights, and government effectiveness. We look exclusively at the post-Cold War era and use fixed effects to control for the political, strategic, and other considerations of donors. We find that aid and per capita income have been negatively related, while aid has been positively related to infant mortality, rights, and government effectiveness. C1 [Bandyopadhyay, Subhayu] W Virginia Univ, Coll Business & Econ, Dept Econ, Morgantown, WV 26506 USA. [Wall, Howard J.] Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Bandyopadhyay, S (reprint author), W Virginia Univ, Coll Business & Econ, Dept Econ, POB 6025, Morgantown, WV 26506 USA. EM bandysub@mail.wvu.edu; wall@stls.frb.org NR 19 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 SN 1574-8715 BN 978-0-444-52765-3 J9 FRONT ECON GLOBAL PY 2007 VL 1 BP 387 EP 402 DI 10.1016/S1574-8715(06)01019-0 PG 16 WC Economics SC Business & Economics GA BLU94 UT WOS:000271113700020 ER PT B AU Choi, G AF Choi, Gongpil BE Chung, DK Eichengreen, B TI Toward an Exchange Rate Mechanism for Emerging Asia SO TOWARD AN EAST ASIAN EXCHANGE RATE REGIME LA English DT Proceedings Paper CT Conference on the Prospects for Monetary Integration in East Asia CY AUG, 2005 CL Seoul, SOUTH KOREA SP Forum E Asian Monetary Cooperat C1 [Choi, Gongpil] Fed Reserve Bank San Francisco, Korean Inst Finance, San Francisco, CA USA. NR 10 TC 0 Z9 0 U1 0 U2 0 PU BROOKINGS INST PI WASHINGTON PA 1775 MASSACHUSETTS AVE NW, WASHINGTON, DC 20036 USA BN 978-0-8157-1419-4 PY 2007 BP 121 EP 136 PG 16 WC Area Studies; Business, Finance SC Area Studies; Business & Economics GA BFO77 UT WOS:000320769700006 ER PT J AU Koo, J Lee, Y AF Koo, Jahyeong Lee, Yune TI Do historical events matter in geographic agglomeration? The case of South Korea SO APPLIED ECONOMICS LETTERS LA English DT Article ID INDUSTRY AB This study examines whether historical events are as important as Krugman (1991a) had suggested they are in determining geographic agglomeration. Using the time series of Korean manufacturing (1955-2003), which is longer than other country studies, the study also examines how the mean reversion factor and dispersion factor have evolved during substantial economic development. The results confirm that industry mobility in Korea is high and the historical events may not be so important in geographic agglomeration of industries. The analysis of the mean reversion factor and dispersion factor supports the argument that transport costs are a major source of change in geographic agglomeration in the long run. C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. Inchon City Coll, Dept Int Trade, Inchon 402750, South Korea. RP Koo, J (reprint author), Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. EM jahyeong.koo@dal.frb.org NR 12 TC 0 Z9 0 U1 0 U2 2 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1350-4851 J9 APPL ECON LETT JI Appl. Econ. Lett. PD DEC 15 PY 2006 VL 13 IS 15 BP 1013 EP 1016 DI 10.1080/13504850500425923 PG 4 WC Economics SC Business & Economics GA 119DP UT WOS:000242992700011 ER PT J AU Basu, S Fernald, JG Kimball, MS AF Basu, Susanto Fernald, John G. Kimball, Miles S. TI Are technology improvements contractionary? SO AMERICAN ECONOMIC REVIEW LA English DT Article ID MONETARY-POLICY; BUSINESS-CYCLE; AGGREGATE FLUCTUATIONS; SHOCKS; RUN; PRODUCTIVITY; GROWTH; RESTRICTIONS; MACROECONOMY; RETURNS AB Yes. We construct a measure of aggregate technology change, controlling for aggregation effects, varying utilization of capital and labor, nonconstant returns, and imperfect competition. On impact, when technology improves, input use and nonresidential investment fall sharply. Output changes little. With a lag of several years, inputs and investment return to normal and output rises strongly. The standard one-sector real-business-cycle model is not consistent with this evidence. The evidence is consistent, however, with simple sticky-price models, which predict the results we find: when technology improves, inputs and investment generally fall in the short run, and output itself may also fall. C1 Boston Coll, Dept Econ, Chestnut Hill, MA 02467 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Univ Michigan, Dept Econ, Ann Arbor, MI 48109 USA. NBER, Cambridge, MA 02138 USA. RP Basu, S (reprint author), Boston Coll, Dept Econ, 140 Commonwealth Ave, Chestnut Hill, MA 02467 USA. EM basusd@bc.edu; john.fernald@sf.frb.org; mkimball@umich.edu NR 76 TC 159 Z9 161 U1 3 U2 26 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD DEC PY 2006 VL 96 IS 5 BP 1418 EP 1448 DI 10.1257/aer.96.5.1418 PG 31 WC Economics SC Business & Economics GA 122PI UT WOS:000243238500003 ER PT J AU Fudenberg, D Levine, DK AF Fudenberg, Drew Levine, David K. TI A dual-self model of impulse control SO AMERICAN ECONOMIC REVIEW LA English DT Article ID CONSUMPTION; INCONSISTENCY; PREFERENCE; DEPLETION; CHOICE; GAMES; MIND AB We propose that a simple "dual-self" model gives a unified explanation,for several empirical regularities, including the apparent time inconsistency that has motivated models of quasi-hyperbolic discounting and Rabin's paradox of risk aversion in the large and small. The model also implies that self-control costs imply excess delay, as in the O'Donoghue and Rabin models of quasi-hyperbolic utility, and it explains experimental evidence that increased cognitive load makes temptations harder to resist. The base version of our model is consistent with the Gul-Pesendorfer axioms, but we argue that these axioms must be relaxed to account, for the effect of cognitive load. C1 Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA. Washington Univ, Dept Econ, St Louis, MO 63130 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Fudenberg, D (reprint author), Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA. EM dfudenberg@harvard.edu; david@dklevine.com NR 48 TC 225 Z9 227 U1 8 U2 35 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 2006 VL 96 IS 5 BP 1449 EP 1476 DI 10.1257/aer.96.5.1449 PG 28 WC Economics SC Business & Economics GA 122PI UT WOS:000243238500004 ER PT J AU Ramey, VA Vine, DJ AF Ramey, Valerie A. Vine, Daniel J. TI Declining volatility in the US automobile industry SO AMERICAN ECONOMIC REVIEW LA English DT Article ID OUTPUT FLUCTUATIONS C1 Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA. Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20051 USA. RP Ramey, VA (reprint author), Univ Calif San Diego, Dept Econ, 9500 Gilman Dr, La Jolla, CA 92093 USA. EM vramey@ucsd.edu; Daniel.J.Vine@frb.gov NR 13 TC 28 Z9 28 U1 0 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD DEC PY 2006 VL 96 IS 5 BP 1876 EP 1889 DI 10.1257/aer.96.5.1876 PG 14 WC Economics SC Business & Economics GA 122PI UT WOS:000243238500023 ER PT J AU Barrow, L AF Barrow, Lisa TI Private school location and neighborhood characteristics SO ECONOMICS OF EDUCATION REVIEW LA English DT Article DE educational finance; educational vouchers; school choice ID ACHIEVEMENT; ENROLLMENT AB Using data from Illinois, I examine relationships between the number of private schools and characteristics of the public schools and surrounding population. I find positive, statistically significant relationships between number of private schools in 1998 and public school 3rd grade class size, the percent college educated, and the percent over 55 years of age. I find significant negative relationships between number of private schools and average household income and racial concentration. Looking at private school entry, areas with larger increases in the school-aged population had less entry, and areas with increasing income dispersion experienced greater entry. The results suggest that if a universal education voucher program is introduced, parents in relatively well-educated, racially diverse, and more moderate income areas will likely have greater access to private school options because of more existing private schools in their area. These areas will also likely have more private school entry in response. (c) 2005 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Barrow, L (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM lbarrow@frbchi.org NR 12 TC 2 Z9 2 U1 1 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 DEC PY 2006 VL 25 IS 6 BP 633 EP 645 DI 10.1016/j.econedurev.2005.07.001 PG 13 WC Economics; Education & Educational Research SC Business & Economics; Education & Educational Research GA 117YR UT WOS:000242909700005 ER PT J AU Barlevy, G Nagaraja, HN AF Barlevy, Gadi Nagaraja, H. N. TI Characterizations in a random record model with a nonidentically distributed initial record SO JOURNAL OF APPLIED PROBABILITY LA English DT Article DE moment sequence; number of records; record spacing; geometric distribution; Mantz-Szasz theorem; Titchmarsh convolution theorem; job search model ID STATISTICS; MOMENTS AB We consider a sequence, of random length M, of independent, continuous observations X-i, 1 <= i <= M, where M is geometric, X-1 has cumulative distribution function (CDF) G, and X-i, i >= 2, have CDF F. Let N be the number of upper records and let R-n, n >= 1, be the nth record value. We show that N is independent of F if and only if G (x) = Go (F (x)) for some CDF G(0), and that if E(vertical bar X-2 vertical bar) is finite then so is E(vertical bar R-n vertical bar), n >= 2, whenever N > n or N = n. We prove that the distribution of N, along with appropriately chosen subsequences of E(R-n), characterize IT and G and, along with subsequences of E(R-n - Rn-1), characterize F and G up to a common location shift. We discuss some applications to the identification of the wage offer distribution in job search models. C1 Fed Reserve Bank Chicago, Econ Res Dept, Chicago, IL 60604 USA. Ohio State Univ, Dept Stat, Columbus, OH 43210 USA. RP Barlevy, G (reprint author), Fed Reserve Bank Chicago, Econ Res Dept, 230 S La Salle St, Chicago, IL 60604 USA. EM gbarlevy@frbchi.org; hnn@stat.ohio-state.edu NR 16 TC 6 Z9 6 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 DEC PY 2006 VL 43 IS 4 BP 1119 EP 1136 DI 10.1239/jap/1165505212 PG 18 WC Statistics & Probability SC Mathematics GA 123PU UT WOS:000243308600017 ER PT J AU Aruoba, SB Fernandez-Villaverde, J Rubio-Ramirez, JF AF Aruoba, S. Boragan Fernandez-Villaverde, Jesus Rubio-Ramirez, Juan F. TI Comparing solution methods for dynamic equilibrium economies SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE dynamic equilibrium economies; computational methods; linear and nonlinear solution methods ID AGGREGATE GROWTH-MODELS; ASYMPTOTIC METHODS; ALGORITHM; ACCURACY; TIME AB This paper compares solution methods for dynamic equilibrium economies. We compute and simulate the stochastic neoclassical growth model with leisure choice using first, second, and fifth order perturbations in levels and in logs, the finite elements method, Chebyshev polynomials. and value function iteration for several calibrations. We document the performance of the methods in terms of computing time, implementation complexity, and accuracy, and we present some conclusions based on the reported evidence. (c) 2005 Elsevier B.V. All rights reserved. C1 Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Univ Maryland, College Pk, MD 20742 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, Dept Econ, 160 McNeil Bldg,3718 Locust Walk, Philadelphia, PA 19104 USA. EM jesusfv@econ.upenn.edu NR 36 TC 79 Z9 79 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 2006 VL 30 IS 12 BP 2477 EP 2508 DI 10.1016/j.jedc.2005.07.008 PG 32 WC Economics SC Business & Economics GA 116JG UT WOS:000242798000006 ER PT J AU Fernandez-Villaverde, J Rubio-Ramirez, JF AF Fernandez-Villaverde, Jesus Rubio-Ramirez, Juan F. TI Solving DSGE models with perturbation methods and a change of variables SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE dynamic equilibrium economies; computational methods; changes of variables; linear and nonlinear solution methods ID RATIONAL-EXPECTATIONS; APPROXIMATION; ACCURACY; POLICY AB This paper explores the application of the changes of variables technique to solve the stochastic neoclassical growth model. We use the method of Judd [2003. Perturbation methods with nonlinear changes of variables. Mimeo, Hoover Institution] to change variables in the computed policy functions that characterize the behavior of the economy. We report how the optimal change of variables reduces the average absolute Euler equation errors of the solution of the model by a factor of three. We also demonstrate how changes of variables correct for variations in the volatility of the economy even if we work with first-order policy functions and how we can keep a linear representation of the laws of motion of the model if we use a nearly optimal transformation. We discuss how to apply our results to estimate dynamic equilibrium economies. (c) 2005 Elsevier B.V. All rights reserved. C1 Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, Dept Econ, 160 McNeil Bldg,3718 Locust Walk, Philadelphia, PA 19104 USA. EM jesusfv@econ.upenn.edu NR 27 TC 13 Z9 13 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD DEC PY 2006 VL 30 IS 12 BP 2509 EP 2531 DI 10.1016/j.jedc.2005.07.009 PG 23 WC Economics SC Business & Economics GA 116JG UT WOS:000242798000007 ER PT J AU Wang, PF Wen, Y AF Wang, Peng-fei Wen, Yi TI Another look at sticky prices and output persistence SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE sticky prices; output persistence; new-Keynesian models; cash-in-advance; financing constraints ID REAL-BUSINESS-CYCLE; IN-ADVANCE MODEL; MONETARY-POLICY; INFLATION PERSISTENCE; CAPITAL ACCUMULATION; CASH FLOW; MONEY; INVESTMENT; RIGIDITY; SHOCKS AB Price rigidity is the key mechanism for propagating business cycles in traditional Keynesian theory. Yet the new Keynesian literature has failed to show that sticky prices by themselves can effectively propagate business cycles. We show that price rigidity in fact can (by itself) give rise to a strong propagation mechanism in standard models, provided that investment is also subject to a cash-in-advance constraint. Reasonable price stickiness can generate highly persistent, hump-shaped movements in output under either monetary or non-monetary shocks. Hence, whether or not price rigidity is responsible for output persistence is not a theoretical question, but an empirical one. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63166 USA. Cornell Univ, Dept Econ, Ithaca, NY 14853 USA. RP Wen, Y (reprint author), Fed Reserve Bank St Louis, Dept Res, POB 442, St Louis, MO 63166 USA. EM yi.wen@stls.frb.org RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 51 TC 7 Z9 7 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 DEC PY 2006 VL 30 IS 12 BP 2533 EP 2552 DI 10.1016/j.jedc.2005.08.002 PG 20 WC Economics SC Business & Economics GA 116JG UT WOS:000242798000008 ER PT J AU Aaronson, D AF Aaronson, Daniel TI Poverty traps SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank Chicago, Chicago, IL USA. RP Aaronson, D (reprint author), Fed Reserve Bank Chicago, Chicago, IL USA. NR 1 TC 0 Z9 0 U1 1 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD DEC PY 2006 VL 44 IS 4 BP 1054 EP 1056 PG 3 WC Economics SC Business & Economics GA 132BC UT WOS:000243915900017 ER PT J AU Laubach, T AF Laubach, Thomas TI A history of central banking in Great Britain and the United States SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Book Review C1 Fed Reserve Board, Washington, DC 20551 USA. RP Laubach, T (reprint author), Fed Reserve Board, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM thomas.laubach@frb.gov 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 0022-1996 J9 J INT ECON JI J. Int. Econ. PD DEC PY 2006 VL 70 IS 2 BP 508 EP 512 DI 10.1016/j.jinteco.2006.04.001 PG 5 WC Economics SC Business & Economics GA 118QF UT WOS:000242956100010 ER PT J AU Tille, C AF Tille, Cedric TI On the distributional effects of exchange rate fluctuations SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE welfare; exchange rate fluctuations; international competitiveness ID RATE DYNAMICS AB How do exchange rate movements affect different sectors of an economy? We address this question in a simple general equilibrium model, stressing the different exposures of various sectors to foreign competition, an aspect ignored in earlier contributions. The impact of exchange rate shifts is highly heterogenous across sectors. While a depreciation leads to a substantial competitiveness and welfare gain for agents with a high exposure to foreign competition, agents facing mostly domestic competition are adversely affected. (c) 2006 Elsevier Ltd. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Tille, C (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM cedric.tille@ny.frb.org NR 17 TC 1 Z9 1 U1 0 U2 1 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD DEC PY 2006 VL 25 IS 8 BP 1207 EP 1225 DI 10.1016/j.jimonfin.2006.09.004 PG 19 WC Business, Finance SC Business & Economics GA 122RR UT WOS:000243244700001 ER PT J AU Brevoort, KP Hannan, TH AF Brevoort, Kenneth P. Hannan, Timothy H. TI Commercial lending and distance: Evidence from Community Reinvestment Act data SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE lending distance ID BANKING; COMPETITION; MARKETS AB A number of large banking organizations have substantially broadened the distances at which they are willing to extend commercial loans, but there is also evidence to suggest that this has occurred primarily at the high side of the distribution of lending distances. In this paper, we employ a new source of data to examine the relationship between lending decisions and distance between lender and borrower for that part of the distance distribution where, arguably, most of the competitive interactions among lenders still occur. We report three basic findings: (1) distance operates as a deterrent to lending, even within areas traditionally defined as local markets, (2) distance is more of a deterrent for small banks than for larger organizations, even within these areas, and (3) for those commercial loans made within areas currently treated by regulators as markets, distance has not been declining in importance. Indeed, a preponderance of the evidence suggests that it is becoming, if anything, more of a factor. Possible explanations and policy implications are discussed. C1 Fed Reserve Board, Washington, DC USA. RP Brevoort, KP (reprint author), Fed Reserve Board, Washington, DC USA. EM Kenneth.P.Brevoort@frb.gov; Timothy.H.Hannan@frb.gov NR 30 TC 20 Z9 20 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD DEC PY 2006 VL 38 IS 8 BP 1991 EP 2012 DI 10.1353/mcb.2007.0000 PG 22 WC Business, Finance; Economics SC Business & Economics GA 110ZR UT WOS:000242420600002 ER PT J AU Thornton, DL AF Thornton, Daniel L. TI When did the FOMC begin targeting the federal funds rate? What the verbatim transcripts tell us SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE federal funds rate target; monetary policy; operating procedure; borrowed reserves ID RATIONAL-EXPECTATIONS; MONETARY-POLICY; RULE AB In October 1982 the FOMC deemphasized M1 and moved to what is commonly referred to as a borrowed reserves operating procedure. Sometime thereafter the FOMC switched to a funds rate targeting procedure but never formally announced the change. Given the close correspondence between a borrowed reserves operating procedure and a funds rate targeting procedure, Thornton (1988) suggested that the FOMC went immediately to a funds rate targeting procedure. Others date the switch to the funds rate procedure later. Meulendyke (1998) suggests the switch came in late 1987, while others suggest the change occurred later. This paper reviews the verbatim transcripts of the FOMC meetings to establish the timing of the switch. The verbatim transcripts suggest that the FOMC effectively switched to a funds rate targeting procedure in 1982. The documentary evidence is supported by an analysis of the spread between the funds rate and the funds rate target, which suggests that the differences in the behavior of the spread before October 1979 and after October 1982 are relatively small and economically unimportant. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. EM thornton@stls.frb.org NR 36 TC 23 Z9 23 U1 0 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD DEC PY 2006 VL 38 IS 8 BP 2039 EP 2071 DI 10.1353/mcb.2007.0010 PG 33 WC Business, Finance; Economics SC Business & Economics GA 110ZR UT WOS:000242420600004 ER PT J AU Doepke, M Schneider, M AF Doepke, Matthias Schneider, Martin TI Inflation and the redistribution of nominal wealth SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID DEBT; TAX AB This study quantitatively assesses the effects of inflation through changes in the value of nominal assets. It documents nominal asset positions in the United States across sectors and groups of households and estimates the wealth redistribution caused by a moderate inflation episode. The main losers from inflation are rich, old households, the major bondholders in the economy. The main winners are young, middle-class households with fixed-rate mortgage debt. Besides transferring resources from the old to the young, inflation is a boon for the government and a tax on foreigners. Lately, the amount of U. S. nominal assets held by foreigners has grown dramatically, increasing the potential for a large inflation-induced wealth transfer from foreigners to domestic households. C1 Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NYU, New York, NY 10016 USA. RP Doepke, M (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. NR 19 TC 41 Z9 41 U1 3 U2 9 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 2006 VL 114 IS 6 BP 1069 EP 1097 DI 10.1086/508379 PG 29 WC Economics SC Business & Economics GA 121BC UT WOS:000243131700003 ER PT J AU Laxton, D N'Diaye, P Pesenti, P AF Laxton, Douglas N'Diaye, Papa Pesenti, Paolo TI Deflationary shocks and monetary rules: An open-economy scenario analysis SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article; Proceedings Paper CT 18th Annual TRIO Conference CY DEC 09-10, 2005 CL Univ Tokyo, Tokyo, JAPAN HO Univ Tokyo DE deflation; monetary policy rules; zero interest rate floor ID INTEREST-RATES AB The paper considers the macroeconomic transmission of demand and supply shocks in an open economy under alternative assumptions on whether the zero interest floor (ZIF) is binding. It uses a two-country general-equilibrium simulation model calibrated to the Japanese economy vis-a-vis the rest of the world. Negative demand shocks have more prolonged and startling effects on the economy when the ZIF is binding than when it is not binding. Positive supply shocks can actually extend the period of time over which the ZIF may be expected to bind. More open economies hit the ZIF for a shorter period of time, and with less harmful effects. Deflationary supply shocks have different implications according to whether they are concentrated in the tradables rather than the nontradables sector. Price-level-path targeting rules are likely to provide better guidelines for monetary policy in a deflationary environment, and have desirable properties in normal times when the ZIF is not binding. C1 Int Monetary Fund, Washington, DC 20431 USA. Fed Reserve Bank New York, New York, NY 10045 USA. NBER, Cambridge, MA 02138 USA. RP Laxton, D (reprint author), Int Monetary Fund, Washington, DC 20431 USA. EM dlaxton@imf.org NR 24 TC 5 Z9 5 U1 0 U2 3 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD DEC PY 2006 VL 20 IS 4 SI SI BP 665 EP 698 DI 10.1016/j.jjie.2006.08.004 PG 34 WC Economics; International Relations SC Business & Economics; International Relations GA 122OS UT WOS:000243236900010 ER PT J AU Kobayashi, T Spiegel, MM Yamori, N AF Kobayashi, Takeshi Spiegel, Mark M. Yamori, Nobuyoshi TI Quantitative easing and Japanese bank equity values SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article; Proceedings Paper CT 18th Annual TRIO Conference CY DEC 09-10, 2005 CL Univ Tokyo, Tokyo, JAPAN HO Univ Tokyo DE quantitative easing; Bank of Japan; liquidity trap; Japanese banks AB One of the primary motivations offered by the Bank of Japan (BOJ) for its quantitative easing program-whereby it maintained a current account balance target in excess of required reserves, effectively pegging short-terrn interest rates at zero-was to maintain credit extension by the troubled Japanese financial sector. We conduct an event study concerning the anticipated impact of quantitative easing on the Japanese banking sector by examining the impact of the introduction and expansion of the policy on Japanese bank equity values. We find that excess returns of Japanese banks were greater when increases in the BOJ current account balance target were accompanied by "non-standard" expansionary policies, such as raising the ceiling on BOJ purchases of long-term Japanese government bonds. We also provide cross-sectional evidence that suggests that the market perceived that the quantitative easing program would disproportionately benefit financially weaker Japanese banks. C1 Fed Reserve Bank San Francisco, Showa Ku, San Francisco, CA 94105 USA. Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. Nagoya Univ, Grad Sch Econ, Chikusa Ku, Nagoya, Aichi 4648601, Japan. RP Spiegel, MM (reprint author), Fed Reserve Bank San Francisco, Showa Ku, 101-2 Yagoto Honmachi, San Francisco, CA 94105 USA. EM mark.spiegel@sf.frb.org OI Yamori, Nobuyoshi/0000-0002-4145-0476 NR 21 TC 5 Z9 5 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 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD DEC PY 2006 VL 20 IS 4 SI SI BP 699 EP 721 DI 10.1016/j.jjie.2006.06.006 PG 23 WC Economics; International Relations SC Business & Economics; International Relations GA 122OS UT WOS:000243236900011 ER PT J AU Wongswan, J AF Wongswan, Jon TI Transmission of information across international equity markets SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID TRADING VOLUME; STOCK MARKETS; STOCHASTIC VOLATILITY; RETURN VOLATILITY; FOREIGN-EXCHANGE; ECONOMIC-NEWS; PRICE CHANGES; MODELS; US; ANNOUNCEMENTS AB This article provides evidence of information transmission from the United States and Japan to Korean and Thai equity markets. Information is defined as important macroeconomic announcements in the United States, Japan, Korea, and Thailand. Using high-frequency intraday data, I find a large and significant association between developed-economy macroeconomic announcements and emerging-economy equity volatility and trading volume at short time horizons. Previous studies' findings of at most weak evidence of transmission from developed to emerging economies may be due to their use of lower frequency data and their focus on developed-economy financial market innovations as a proxy for information. C1 Fed Reserve Syst, Board Governors, Div Internal Finance, Washington, DC 20551 USA. RP Wongswan, J (reprint author), Fed Reserve Syst, Board Governors, Div Internal Finance, Washington, DC 20551 USA. EM Jon.Wongswan@frb.gov NR 53 TC 55 Z9 56 U1 2 U2 7 PU OXFORD UNIV PRESS INC PI CARY PA JOURNALS DEPT, 2001 EVANS RD, CARY, NC 27513 USA SN 0893-9454 J9 REV FINANC STUD JI Rev. Financ. Stud. PD WIN PY 2006 VL 19 IS 4 BP 1157 EP 1189 DI 10.1093/rfs/hhj033 PG 33 WC Business, Finance; Economics SC Business & Economics GA 099XH UT WOS:000241630200002 ER PT J AU Poole, W AF Poole, William TI Chinese growth: A source of US export opportunities SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID COSTS; TRADE AB This article was originally presented as a speech to the Fiscal Affairs and Government Operations Committee, Council of State Governments' Southern Legislative Conference (SLC), Louisville, Kentucky, July 31, 2006. C1 Fed Reserve Bank, St Louis, MO USA. RP Poole, W (reprint author), Fed Reserve Bank, St Louis, MO USA. NR 7 TC 1 Z9 1 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2006 VL 88 IS 6 BP 471 EP 483 PG 13 WC Business, Finance; Economics SC Business & Economics GA 108FQ UT WOS:000242226100001 ER PT J AU Jordan, JL AF Jordan, Jerry L. TI Money and monetary policy for the twenty-first century (Reprinted from Critical Issues Bulletin 2005) SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Reprint AB This essay challenges the conventional wisdom about money and monetary policy. The role of money in fostering prosperity is a function of the quality, as well as the quantity, of money. Inflation always harms the performance of an economy. Deflations caused by productivity and innovation can be virtuous. A definition of a non-inflationary environment is set forth. Rapid real growth and low unemployment cannot cause inflation. There is no trade-off between inflation and employment. Higher commodity prices or "weak" exchange rates cannot cause inflation. High market interest rates are a symptom of inflationary policies. Low interest rates are a reflection of successful anti-inflationary policies, not "easy money." C1 Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Jordan, JL (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. NR 29 TC 0 Z9 0 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2006 VL 88 IS 6 BP 485 EP 510 PG 26 WC Business, Finance; Economics SC Business & Economics GA 108FQ UT WOS:000242226100002 ER PT J AU Kliesen, KL AF Kliesen, Kevin L. TI Rising natural gas prices and real economic activity SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MACROECONOMY RELATIONSHIP; OIL; UNEMPLOYMENT; INVESTMENT; MODEL AB In the aftermath of the disruptions caused by hurricanes Katrina and Rita, natural gas prices rose to record-high levels. Because natural gas is an important energy source for the U.S. economy, there was widespread concern that these high prices might cause a significant slowing in the economy-especially among those manufacturing industries that heavily consume natural gas. The analysis presented in this article suggests that output is responsive to natural gas prices in some manufacturing sectors. Although perhaps significant, this result must be balanced against the finding that, when the analysis is extended to the macroeconomy (real gross domestic product growth), increases in crude oil prices significantly predict real gross domestic product growth, but natural gas prices do not. (JEL Q41, Q43) C1 Fed Reserve Bank, St Louis, MO USA. RP Kliesen, KL (reprint author), Fed Reserve Bank, St Louis, MO USA. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 27 TC 6 Z9 6 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2006 VL 88 IS 6 BP 511 EP 526 PG 16 WC Business, Finance; Economics SC Business & Economics GA 108FQ UT WOS:000242226100003 ER PT J AU Mizrach, B Neely, CJ AF Mizrach, Bruce Neely, Christopher J. TI The transition to electronic communications networks in the secondary treasury market SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MAKERS AB This article reviews the history of the recent shift to electronic trading in equity, foreign exchange, and fixed-income markets. The authors analyze a new data set: the eSpeed electronic Treasury network. They contrast the market microstructure of the eSpeed trading platform with the traditional voice-assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads, and a lower estimated trade impact than the voice market (GovPX). (JEL G14, G12, D4, C32) C1 Rutgers State Univ, Piscataway, NJ 08855 USA. Fed Reserve Bank, St Louis, MO USA. RP Mizrach, B (reprint author), Rutgers State Univ, Piscataway, NJ 08855 USA. RI Mizrach, Bruce/B-1347-2009 NR 31 TC 12 Z9 12 U1 2 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2006 VL 88 IS 6 BP 527 EP 541 PG 15 WC Business, Finance; Economics SC Business & Economics GA 108FQ UT WOS:000242226100004 ER PT J AU Emmons, WR Lakdawala, AK Neely, CJ AF Emmons, William R. Lakdawala, Aeimit K. Neely, Christopher J. TI What are the odds? Option-based forecasts of FOMC target changes SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MARKET EXPECTATIONS; FUTURES AB This article uses probability forecasts derived from options to assess evolving market uncertainty about Federal Reserve monetary policy actions in a variety of recent events and episodes. Options on federal funds futures contracts reveal a complete probability density function over possible Federal Reserve target rates, thus augmenting the expectations provided by federal funds futures contracts. Option-based forecasts are most useful when more than two federal funds target outcomes are plausible at an upcoming policy meeting. (JEL E47, E52, G13) C1 Fed Reserve Bank, St Louis, MO USA. RP Emmons, WR (reprint author), Fed Reserve Bank, St Louis, MO USA. RI Neely, Christopher/I-5749-2016 OI Neely, Christopher/0000-0003-2852-9419 NR 14 TC 2 Z9 2 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD NOV-DEC PY 2006 VL 88 IS 6 BP 543 EP 561 PG 19 WC Business, Finance; Economics SC Business & Economics GA 108FQ UT WOS:000242226100005 ER PT J AU Nosal, E AF Nosal, Ed TI Information gathering by a principal SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID INFORMED PRINCIPAL; AGENT RELATIONSHIP; OBSERVABILITY; CONTRACT; VALUES AB In the standard principal-agent model, the information structure is fixed. In this article the principal can choose to acquire additional information about the state of the world before he contracts with an agent. In the event that the principal acquires this information, the agent never learns what the principal knows about the state of the world. I examine cases where the agent can and cannot observe whether the principal has acquired the additional information. The implications for risk sharing, information acquisition, investment, and welfare are examined for both cases. C1 Fed Reserve Bank Cleveland, Cleveland, OH 44101 USA. RP Nosal, E (reprint author), Fed Reserve Bank Cleveland, POB 6387, Cleveland, OH 44101 USA. EM ed.nosal@clev.frb.org NR 12 TC 9 Z9 9 U1 0 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD NOV PY 2006 VL 47 IS 4 BP 1093 EP 1111 DI 10.1111/j.1468-2354.2006.00407.x PG 19 WC Economics SC Business & Economics GA 099VI UT WOS:000241624900002 ER PT J AU Berger, AN Udell, GF AF Berger, Allen N. Udell, Gregory F. TI A more complete conceptual framework for SME finance SO JOURNAL OF BANKING & FINANCE LA English DT Article DE SMEs; banks; relationship lending; governance; international ID SMALL BUSINESS DATA; TRADE CREDIT; BANK COMPETITION; UNITED-STATES; SMALL FIRMS; INTERNATIONAL EVIDENCE; LENDING RELATIONSHIPS; GOVERNMENT OWNERSHIP; CORPORATE GOVERNANCE; MARKET-STRUCTURE AB We propose a more complete conceptual framework for analysis of SME credit availability issues. In this framework, lending technologies are the key conduit through which government policies and national financial structures affect credit availability. We emphasize a causal chain from policy to financial structures, which affect the feasibility and profitability of different lending technologies. These technologies, in turn, have important effects on SME credit availability. Financial structures include the presence of different financial institution types and the conditions under which they operate. Lending technologies include several transactions technologies plus relationship lending. We argue that the framework implicit in most of the literature is oversimplified, neglects key elements of the chain, and often yields misleading conclusions. A common oversimplification is the treatment of transactions technologies as a homogeneous group, unsuitable for serving informationally opaque SMEs, and a frequent misleading conclusion is that large institutions are disadvantaged in lending to opaque SMEs. (c) 2006 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. Indiana Univ, Kelley Sch Business, Bloomington, IN 47405 USA. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, Fed Reserve Board, Mail Stop 153,20th & C St, Washington, DC 20551 USA. EM aberger@frb.gov; gudell@indiana.edu NR 99 TC 229 Z9 232 U1 22 U2 122 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 2006 VL 30 IS 11 BP 2945 EP 2966 DI 10.1016/j.jbankfin.2006.05.008 PG 22 WC Business, Finance; Economics SC Business & Economics GA 109NQ UT WOS:000242315500002 ER PT J AU Antunovich, P Sarkar, A AF Antunovich, Peter Sarkar, Asani TI Fifteen minutes of fame? The market impact of Internet stock picks SO JOURNAL OF BUSINESS LA English DT Article ID BID-ASK SPREAD; PRICES; NEWS; NASDAQ AB We examine 120 Nasdaq and over-the-counter "buy" recommendations by Internet sites from April 1999 to June 2001. The stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed about them. We find that stocks with lower initial liquidity have proportionately greater liquidity gains on the pick day. Further, stocks with lower initial liquidity and higher pick-day liquidity have higher pick-day excess returns. These results support the idea that stocks have multiple liquidity equilibria and that the stock picks, by coordinating uninformed trading activity, push initially illiquid stocks to a higher liquidity equilibrium. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Sarkar, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM asani.sarkar@ny.frb.org NR 40 TC 3 Z9 5 U1 1 U2 5 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 NOV PY 2006 VL 79 IS 6 BP 3209 EP 3251 DI 10.1086/505254 PG 43 WC Business SC Business & Economics GA 122EG UT WOS:000243207900017 ER PT J AU Clark, TE West, KD AF Clark, Todd E. West, Kenneth D. TI Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis SO JOURNAL OF ECONOMETRICS LA English DT Article DE exchange rate; forecasting; causality; random walk; testing; efficient markets ID COVARIANCE-MATRIX ESTIMATION; LONG-HORIZON REGRESSIONS; TERM STRUCTURE MODELS; EXCHANGE-RATES; STOCK RETURNS; FORECAST; HETEROSKEDASTICITY; CONSISTENT; ACCURACY; PREDICTABILITY AB We consider using out-of-sample mean squared prediction errors (MSPEs) to evaluate the null that a given series follows a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no predictability, the population MSPE of the null "no change" model equals that of the linear alternative. We show analytically and via simulations that despite this equality, the alternative model's sample MSPE is expected to be greater than the null's. For rolling regression estimators of the alternative model's parameters, we propose and evaluate an asymptotically normal test that properly accounts for the upward shift of the sample MSPE of the alternative model. Our simulations indicate that our proposed procedure works well. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. RP Clark, TE (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 925 Grand Blvd, Kansas City, MO 64198 USA. EM todd.e.clark@kc.frb.org; kdwest@wisc.edu RI West, Kenneth/A-5693-2008 NR 46 TC 117 Z9 120 U1 2 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 NOV-DEC PY 2006 VL 135 IS 1-2 BP 155 EP 186 DI 10.1016/j.jeconom.2005.07.014 PG 32 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 091CE UT WOS:000241002800008 ER PT J AU Marshall, DA Prescott, ES AF Marshall, David A. Prescott, Edward Simpson TI State-contingent bank regulation with unobserved actions and unobserved characteristics SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE bank regulation; optimal contracting; moral hazard; hidden information ID PRE-DECISION INFORMATION; DEPOSIT INSURANCE; MORAL HAZARD; ADVERSE SELECTION; RISK-TAKING; COMMUNICATION; COMPETITION; MANAGEMENT; CONTRACTS; AGENCIES AB Optimal bank regulation is studied in a model where bank quality is private information and bank portfolio choice is subject to moral hazard. Regulators wish to control bank risk solely because high risk adversely affects a bank incentives to improve its mean return. Numerical methods are developed to study the model. Capital regulation alone has a limited ability to separate types. Including ex post fines achieve separation at lower cost, resulting in improved welfare. Low-quality banks are fined on high returns in order to control risk-taking. High-quality banks face fines on lower returns mainly to ensure truth-telling by low-quality banks. High-quality banks bear the full cost of regulation. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Fed Reserve Bank Richmond, Richmond, VA 23261 USA. RP Marshall, DA (reprint author), Fed Reserve Bank Chicago, 230 S LaSalle St, Chicago, IL 60604 USA. EM dmarshall@frbchi.org NR 37 TC 5 Z9 5 U1 3 U2 10 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 2006 VL 30 IS 11 BP 2015 EP 2049 DI 10.1016/j.jedc.2005.07.001 PG 35 WC Economics SC Business & Economics GA 112KO UT WOS:000242524800007 ER PT J AU Athreya, K AF Athreya, Kartik TI Fresh start or head start? Uniform bankruptcy exemptions and welfare SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE bankruptcy; exemptions; risk-sharing; incomplete markets ID IDIOSYNCRATIC RISK AB The 1990s witnessed a historically unprecedented number of personal bankruptcy filings. In response, congressional debate over bankruptcy law has recently led to several proposals aimed at making it more difficult to exempt wealth in a bankruptcy. In this paper, I evaluate uniform exemption policy primarily within the context of the recent congressional proposal H.R. 975. 1 develop an incomplete markets model where secured and unsecured assets coexist and are treated differentially in a bankruptcy proceeding. I find that exemptions are associated positively with filing rates, equity holdings in bankruptcy, and welfare. I find, however, that exemptions are strongly negatively associated with the availability of unsecured credit. Nonetheless, the welfare effects of exemptions result from changes in borrowing costs, changes in an implicit tax on self-insurance, and most crucially, changes in the level of state-contingency provided by unsecured debt. As a quantitative matter, these effects are resolved in a favor of a minor, but positive, role for exemptions. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. RP Athreya, K (reprint author), Fed Reserve Bank Richmond, Res Dept, Richmond, VA 23261 USA. EM kartik.athreya@rich.frb.org NR 29 TC 8 Z9 8 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 NOV PY 2006 VL 30 IS 11 BP 2051 EP 2079 DI 10.1016/j.jedc.2004.10.008 PG 29 WC Economics SC Business & Economics GA 112KO UT WOS:000242524800008 ER PT J AU Aksoy, Y Orphanides, A Small, D Wieland, V Wilcox, D AF Aksoy, Yunus Orphanides, Athanasios Small, David Wieland, Volker Wilcox, David TI A quantitative exploration of the opportunistic approach to disinflation SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE inflation targeting; monetary policy; interest rates; policy rules; disinflation ID RATIONAL-EXPECTATIONS MODELS; MONETARY-POLICY; INTEREST-RATES AB Under a conventional policy rule, a central bank adjusts its policy rate linearly according to the gap between inflation and its target, and the gap between output and its potential. Under "the opportunistic approach to disinflation" a central bank controls inflation aggressively when inflation is far from its target, but concentrates more on output stabilization when inflation is close to its target, allowing supply shocks and unforeseen fluctuations in aggregate demand to move inflation within a certain band. We use stochastic simulations of a small-scale rational expectations model to contrast the behavior of output and inflation under opportunistic and linear rules. Published by Elsevier B.V. C1 Board Governors Fed Reserve Syst, Washington, DC 20551 USA. Univ London Birkbeck Coll, Sch Econ Math & Stat, London WC1E 7HX, England. Univ Frankfurt, Dept Econ, D-60054 Frankfurt, Germany. CEPR, London EC1V 7RR, England. Ctr Financial Studies, D-60054 Frankfurt, Germany. RP Orphanides, A (reprint author), Board Governors Fed Reserve Syst, Washington, DC 20551 USA. EM athanasios.orphanides@frb.gov NR 32 TC 1 Z9 1 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 2006 VL 53 IS 8 BP 1607 EP 1623 DI 10.1016/j.jmoneco.2005.08.015 PG 17 WC Business, Finance; Economics SC Business & Economics GA 119AY UT WOS:000242985800006 ER PT J AU Bergin, PR Glick, R Taylor, AM AF Bergin, Paul R. Glick, Reuven Taylor, Alan M. TI Productivity, tradability, and the long-run price puzzle SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE Balassa-Samuelson; endogenous tradability; real exchange rate ID REAL EXCHANGE-RATE; TRADE AB Long-run cross-country price data exhibit a puzzle. Today, richer countries exhibit higher price levels than poorer countries, a stylized fact usually attributed to the Balassa-Samuelson (BS) effect. But looking back 50 years, this effect virtually disappears from the data. What is often assumed to be a universal property is actually quite specific to recent times, emerging a half century ago and growing steadily over time. What might potentially explain this historical pattern? We develop an updated BS model inspired by recent developments in trade theory, where a continuum of goods are differentiated by productivity, and where tradability is endogenously determined. Firms experiencing productivity gains are more likely to become tradable and crowd out firms not experiencing productivity gains. As a result the usual BS assumption-that productivity gains be concentrated in the traded goods sector-emerges endogenously, and the BS effect on relative price levels likewise evolves gradually over time. (c) 2006 Elsevier B.V. All rights reserved. C1 Univ Calif Davis, Davis, CA 95616 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Bank San Francisco, San Francisco, CA USA. RP Bergin, PR (reprint author), Univ Calif Davis, Davis, CA 95616 USA. EM prbergin@ucdavis.edu NR 33 TC 1 Z9 1 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2006 VL 53 IS 8 BP 1771 EP 1796 DI 10.1016/j.jmoneco.2006.05.012 PG 26 WC Business, Finance; Economics SC Business & Economics GA 119AY UT WOS:000242985800013 ER PT J AU Martin, A Schreft, SL AF Martin, Antoine Schreft, Stacey L. TI Currency competition: A partial vindication of Hayek SO JOURNAL OF MONETARY ECONOMICS LA English DT Article ID FIAT MONEY; TRANSACTION POLICY; PRIVATE MONEY; SEARCH; EXCHANGE; PRICES; MODEL; EQUILIBRIUM; GOVERNMENT; MEDIA AB This paper establishes the existence of equilibria for environments in which outside money is issued competitively. Such equilibria are typically believed not to exist because of a classic overissue problem: if money is valued in equilibrium, an issuer produces money until its value is driven to zero. By backward induction, money cannot have value in the first place. This paper shows that overissuance is not a problem if agents believe that if an issuer produces more than some threshold number of notes, then only those notes issued up to the threshold will be valued; additional notes will be worthless. This result is very general, applying to any monetary economy in which equilibria with and without valued money exist if the money supply is finite. The paper also compares the allocation achieved by a monopolist to that achieved with competitive issuance in both a search and an overlapping-generations environment. The results depend on the environment considered, but two general conclusions arise. First, it is ambiguous whether competitive issuers can achieve a more desirable allocation than a monopolist. Second, with competitive issuance, a licensing agency can always improve on pure laissez-faire and achieve the efficient allocation in the long run. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Kansas City, Econ Res Dept, Kansas City, MO 64198 USA. Fed Reserve Bank New York, Dept Res, New York, NY 10045 USA. RP Schreft, SL (reprint author), Fed Reserve Bank Kansas City, Econ Res Dept, 925 Grand Bldg, Kansas City, MO 64198 USA. EM Antoine.Martin@ny.frb.org; Stacey.L.Schreft@kc.frb.org NR 32 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 NOV PY 2006 VL 53 IS 8 BP 1815 EP 1841 DI 10.1016/j.jmoneco.2005.04.008 PG 27 WC Business, Finance; Economics SC Business & Economics GA 119AY UT WOS:000242985800015 ER PT J AU Rappaport, J AF Rappaport, Jordan TI A bottleneck capital model of development SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE general aggregative models; one, two and multisector growth models ID ADJUSTMENT COSTS; ECONOMIC-GROWTH; INVESTMENT; FIRM; GOODS AB A simple augmentation of the Ramsey-Cass-Koopmans growth model allows it to match observed transitions by initially poor economies. A high-convexity installation cost directly dampens investment demand for a first capital input. The resulting scarcity acts as a bottleneck, strongly dampening demand for investment in a complementary capital input as well. The match to observed transitions holds both for narrow and broad interpretations of capital. In either case, the bottleneck capital's share of factor income need not be large. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Kansas City, Kansas City, KS USA. RP Rappaport, J (reprint author), Fed Reserve Bank Kansas City, Kansas City, KS USA. EM jordan.m.rappaport@kc.frb.org NR 34 TC 0 Z9 0 U1 0 U2 1 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2006 VL 53 IS 8 BP 1843 EP 1859 DI 10.1016/j.jmoneco.2005.07.022 PG 17 WC Business, Finance; Economics SC Business & Economics GA 119AY UT WOS:000242985800016 ER PT J AU Mukoyama, T Sahin, A AF Mukoyama, Toshihiko Sahin, Aysegul TI Costs of business cycles for unskilled workers SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE cost of business cycles; incomplete markets; skill and unemployment ID LIQUIDITY CONSTRAINTS; UNEMPLOYMENT; WAGES; RISK AB Unskilled workers are subject to a much larger risk of unemployment during recessions than are skilled workers. Moreover, unskilled workers earn less income, which limits their ability to self-insure. We examine how this heterogeneity in unemployment risk and income across different skill groups translates into heterogeneity in the cost of business cycles. We find that the welfare cost of business cycles for unskilled workers is substantially higher than the welfare cost for skilled workers. (c) 2006 Elsevier B.V. All rights reserved. C1 Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. Univ Montreal, CIREQ, Montreal, PQ H3C 3J7, Canada. Fed Reserve Bank New York, New York, NY 10045 USA. RP Mukoyama, T (reprint author), Univ Virginia, Dept Econ, Charlottesville, VA 22904 USA. EM tm5hs@virginia.edu NR 22 TC 0 Z9 0 U1 0 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2006 VL 53 IS 8 BP 1909 EP 1923 DI 10.1016/j.jmoneco.2005.08.014 PG 15 WC Business, Finance; Economics SC Business & Economics GA 119AY UT WOS:000242985800019 ER PT J AU Nalewaik, JJ AF Nalewaik, Jeremy J. TI Current consumption and future income growth: Synthetic panel evidence SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE consumption (empirical analysis); intertemporal choice ID RATIONAL-EXPECTATIONS; STOCK RETURNS; LIFE-CYCLE; INVESTMENT; HYPOTHESIS; CONSISTENT; PERMANENT; SAVINGS AB Using group means computed from 20 years of high quality survey data, I show a strong and robust relation between households' consumption growth and subsequent realizations of their income growth, including realizations as distant as six years later. The relation appears in multiple types of variation in income growth: in variation across cohort-education groups, in variation over the life cycle, and in variation over the business cycle. While other explanations are explored, the results are likely due to forward-looking households altering their current consumption in response to information they receive about their income years into the future, information that turns out to be accurate. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Nalewaik, JJ (reprint author), Fed Reserve Syst, Board Governors, 20th St & Constitut Ave, Washington, DC 20551 USA. EM jeremy.j.nalewaik@frb.gov NR 40 TC 0 Z9 0 U1 1 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD NOV PY 2006 VL 53 IS 8 BP 1969 EP 1996 DI 10.1016/j.jmoneco.2005.08.016 PG 28 WC Business, Finance; Economics SC Business & Economics GA 119AY UT WOS:000242985800022 ER PT J AU Dueker, M Nelson, CR AF Dueker, Michael Nelson, Charles R. TI Business-cycle filtering of macroeconomic data via a latent business-cycle index SO MACROECONOMIC DYNAMICS LA English DT Article DE business cycles; detrending; counterfactual analysis ID ECONOMIC TIME-SERIES; TRANSITORY COMPONENTS; MODELS; DECOMPOSITION; PERMANENT; FORECASTS; TREND; FACTS AB We use Markov chain Monte Carlo methods to augment, via a novel multimove sampling scheme, a vector autoregressive (VAR) system with a latent business-cycle index that is negative during recessions and positive during expansions. We then sample counterfactual values of the macroeconomic variables in the case where the latent business-cycle index is held constant. These counterfactual values represent posterior beliefs about how the economy would have evolved absent business-cycle fluctuations. One advantage is that a VAR framework provides model-consistent counterfactual values in the same way that VARs provide model-consistent forecasts, so data series are not filtered in isolation from each other. We apply these methods to estimate the business-cycle components of industrial production, consumer price inflation, the federal funds rate, and the spread between long-term and short-term interest rates. These decompositions provide an explicitly counterfactual approach to isolating the effects of the business cycle and to deriving empirical business-cycle facts. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. Univ Washington, Seattle, WA 98195 USA. RP Dueker, M (reprint author), Fed Reserve Bank St Louis, POB 442, St Louis, MO 63166 USA. EM mdueker@stls.frb.org NR 27 TC 1 Z9 1 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD NOV PY 2006 VL 10 IS 5 BP 573 EP 594 DI 10.1017/S1365100506050401 PG 22 WC Economics SC Business & Economics GA 102SM UT WOS:000241833600001 ER PT J AU Bassetto, M Sargent, TJ AF Bassetto, Marco Sargent, Thomas J. TI Politics and efficiency of separating capital and ordinary government budgets SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID DEFICITS; POLICY; RULES; DEBT; CONSTITUTIONS; INSTITUTIONS; PREFERENCES; CYCLES; STATES; GOODS AB We analyze a "golden rule" that separates capital and ordinary account budgets and allows a government to finance only capital items with debt. Many national governments followed this rule in the eighteenth and nineteenth centuries, and most U. S. states do today. We study an overlapping-generations economy where majorities choose durable and nondurable public goods in each period. When demographics imply even moderate departures from Ricardian equivalence, the golden rule substantially improves efficiency. Examples calibrated to U. S. demographics show greater improvements at the state level or with nineteenth century demographics than under current national demographics. C1 Univ Minnesota, Fed Reserve Bank Chicago, Minneapolis, MN 55455 USA. RP Bassetto, M (reprint author), Univ Minnesota, Fed Reserve Bank Chicago, Minneapolis, MN 55455 USA. OI Bassetto, Marco/0000-0001-8325-8450 NR 44 TC 6 Z9 6 U1 1 U2 18 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD NOV PY 2006 VL 121 IS 4 BP 1167 EP 1210 DI 10.1093/qje/121.4.1167 PG 44 WC Economics SC Business & Economics GA 116KV UT WOS:000242802700002 ER PT J AU Glick, R Guo, XY Hutchison, M AF Glick, Reuven Guo, Xueyan Hutchison, Michael TI Currency crises, capital-account liberalization, and selection bias SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID PROPENSITY SCORE; GROWTH; POLICIES; CAUSAL AB Are countries with unregulated capital flows more vulnerable to currency crises? Efforts to answer this question properly must control for self-selection bias, because countries with liberalized capital accounts may also have sounder economic policies and institutions that make them less likely to experience crises. We employ a matching and propensity-score methodology to address this issue in a panel analysis of developing countries. Our results suggest that, after controlling for sample selection bias, countries with liberalized capital accounts experience a lower likelihood of currency crises. C1 Fed Reserve Bank San Francisco, San Francisco, CA USA. Univ Calif Santa Cruz, Santa Cruz, CA 95064 USA. RP Hutchison, M (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA USA. NR 40 TC 65 Z9 65 U1 0 U2 3 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD NOV PY 2006 VL 88 IS 4 BP 698 EP 714 DI 10.1162/rest.88.4.698 PG 17 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 105IU UT WOS:000242024400009 ER PT J AU Gyourko, J Tracy, J AF Gyourko, Joseph Tracy, Joseph TI Using home maintenance and repairs to smooth variable earnings SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID COVARIANCE STRUCTURE; PANEL DATA; ERROR; CONSUMPTION; MOBILITY; MODEL AB Recent research documents a significant increase in U.S. transitory income variance over the past 25 years. An emerging literature explores the role of durables in the household's attempt to smooth consumption over these movements in transitory income. This paper examines the degree to which homeowners adjust their home maintenance decisions in order to offset transitory income fluctuations. American Housing Survey data show that home maintenance expenditures are economically significant, amounting to nearly $2,100 per year. We find a statistically significant positive elasticity of maintenance expenditures to estimated transitory income changes. However, the results suggest that adjusting home maintenance expenditures plays a relatively minor role in the household's overall consumption smoothing strategy. In terms of actual dollars, deferred home maintenance offsets on average from 1 to 7 cents of each dollar of transitory income loss. C1 Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Tracy, J (reprint author), Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA. NR 26 TC 5 Z9 5 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD NOV PY 2006 VL 88 IS 4 BP 736 EP 747 DI 10.1162/rest.88.4.736 PG 12 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 105IU UT WOS:000242024400011 ER PT J AU Kumar, A AF Kumar, Anil TI Nonparametric conditional density estimation of labour force participation SO APPLIED ECONOMICS LETTERS LA English DT Article ID SEMIPARAMETRIC ESTIMATION; MODELS AB Labour force participation decision has been studied primarily in a parametric framework. The weaknesses of the parametric estimators to misspecification of the error distribution and to functional form assumptions are well known. This paper compares the predictive performance of widely used parametric and semiparametric estimators with results obtained from nonparametric kernel conditional density estimation with likelihood cross-validated bandwidth selection and mixed data type. The results are striking. The predictive performance of the nonparametric estimator is 95% against 71% to 77% of the parametric and semiparametric estimators. The nonparametric estimator is able to correctly predict the outcome for 83% of non-participants in the labour force as against 15% by probit and logit models. This underscores the need to use nonparametric estimators in studying labour market behaviour. C1 Fed Reserve Bank Dallas, Res Dept, Dallas, TX 75201 USA. RP Kumar, A (reprint author), Fed Reserve Bank Dallas, Res Dept, 2200 N Pearl St, Dallas, TX 75201 USA. EM anil.kumar@dal.frb.org NR 21 TC 0 Z9 0 U1 0 U2 2 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1350-4851 J9 APPL ECON LETT JI Appl. Econ. Lett. PD OCT 20 PY 2006 VL 13 IS 13 BP 835 EP 841 DI 10.1080/13504850500425204 PG 7 WC Economics SC Business & Economics GA 108AN UT WOS:000242212200004 ER PT J AU Cohen-Cole, E AF Cohen-Cole, Ethan TI Housing quality, neurotoxins and human capital acquisition SO APPLIED ECONOMICS LETTERS LA English DT Article ID LEAD; EXPOSURE; CHILDREN; PCBS; CHILDHOOD; DEFICITS; DDE AB Much existing literature on age - earnings variation has focused on identifying the connection between ability and wage and salary income. This is often done through the careful selection of an instrument, believed to be correlated with ability but not with earnings, and typically for data on individuals older than 18. Recent efforts have discussed the path of human capital acquisition from younger ages, including discussions of the relevance of early childhood education on the long-term path of human capital. This paper approaches the issue by selecting a more plausibly exogenous factor in human capital acquisition - infant exposure to household neurotoxins ( e. g. lead, mercury, PCBs, etc.). I capitalize on the time varying usage of paint and PCBs in household constructions to use housing vintage ( year of construction) as a proxy for exposure. I measure this exposure at the state level. State level variation in the age of housing stock is found to explain a large portion of the individual level age - earnings profile. Living in an old vintage house with a high probability of neurotoxin exposure translates to loss of earnings equivalent to about six years of schooling. This supports the medical literature's view that neurotoxins affect both mental capacity as well as the ability to learn. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Cohen-Cole, E (reprint author), Fed Reserve Bank Boston, 600 Atlantic Ave, Boston, MA 02210 USA. EM ethan.cohen-cole@bas.frb.org NR 19 TC 0 Z9 0 U1 0 U2 1 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1350-4851 J9 APPL ECON LETT JI Appl. Econ. Lett. PD OCT 10 PY 2006 VL 13 IS 12 BP 753 EP 758 DI 10.1080/13504850500407566 PG 6 WC Economics SC Business & Economics GA 108AM UT WOS:000242212100002 ER PT J AU Taylor, LL Brown, SPA AF Taylor, Lori L. Brown, Stephen P. A. TI The private sector impact of state and local government: Has more become bad? SO CONTEMPORARY ECONOMIC POLICY LA English DT Article ID PUBLIC INFRASTRUCTURE; BUSINESS LOCATION; ECONOMIC-GROWTH; UNITED-STATES; TAXES; PRODUCTIVITY; EFFICIENCY AB Early research suggests some increases in state and local government spending more than offset the negative effects of the tax increases needed to fund them. More recent research finds the growth of state and local government generally discourages private sector growth. Using panel data on private employment, capital and output for the 48 contiguous states, the authors find that government size influences whether additional government helps or hinders private sector growth. The rapid growth of state and local government in the late 1980s likely outstripped the willingness to pay. With government growth moderating in the 1990s, however, the private sector response has become more favorable. C1 Texas A&M Univ, George Bush Sch Govt & Publ Serv, College Stn, TX 77843 USA. Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Taylor, LL (reprint author), Texas A&M Univ, George Bush Sch Govt & Publ Serv, 1098 Allen Bldg,4220 TAMU, College Stn, TX 77843 USA. EM ltaylor@bushschool.tamu.edu; stephen.p.brown@dal.frb.org NR 25 TC 7 Z9 7 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 1074-3529 J9 CONTEMP ECON POLICY JI Contemp. Econ. Policy PD OCT PY 2006 VL 24 IS 4 BP 548 EP 562 DI 10.1093/cep/by1002 PG 15 WC Economics; Public Administration SC Business & Economics; Public Administration GA 092DY UT WOS:000241078400008 ER PT J AU Lown, C Peristiani, S Robinson, KJ AF Lown, Cara Peristiani, Stavros Robinson, Kenneth J. TI Financial sector weakness and the M2 velocity puzzle SO ECONOMIC INQUIRY LA English DT Article ID COINTEGRATION VECTORS; MONETARY-POLICY; UNITED-STATES; MONEY DEMAND AB Deterioration in the link between M2 and GDP, along with large prediction errors, led the Federal Reserve to downgrade M2 as a reliable indicator in 1993. We argue that the financial condition of depository institutions was a major factor behind this unusual pattern of M2 growth. When constructing measures of M2 based on banks' and thrifts' capital positions, we obtain superior M2 forecasting results and a more stable relationship between M2 and the ultimate goals of policy. M2 may contain useful information when there are no major disturbances to depository institutions. C1 Fed Reserve Bank New York, New York, NY 10024 USA. Fed Reserve Bank New York, New York, NY 10045 USA. Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Lown, C (reprint author), Fed Reserve Bank New York, 239 Cent Pk W, New York, NY 10024 USA. EM caralown@hotmail.com; Steve.Peristiani@ny.frb.org; Kenneth.J.Robinson@dal.frb.org NR 34 TC 1 Z9 1 U1 1 U2 3 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 2006 VL 44 IS 4 BP 699 EP 715 DI 10.1093/ei/cb1009 PG 17 WC Economics SC Business & Economics GA 091XZ UT WOS:000241062900009 ER PT J AU Dueker, M AF Dueker, Michael TI Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models SO ECONOMICS LETTERS LA English DT Article DE Kalman filter; truncated normal; probit model; macroeconometric models ID BINARY; SPACE AB A pair of simple modifications-in the forecast error and forecast error variance-to the Kalman filter recursions makes possible the filtering of models in which one or more state variables is truncated normal and latent. Such recursions are broadly applicable to macroeconometric models, such as vector autoregressions and estimated dynamic stochastic general equilibrium models, that have one or more probit-type equation. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank S Louis, St Louis, MO USA. RP Dueker, M (reprint author), Fed Reserve Bank S Louis, St Louis, MO USA. EM mdueker@stls.frb.org NR 10 TC 3 Z9 3 U1 0 U2 0 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 2006 VL 93 IS 1 BP 58 EP 62 DI 10.1016/j.econlet.2006.03.040 PG 5 WC Economics SC Business & Economics GA 095KO UT WOS:000241306800010 ER PT J AU Pratap, S Quintin, E AF Pratap, Sangeeta Quintin, Erwan TI Are labor markets segmented in developing countries? - A semiparametric approach SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE segmented labor markets; informal sector; semiparametric methods ID PROPENSITY SCORE; EARNINGS; CAUSAL AB We test the hypothesis that observably similar workers earn higher wages in the formal sector than in the informal sector in developing nations. Using data from Argentina's household survey and various definitions of informal employment, we find that on average, formal wages are higher than informal wages. Parametric tests suggest that a formal premium remains after controlling for individual and establishment characteristics. However, this approach suffers from several econometric problems, which we address with semiparametric methods. The resulting formal premium estimates prove either small and insignificant, or negative. Neither do we find significant differences in measures of Job satisfaction between the two sectors. We invoke these results to question the mainstream view that labor markets are segmented along formal/informal lines in developing nations such as Argentina. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Dallas, Dallas, TX USA. CUNY Hunter Coll, Dept Econ, New York, NY 10031 USA. CUNY, Grad Ctr, New York, NY 10031 USA. RP Quintin, E (reprint author), Fed Reserve Bank Dallas, Dallas, TX USA. EM sangeeta.pratap@hunter.cuny.edu; erwan.quintin@dal.frb.org NR 30 TC 35 Z9 35 U1 0 U2 6 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 2006 VL 50 IS 7 BP 1817 EP 1841 DI 10.1016/j.euroecorev.2005.06.004 PG 25 WC Economics SC Business & Economics GA 089VM UT WOS:000240909500010 ER PT J AU Yang, J Guo, H Wang, ZJ AF Yang, Jian Guo, Hui Wang, Zijun TI International transmission of inflation among G-7 countries: A data-determined VAR analysis SO JOURNAL OF BANKING & FINANCE LA English DT Article DE inflation; international transmission; directed acyclic graphs; forecast error variance decomposition; recursive estimation ID MONETARY-POLICY RULES; MODELS; MACROECONOMICS; STABILITY; MARKETS AB We investigate the international transmission of inflation among G-7 countries using data-determined vector autoregression analysis, as advocated by Swanson and Granger [Swanson, N., Granger, C., 1997. Impulse response functions based on a causal approach to residual orthogonalization in vector autoregressions. Journal of the American Statistical Association 92, 357-367]. Over the period 1973-2003, we find that unexpected changes in US inflation have large effects on inflation in other countries, although they are not always the dominant international factor. Similarly, shocks to some other countries also have a statistically and economically significant influence on US inflation. Moreover, our evidence indicates that US inflation has become less vulnerable to foreign shocks since the early 1990s, mainly because of the diminished influence from Germany and France. (c) 2006 Elsevier B.V. All rights reserved. C1 Prairie View A&M Univ, Dept Accounting Finance & MIS, Prairie View, TX 77446 USA. Nankai Univ, Sch Econ, Tianjin 300071, Peoples R China. Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. Texas A&M Univ, Private Enterprise Res Ctr, College Stn, TX 77843 USA. RP Yang, J (reprint author), Prairie View A&M Univ, Dept Accounting Finance & MIS, Prairie View, TX 77446 USA. EM jiyang@pvamu.edu; bui.guo@stls.frb.org; z-wang@tamu.edu RI Yang, Jian/J-5089-2013 OI Yang, Jian/0000-0002-4073-9796 NR 34 TC 15 Z9 16 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 OCT PY 2006 VL 30 IS 10 BP 2681 EP 2700 DI 10.1016/j.jbankfin.2005.10.005 PG 20 WC Business, Finance; Economics SC Business & Economics GA 089OC UT WOS:000240889000005 ER PT J AU Santos, JAC AF Santos, Joao A. C. TI Why firm access to the bond market differs over the business cycle: A theory and some evidence SO JOURNAL OF BANKING & FINANCE LA English DT Article DE business cycles; bond financing; bond spreads; credit ratings ID FINANCIAL INTERMEDIATION; SHELF REGISTRATION; MORAL HAZARD; BANK LOANS; DEBT; INFORMATION; RATINGS; CHOICE; EQUILIBRIUM; REPUTATION AB This paper presents a theory of firm access to the bond market in which information gathering agencies are valuable but alter the relative cost of bond financing across firms and over the business cycle. The theory builds on the assumption that information frictions prevent these agencies from rating firms correctly all of the time. As a result, the cost of bond financing becomes dependent on the state of the economy and the "quality" of the signal provided by these agencies' ratings. In addition, when the mix of bond issuers becomes riskier, as happens in recessions, bond financing becomes more expensive for mid-quality firms. Bond financing may even become more expensive to all firms, in which case mid-quality firms will be affected the most. The analysis of the bonds issued in the last two decades by American firms shows that split ratings, our proxy for the "quality" of the rating agencies' signal, do not affect the relative cost of bond financing across firms in expansions, but they do increase the relative cost of this funding source for mid-credit quality issuers in recessions. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Santos, JAC (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM joao.santos@ny.frb.org RI Santos, Joao/B-6135-2009; nipe, cef/A-4218-2010; OI santos, joao/0000-0002-6002-5969 NR 43 TC 8 Z9 8 U1 1 U2 8 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD OCT PY 2006 VL 30 IS 10 BP 2715 EP 2736 DI 10.1016/j.jbankfin.2005.10.006 PG 22 WC Business, Finance; Economics SC Business & Economics GA 089OC UT WOS:000240889000007 ER PT J AU Betts, CM Kehoe, TJ AF Betts, Caroline M. Kehoe, Timothy J. TI US real exchange rate fluctuations and relative price fluctuations SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE real exchange rates; relative prices; trade relations ID MODEL AB Traditional theory attributes fluctuations in real exchange rates to changes in the relative price of nontraded goods. This paper studies the relation between the United States' bilateral real exchange rate and the associated bilateral relative price of nontraded goods for five of its most important trade relationships. We find that this relation depends crucially on the choice of price series used to measure relative prices and on the choice of trade partner. The relation is stronger when we measure relative prices using producer prices rather than consumer prices. The relation is stronger the more important is the trade relationship between the United States and a trade partner. Even in cases where there is a strong relation between the real exchange rate and the relative price of nontraded goods, however, a large fraction of real exchange rate fluctuations is due to deviations from the law of one price for traded goods. (c) 2006 Elsevier B.V. All rights reserved. C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ So Calif, Los Angeles, CA USA. RP Kehoe, TJ (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. EM tkehoe@atlas.soesci.umn.edu NR 22 TC 32 Z9 32 U1 0 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2006 VL 53 IS 7 BP 1297 EP 1326 DI 10.1016/j.jmoneco.2005.05.011 PG 30 WC Business, Finance; Economics SC Business & Economics GA 097UL UT WOS:000241474400003 ER PT J AU Erceg, C Levin, A AF Erceg, Christopher Levin, Andrew TI Optimal monetary policy with durable consumption goods SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE sectoral disaggregation; DGE models; VAR analysis ID BUSINESS CYCLES; MODELS; DIFFERENCE; CONTRACTS AB We document that the durable goods sector is much more interest-sensitive than the nondurables sector, and then investigate the implications of these sectoral differences for monetary policy. We formulate a two-sector general equilibrium model that is calibrated both to match the sectoral responses to a monetary shock derived from our empirical VAR and to imply an empirically realistic degree of sectoral output volatility and comovement. While the social welfare function involves sector-specific output gaps and inflation rates, the performance of the optimal policy rule can be closely approximated by a simple rule that targets a weighted average of aggregate wage and price inflation. In contrast, a rule that stabilizes a more narrow measure of final goods price inflation performs poorly in terms of social welfare. Published by Elsevier B.V. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Erceg, C (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM Christopher.Erceg@frb.gov NR 24 TC 44 Z9 44 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 OCT PY 2006 VL 53 IS 7 BP 1341 EP 1359 DI 10.1016/j.jmoneco.2005.05.005 PG 19 WC Business, Finance; Economics SC Business & Economics GA 097UL UT WOS:000241474400005 ER PT J AU Amaral, PS Quintin, E AF Amaral, Pedro S. Quintin, Erwan TI A competitive model of the informal sector SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE informal sector; organization of production; limited enforcement ID LABOR-MARKETS; SEGMENTATION; MIGRATION; SIZE AB In developing nations, formal workers tend to be more experienced, more educated, and earn more than informal workers. These facts are often interpreted as evidence that low-skill workers face barriers to entry into the formal sector. Yet, there is little empirical evidence that such barriers are important. This paper describes a model where, in equilibrium, the characteristics of formal and informal workers differ systematically, even though labor markets are perfectly competitive. The informal sector emphasizes low-skill work, as in the data, because informal managers have access to less outside financing, and choose to substitute low-skill labor for physical capital. (c) 2006 Elsevier B.V. All rights reserved. C1 So Methodist Univ, Dallas, TX 75275 USA. Fed Reserve Bank Dallas, Dallas, TX USA. RP Amaral, PS (reprint author), So Methodist Univ, Dallas, TX 75275 USA. EM pamaral@mail.smu.edu RI Amaral, Pedro/C-3693-2009; nipe, cef/A-4218-2010 NR 26 TC 59 Z9 61 U1 1 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD OCT PY 2006 VL 53 IS 7 BP 1541 EP 1553 DI 10.1016/j.jmoneco.2005.07.016 PG 13 WC Business, Finance; Economics SC Business & Economics GA 097UL UT WOS:000241474400015 ER PT J AU Mills, DC AF Mills, David C., Jr. TI Alternative central bank credit policies for liquidity provision in a model of payments SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE payments systems; central banking; liquidity; collateral ID INTRADAY LIQUIDITY; GROSS SETTLEMENT; SYSTEMS; RISK AB I explore alternative central bank policies for liquidity provision in a model of payments. I use a mechanism design approach so that agents' incentives to default are explicit and contingent on the credit policy designed. In the first policy, the central bank invests in costly enforcement and charges an interest rate to recover costs. I show that the second-best solution is not distortionary. In the second policy, the central bank requires collateral. If collateral does not bear an opportunity cost, then the solution is first best. Otherwise, the second best is distortionary because collateral serves as a binding credit constraint. Published by Elsevier B.V. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Mills, DC (reprint author), Fed Reserve Board, Mail Stop 188,20th & C St NW, Washington, DC 20551 USA. EM david.c.mills@frb.gov NR 15 TC 7 Z9 8 U1 1 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 OCT PY 2006 VL 53 IS 7 BP 1593 EP 1611 DI 10.1016/j.jmoneco.2005.05.008 PG 19 WC Business, Finance; Economics SC Business & Economics GA 097UL UT WOS:000241474400018 ER PT J AU De Fontnouvelle, P DeJesus-Rueff, V Jordan, JS Rosengren, ES AF De Fontnouvelle, Patrick DeJesus-Rueff, Virginia Jordan, John S. Rosengren, Eric S. TI Capital and risk: New evidence on implications of large operational losses SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE Basel Accord; economic capital; operational risk AB Operational risk is currently receiving significant media attention, as financial scandals have appeared regularly and multiple events have exceeded one billion dollars in impact. Regulators have also been devoting attention to this risk and are finalizing proposals that would require banks to hold capital for potential operational losses. This paper uses newly available loss data to model operational risk at internationally active banks. Our results suggest that the amount of capital held for operational risk will often exceed capital held for market risk and that the largest banks could choose to allocate several billion dollars in capital to operational risk. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. Stanford Univ, Grad Sch, Stanford, CA 94305 USA. RP De Fontnouvelle, P (reprint author), Fed Reserve Bank Boston, Boston, MA 02210 USA. EM patrick.defontnouvelle@bos.frb.org NR 23 TC 20 Z9 22 U1 2 U2 10 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2006 VL 38 IS 7 BP 1819 EP 1846 DI 10.1353/mcb.2006.0088 PG 28 WC Business, Finance; Economics SC Business & Economics GA 092FT UT WOS:000241083100006 ER PT J AU Wu, T AF Wu, Tao TI Macro factors and the affine term structure of interest rates SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE macro factors; affine term structure; general equilibrium ID NOMINAL INTEREST-RATES; MONETARY-POLICY; MODELS; REAL; PRICES; ECONOMIES; FRAMEWORK; PREMIA; MONEY AB This paper formulates an affine term structure model of bond yields from a dynamic stochastic general equilibrium model, with observable macro state variables as the term structure factors. Model implications for the joint macro-term structure dynamics are consistent with the empirical patterns from the VAR estimation. Model calibration and simulation exercises also provide clear macroeconomic interpretations of the latent term structure factors as found in the finance literature: most of the "slope" factor movement can be explained by exogenous monetary policy shocks, and the "level" factor movement is closely related to the technology shocks. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. RP Wu, T (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA USA. EM tao.wu@sf.frb.org NR 47 TC 31 Z9 31 U1 0 U2 6 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2006 VL 38 IS 7 BP 1847 EP 1875 DI 10.1353/mcb.2006.0097 PG 29 WC Business, Finance; Economics SC Business & Economics GA 092FT UT WOS:000241083100007 ER PT J AU Carlstrom, CT Fuerst, TS AF Carlstrom, Charles T. Fuerst, Timothy S. TI Oil prices, monetary policy, and counterfactual experiments SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE monetary policy; oil prices; interest rates ID SHOCKS AB Recessions are associated with both rising oil prices and increases in the federal funds rate. Are recessions caused by the spikes in oil prices or by the sharp tightening of monetary policy? This paper discusses the difficulties in disentangling these two effects. C1 Fed Reserve Bank Cleveland, Cleveland, OH USA. Bowling Green State Univ, Bowling Green, OH 43403 USA. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Cleveland, OH USA. EM charles.t.carlstrom@clev.frb.org; tfuerst@mail.cba.bgsu.edu NR 13 TC 18 Z9 19 U1 0 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD OCT PY 2006 VL 38 IS 7 BP 1945 EP 1958 DI 10.1353/mcb.2006.0090 PG 14 WC Business, Finance; Economics SC Business & Economics GA 092FT UT WOS:000241083100010 ER PT J AU Cagetti, M De Nardi, M AF Cagetti, Marco De Nardi, Mariacristina TI Entrepreneurship, frictions, and wealth SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID LIQUIDITY CONSTRAINTS; INCOME HYPOTHESIS; DEBT; INEQUALITY; DYNAMICS; RETURNS; GROWTH; FIRMS AB This paper constructs and calibrates a parsimonious model of occupational choice that allows for entrepreneurial entry, exit, and investment decisions in the presence of borrowing constraints. The model fits very well a number of empirical observations, including the observed wealth distribution for entrepreneurs and workers. At the aggregate level, more restrictive borrowing constraints generate less wealth concentration and reduce average firm size, aggregate capital, and the fraction of entrepreneurs. Voluntary bequests allow some high-ability workers to establish or enlarge an entrepreneurial activity. With accidental bequests only, there would be fewer very large firms and less aggregate capital and wealth concentration. C1 Fed Reserve Bank Chicago, Natl Bur Econ Res, Chicago, IL USA. Univ Minnesota, Minneapolis, MN 55455 USA. NR 37 TC 119 Z9 120 U1 4 U2 29 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 2006 VL 114 IS 5 BP 835 EP 870 DI 10.1086/508032 PG 36 WC Economics SC Business & Economics GA 102CJ UT WOS:000241788100001 ER PT J AU Krainer, J AF Krainer, John TI Economics, real estate and the supply of land SO JOURNAL OF REGIONAL SCIENCE LA English DT Book Review C1 Fed Reserve Bank, Econ Res Dept, San Francisco, CA USA. RP Krainer, J (reprint author), Fed Reserve Bank, Econ Res Dept, San Francisco, CA USA. NR 4 TC 0 Z9 0 U1 0 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD OCT PY 2006 VL 46 IS 4 BP 796 EP 798 DI 10.1111/j.1467-9787.2006.00478_5.x PG 3 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 083XR UT WOS:000240492800013 ER PT J AU Chugh, SK AF Chugh, Sanjay K. TI Optimal fiscal and monetary policy with sticky wages and sticky prices SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE optimal fiscal and monetary policy; sticky wages; sticky prices; Friedman rule; Ramsey problem ID TAXATION AB We determine the optimal degree of price inflation volatility when nominal wages are sticky and the government uses state-contingent inflation to finance government spending. We address this question in a well-understood Ramsey model of fiscal and monetary policy, in which the benevolent planner has access to labor income taxes, nominally risk-free debt, and money creation. Our main result is that sticky wages alone make price stability optimal in the face of shocks to the government budget, to a degree quantitatively similar as sticky prices alone. Key for our results is an equilibrium restriction between nominal price inflation and nominal wage inflation that holds trivially in a Ramsey model featuring only sticky prices. Our results thus show that when nominal wages are sticky, setting real wages as close as possible to their efficient path is a more important goal of optimal monetary policy than is financing innovations in the government budget via state-contingent inflation. A second important result is that the nominal interest rate can be used to indirectly tax the rents of monopolistic labor suppliers. Taken together, our results uncover features of Ramsey fiscal and monetary policy in the presence of a type of labor market imperfection that is widely-believed to be important. (c) 2006 Elsevier Inc. All rights reserved. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Chugh, SK (reprint author), Fed Reserve Board, 20th & C St NW, Washington, DC 20551 USA. EM sanjay.k.chugh@frb.gov NR 20 TC 19 Z9 19 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 OCT PY 2006 VL 9 IS 4 BP 683 EP 714 DI 10.1016/j.red.2006.07.001 PG 32 WC Economics SC Business & Economics GA 105XC UT WOS:000242064600006 ER PT J AU Lagos, R AF Lagos, Ricardo TI A model of TFP SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID UNEMPLOYMENT; PRODUCTIVITY AB This paper proposes an aggregative model of total factor productivity (TFP) in the spirit of Houthakker (1955-1956). It considers a frictional labour market where production units are subject to idiosyncratic shocks and jobs are created and destroyed as in Mortensen and Pissarides (1994). An aggregate production function is derived by aggregating across micro-production units in equilibrium. The level of TFP is explicitly shown to depend on the underlying distribution of shocks as well as on all the characteristics of the labour market as summarized by the job-destruction decision. The model is also used to study the effects of labour-market policies on the level of measured TFP. C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NYU, New York, NY USA. RP Lagos, R (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 27 TC 47 Z9 48 U1 1 U2 4 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 2006 VL 73 IS 4 BP 983 EP 1007 DI 10.1111/j.1467-937X.2006.00405.x PG 25 WC Economics SC Business & Economics GA 087IU UT WOS:000240736900007 ER PT J AU Hotchkiss, JL Pitts, MM Robertson, JC AF Hotchkiss, Julie L. Pitts, M. Melinda Robertson, John C. TI Earnings on the information technology roller coaster: Insight from matched employer-employee data SO SOUTHERN ECONOMIC JOURNAL LA English DT Article AB This article uses matched employer-employee data for the State of Georgia to examine workers' earnings experience through the information technology (IT) sector's employment boom of the mid-1990s and bust in the early 2000s. The results show that even after controlling for pre-boom individual characteristics, transitioning out of the IT sector to a non-IT industry generally resulted in a large wage penalty. However, IT service workers who transitioned to a non-IT industry still fared better than workers who took a non-IT employment path. For IT manufacturing workers, there is no benefit to having been touched by technology, likely because of the nontransferability of manufacturing experience to other industries. C1 Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. Georgia State Univ, Andrew Young Sch Policy Studies, Atlanta, GA 30303 USA. RP Hotchkiss, JL (reprint author), Fed Reserve Bank Atlanta, Dept Res, 1000 Peachtree St,NE, Atlanta, GA 30309 USA. EM Julie.L.Hotchkiss@atl.frb.org; Melinda.Pitts@atl.frb.org; John.C.Robertson@atl.frb.org NR 12 TC 3 Z9 3 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 OCT PY 2006 VL 73 IS 2 BP 342 EP 361 PG 20 WC Economics SC Business & Economics GA 098QI UT WOS:000241537500004 ER PT J AU Ackert, LF Charupat, N Church, BK Deaves, R AF Ackert, Lucy F. Charupat, Narat Church, Bryan K. Deaves, Richard TI Margin, short selling, and lotteries in experimental asset markets SO SOUTHERN ECONOMIC JOURNAL LA English DT Article ID PROSPECT-THEORY; STOCK-MARKET; BUBBLES; UNCERTAINTY; INFORMATION; AVERSION; FUTURES; CRASH AB The robustness of bubbles and crashes in markets for assets with finite lives is perplexing. This paper reports the results of experimental asset markets in which participants trade two assets. In some markets, price bubbles form. In these markets, traders pay higher prices for the asset with lottery characteristics (i.e., a claim on a large, unlikely payoff). However, institutional design has a significant impact on deviations in prices from fundamental values, particularly for an asset with lottery characteristics. Price run-ups and crashes are moderated when traders finance purchases of the assets themselves and are allowed to short sell. C1 Kennesaw State Univ, Dept Econ & Finance, Michael J Coles Coll Business, Kennesaw, GA 30144 USA. Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. McMaster Univ, Michael G DeGroote Sch Business, Hamilton, ON L8S 4M4, Canada. Georgia Inst Technol, Coll Management, Atlanta, GA 30332 USA. RP Ackert, LF (reprint author), Kennesaw State Univ, Dept Econ & Finance, Michael J Coles Coll Business, 1000 Chastain Rd, Kennesaw, GA 30144 USA. EM lackert@kennesaw.edu; charupat@mcmail.cis.mcmaster.ca; church@mgt.gatech.edu; deavesr@mcmaster.ca NR 34 TC 17 Z9 17 U1 1 U2 6 PU UNIV NORTH CAROLINA PI CHAPEL HILL PA SOUTHERN ECONOMIC JOURNAL, CHAPEL HILL, NC 27514 USA SN 0038-4038 J9 SOUTH ECON J JI South. Econ. J. PD OCT PY 2006 VL 73 IS 2 BP 419 EP 436 PG 18 WC Economics SC Business & Economics GA 098QI UT WOS:000241537500008 ER PT J AU Sargent, T Williams, N Zha, T AF Sargent, Thomas Williams, Noah Zha, Tao TI Shocks and government beliefs: The rise and fall of American inflation SO AMERICAN ECONOMIC REVIEW LA English DT Article ID MONETARY-POLICY; NASH INFLATION AB We use a Bayesian Markov Chain Monte Carlo algorithm to estimate the parameters of a "true" data-generating mechanism and those of a sequence of approximating models that a monetary authority uses to guide its decisions. Gaps between a true expectational Phillips curve and the monetary authority's approximating nonexpectational Phillips curve models unleash inflation that a monetary authority that knows the true model would avoid. A sequence of dynamic programming problems implies that the monetary authority's inflation target evolves as its estimated Phillips curve moves. Our estimates attribute the rise and fall of post-WWII inflation in the United States to an intricate interaction between the monetary authority's beliefs and economic shocks. Shocks in the 1970s made the monetary authority perceive a tradeoff between inflation and unemployment which ignited big inflation. The monetary authority's beliefs about the Phillips curve changed in ways that account for former Federal Reserve Chairman Paul Volcker's conquest of U.S. inflation. C1 NYU, Dept Econ, New York, NY 10003 USA. Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. RP Sargent, T (reprint author), NYU, Dept Econ, 269 Mercer St, New York, NY 10003 USA. EM thomas.sargent@nyu.edu; noahw@princeton.edu; tzha@mindspring.com NR 25 TC 70 Z9 70 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 SEP PY 2006 VL 96 IS 4 BP 1193 EP 1224 DI 10.1257/aer.96.4.1193 PG 32 WC Economics SC Business & Economics GA 088CN UT WOS:000240789200013 ER PT J AU Frye, MB Nelling, E Webb, E AF Frye, Melissa B. Nelling, Edward Webb, Elizabeth TI Executive compensation in socially responsible firms SO CORPORATE GOVERNANCE-AN INTERNATIONAL REVIEW LA English DT Article DE corporate social responsibility; executive remuneration; stakeholders ID CORPORATE GOVERNANCE; PERFORMANCE; MANAGEMENT; PAY; ATTRACTIVENESS; INCENTIVES AB This study examines chief executive officer (CEO) compensation and turnover in socially responsible (SR) firms. We compare characteristics of SR firms with a matched sample of firms based on industry and size. Analysis of CEO compensation indicates that the link between CEO pay and firm performance is weaker for SR firms than for non-SR firms. CEO turnover tests indicate that SR firms are more likely to experience CEO turnover following poor performance. Stock option grants to CEOs of SR firms do not appear to result in future risk-taking behaviour, whereas such grants are significantly related to future risk at non-SR firms. C1 Drexel Univ, LeBow Coll Business, Grad Sch, Philadelphia, PA 19104 USA. Univ Cent Florida, Orlando, FL 32816 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Nelling, E (reprint author), Drexel Univ, LeBow Coll Business, Grad Sch, 101 N 33rd St, Philadelphia, PA 19104 USA. EM nelling@drexel.edu NR 17 TC 18 Z9 18 U1 1 U2 16 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0964-8410 J9 CORP GOV JI Corp. Gov. PD SEP PY 2006 VL 14 IS 5 BP 446 EP 455 DI 10.1111/j.1467-8683.2006.00517.x PG 10 WC Business; Business, Finance; Management SC Business & Economics GA 084TS UT WOS:000240557900008 ER PT J AU Garriga, C Gavin, WT Schlagenhauf, D AF Garriga, Carlos Gavin, William T. Schlagenhauf, Don TI Recent trends in homeownership SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID RATES; TAX AB The homeownership rate began to trend upward in 1995 after years of being relatively constant, near 64 percent. This article describes recent changes in the share of U.S. housing that is owner-occupied and explores the reasons for the surprising rise over the past decade. Explanations that have been offered include demographics, low mortgage rates, changes in housing policy, and innovations in the mortgage financial market. Of all these explanations, the most plausible one is that innovations in the financial markets increased access to mortgage finance, mainly by reducing downpayment constraints and allowing younger people to buy homes. C1 Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. Fed Reserve Bank St Louis, St Louis, MO USA. RP Garriga, C (reprint author), Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA. RI Garriga, Carlos/I-5744-2016 OI Garriga, Carlos/0000-0003-0961-1986 NR 16 TC 4 Z9 4 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2006 VL 88 IS 5 BP 397 EP 411 PG 15 WC Business, Finance; Economics SC Business & Economics GA 087MA UT WOS:000240745300001 ER PT J AU Wheelock, DC AF Wheelock, David C. TI What happens to banks when house prices fall? US regional housing busts of the 1980s and 1990s SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article AB The recent rapid appreciation of house prices in many U.S. markets has prompted concern over the possible effects of a sharp decline in prices, especially for commercial banks and other real estate lenders. This article examines regional real estate booms and busts in the 1980s and 1990s: Only about half of state house price booms were followed by a severe decline in prices, but large declines occurred in several states that did not have a prior boom. Banks in states that had large house price declines experienced high loan default rates and, thus, low profit and high failure rates, Although U.S. banks may have become more exposed to residential real estate recently, they appear less vulnerable to a decline in house prices than banks in states with large price declines in the earlier period. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Wheelock, DC (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 13 TC 4 Z9 4 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2006 VL 88 IS 5 BP 413 EP 429 PG 17 WC Business, Finance; Economics SC Business & Economics GA 087MA UT WOS:000240745300002 ER PT J AU Dueker, MJ Fischer, AM AF Dueker, Michael J. Fischer, Andreas M. TI Do inflation targeters outperform non-targeters? SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID EXPECTED INFLATION; COUNTRIES AB Ten years of empirical studies of inflation targeting have not uncovered clear evidence that monetary policy that incorporates formal targets imparts better inflation performance. The authors survey the literature and find that the "no difference" verdict concerning inflation targeting has been robust to a wide range of countries and methods of analysis, starting with a study by Dueker and Fischer (1996a). The authors present updated Markov-switching estimates from the original Dueker and Fischer (1996a) article and show that their early conclusions about inflation targeting among early adopters have not been overturned with an additional decade of data. These findings to date do not rule out the possibility, however, that formal inflation targets could prove pivotal if the global environment of disinflation were to reverse course. C1 Fed Reserve Bank St Louis, St Louis, MO USA. RP Dueker, MJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO USA. NR 46 TC 8 Z9 8 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD SEP-OCT PY 2006 VL 88 IS 5 BP 431 EP 450 PG 20 WC Business, Finance; Economics SC Business & Economics GA 087MA UT WOS:000240745300003 ER PT J AU Rouse, CE Barrow, L AF Rouse, Cecilia Elena Barrow, Lisa TI U.S. elementary and secondary schools: Equalizing opportunity or replicating the status quo? SO FUTURE OF CHILDREN LA English DT Article ID CLASS SIZE; STUDENT-ACHIEVEMENT; PUBLIC-SCHOOLS; EDUCATION; RETURNS; ACCOUNTABILITY; COLLEGE; FAMILY; TWINS; ATTENDANCE AB Although education pays off handsomely in the United States, children from low-income families attain less education than children from more advantaged families. In this article, Cecilia Elena Rouse and Lisa Barrow investigate why family background is so strongly linked to education. The authors show that family socioeconomic status affects such educational outcomes as test scores, grade retention, and high school graduation, and that educational attainment strongly affects adult earnings. They then go on to ask why children from more advantaged families get more or better schooling than those from less advantaged families. For low-income students, greater psychological costs, the cost of forgone income (continuing in school instead of getting a job), and borrowing costs all help to explain why these students attain less education than more privileged children. And these income-related differences in costs may themselves be driven by differences in access to quality schools. As a result, U.S. public schools tend to reinforce the transmission of low socioeconomic status from parents to children. Policy interventions aimed at improving school quality for children from disadvantaged families thus have the potential to increase social mobility. Despite the considerable political attention paid to increasing school accountability, as in the No Child Left Behind Act, along with charter schools and vouchers to help the children of poor families attend private school, to date the best evidence suggests that such programs will improve student achievement only modestly. Based on the best research evidence, smaller class sizes seem to be one promising avenue for improving school quality for disadvantaged students. High teacher quality is also likely to be important. However, advantaged families, by spending more money on education outside school, can and will partly undo policy attempts to equalize school quality for poor and nonpoor children. C1 Princeton Univ, Educ Res Sect, Princeton, NJ 08544 USA. Fed Res Bank Chicago, Chicago, IL USA. RP Rouse, CE (reprint author), Princeton Univ, Educ Res Sect, Princeton, NJ 08544 USA. NR 77 TC 27 Z9 27 U1 2 U2 22 PU PRINCETON UNIV PI PRINCETON PA 277 WALLACE HALL, PRINCETON, NJ 08544 USA SN 1054-8289 J9 FUTURE CHILD JI Future Child. PD FAL PY 2006 VL 16 IS 2 BP 99 EP 123 DI 10.1353/foc.2006.0018 PG 25 WC Family Studies; Health Policy & Services; Social Sciences, Interdisciplinary SC Family Studies; Health Care Sciences & Services; Social Sciences - Other Topics GA 086DR UT WOS:000240654200006 PM 17036548 ER PT J AU Toussaint-Comeau, M AF Toussaint-Comeau, Maude TI The occupational assimilation of Hispanic immigrants in the US: Evidence from panel data SO INTERNATIONAL MIGRATION REVIEW LA English DT Article ID SEMI-LOGARITHMIC EQUATIONS; LABOR-MARKET; DUMMY VARIABLES; COHORT QUALITY; EARNINGS AB This study focuses on the occupational component of the labor market adjustment of Hispanic immigrants. The author asks whether Hispanic immigrants assimilate with natives and what factors influence occupational attainment. The findings suggest that years since migration narrow the socioeconomic gap between Hispanic immigrants, their U.S.-born Hispanic counterparts, and non-Hispanic whites. The level of human capital affects the rate of occupational mobility and determines whether convergence occurs in the groups' socioeconomic occupational status. The occupational status of Hispanic immigrants with low human capital remains fairly stable and does not converge with that of non-Hispanic whites. However, those with high human capital experience upward occupational mobility. In part, their occupational assimilation is driven by the acquisition of human capital among younger Hispanic immigrants. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Toussaint-Comeau, M (reprint author), Fed Reserve Bank Chicago, 230 S La Salle St, Chicago, IL 60604 USA. NR 41 TC 10 Z9 10 U1 0 U2 5 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0197-9183 J9 INT MIGR REV JI Int. Migr. Rev. PD FAL PY 2006 VL 40 IS 3 BP 508 EP 536 DI 10.1111/j.1747-7379.2006.00034.x PG 29 WC Demography SC Demography GA 073SP UT WOS:000239763200002 ER PT J AU Bolton, P Mehran, H AF Bolton, Patrick Mehran, Hamid TI An introduction to the governance and taxation of not-for-profit organizations SO JOURNAL OF ACCOUNTING & ECONOMICS LA English DT Article DE not-for-profit; governance; taxation AB This paper provides a brief overview of the current state of the not-for-profit sector and discusses specific governance issues in not-for-profit organizations. We offer an in-depth analysis of the issues that arise when not-for-profit organizations compete against for-profit firms in the same markets. We argue that while competition by for-profit firms can discipline not-for-profit firms and mitigate their governance problems, the effects of this competition are distorted by the not-for-profits' corporate income tax exemptions. Based on a simple general equilibrium analysis, we argue that there is little justification for such exemptions. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Columbia Univ, New York, NY 10027 USA. RP Mehran, H (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM pb2208@columbia.edu; hamid.mehran@ny.frb.org NR 16 TC 6 Z9 6 U1 1 U2 11 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-4101 J9 J ACCOUNT ECON JI J. Account. Econ. PD SEP PY 2006 VL 41 IS 3 BP 293 EP 305 DI 10.1016/j.jacceco.2006.06.001 PG 13 WC Business, Finance; Economics SC Business & Economics GA 078BL UT WOS:000240076000004 ER PT J AU Barrett, CB Sherlund, SM Adesina, AA AF Barrett, Christopher B. Sherlund, Shane M. Adesina, Akinwumi A. TI Macroeconomic shocks, human capital and productive efficiency: Evidence from West African rice farmers SO JOURNAL OF AFRICAN ECONOMIES LA English DT Article ID INCOME DIVERSIFICATION; COTE-DIVOIRE; EDUCATION; AGRICULTURE AB Little empirical work has quantified the transitory effects of macroeconomic shocks on farm-level production behaviour. We develop a simple analytical model to explain how macroeconomic shocks might temporarily divert managerial attention, thereby affecting farm-level productivity, but perhaps to different degrees and for different durations across production units. We then successfully test hypotheses from that model using panel data bracketing massive currency devaluation in the West African nation of Cote d'Ivoire. We find a transitory increase in mean plot-level technical inefficiency among Ivorien rice producers and considerable variation in the magnitude and persistence of this effect, attributable largely to ex ante complexity of operations, and the educational attainment and off-farm employment status of the plot manager. C1 Cornell Univ, Dept Appl Econ & Management, Ithaca, NY 14853 USA. Fed Reserve Board Governors, Washington, DC 20551 USA. Rockefeller Fdn, Food Secur, New York, NY 10018 USA. RP Barrett, CB (reprint author), Cornell Univ, Dept Appl Econ & Management, Ithaca, NY 14853 USA. EM cbb2@cornell.edu; shane.m.sherlund@frb.gov; aadesina@rockfound.org NR 24 TC 1 Z9 1 U1 1 U2 10 PU OXFORD UNIV PRESS PI OXFORD PA GREAT CLARENDON ST, OXFORD OX2 6DP, ENGLAND SN 0963-8024 J9 J AFR ECON JI J. Afr. Econ. PD SEP PY 2006 VL 15 IS 3 BP 343 EP 372 DI 10.1093/jae/ejk001 PG 30 WC Economics SC Business & Economics GA 089EL UT WOS:000240863000001 ER PT J AU Hannan, TH AF Hannan, Timothy H. TI Retail deposit fees and multimarket banking SO JOURNAL OF BANKING & FINANCE LA English DT Article DE banks; fees; competition AB This paper reports a systematic examination of the determinants of deposit-related retail banking fees using a set of survey data that is unusual for its size, specificity, and sampling properties. The analysis focuses explicitly on six different fees associated with checking accounts and automated teller machine (ATM) usage. A preliminary analysis documents that, on average, multimarket banks charge substantially higher fees than do typically smaller, single-market banks. A more detailed econometric analysis yields results consistent with predictions of recent models. In particular, it finds that the greater the presence of multimarket banks in the local market, the higher are the retail deposit fees of single-market banks (except in highly concentrated markets) and the weaker is the positive relationship between those fees and market concentration. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Board, Financial Struct Sect, Div Res & Stat, Washington, DC 20551 USA. RP Hannan, TH (reprint author), Fed Reserve Board, Financial Struct Sect, Div Res & Stat, Washington, DC 20551 USA. EM thannan@frb.gov NR 11 TC 16 Z9 16 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 SEP PY 2006 VL 30 IS 9 BP 2561 EP 2578 DI 10.1016/j.jbankfin.2005.11.007 PG 18 WC Business, Finance; Economics SC Business & Economics GA 082MI UT WOS:000240390500006 ER PT J AU Bullard, J Diks, C Wagener, F AF Bullard, Jim Diks, Cees Wagener, Florian TI Computing in economics and finance SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Editorial Material C1 Fed Reserve Bank St Louis, Dept Res, St Louis, MO 63102 USA. Univ Amsterdam, CeNDEF, NL-1018 WB Amsterdam, Netherlands. RP Bullard, J (reprint author), Fed Reserve Bank St Louis, Dept Res, 411 Locust St, St Louis, MO 63102 USA. EM james.b.bullard@stls.frb.org; c.h.g.diks@uva.nl; f.o.o.wagener@uva.nl RI Diks, Cees/B-1869-2008; Wagener, Florian/D-7894-2011; Bullard, James/L-8120-2016 OI Wagener, Florian/0000-0001-6671-8814; Bullard, James/0000-0002-1142-6803 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 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD SEP-OCT PY 2006 VL 30 IS 9-10 BP 1441 EP 1444 DI 10.1016/j.jec.2006.03.003 PG 4 WC Economics SC Business & Economics GA 084ZY UT WOS:000240574100001 ER PT J AU Gagnon, JE AF Gagnon, Joseph E. TI The United States as a debtor nation. SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Board, Washington, DC USA. RP Gagnon, JE (reprint author), Fed Reserve Board, Washington, DC 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 2006 VL 44 IS 3 BP 731 EP 733 PG 3 WC Economics SC Business & Economics GA 113ZE UT WOS:000242635700009 ER PT J AU Chari, VV Kehoe, PJ AF Chari, V. V. Kehoe, Patrick J. TI Modern macroeconomics in practice: How theory is shaping policy SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID MONETARY-POLICY; STICKY PRICES; FISCAL-POLICY; INCONSISTENCY; UNEMPLOYMENT; DEBT; DISCRETION; INFLATION; ECONOMY; RULES C1 Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Chari, VV (reprint author), Univ Minnesota, Minneapolis, MN 55455 USA. EM chayi@econ.umn.edu; pkehoe@res.mpls.frb.fed.us NR 54 TC 30 Z9 30 U1 0 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD FAL PY 2006 VL 20 IS 4 BP 3 EP 28 DI 10.1257/jep.20.4.3 PG 26 WC Economics SC Business & Economics GA 109PI UT WOS:000242320200001 ER PT J AU Phelan, C AF Phelan, Christopher TI Public trust and government betrayal SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE government reputation ID SOVEREIGN DEBT; REPUTATION; INFORMATION; DISCRETION; CREDIBILITY; RULES; PLANS; MODEL AB This study presents a simple model of government reputation (in which government type cannot be directly observed by households) with the variation that government type, rather than being permanent, follows an exogenous Markov process. This formulation captures three characteristics of bad policy outcomes: governments which betray public trust do so erratically, public trust is regained only gradually after a betrayal, and governments with recent betrayals betray with higher probability than other governments. (c) 2005 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55480 USA. RP Phelan, C (reprint author), Fed Reserve Bank Minneapolis, Dept Res, 90 Hennepin Ave, Minneapolis, MN 55480 USA. EM cjp@minneapolisfed.org NR 14 TC 23 Z9 23 U1 2 U2 10 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 J9 J ECON THEORY JI J. Econ. Theory PD SEP PY 2006 VL 130 IS 1 BP 27 EP 43 DI 10.1016/j.jet.2005.03.003 PG 17 WC Economics SC Business & Economics GA 088VA UT WOS:000240838000002 ER PT J AU Croushore, D Evans, CL AF Croushore, Dean Evans, Charles L. TI Data revisions and the identification of monetary policy shocks SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE real-time data; monetary policy shocks; VARs; data revisions; identification ID TIME DATA SET; FUNDS AB Monetary policy research using time-series methods has been criticized for using more information than the Federal Reserve had available. To quantify the role of this criticism, we estimate VARs with real-time data while accounting for the latent nature of many economic variables, such as output. Our estimated monetary policy shocks are closely correlated with typically estimated measures. The impulse response functions are broadly similar across estimation methods. Our evidence suggests that the use of revised data in VAR analyses of monetary policy shocks may not be a serious limitation for recursively identified systems, but presents more challenges for simultaneous systems. (c) 2006 Elsevier B.V. All rights reserved. C1 Univ Richmond, Robins Sch Business, Richmond, VA 23173 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Croushore, D (reprint author), Univ Richmond, Robins Sch Business, 1 Gateway Rd, Richmond, VA 23173 USA. EM dcrousho@richmond.edu NR 27 TC 13 Z9 13 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 SEP PY 2006 VL 53 IS 6 BP 1135 EP 1160 DI 10.1016/j.jmoneco.2006.002.001 PG 26 WC Business, Finance; Economics SC Business & Economics GA 084ZV UT WOS:000240573800003 ER PT J AU Whitesell, W AF Whitesell, William TI Interest rate corridors and reserves SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE monetary policy implementation; reserve requirements; rate corridor ID FEDERAL-FUNDS RATE; MONETARY-POLICY; BEHAVIOR; MARKET; MANAGEMENT; DEMAND; BANKS; COSTS; MODEL AB This paper evaluates reserves regimes versus interest rate corridors, which have become competing frameworks for monetary policy implementation. Rate corridors, relying on lending and deposit facilities to create ceilings and floors for overnight interest rates, evince mixed results on controlling volatility. Reserve requirements allow period-average smoothing of interest rates but, even if remunerated, are subject to reserve avoidance activities. A system of voluntary, period-average reserve commitments could offer equivalent rate-smoothing advantages. If central banks created symmetric opportunity costs of meeting or falling short of period-average reserve requirements (or commitments), they could achieve flat reserve demand on settlement day. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Whitesell, W (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM wwhitesell@frb.gov NR 24 TC 22 Z9 22 U1 1 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD SEP PY 2006 VL 53 IS 6 BP 1177 EP 1195 DI 10.1016/j.jmoneco.2005.03.013 PG 19 WC Business, Finance; Economics SC Business & Economics GA 084ZV UT WOS:000240573800005 ER PT J AU Berger, AN Deyoung, R AF Berger, Allen N. Deyoung, Robert TI Technological progress and the geographic expansion of the banking industry SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE banks; efficiency; mergers; productivity; technological progress ID HOLDING COMPANIES; COMMERCIAL-BANKS; COST EFFICIENCY; PERFORMANCE; DEREGULATION; RISK AB We test some predictions about the effects of technological progress on geographic expansion using data on banks in U.S. multibank holding companies over 1985-98. Specifically, we test whether over time (1) parental control over affiliate banks has increased and (2) the agency costs of distance from the parent have decreased. The data suggest that banking organizations' control over affiliates has been increasing over time and that the agency costs of distance have decreased somewhat over time. The findings are consistent with the hypothesis that technological progress has facilitated the geographic expansion of the banking 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. EM aberger@frb.gov; rdeyoung@fdic.gov NR 35 TC 36 Z9 36 U1 2 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2006 VL 38 IS 6 BP 1483 EP 1513 DI 10.1353/mcb.2006.0077 PG 31 WC Business, Finance; Economics SC Business & Economics GA 075CY UT WOS:000239861500004 ER PT J AU Krishnan, CNV Ritchken, PH Thomson, JB AF Krishnan, C. N. V. Ritchken, P. H. Thomson, J. B. TI On credit-spread slopes and predicting bank risk SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE constructing credit-spread curves; credit-spread slopes; predicting credit spreads and bank risk ID TERM STRUCTURE; INTEREST-RATES; MARKET DISCIPLINE; CORPORATE-DEBT; INFORMATION; YIELDS; BONDS AB We examine whether bank credit-spread curves, engendered by subordinated debt, would help predict bank risk. We extract credit-spread curves for each bank each quarter and analyze the predictive properties of credit-spread slopes. We find that credit-spread slopes are significant predictors of future credit spreads. We also find that credit-spread slopes provide significant additional information on future bank risk variables, over and above other bank-specific and market-wide information. C1 Case Western Reserve Univ, Weatherhead Sch Management, Cleveland, OH 44106 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Krishnan, CNV (reprint author), Case Western Reserve Univ, Weatherhead Sch Management, Cleveland, OH 44106 USA. EM cnk2@cwru.edu; phr@case.edu; JB.Thompson@clev.frb.org NR 29 TC 5 Z9 5 U1 0 U2 8 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2006 VL 38 IS 6 BP 1545 EP 1574 DI 10.1353/mcb.2006.0084 PG 30 WC Business, Finance; Economics SC Business & Economics GA 075CY UT WOS:000239861500006 ER PT J AU Lown, C Morgan, DP AF Lown, Cara Morgan, Donald P. TI The credit cycle and the business cycle: New findings using the Loan Officer Opinion Survey SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE credit crunch; credit rationing; credit standards; Loan Officer Survey ID MONETARY-POLICY; INVENTORIES AB VAR analysis on a measure of bank lending standards collected by the Federal Reserve reveals that shocks to lending standards are significantly correlated with innovations in commercial loans at banks and in real output. Credit standards strongly dominate loan rates in explaining variation in business loans and output. Standards remain significant when we include various proxies for loan demand, suggesting that part of the standards fluctuations can be identified with changes in loan supply. Standards are also significant in structural equations of some categories of inventory investment, a GDP component closely associated with bank lending. The estimated impact of a moderate tightening of standards on inventory investment is of the same order of magnitude as the decline in inventory investment over the typical recession. C1 Fed Reserve Bank New York, New York, NY 10045 USA. EM Don.Morgan@ny.frb.org NR 20 TC 97 Z9 97 U1 0 U2 14 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD SEP PY 2006 VL 38 IS 6 BP 1575 EP 1597 DI 10.1353/mcb.2006.0086 PG 23 WC Business, Finance; Economics SC Business & Economics GA 075CY UT WOS:000239861500007 ER PT J AU Zarazaga, CEJM AF Zarazaga, Carlos E. J. M. TI Argentina's feeble recovery: Insights from a real business cycle approach SO JOURNAL OF POLICY REFORM LA English DT Article DE Argentina; expansions and recessions; real business cycle; economic growth AB Argentina's GDP increased 30% between 2002 and 2005, prompting optimistic assessments that the country had finally left behind its secular stagnation. However, this strong performance followed a sharp decline in economic activity and therefore could be the manifestation of a bounce-back effect with no lasting impact on Argentina's mediocre long-term growth rates. The paper examines this conjecture with the quantitative discipline imposed by a Real Business Cycle methodology and concludes that the 2002-05 expansion was not only a rebound, but also considerably weaker than the model predicts, a finding not consistent with upbeat views about the country's long-term prospects. C1 Fed Reserve Bank Dallas, Dallas, TX 75201 USA. RP Zarazaga, CEJM (reprint author), Fed Reserve Bank Dallas, 2200 N Pearl St, Dallas, TX 75201 USA. EM carlos.zarazaga@dal.frb.org NR 7 TC 0 Z9 0 U1 0 U2 1 PU ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD PI ABINGDON PA 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND SN 1384-1289 J9 J POLICY REFORM JI J. Policy Reform PD SEP PY 2006 VL 9 IS 3 BP 219 EP 234 DI 10.1080/13841280600911600 PG 16 WC Economics; Planning & Development SC Business & Economics; Public Administration GA 119PW UT WOS:000243025600003 ER PT J AU Dotsey, M King, RG AF Dotsey, Michael King, Robert G. TI Pricing, production, and persistence SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article ID MONETARY-POLICY; BUSINESS-CYCLE; MODELS; MONEY; RIGIDITIES; SEARCH; PRICES AB Though built with increasingly precise microfoundations, modem optimizing sticky price models have displayed a chronic inability to generate large and persistent real responses to monetary shocks, as recently stressed by Chari, Kehoe, and McGrattan (2000). We trace this lack of persistence to a standard view of the cyclical behavior of real marginal cost built into current sticky price macro models. Using a fully articulated general equilibrium model, we develop an alternative perspective on real marginal cost that leads to substantial persistence. Based on an important role for materials input, variable capacity utilization, and labor adjustment on the extensive margin, this alternative view also makes the sticky price model display volatility and comovement of factor inputs and factor prices more closely in line with conventional wisdom about business cycles and various empirical studies of the dynamic effects of monetary shocks. C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. Boston Univ, Boston, MA 02215 USA. Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Dotsey, M (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. EM michael.dotsey@phil.frb.org; rking@bu.edu NR 37 TC 23 Z9 23 U1 2 U2 5 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD SEP PY 2006 VL 4 IS 5 BP 893 EP 928 DI 10.1162/JEEA.2006.4.5.893 PG 36 WC Economics SC Business & Economics GA 073LZ UT WOS:000239745800001 ER PT J AU Fujiwara, I McAdam, P Roberts, JM AF Fujiwara, Ippei McAdam, Peter Roberts, John M. TI Monetary policy at the zero interest bound: A model comparison exercise SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article DE zero interest bound; Taylor rule; model comparison AB In this paper, we summarize the findings from zero-interest-bound simulation exercises conducted on the policy/forecasting models of the three major central banks. After imposing a fixed-period zero-interest-bound episode on each model, we consider common variations in the monetary-policy reaction function to minimize the macro-economic consequences of such a deflationary regime. Although there is some heterogeneity in the ranking of these remedial policies, reflecting the different properties of the models, we find that more aggressive policy rules and price-targeting rules are potentially candidates for robust monetary strategies. C1 Fed Reserve Syst, Board Governors, Washington, DC USA. RP Roberts, JM (reprint author), Fed Reserve Syst, Board Governors, Washington, DC USA. EM John.M.Roberts@frb.gov NR 14 TC 1 Z9 1 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 2006 VL 20 IS 3 BP 305 EP 313 DI 10.1016/j.jjie.2006.05.005 PG 9 WC Economics; International Relations SC Business & Economics; International Relations GA 084HF UT WOS:000240523300001 ER PT J AU Reifschneider, DL Roberts, JM AF Reifschneider, David L. Roberts, John M. TI Expectations formation and the effectiveness of strategies for limiting the consequences of the zero bound SO JOURNAL OF THE JAPANESE AND INTERNATIONAL ECONOMIES LA English DT Article DE zero interest bound; monetary policy; central bank models; expectations formation ID MONETARY-POLICY RULES; INTEREST-RATES; MODELS AB We use simulations of the Federal Reserve's FRB/US model to examine the efficacy of a number of proposals for reducing the consequences of the zero bound on nominal interest rates. Among the proposals are: a more aggressive monetary policy; promises to make up any shortfall in monetary ease during the zero-bound period by keeping interest rates lower in the future; and the adoption of a price-level target. We consider two assumptions about expectations formation. One assumption is fully model-consistent expectations (MCE)-a reasonable assumption when a policy has been in place for some time, but perhaps less so for a newly announced policy. We therefore also consider the possibility that only financial markets have MCE, and that other agents form their expectations using a small-scale VAR model estimated using historical data. All of the policies noted above are highly effective at reducing the adverse effects of the zero bound under MCE, but their efficacy drops considerably when households and firms base their expectations on the historical average behavior of the economy, and only investors fully recognize the economic implications of the various proposals. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Roberts, JM (reprint author), Fed Reserve Syst, Board Governors, Mail Stop 61, Washington, DC 20551 USA. EM john.m.roberts@frb.gov NR 26 TC 3 Z9 3 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0889-1583 J9 J JPN INT ECON JI J. Jpn. Inst. Econ. PD SEP PY 2006 VL 20 IS 3 BP 314 EP 337 DI 10.1016/j.jjie.2006.05.004 PG 24 WC Economics; International Relations SC Business & Economics; International Relations GA 084HF UT WOS:000240523300002 ER PT J AU Wheeler, CH AF Wheeler, Christopher H. TI Cities and the growth of wages among young workers: Evidence from the NLSY SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE agglomeration economies; wage growth; job search; matching ID DISPLACED WORKERS; JOB MOBILITY; AGGLOMERATION; MEN AB Human capital-based theories of cities suggest that large, economically diverse urban agglomerations increase worker productivity by increasing the rate at which individuals acquire skills. One largely unexplored implication of this theory is that workers in big cities should see faster growth in their earnings over time than comparable workers in smaller markets. This paper examines this implication using data on a sample of young male workers drawn from the National Longitudinal Survey of Youth 1979 Cohort. The results suggest that earnings growth does tend to be faster in large, economically diverse local labor markets-defined as counties and metropolitan areas-than in smaller, more specialized markets. Yet, when examined in greater detail, I also find that this association tends to be the product of faster wage growth due to job changes rather than faster wage growth experienced while on a particular job. This result is consistent with the idea that cities enhance worker productivity through a job search and matching process and, thus, that an important aspect of 'learning' in cities may involve individuals learning about what they do well. (c) 2006 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Wheeler, CH (reprint author), Fed Reserve Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM christopher.h.wheeler@stls.frb.org NR 18 TC 37 Z9 37 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 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD SEP PY 2006 VL 60 IS 2 BP 162 EP 184 DI 10.1016/j.jue.2006.02.004 PG 23 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 079KC UT WOS:000240173700002 ER PT J AU Chernick, H Haughwout, AF AF Chernick, Howard Haughwout, Andrew F. TI Tax policy and the fiscal cost of disasters: NY and 9/11 SO NATIONAL TAX JOURNAL LA English DT Article; Proceedings Paper CT 36th Annual Spring Symposium on Big Ideas - The Morning After CY MAY 18-19, 2006 CL Washington, DC SP Natl Tax Assoc AB While the terrible attack on the World Trade Centers on September 11, 2001 caused a substantial short-run shock to New York City's economy, the city demonstrated substantial economic resilience over the longer run. Prices for office space increased relative to the nation between 2001 and 2003, and demand for housing has been robust. Combined with a short-lived national recession, the 9111 attack led to severe short-run fiscal pressure on the city. Budget deficits were addressed mainly through roughly equal amounts of,additional debt and tax increases, plus modest expenditure cuts. Costs of 9111 through the public sector, including both tax losses and expenditure increases, are estimated to range from 0.7 percent to 1.35 percent of 2002 personal income, depending on the time period. Total federal compensation, through direct grants and tax expenditures, will ultimately equal about $20.4 billion. Fiscal relief to the government of New York City offsets about a third of the public sector costs. Because of linked tax bases, the state of New York shared heavily in the fiscal shock from 9/11. Rather than direct aid, the main state response has been to allow New York City the fiscal flexibility to borrow and raise taxes. We argue that there is a strong case, both on equity and efficiency grounds,for sharing the costs of disasters between the federal and the local governments, and that general assistance to governments can play an important role in recovery. C1 CUNY, Dept Econ, New York, NY 10021 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Chernick, H (reprint author), CUNY, Dept Econ, New York, NY 10021 USA. RI Fuerst, Franz/C-8827-2009 OI Fuerst, Franz/0000-0003-2780-938X NR 27 TC 2 Z9 2 U1 0 U2 6 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 2006 VL 59 IS 3 BP 561 EP 577 PG 17 WC Business, Finance; Economics SC Business & Economics GA 100NC UT WOS:000241674800010 ER PT J AU Gallin, J AF Gallin, Joshua TI The long-run relationship between house prices and income: Evidence from local housing markets SO REAL ESTATE ECONOMICS LA English DT Article ID UNIT-ROOT TESTS; PANEL-DATA; ERROR-CORRECTION; REAL-ESTATE; COINTEGRATION AB Many in the housing literature argue that house prices and income are cointegrated. I show that the data do not support this view. Standard tests using 27 years of national-level data do not find evidence of cointegration. However, standard tests for cointegration have low power, especially in small samples. I use panel-data tests for cointegration that are more powerful than their time-series counterparts to test for cointegration in a panel of 95 metro areas over 23 years. Using a bootstrap approach to allow for cross-correlations in city-level house-price shocks, I show that even these more powerful tests do not reject the hypothesis of no cointegration. Thus the error-correction specification for house prices and income commonly found in the literature may be inappropriate. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Gallin, J (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM Joshua.H.Gallin@frb.gov NR 27 TC 78 Z9 78 U1 1 U2 21 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD FAL PY 2006 VL 34 IS 3 BP 417 EP 438 PG 22 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 079SW UT WOS:000240199200003 ER PT J AU Veltri, SC Cavanagh, G Turner, PS AF Veltri, Stephen C. Cavanagh, Greg Turner, Paul S. TI Payments: 2005 developments SO BUSINESS LAWYER LA English DT Editorial Material C1 Fed Reserve Bank New York, New York, NY 10045 USA. NR 12 TC 2 Z9 2 U1 0 U2 0 PU AMER BAR ASSOC, ADMINISTRATIVE LAW & REGULATORY PRACTICE SECTION PI CHICAGO PA 321 N CLARK ST, CHICAGO, IL 60610 USA SN 0007-6899 J9 BUS LAWYER JI Bus. Lawyer PD AUG PY 2006 VL 61 IS 4 BP 1571 EP 1590 PG 20 WC Law SC Government & Law GA 109LJ UT WOS:000242309300008 ER PT J AU Guidolin, M AF Guidolin, M TI High equity premia and crash fears - Rational foundations SO ECONOMIC THEORY LA English DT Article DE rational learning; equity premium; structural breaks ID VOLATILITY; RISK; RETURNS; PRICES AB We show that in a Lucas endowment economy in which the process for dividends is described by a lattice tree subject to infrequent but observable structural breaks, in equilibrium recursive rational learning may inflate the equity risk premium and reduce the risk-free interest rate for low levels of risk aversion. The key condition for these results to obtain is the presence of sufficient initial pessimism. The relevance of these findings is magnified by the fact that under full information our artificial economy cannot generate asset returns matching the empirical evidence for any positive relative risk aversion. C1 Fed Res Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Guidolin, M (reprint author), Fed Res Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM Massimo.Guidolin@stls.frb.org NR 15 TC 2 Z9 2 U1 1 U2 2 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD AUG PY 2006 VL 28 IS 3 BP 693 EP 708 DI 10.1007/s00199-005-0639-0 PG 16 WC Economics SC Business & Economics GA 950GE UT WOS:000230844800011 ER PT J AU King, RG Thomas, JK AF King, Robert G. Thomas, Julia K. TI Partial adjustment without apology SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID RATIONAL-EXPECTATIONS; BUSINESS-CYCLE; FACTOR DEMAND; LABOR DEMAND; DYNAMICS; COSTS; MODEL AB Econometric partial adjustment models perform relatively well at the aggregate level; however, many kinds of microeconomic behavior involve discrete and occasional choices. Analyzing the classic employment adjustment problem, we show how a generalized partial adjustment model tractably accommodates both observations by aggregating the actions of heterogeneous producers facing fixed adjustment costs. Aggregate disturbances cause changes in establishment-level target employment and in the measure of establishments actively adjusting to their target, whereas aggregate responses exhibit partial adjustment. Our framework also can be applied in general equilibrium settings with persistent idiosyncratic shocks without forfeiting the convenient use of linear solution methods. C1 Univ Minnesota, Dept Econ, Fed Reserve Bank Minneapolis, Minneapolis, MN 55455 USA. Boston Univ, Fed Reserve Bank Richmond, Boston, MA 02215 USA. NBER, Cambridge, MA 02138 USA. RP Thomas, JK (reprint author), Univ Minnesota, Dept Econ, Fed Reserve Bank Minneapolis, 1035 Heller Hall,271 19th Ave S, Minneapolis, MN 55455 USA. EM jkt@econ.umn.edu NR 15 TC 15 Z9 15 U1 3 U2 7 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD AUG PY 2006 VL 47 IS 3 BP 779 EP 809 DI 10.1111/j.1468-2354.2006.00396.x PG 31 WC Economics SC Business & Economics GA 066UZ UT WOS:000239257000004 ER PT J AU Burstein, A Eichenbaum, M Rebelo, S AF Burstein, A Eichenbaum, M Rebelo, S TI The importance of nontradable goods' prices in cyclical real exchange rate fluctuations SO JAPAN AND THE WORLD ECONOMY LA English DT Article DE real exchange rate; consumer price index; producer price index AB Changes in the price of nontradable goods relative to tradable goods account for roughly 50 percent of the cyclical movements in real exchange rates. (c) 2006 Elsevier B.V. All rights reserved. C1 Northwestern Univ, NBER, Evanston, IL 60208 USA. Univ Calif Los Angeles, Los Angeles, CA 90024 USA. Fed Reserve Chicago, Chicago, IL USA. RP Eichenbaum, M (reprint author), Northwestern Univ, NBER, Evanston, IL 60208 USA. EM eich@northwestern.edu RI nipe, cef/A-4218-2010 NR 8 TC 18 Z9 18 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0922-1425 J9 JPN WORLD ECON JI Jpn. World Econ. PD AUG PY 2006 VL 18 IS 3 BP 247 EP 253 DI 10.1016/j.japwor.2006.02.003 PG 7 WC Economics SC Business & Economics GA 060GW UT WOS:000238791700001 ER PT J AU Stiroh, KJ Rumble, A AF Stiroh, Kevin J. Rumble, Adrienne TI The dark side of diversification: The case of US financial holding companies SO JOURNAL OF BANKING & FINANCE LA English DT Article DE banking; risk; diversification ID RISK-MANAGEMENT; BANK MERGERS; CAPITAL STRUCTURE; HEDGING POLICIES; GAINS; FIRMS; SIZE AB Potential diversification benefits are one reason why US financial holding companies are offering a growing range of financial services. This paper examines whether the observed shift toward activities that generate fees, trading revenue, and other non-interest income has improved the performance of US financial holding companies (FHCs) from 1997 to 2002. We find evidence that diversification benefits exist between FHCs, but these gains are offset by the increased exposure to non-interest activities, which are much more volatile but not necessarily more profitable than interest-generating activities. Within FHCs, however, marginal increases in revenue diversification are not associated with better performance, while marginal increases in non-interest income are still associated with lower risk-adjusted profits. The key finding that diversification gains are more than offset by the costs of increased exposure to volatile activities represents the dark side of the search for diversification benefits and has implications for supervisors, managers, investors, and borrowers. (c) 2005 Elsevier B.V. All rights reserved. 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. EM kevin.stiroh@ny.frb.org NR 35 TC 166 Z9 170 U1 7 U2 25 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD AUG PY 2006 VL 30 IS 8 BP 2131 EP 2161 DI 10.1016/j.jbankfin.2005.04.030 PG 31 WC Business, Finance; Economics SC Business & Economics GA 072NX UT WOS:000239681200001 ER PT J AU Hanson, S Schuermann, T AF Hanson, Samuel Schuermann, Til TI Confidence intervals for probabilities of default SO JOURNAL OF BANKING & FINANCE LA English DT Article DE risk management; credit risk; bootstrap ID RATING TRANSITIONS; BANKRUPTCY; MIGRATION; STABILITY AB In this paper we conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD) using several analytical approaches as well as parametric and nonparametric bootstrap methods. We do so for two different PD estimation methods, cohort and duration (intensity), with 22 years of credit ratings data. We find that the bootstrapped intervals for the duration-based estimates are relatively tight when compared to either analytic or bootstrapped intervals around the less efficient cohort estimator. We show how the large differences between the point estimates and confidence intervals of these two estimators are consistent with non-Markovian migration behavior. Surprisingly, even with these relatively tight confidence intervals, it is impossible to distinguish notch-level PDs for investment grade ratings, e.g. a PDAA- from a PDA+. However, Once the speculative grade barrier is crossed, we are able to distinguish quite cleanly notch-level estimated PDs. Conditioning on the state of the business cycle helps: it is easier to distinguish adjacent PDs in recessions than in expansions. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank New York, Wharton Financial Inst Ctr, New York, NY 10045 USA. Harvard Univ, Sch Business, Boston, MA 02163 USA. Harvard Univ, Dept Econ, PhD Program Business Econ, Boston, MA 02163 USA. RP Schuermann, T (reprint author), Fed Reserve Bank New York, Wharton Financial Inst Ctr, 33 Liberty St, New York, NY 10045 USA. EM shanson@fas.harvard.edu; til.schuermann@ny.frb.org NR 32 TC 28 Z9 29 U1 2 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 AUG PY 2006 VL 30 IS 8 BP 2281 EP 2301 DI 10.1016/j.jbankfin.2005.08.002 PG 21 WC Business, Finance; Economics SC Business & Economics GA 072NX UT WOS:000239681200007 ER PT J AU Larrain, B AF Larrain, Borja TI Do banks affect the level and composition of industrial volatility ? SO JOURNAL OF FINANCE LA English DT Article ID CAPITAL-MARKET IMPERFECTIONS; MONETARY-POLICY; FINANCIAL DEVELOPMENT; BUSINESS CYCLES; CREDIT CONDITIONS; GROWTH; LIQUIDITY; FLUCTUATIONS; TRANSMISSION; CONSTRAINTS AB In theory, better access to bank credit can reduce or increase output volatility depending on whether firms are more financially constrained during contractions or expansions. This paper finds that the volatility of industrial output is lower in countries with more bank credit. Most of the reduction in volatility is idiosyncratic, which follows from the ability of banks to pool and diversify shocks. Systematic volatility is reduced less strongly. Volatility dampening is achieved via countercyclical borrowing: At the firm level, short-term borrowing is less (or more negatively) correlated with sales and inventories in countries with high levels of bank credit. C1 Fed Reserve Bank Boston, Boston, MA USA. RP Larrain, B (reprint author), Fed Reserve Bank Boston, Boston, MA USA. NR 46 TC 13 Z9 13 U1 4 U2 15 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-1082 J9 J FINANC JI J. Financ. PD AUG PY 2006 VL 61 IS 4 BP 1897 EP 1925 DI 10.1111/j.1540-6261.2006.00892.x PG 29 WC Business, Finance SC Business & Economics GA 070GV UT WOS:000239509900010 ER PT J AU Clark, TE McCracken, MW AF Clark, Todd E. McCracken, Michael W. TI The predictive content of the output gap for inflation: Resolving in-sample and out-of-sample evidence SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE Phillips curve; forecasts; causality; break test ID MONETARY-POLICY MODELS; STRUCTURAL-CHANGE; REAL-TIME; TESTS; STABILITY; HETEROSKEDASTICITY; INSTABILITY; FORECASTS; ACCURACY; ABILITY AB This paper evaluates potential explanations for the sometimes poor forecasting performance of the Phillips curve. One explanation is that out-of-sample metrics are noisy or, equivalently, have relatively low power. Another potential explanation is instability in the coefficients of the model. To assess these forces, this paper compares sample forecasting results to results from bootstrap simulations of models that either assume stability or allow breaks in the coefficients of the model. This analysis indicates that a significant portion of the weakness of the out-of-sample evidence is attributable to power limitations. But instabilities in the coefficients on the output gap also play a role. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Clark, TE (reprint author), Fed Reserve Bank Kansas City, 925 Grand Blvd, Kansas City, MO 64198 USA. EM todd.e.clark@kc.frb.org; Michael.W.McCracken@frb.gov RI mccracken, michael/I-5748-2016 OI mccracken, michael/0000-0002-7004-1233 NR 54 TC 22 Z9 22 U1 6 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2006 VL 38 IS 5 BP 1127 EP 1148 DI 10.1353/mcb.2006.0068 PG 22 WC Business, Finance; Economics SC Business & Economics GA 062RM UT WOS:000238962200001 ER PT J AU Pesaran, MH Schuermann, T Treutler, BJ Weiner, SM AF Pesaran, M. Hashem Schuermann, Til Treutler, Bjorn-Jakob Weiner, Scott M. TI Macroeconomic dynamics and credit risk: A global perspective SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE risk management; economic interlinkages; loss forecasting; default correlation ID IMPULSE-RESPONSE ANALYSIS; MULTIVARIATE MODELS; RATING TRANSITIONS; DEFAULT RISK; BANKRUPTCY; DEBT; SPREADS; BANKS; UK AB This paper presents a new approach to modeling conditional credit loss distributions. Asset value changes of firms in a credit portfolio are linked to a dynamic global macroeconometric model, allowing macroeffects to be isolated from idiosyncratic shocks from the perspective of default (and hence loss). Default probabilities are driven primarily by how firms are tied to business cycles, both domestic and foreign, and how business cycles are linked across countries. We allow for firm-specific business cycle effects and the heterogeneity of firm default thresholds using credit ratings. The model can be used, for example, to compute the effects of a hypothetical negative equity price shock in South East Asia on the loss distribution of a credit portfolio with global exposures over one or more quarters. We show that the effects of such shocks on losses are asymmetric and nonproportional, reflecting the highly nonlinear nature of the credit risk model. C1 Univ Cambridge, Cambridge CB2 1TN, England. Fed Reserve Bank New York, New York, NY 10045 USA. Deutsch Bank, Frankfurt, Germany. RP Pesaran, MH (reprint author), Univ Cambridge, Cambridge CB2 1TN, England. EM mph1@econ.com.ac.uk; til.schuermann@ny.frb.org; btreutler@mow.com; scott.weiner@db.com NR 66 TC 65 Z9 65 U1 3 U2 20 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2006 VL 38 IS 5 BP 1211 EP 1261 DI 10.1353/mcb.2006.0074 PG 51 WC Business, Finance; Economics SC Business & Economics GA 062RM UT WOS:000238962200005 ER PT J AU Hirtle, B AF Hirtle, Beverly TI Stock market reaction to financial statement certification by bank holding company CEOs SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE financial statement certification; bank opaqueness; market discipline ID SECURITY-PRICE PERFORMANCE; INFORMATION; INVESTOR; RETURNS; EVENT; FIRMS AB In 2002, the SEC mandated that the CEOs of large, publicly traded firms certify the accuracy of their company financial statements. The SEC's certification order provides a natural experiment that gives insight into the question of whether banks are opaque. We find that the BHCs subject to the SEC's order experienced positive and significant average abnormal returns from certification. Characteristics associated with greater opaqueness-liquid asset holdings, information-intensive lending, and split credit ratings-are systematically associated with the size of abnormal returns. C1 Fed Reserve Bank New York, Banking Studies Funct Res & Stat Grp, New York, NY 10045 USA. RP Hirtle, B (reprint author), Fed Reserve Bank New York, Banking Studies Funct Res & Stat Grp, New York, NY 10045 USA. EM beverly.hirtle@ny.frb.org NR 39 TC 9 Z9 9 U1 3 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2006 VL 38 IS 5 BP 1263 EP 1291 DI 10.1353/mcb.2006.0072 PG 29 WC Business, Finance; Economics SC Business & Economics GA 062RM UT WOS:000238962200006 ER PT J AU Stiroh, KJ AF Stiroh, Kevin J. TI A portfolio view of banking with interest and noninterest activities SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE commercial banks; risk; diversification ID DIVERSIFICATION; MODEL; RISK AB This paper uses a portfolio framework to evaluate the impact of increased noninterest income on equity market measures of return and risk of U.S. bank holding companies from 1997 to 2004. The results indicate that the banks most reliant on activities that generate noninterest income do not earn higher average equity returns, but are much more risky as measured by return volatility (both total and idiosyncratic) and market betas. This suggests that the pervasive shift toward noninterest income has not improved the risk/return outcomes of U.S. banks in recent years. 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. EM kevin.stiroh@ny.frb.org NR 11 TC 43 Z9 43 U1 1 U2 9 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD AUG PY 2006 VL 38 IS 5 BP 1351 EP 1361 DI 10.1353/mcb.2006.0075 PG 11 WC Business, Finance; Economics SC Business & Economics GA 062RM UT WOS:000238962200009 ER PT J AU Prescott, ES Townsend, RM AF Prescott, Edward Simpson Townsend, Robert M. TI Firms as clubs in Walrasian markets with private information SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID OPTIMAL INCENTIVE CONTRACTS; MORAL-HAZARD; DECOMPOSITION ALGORITHM; INDIVISIBLE LABOR; EQUILIBRIUM; AGENTS; ORGANIZATION; EXISTENCE; PROGRAMS AB We incorporate multiagent, principal-agent theory into general equilibrium analysis. The traded commodities are multiagent contracts that include a description of the individual's job, effort level, and state-contingent consumption. These contracts are club goods. The competitive equilibrium and the Pareto program are formulated. The contracts are identified with firms, so the market determines which firms exist and who is assigned to which firm in what capacity. An example is provided in which the internal organization of firms and the distribution of firm classes vary with the aggregate capital endowment and its distribution across agents. A simplex-based algorithm for solving the Pareto program is developed. C1 Fed Reserve Bank Richmond, Richmond, SC USA. Univ Chicago, Chicago, IL 60637 USA. Fed Res Bank Chicago, Chicago, IL USA. RP Prescott, ES (reprint author), Fed Reserve Bank Richmond, Richmond, SC USA. NR 33 TC 10 Z9 10 U1 4 U2 9 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD AUG PY 2006 VL 114 IS 4 BP 644 EP 671 DI 10.1086/505231 PG 28 WC Economics SC Business & Economics GA 081CX UT WOS:000240295900002 ER PT J AU Brown, JR Liang, N Weisbenner, S AF Brown, JR Liang, N Weisbenner, S TI 401(k) matching contributions in company stock: Costs and benefits for firms and workers SO JOURNAL OF PUBLIC ECONOMICS LA English DT Article DE pension; 401(k) plan; ESOP; company stock; match policy ID OWNERSHIP STRUCTURE; PLANS; RETIREMENT AB This paper tests for important determinants of why some employers provide matching contributions for 401(k) plans in company stock. We find that firms that match in company stock have lower stock price volatility and lower bankruptcy risk and are also more likely to offer a defined benefit plan, consistent with a recognition that imposing a concentrated portfolio can be costly for employees. Evidence also indicates that firms match with company stock to help deter takeovers by putting stock into friendly hands. Simulation results suggest that while portfolio-optimizing employees are made worse off by having their match restricted to company stock, sufficiently risk tolerant employees who follow naive investment strategies might prefer a 401(k) plan at a company with a company stock match to a plan at a company with an unrestricted match. (c) 2005 Elsevier B.V All rights reserved. C1 Univ Illinois, Dept Finance, Urbana, IL 61801 USA. NBER, Cambridge, MA 02138 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Weisbenner, S (reprint author), Univ Illinois, Dept Finance, 304C David Kinley Hall,MC-706,1407 W Gregory Dr, Urbana, IL 61801 USA. EM weisbenn@uiuc.edu NR 45 TC 15 Z9 15 U1 3 U2 10 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0047-2727 J9 J PUBLIC ECON JI J. Public Econ. PD AUG PY 2006 VL 90 IS 6-7 BP 1315 EP 1346 DI 10.1016/j.jpubeco.2005.05.007 PG 32 WC Economics SC Business & Economics GA 049DX UT WOS:000237997100018 ER PT J AU Hobijn, B Ravenna, F Tambalotti, A AF Hobijn, Bart Ravenna, Federico Tambalotti, Andrea TI Menu costs at work: Restaurant prices and the introduction of the euro SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID DYNAMICS AB Restaurant prices in the euro area increased dramatically after the introduction of the euro. We show that this increase can be explained by a common menu cost model, extended to include a state-dependent decision of firms on when to adopt the new currency. Two mechanisms drive this result. First, firms concentrate otherwise staggered price increases around the changeover. Second, before the adoption of the euro, prices do not reflect the marginal cost increases expected to occur after the changeover. This "horizon effect" disappears as soon as the new currency is adopted, causing a jump in the optimal price. C1 Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. RP Hobijn, B (reprint author), Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. OI Tambalotti, Andrea/0000-0002-9323-2470 NR 23 TC 18 Z9 18 U1 2 U2 18 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD AUG PY 2006 VL 121 IS 3 BP 1103 EP 1131 DI 10.1162/qjec.121.3.1103 PG 29 WC Economics SC Business & Economics GA 067CX UT WOS:000239280400010 ER PT J AU Poole, W AF Poole, William TI President's message SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Res Bank St Louis, St Louis, MO 63102 USA. RP Poole, W (reprint author), Fed Res Bank St Louis, St Louis, MO 63102 USA. NR 2 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2006 VL 88 IS 4 BP 219 EP 220 PG 2 WC Business, Finance; Economics SC Business & Economics GA 068DT UT WOS:000239353100001 ER PT J AU Emmons, WR Pennington-Cross, ANM AF Emmons, William R. Pennington-Cross, Anthony N. M. TI Editors' introduction SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Editorial Material C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Emmons, WR (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 3 TC 0 Z9 0 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD JUL-AUG PY 2006 VL 88 IS 4 BP 221 EP 233 PG 13 WC Business, Finance; Economics SC Business & Economics GA 068DT UT WOS:000239353100002 ER PT J AU Clark, TE AF Clark, Todd E. TI Disaggregate evidence on the persistence of consumer price inflation SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID MONETARY-POLICY SHOCKS; UNIT-ROOT TESTS; STRUCTURAL-CHANGE; MODELS; BOOTSTRAP; FUNDS; SIZE; TIME AB This paper uses disaggregate inflation data spanning all of consumption to examine: (i) the persistence of disaggregate inflation relative to aggregate inflation; (ii) the distribution of persistence across consumption sectors; and (iii) whether persistence has changed. Assuming mean inflation to be unchanged, disaggregate persistence inflation is consistently below aggregate persistence. Taking into account an early 1990s shift in mean inflation identified by break tests yields much lower estimates of both aggregate and disaggregate persistence for 1984-2002. But with the mean break, average disaggregate persistence is actually as great as aggregate inflation persistence. A factor model provides a natural framework for interpreting the relationship between aggregate and disaggregate persistence. Copyright (c) 2006 John Wiley & Sons, Ltd. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Clark, TE (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. EM todd.e.clark@kc.frb.org NR 49 TC 28 Z9 28 U1 5 U2 8 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0883-7252 J9 J APPL ECONOM JI J. Appl. Econom. PD JUL-AUG PY 2006 VL 21 IS 5 BP 563 EP 587 DI 10.1002/jae.859 PG 25 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 075FS UT WOS:000239869900002 ER PT J AU Hui, G AF Hui Guo TI Time-varying risk premia and the cross section of stock returns SO JOURNAL OF BANKING & FINANCE LA English DT Article DE stock return predictability; time-varying investment opportunities; value premium; momentum profit; cross section of stock returns ID ASSET PRICING MODEL; SPECIFICATION ERRORS; GENERALIZED-METHOD; SAMPLE PROPERTIES; MARKET; PRICES; INVESTMENT; MOMENTS; EXPLANATIONS; PERFORMANCE AB This paper develops and estimates a heteroskedastic variant of Campbell's [Campbell, J., 1993. Intertemporal asset pricing without consumption data. American Economic Review 83, 487-512] ICAPM, in which risk factors include a stock market return and variables forecasting stock market returns or variance. Our main innovation is the use of a new set of predictive variables, which not only have superior forecasting abilities for stock returns and variance, but also are theoretically motivated. In contrast with the early authors, we find that Campbell's ICAPM performs significantly better than the CAPM. That is, the additional factors account for a substantial portion of the two CAPM-related anomalies, namely, the value premium and the momentum profit. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Hui, G (reprint author), Fed Reserve Bank St Louis, Div Res, 411 Locust St,POB 442, St Louis, MO 63166 USA. EM hui.guo@stls.frb.org NR 44 TC 1 Z9 1 U1 2 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD JUL PY 2006 VL 30 IS 7 BP 2087 EP 2107 DI 10.1016/j.jbankfin.2005.05.022 PG 21 WC Business, Finance; Economics SC Business & Economics GA 061RJ UT WOS:000238889800013 ER PT J AU Huang, KXD Liu, Z AF Huang, Kevin X. D. Liu, Zheng TI Sellers' local currency pricing or buyers' local currency pricing: does it matter for international welfare analysis? SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE vertical production and trade; monopolistic competition; terms of trade; welfare ID MONETARY-POLICY; OPEN-ECONOMY; VERTICAL SPECIALIZATION; AGGREGATE DYNAMICS; EXCHANGE-RATES; BUSINESS-CYCLE; WORLD-TRADE; MODELS; MACROECONOMICS; FRAMEWORK AB We study international transmissions and welfare implications of monetary shocks in a two-country world with multiple stages of production and multiple border-crossings of intermediate goods. This empirically relevant feature is important, as it has opposite implications for two external spillover effects of a unilateral monetary expansion. If all production and trade are assumed to occur in a single stage, the conflict-of-interest terms-of-trade effect tends to dominate the common-interest efficiency-improvement effect for reasonable parameter values, so that the international welfare effects would depend in general on the underlying assumptions about the currencies of price setting. The stretch of production and trade across multiple stages of processing magnifies the efficiency-improvement effect and dampens the terms-of-trade effect. Thus, a monetary expansion can be mutually beneficial regardless of its source or the pricing assumptions. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. Wuhan Univ, Inst Adv Study, Wuhan 430072, Peoples R China. Emory Univ, Dept Econ, Atlanta, GA 30322 USA. RP Huang, KXD (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM kevin.huang@phil.frb.org NR 32 TC 12 Z9 12 U1 0 U2 9 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 EI 1879-1743 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUL PY 2006 VL 30 IS 7 BP 1183 EP 1213 DI 10.1016/j.jedc.2005.05.003 PG 31 WC Economics SC Business & Economics GA 058CU UT WOS:000238642900005 ER PT J AU Santos, JAC AF Santos, Joao A. C. TI Insuring banks against liquidity shocks: The role of deposit insurance and lending of last resort SO JOURNAL OF ECONOMIC SURVEYS LA English DT Review DE liquidity shocks; deposit insurance; lending of last resort ID SMALL BUSINESS DATA; MORAL HAZARD; FINANCIAL INTERMEDIATION; DISCOUNT WINDOW; SYSTEMIC RISK; INFORMATION; POLICY; CREDIT; LENDER; ISSUES AB It has long been recognized that banks' simultaneous provision of monitoring and liquidity services is advantageous but leaves them susceptible to liquidity shocks that may culminate in a system failure. Because a system failure is costly, this provides a rationale for adopting arrangements, including a lender of last resort and deposit insurance (DI), to insure banks against liquidity shocks. These arrangements have proven themselves very successful, but they have also been the source of problems. Researchers have identified some of the main sources of these problems and have suggested ways to improve the design of these arrangements, but there are still many issues that remain unaddressed. This paper reviews the literature on the two arrangements that most countries have adopted to insure banks against liquidity shocks, a lender of last resort and DI, and compares the design of these arrangements across countries. The paper ends with a brief summary of the key lessons learned about the design of these arrangements and the issues related to them that remain unaddressed. C1 Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. RP Santos, JAC (reprint author), Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. RI Santos, Joao/B-6135-2009; nipe, cef/A-4218-2010; OI santos, joao/0000-0002-6002-5969 NR 134 TC 7 Z9 7 U1 9 U2 26 PU WILEY-BLACKWELL PUBLISHING, INC PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0950-0804 J9 J ECON SURV JI J. Econ. Surv. PD JUL PY 2006 VL 20 IS 3 BP 459 EP 482 DI 10.1111/j.0950-0804.2006.00286.x PG 24 WC Economics SC Business & Economics GA 054CQ UT WOS:000238354200005 ER PT J AU Gordy, MB Howells, B AF Gordy, MB Howells, B TI Procyclicality in Basel II: Can we treat the disease without killing the patient? SO JOURNAL OF FINANCIAL INTERMEDIATION LA English DT Article DE procyclicality; Basel II; banking regulation ID CREDIT RISK MODELS; CAPITAL ADEQUACY; RATING AGENCIES; BANKS; BEHAVIOR; ANATOMY; DEBT AB The debate over the potential procyclicality of bank capital requirements under Basel II has focused overwhelmingly on peak-to-trough variation in minimum regulatory requirements. In this paper, we reexamine the problem from the perspective of market discipline. First, we show that the marginal impact of introducing Basel II depends strongly on the extent to which market discipline leads banks to vary lending standards procyclically in the absence of binding regulation. Second, we evaluate policy options not only by their efficacy in dampening cyclicality in capital requirements, but equally by how well the information value of Basel II market disclosures is preserved. Published by Elsevier Inc. C1 Board Governors Fed Reserve Syst, Washington, DC 20551 USA. Univ Calif Berkeley, Dept Econ, Berkeley, CA 94720 USA. RP Gordy, MB (reprint author), Board Governors Fed Reserve Syst, 20th St & Constitut Ave NW, Washington, DC 20551 USA. EM michael.gordy@frb.gov; bhowells@econ.berkeley.edu OI Gordy, Michael/0000-0002-5229-4608 NR 36 TC 67 Z9 69 U1 2 U2 10 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 2006 VL 15 IS 3 BP 395 EP 417 DI 10.1016/j.jfi.2005.12.002 PG 23 WC Business, Finance SC Business & Economics GA 055MW UT WOS:000238455800006 ER PT J AU Engel, C Rogers, JH AF Engel, Charles Rogers, John H. TI The US current account deficit and the expected share of world output SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE current account; real exchange rates AB We investigate the possibility that the large current account deficits of the U.S. are the outcome of optimizing behavior. We develop a simple long-run world equilibrium model in which the current account is determined by the expected discounted present value of its future share of world GDP relative to its current share of world GDP. The model suggests that under some reasonable assumptions about future U.S. GDP growth relative to the rest of the advanced countries-more modest than the growth over the past 20 years-the current account deficit is near optimal levels. We then explore the implications for the real exchange rate. Under some plausible assumptions, the model implies little change in the real exchange rate over the adjustment path, though the conclusion is sensitive to assumptions about tastes and technology. Then we turn to empirical evidence. A test of current account sustainability suggests that the U.S. is not keeping on a long-run sustainable path. A direct test of our model finds that the dynamics of the U.S. current account-the increasing deficits over the past decade-are difficult to explain under a particular statistical model (Markov-switching) of expectations of future U.S. growth. But, if we use survey data on forecasted GDP growth in the G-7, our very simple model appears to explain the evolution of the U.S. current account remarkably well. We conclude that expectations of robust performance of the U.S. economy relative to the rest of the advanced countries is a contender-though not the only legitimate contender-for explaining the U.S. current account deficit. (c) 2006 Elsevier B.V. All rights reserved. C1 Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. Univ Wisconsin, Dept Finance, Madison, WI 53706 USA. NBER, Madison, WI 53706 USA. Board Governors, Fed Reserve Syst, Washington, DC 20551 USA. RP Engel, C (reprint author), Univ Wisconsin, Dept Econ, 1180 Observ Dr, Madison, WI 53706 USA. EM cengel@ssc.wisc.edu; john.h.rogers@frb.gov NR 28 TC 51 Z9 54 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 JUL PY 2006 VL 53 IS 5 BP 1063 EP 1093 DI 10.1016/j.jmoneco.2006.05.002 PG 31 WC Business, Finance; Economics SC Business & Economics GA 079XI UT WOS:000240210800011 ER PT J AU Weiler, S AF Weiler, S TI A park by any other name: National Park designation as a natural experiment in signaling SO JOURNAL OF URBAN ECONOMICS LA English DT Article AB Site designation conveys a unique set of signals to information-constrained potential visitors. Changes in designation thus offer natural experiments to evaluate the signaling importance of names. This paper estimates the visitation effect of the conversion of National Monuments to National Parks. Such conversions generate persistent significant impacts, indicating that designation signals are indeed credible. These signals are particularly important to information-constrained distant national visitors compared to more proximate state and metro populations who have better information about nearby sites. Furthermore, park visits appear to be economical yet naturally rewarding inferior goods, as visitation increases when incomes stagnate. Published by Elsevier Inc. C1 Fed Reserve Bank, Ctr Study Rural Amer, Kansas City, MO 64198 USA. RP Weiler, S (reprint author), Fed Reserve Bank, Ctr Study Rural Amer, 925 Grand Blvd, Kansas City, MO 64198 USA. EM Stephan.Weiler@kc.frb.org NR 11 TC 9 Z9 9 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD JUL PY 2006 VL 60 IS 1 BP 96 EP 106 DI 10.1016/j.jue.2006.02.001 PG 11 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 055MZ UT WOS:000238456100006 ER PT J AU Carlino, G Coulson, NE AF Carlino, G Coulson, NE TI Compensating differentials and the social benefit of the NFL: Reply SO JOURNAL OF URBAN ECONOMICS LA English DT Editorial Material AB Professors Coates, Humphreys, and Zimbalist provide a set of suggestions for the model we presented in [G. Carlino, N.E. Coulson, Compensating differentials and the social benefits of the NFL, Journal of Urban Economics 56 (1) (2004) 25-50]. Their two main points provide additional evidence of an NFL effect. Their remaining points are not persuasive. (c) 2006 Elsevier Inc. All rights reserved. C1 Penn State Univ, Dept Econ, University Pk, PA 16802 USA. Fed Reserve Bank Philadelphia, Dept Res, University Pk, PA 16802 USA. RP Coulson, NE (reprint author), Penn State Univ, Dept Econ, University Pk, PA 16802 USA. EM fyj@psu.edu NR 2 TC 13 Z9 13 U1 1 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD JUL PY 2006 VL 60 IS 1 BP 132 EP 138 DI 10.1016/j.jue.2006.02.002 PG 7 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 055MZ UT WOS:000238456100009 ER PT J AU Huang, KXD AF Huang, Kevin X. D. TI Specific factors meet intermediate inputs: Implications for the persistence problem SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE specific factors; intermediate inputs; staggered price-setting; monetary shocks; persistence ID BUSINESS-CYCLE; INTERTEMPORAL SUBSTITUTION; IMPERFECT COMPETITION; STAGGERED CONTRACTS; AGGREGATE DYNAMICS; CYCLICAL BEHAVIOR; MONETARY-POLICY; STICKY PRICES; MODELS; PRODUCTIVITY AB A central challenge to monetary business cycle theory is to find a solution to the problem of persistence in the real effect of monetary shocks. Previous research has identified separately specific factors and intermediate inputs as two promising mechanisms for generating the persistence in a staggered price-setting framework. By examining a staggered price model that features both specific factors and intermediate inputs, this paper finds an offsetting interaction between the two individually promising mechanisms, which leads to a cancellation of much of the impact of each in propagating monetary shocks. This finding posits a challenge to the search of robust monetary transmission mechanism for solving the persistence problem. (c) 2006 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Huang, KXD (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM kevin.huang@phil.frb.org NR 56 TC 5 Z9 5 U1 5 U2 6 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 1094-2025 EI 1096-6099 J9 REV ECON DYNAM JI Rev. Econ. Dyn. PD JUL PY 2006 VL 9 IS 3 BP 483 EP 507 DI 10.1016/j.red.2006.02.002 PG 25 WC Economics SC Business & Economics GA 096RH UT WOS:000241394000005 ER PT J AU Balke, NS Wohar, ME AF Balke, Nathan S. Wohar, Mark E. TI What drives stock prices? Identifying the determinants of stock price movements SO SOUTHERN ECONOMIC JOURNAL LA English DT Article ID INFORMATION-TECHNOLOGY REVOLUTION; VARIANCE BOUNDS TESTS; PRESENT VALUE MODELS; EXCESS VOLATILITY; ASSET RETURNS; TIME-SERIES; MARKET; COINTEGRATION; DECOMPOSITION; BEHAVIOR AB In this paper, we show that the data have difficulty distinguishing a stock price decomposition in which expectations of future real dividend growth is a primary determinant of stock price movements from one in which expectations of future excess returns are a primary determinant. The data cannot distinguish between these very different decompositions because movements in the price-dividend ratio are very persistent whereas neither real dividend growth nor excess returns are; most of the information about low-frequency movements in dividend growth and excess returns is contained in stock prices and not the series themselves. We further show that this inability to identify the source of stock price movements is not solely due to poor power and size properties of our statistical procedure, nor does it appear to be due to the presence of a rational bubble. C1 So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. Fed Reserve Bank Dallas, Dept Res, Dallas, TX 75201 USA. Univ Nebraska, Dept Econ, Omaha, NE 68182 USA. RP Balke, NS (reprint author), So Methodist Univ, Dept Econ, Dallas, TX 75275 USA. EM nbalke@mail.smu.edu; mwohar@mail.unomaha.edu NR 33 TC 3 Z9 3 U1 3 U2 8 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 2006 VL 73 IS 1 BP 55 EP 78 PG 24 WC Economics SC Business & Economics GA 068ZC UT WOS:000239413000005 ER PT J AU Cummins, JG Hassett, KA Oliner, SD AF Cummins, JG Hassett, KA Oliner, SD TI Investment behavior, observable expectations, and internal funds SO AMERICAN ECONOMIC REVIEW LA English DT Article ID CASH FLOW SENSITIVITIES; FINANCING CONSTRAINTS; PANEL DATA; TOBINS-Q; GROWTH; FIRMS C1 Brevan Howard Inc, Washington, DC 20006 USA. Amer Enterprise Inst Publ Policy Res, Washington, DC 20036 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Cummins, JG (reprint author), Brevan Howard Inc, Suite 250,1776 Eye St NW, Washington, DC 20006 USA. EM jason.cummins@brevanhoward.com; khassett@aei.org; soliner@frb.gov NR 38 TC 62 Z9 64 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 JUN PY 2006 VL 96 IS 3 BP 796 EP 810 DI 10.1257/aer.96.3.796 PG 15 WC Economics SC Business & Economics GA 057AR UT WOS:000238567400016 ER PT J AU Allsopp, C Kara, A Nelson, E AF Allsopp, Christopher Kara, Amit Nelson, Edward TI United kingdom inflation targeting and the exchange rate SO ECONOMIC JOURNAL LA English DT Article ID OPTIMAL MONETARY-POLICY; RATE PASS-THROUGH; OPEN-ECONOMY; FRAMEWORK; PRICES AB The UK's monetary policy strategy is one of floating exchange rates and inflation forecast targeting, with the targeted measure referring to consumer prices. We consider whether it is welfare-reducing to target inflation in the CPI rather than in a narrower index and the role of the exchange rate in the transmission of monetary policy actions to CPI inflation. It is appropriate to model imports as intermediate goods rather than goods consumed directly by households. This leads to a simpler transmission mechanism of monetary policy while also offering a sustainable explanation of the weakness of the exchange rate/inflation relationship and making consumer price inflation an appropriate monetary policy target. C1 New Coll, Oxford, England. UBS, London, England. Fed Reserve Bank, St Louis, MO 63102 USA. RP Allsopp, C (reprint author), New Coll, Oxford, England. NR 27 TC 7 Z9 7 U1 0 U2 5 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0013-0133 EI 1468-0297 J9 ECON J JI Econ. J. PD JUN PY 2006 VL 116 IS 512 BP F232 EP F244 DI 10.1111/j.1468-0297.2006.01098.x PG 13 WC Economics SC Business & Economics GA 048UU UT WOS:000237972800004 ER PT J AU Reid, CK Liebow, E O'Malley, G AF Reid, CK Liebow, E O'Malley, G TI Building community during HOPE VI redevelopment: Lessons from a Seattle case study SO HUMAN ORGANIZATION LA English DT Article DE public housing policy; HOPE VI; community development; urban ethnography AB In the United States, government policies concerning public housing changed dramatically in the early 1990s, leading to the passage of HOPE VI, an ambitious program aimed at overhauling the nation's most distressed public housing developments. One distinctive feature of HOPE VI is that it incorporates a community and supportive services component designed to help raise the incomes of public residents and move them on a path towards financial self-sufficiency. This paper provides a detailed look at the community building and supportive services efforts at Rainier Vista, a HOPE VI redevelopment project in Seattle, Washington. Due to a unique set of circumstances, when granted a HOPE VI award, Rainier Vista was already part of Jobs-Plus, a demonstration project that aimed to increase the earnings of public housing residents. As a result, the staff at Rainier Vista had thought extensively about community and supportive services in advance of receiving the HOPE VI grant, already implementing innovative community building activities and efforts to increase employment rates and earnings of Rainier Vista's residents. The blending of Jobs-Plus and HOPE VI into "HOPE-Plus" provides a window into the benefits and challenges of developing an effective community and supportive services component of HOPE VI redevelopment, one that is worth considering in the public policy debate over how public investment can be critical in re-shaping impoverished urban environments. C1 Fed Reserve Bank San Francisco, Community Affairs Dept, San Francisco, CA 94105 USA. RP Reid, CK (reprint author), Fed Reserve Bank San Francisco, Community Affairs Dept, San Francisco, CA 94105 USA. NR 41 TC 5 Z9 5 U1 3 U2 3 PU SOC APPLIED ANTHROPOLOGY PI OKLAHOMA CITY PA 3000 UNITED FOUNDERS BLVD, STE 148, OKLAHOMA CITY, OK 73112 USA SN 0018-7259 J9 HUM ORGAN JI Hum. Organ. PD SUM PY 2006 VL 65 IS 2 BP 192 EP 202 PG 11 WC Anthropology; Social Sciences, Interdisciplinary SC Anthropology; Social Sciences - Other Topics GA 054CN UT WOS:000238353900007 ER PT J AU Garrett, TA Marsh, TL Marshall, MI AF Garrett, Thomas A. Marsh, Thomas L. Marshall, Maria I. TI Political allocation of US agriculture disaster payments in the 1990s SO INTERNATIONAL REVIEW OF LAW AND ECONOMICS LA English DT Article DE agriculture; congressional dominance; disaster relief; public choice ID LEGISLATION; ECONOMY AB Legislation passed during the 1990s attempted to move US agriculture disaster relief to a more market oriented process. The failure of this legislation has been attributed to the political system behind agricultural disaster relief. This paper explores the impact of political influence on the allocation of US direct agriculture disaster payments. The results reveal that disaster payments are not based solely on need, but are higher in those states represented by public officials key to the allocation of relief. The effectiveness of legislation aimed at promoting more efficient disaster payments systems, such as crop insurance, over direct cash payments is also examined. (c) 2006 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. Washington State Univ, Sch Econ Sci, Pullman, WA 99164 USA. Purdue Univ, Dept Agr Econ, W Lafayette, IN 47907 USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, Div Res, St Louis, MO 63166 USA. EM tom.a.garrett@stls.frb.org; tl_marsh@wsu.edu; mimarsha@purdue.edu NR 31 TC 15 Z9 15 U1 0 U2 1 PU ELSEVIER SCIENCE INC PI NEW YORK PA 360 PARK AVE SOUTH, NEW YORK, NY 10010-1710 USA SN 0144-8188 J9 INT REV LAW ECON JI Int. Rev. Law Econ. PD JUN PY 2006 VL 26 IS 2 BP 143 EP 161 DI 10.1016/j.irle.2006.08.006 PG 19 WC Economics; Law SC Business & Economics; Government & Law GA 097UU UT WOS:000241475400001 ER PT J AU Calem, PS Gordy, MB Mester, LJ AF Calem, PS Gordy, MB Mester, LJ TI Switching costs and adverse selection in the market for credit cards: New evidence SO JOURNAL OF BANKING & FINANCE LA English DT Article DE credit cards; consumer switching costs; search; adverse selection AB To explain persistence of credit card interest rates at relatively high levels, Calem and Mester (AER, 1995) argued that informational barriers create switching costs for high-balance customers. As evidence, using data from the 1989 Survey of Consumer Finances, they showed that these households were more likely to be rejected when applying for new credit. In this paper, we revisit the question using the 1998 and 2001 SCF. Further, we use new information on card interest rates to test for pricing effects consistent with information-based switching costs. We find that informational barriers to competition persist, although their role may have declined. (c) 2005 Elsevier B.V. All rights reserved. C1 Univ Penn, Wharton Sch, Fed Reserve Bank Philadelphia, Dept Finance, Philadelphia, PA 19106 USA. Loan Performance, San Francisco, CA 94105 USA. Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. RP Mester, LJ (reprint author), Univ Penn, Wharton Sch, Fed Reserve Bank Philadelphia, Dept Finance, 10 Independence Mall, Philadelphia, PA 19106 USA. EM paul.calem@loanperformance.com; michael.gordy@frb.gov; loretta.mester@phil.frb.org OI Gordy, Michael/0000-0002-5229-4608 NR 18 TC 27 Z9 28 U1 0 U2 6 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 2006 VL 30 IS 6 BP 1653 EP 1685 DI 10.1016/j.jbankfin.2005.09.012 PG 33 WC Business, Finance; Economics SC Business & Economics GA 049EA UT WOS:000237997400004 ER PT J AU Barnes, ML Lopez, JA AF Barnes, ML Lopez, JA TI Alternative measures of the Federal Reserve Banks' cost of equity capital SO JOURNAL OF BANKING & FINANCE LA English DT Article DE cost of equity; return on equity; CAPM; payments system AB The Monetary Control Act of 1980 requires the Federal Reserve System to provide payment services to depository institutions through the 12 Federal Reserve Banks at prices that fully reflect the costs a private-sector provider would incur, including a cost of equity capital (COE). Although Fama and French [Fama, E.F., French, K.R., 1997. Industry costs of equity. Journal of Financial Economics 43, 153-193] conclude that COE estimates are "woefully" and "unavoidably" imprecise, the Reserve Banks require such an estimate every year. We examine several COE estimates based on the CAPM model and compare them using econometric and materiality criteria. Our results suggest that the benchmark CAPM model applied to a large peer group of competing firms provides a COE estimate that is not clearly improved upon by using a narrow peer group, introducing additional factors into the model, or taking account of additional firm-level data, such as leverage and line-of-business concentration. Thus, a standard implementation of the benchmark CAPM model provides a reasonable COE estimate, which is needed to impute costs and set prices for the Reserve Banks' payments business. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. Fed Reserve Bank Boston, Econ Res Dept, Boston, MA 02205 USA. RP Lopez, JA (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St,MS 1130, San Francisco, CA 94105 USA. EM jose.a.lopez@sf.frb.org NR 25 TC 3 Z9 3 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD JUN PY 2006 VL 30 IS 6 BP 1687 EP 1711 DI 10.1016/j.jbankfin.2005.09.005 PG 25 WC Business, Finance; Economics SC Business & Economics GA 049EA UT WOS:000237997400005 ER PT J AU Rhine, SLW Greene, WH AF Rhine, SLW Greene, WH TI The determinants of being unbanked for U. S. immigrants SO JOURNAL OF CONSUMER AFFAIRS LA English DT Article AB Random-effects binary choice models are estimated to identify the attributes that influence the likelihood that immigrants are unbanked. This study finds that the likelihood to be unbanked is higher for immigrants with less education, poverty-level income, or a larger family but lower for immigrants with greater net worth or higher income. Among immigrant groups, Mexican and other Latin American immigrants have the highest rates of being unbanked. Programs aimed at helping immigrants move into the financial mainstream may benefit from taking into account the differences in socioeconomic attributes and migration experiences of specific populations. C1 Fed Reserve Bank New York, Off Reg & Community Affairs, New York, NY 10045 USA. NYU, Leonard N Stern Sch Business, New York, NY USA. RP Rhine, SLW (reprint author), Fed Reserve Bank New York, Off Reg & Community Affairs, New York, NY 10045 USA. EM sherrie.rhine@ny.frb.org; wgreene@stern.nyu.edu NR 15 TC 19 Z9 19 U1 1 U2 5 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-0078 J9 J CONSUM AFF JI J. Consum. Aff. PD SUM PY 2006 VL 40 IS 1 BP 21 EP 40 DI 10.1111/j.1745-6606.2006.00044.x PG 20 WC Business; Economics SC Business & Economics GA 022WH UT WOS:000236086300002 ER PT J AU Silos, P AF Silos, P TI Assessing Markov chain approximations: A minimal econometric approach SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Markov chain approximations; Bayesian model comparison ID ASSET-PRICING-MODELS; BAYESIAN-APPROACH; CALIBRATION AB Markov chain approximations of continuous state-space processes are common in economic models. Increasing the dimensions of the state space is costly; this paper develops a procedure to evaluate the tradeoff between the number of dimensions devoted to modelling dynamics and those devoted to modelling the contemporaneous state space. The methodology borrows from a previous literature which formalizes inference within calibrated models. Approximations for post-war real per capita US consumption growth are compared. Standard business cycle theory is used to generate needed information regarding state transition probabilities. In this application it is useful to trade some accuracy in defining the state space for more realistic dynamics. (c) 2005 Elsevier B.V. All rights reserved. C1 Univ Iowa, Dept Econ, Iowa City, IA 52242 USA. RP Silos, P (reprint author), Fed Reserve Bank Atlanta, Res Dept, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM Pedro.Silos@alt.frb.org NR 18 TC 2 Z9 3 U1 2 U2 4 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD JUN PY 2006 VL 30 IS 6 BP 1063 EP 1079 DI 10.1016/j.jedc.2005.04.005 PG 17 WC Economics SC Business & Economics GA 048ZL UT WOS:000237985000007 ER PT J AU Weber, WE AF Weber, WE TI Early state banks in the United States: How many were there and when did they exist? SO JOURNAL OF ECONOMIC HISTORY LA English DT Article AB This article describes a newly constructed data set of all U.S. state banks from 1782 to 1861. It contains the names and locations of all banks and branches that went into business and an estimate of when each operated. The compilation is based on reported balance sheets, listings in banknote reporters, and secondary sources. Based on these data, the article presents a count of the number of banks and branches in business by state. I argue that my series are superior to previously existing ones for reasons of consistency, accuracy, and timing. The article contains examples to support this argument. C1 Fed Reserve Bank Minneapolis, Dept Res, Minneapolis, MN 55401 USA. RP Weber, WE (reprint author), Fed Reserve Bank Minneapolis, Dept Res, 90 Hennepin Ave, Minneapolis, MN 55401 USA. EM wew@minneapolisfed.org NR 22 TC 10 Z9 10 U1 0 U2 1 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4211 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD JUN PY 2006 VL 66 IS 2 BP 433 EP 455 PG 23 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 058KG UT WOS:000238663300008 ER PT J AU Garrett, TA Wheelock, DC AF Garrett, TA Wheelock, DC TI Why did income growth vary across states during the Great Depression? SO JOURNAL OF ECONOMIC HISTORY LA English DT Article AB This note investigates the sources of variation in the growth of per capita personal incomes across U.S. states during the Great Depression.(1) States entering the economic contraction with relatively low per capita incomes tended to suffer larger percentage declines in per capita income than did high income states. By contrast, low-income states tended to experience larger percentage gains during the recovery. Hence, state per capita incomes diverged during the contraction phase and converged during the recovery phase.(2) Studies of state income growth rates since World War II have looked to differences in industrial composition, various public policies, cultural and ethnic differences, the influence of pressure groups, and banking conditions to explain differences in state income growth rates.(3) This literature provides a framework for our study of differences in per capita income growth during the 1930s. Our specific hypotheses, however, are motivated by prior research on the Great Depression. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. Fed Bank St Louis, St Louis, MO 63166 USA. RP Garrett, TA (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63166 USA. EM Garrett@stls.frb.org; Wheelock@stls.frb.org RI Wheelock, David/I-5757-2016 OI Wheelock, David/0000-0002-2702-8164 NR 14 TC 3 Z9 3 U1 0 U2 5 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4211 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD JUN PY 2006 VL 66 IS 2 BP 456 EP 466 PG 11 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 058KG UT WOS:000238663300009 ER PT J AU Taylor, A Glick, R AF Taylor, A Glick, R TI Collateral damage: The economic impact of war, 1870-2000 SO JOURNAL OF ECONOMIC HISTORY LA English DT Meeting Abstract C1 Univ Calif Davis, Davis, CA 95616 USA. Fed Reserve Bank San Francisco, San Francisco, CA 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 10011-4211 USA SN 0022-0507 J9 J ECON HIST JI J. Econ. Hist. PD JUN PY 2006 VL 66 IS 2 BP 505 EP 505 PG 1 WC Economics; History; History Of Social Sciences SC Business & Economics; History; Social Sciences - Other Topics GA 058KG UT WOS:000238663300018 ER PT J AU Lewis, EG AF Lewis, EG TI Moving up or moving on: Who advances in the low-wage labor market? SO JOURNAL OF ECONOMIC LITERATURE LA English DT Book Review C1 Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. RP Lewis, EG (reprint author), Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0022-0515 J9 J ECON LIT JI J. Econ. Lit. PD JUN PY 2006 VL 44 IS 2 BP 442 EP 444 PG 3 WC Economics SC Business & Economics GA 057VI UT WOS:000238622900010 ER PT J AU Juhn, C Potter, S AF Juhn, Chinhui Potter, Simon TI Changes in labor force participation in the United States SO JOURNAL OF ECONOMIC PERSPECTIVES LA English DT Article ID INCOME-TAX CREDIT; SOCIAL-SECURITY; RELATIVE WAGES; INEQUALITY; WELFARE; TRENDS; WOMEN; DIVORCE; MOTHERS; DEMAND C1 Univ Houston, Houston, TX 77204 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Juhn, C (reprint author), Univ Houston, Houston, TX 77204 USA. EM cjuhn@uh.edu; Simon.Potter@ny.frb.org NR 46 TC 49 Z9 51 U1 3 U2 14 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0895-3309 J9 J ECON PERSPECT JI J. Econ. Perspect. PD SUM PY 2006 VL 20 IS 3 BP 27 EP 46 DI 10.1257/jep.20.3.27 PG 20 WC Economics SC Business & Economics GA 082MZ UT WOS:000240392200002 ER PT J AU Guo, H Whitelaw, RF AF Guo, H Whitelaw, RF TI Uncovering the risk-return relation in the stock market SO JOURNAL OF FINANCE LA English DT Article ID VARIANCE DECOMPOSITION; REALIZED VOLATILITY; IDIOSYNCRATIC RISK; ASSET RETURNS; PARTICIPATION; DETERMINANTS; CONSUMPTION; BEHAVIOR; PRICES; CRASH AB There is ongoing debate about the apparent weak or negative relation between risk (conditional variance) and expected returns in the aggregate stock market. We develop and estimate an empirical model based on the intertemporal capital asset pricing model (ICAPM) that separately identifies the two components of expected returns, namely, the risk component and the component due to the desire to hedge changes in investment opportunities. The estimated coefficient of relative risk aversion is positive, statistically significant, and reasonable in magnitude. However, expected returns are driven primarily by the hedge component. The omission of this component is partly responsible for the existing contradictory results. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. NYU, Stern Sch Business, New York, NY USA. NBER, Cambridge, MA 02138 USA. RP Whitelaw, RF (reprint author), Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63102 USA. NR 43 TC 81 Z9 82 U1 2 U2 18 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-1082 J9 J FINANC JI J. Financ. PD JUN PY 2006 VL 61 IS 3 BP 1433 EP 1463 DI 10.1111/j.1540-6261.2006.00877.x PG 31 WC Business, Finance SC Business & Economics GA 048KS UT WOS:000237946600014 ER PT J AU Anderson, PM Butcher, KF AF Anderson, Patricia M. Butcher, Kristin F. TI Reading, writing, and refreshments - Are school finances contributing to children's obesity? SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID CHILDHOOD OBESITY; INSTRUMENTAL VARIABLES; FOOD-SERVICE; ADOLESCENTS; QUALITY; WEIGHT; DRINKS; LIFE AB Over the last two decades the proportion of adolescents in the United States who are obese has nearly tripled, and schools, citing financial pressures, have given students greater access to "junk" foods, using the proceeds to fund school programs. We examine whether schools underfinancial pressure tend to adopt potentially unhealthfulfood policies and whether students' Body Mass Index (BMI) is higher where they are more likely to be exposed to these food policies. We find that a 10 percentage point increase in potential exposure to junk food in schools leads to about a I percent increase in students' BMI. C1 Dartmouth Coll, Dept Econ, Hanover, NH 03755 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Anderson, PM (reprint author), Dartmouth Coll, Dept Econ, Hanover, NH 03755 USA. EM patty.anderson@dartmouth.edu NR 27 TC 32 Z9 32 U1 1 U2 11 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0022-166X J9 J HUM RESOUR JI J. Hum. Resour. PD SUM PY 2006 VL 41 IS 3 BP 467 EP 494 PG 28 WC Economics; Industrial Relations & Labor SC Business & Economics GA 074XU UT WOS:000239846500002 ER PT J AU Aguiar, M Gopinath, G AF Aguiar, M Gopinath, G TI Defaultable debt, interest rates and the current account SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article; Proceedings Paper CT Symposium on Emerging Markets and Macroeconomic Volatility CY JUN 04-05, 2004 CL San Francisco, CA SP Ctr Pacific Basin Monetary, Fed Reserce Bank, Econ Studies DE sovereign debt; default; current account; interest rates; stochastic trend ID MARKETS AB World capital markets have experienced large scale sovereign defaults on a number of occasions. In this paper we develop a quantitative model of debt and default in a small open economy. We use this model to match four empirical regularities regarding emerging markets: defaults occur in equilibrium, interest rates are countercyclical, net exports are countercyclical, and interest rates and the current account are positively correlated. We highlight the role of the stochastic trend in emerging markets, in an otherwise standard model with endogenous default, to match these facts. (c) 2005 Published by Elsevier B.V. C1 Fed Reserve Bank Boston, Boston, MA 02210 USA. Univ Chicago, Chicago, IL 60637 USA. NBER, Cambridge, MA 02138 USA. RP Gopinath, G (reprint author), Harvard Univ, Dept Econ, Littauer Ctr, 1805 Cambridge St, Cambridge 02138, England. EM mark.aguiar@bos.frb.org; gita.gopinath@gsb.uchicago.edu NR 16 TC 105 Z9 106 U1 1 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 JUN PY 2006 VL 69 IS 1 BP 64 EP 83 DI 10.1016/j.jinteco.2005.05.005 PG 20 WC Economics SC Business & Economics GA 046NW UT WOS:000237819300004 ER PT J AU Dennis, R Soderstrom, U AF Dennis, Richard Soderstrom, Ulf TI How important is precommitment for monetary policy? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE stabilization bias; precommitment; discretion ID RATIONAL-EXPECTATIONS MODELS; HABIT FORMATION; TRADE-OFFS; INFLATION; OUTPUT; CONTRACTS; DYNAMICS; BEHAVIOR; RULES AB We quantify the welfare differential between precommitment and discretionary monetary policy in three estimated models of the U.S. economy by calculating the permanent deviation of inflation from target that in welfare terms is equivalent to moving from discretion to precommitment. Using a range of reasonable central bank preference parameters, this "inflation equivalent" ranges from 0.05 to 3.6 percentage points, with a mid-point of either 0.15 or 1-1.5 percentage points, depending on the model. In addition to the degree of forward-looking behavior, we show that the existence of transmission lags and/or information lags is crucial for determining the welfare gain from precommitment. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Dennis, R (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. EM richard.dennis@sf.frb.org; ulf.soderstrom@uni-bocconi.it NR 57 TC 26 Z9 26 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 JUN PY 2006 VL 38 IS 4 BP 847 EP 872 DI 10.1353/mcb.2006.0054 PG 26 WC Business, Finance; Economics SC Business & Economics GA 054HB UT WOS:000238366300001 ER PT J AU Kahn, CM Santos, JAC AF Kahn, Charles M. Santos, Joao A. C. TI Who should act as lender of last resort? An incomplete contracts model: A comment SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Editorial Material DE lender of last resort; deposit insurance; supervision AB Researchers have pointed out that conflicts between the objectives of different bank regulators necessitate careful design of the institutional allocation of regulatory authority. In doing this, however, they often assume that regulators have incentives to share their private information regarding regulated banks. Our paper shows that the very same considerations that lead bank regulators to make different policy choices render the information-sharing assumption invalid. We further show that this result has important implications for the institutional allocation of lending of last resort, deposit insurance, and bank supervision. C1 Univ Illinois, Dept Finance, Urbana, IL 61801 USA. Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. RP Kahn, CM (reprint author), Univ Illinois, Dept Finance, Urbana, IL 61801 USA. EM c-kahn@uiuc.edu; joao.santos@ny.frb.org RI Santos, Joao/B-6135-2009; nipe, cef/A-4218-2010; OI santos, joao/0000-0002-6002-5969 NR 5 TC 6 Z9 6 U1 1 U2 3 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD JUN PY 2006 VL 38 IS 4 BP 1111 EP 1118 DI 10.1353/mcb.2006.0057 PG 8 WC Business, Finance; Economics SC Business & Economics GA 054HB UT WOS:000238366300013 ER PT J AU Fisher, JDM AF Fisher, JDM TI The dynamic effects of neutral and investment-specific technology shocks SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID REAL BUSINESS-CYCLE; MONETARY-POLICY; AGGREGATE FLUCTUATIONS; PRODUCTIVITY; CONSEQUENCES; PERSISTENCE; PRICES; MODELS AB The neoclassical growth model is used to identify the short-run effects of neutral technology shocks, which affect the production of all goods homogeneously, and investment-specific shocks, which affect only investment goods. The real equipment price, crucial for identifying the investment shocks, experiences an abrupt increase in its average rate of decline in 1982, so the analysis is based on a split sample. On the basis of the preferred specification, the two technology shocks account for 73 percent of hours' and 44 percent of output's business cycle variation before 1982, and 38 percent and 80 percent afterward. The shocks also account for more than 40 percent of hours' and 58 percent of output's forecast errors over a three- to eight-year horizon in both samples. The majority of these effects are driven by the investment shocks. C1 Fed Res Bank Chicago, Chicago, IL 60604 USA. RP Fisher, JDM (reprint author), Fed Res Bank Chicago, Chicago, IL 60604 USA. NR 46 TC 164 Z9 166 U1 3 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 JUN PY 2006 VL 114 IS 3 BP 413 EP 451 DI 10.1086/505048 PG 39 WC Economics SC Business & Economics GA 059CS UT WOS:000238711500001 ER PT J AU Jeske, K AF Jeske, K TI Private international debt with risk of repudiation SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID SOVEREIGN DEBT; EXPROPRIATION; MARKETS; DEFAULT AB The risk of repudiation plays a central role in determining the size of international capital flows. In this paper I compare a centralized arrangement for international debt, where only governments borrow and lend internationally, with a decentralized arrangement, where individual borrowers have access to international capital markets. I show that a centralized setup allows more international risk sharing and higher welfare than a decentralized setup. That is, there is a positive role for government regulation of international borrowing. C1 Fed Res Bank Atlanta, Atlanta, GA 30303 USA. RP Jeske, K (reprint author), Fed Res Bank Atlanta, Atlanta, GA 30303 USA. NR 18 TC 19 Z9 19 U1 1 U2 5 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 2006 VL 114 IS 3 BP 576 EP 593 DI 10.1086/503755 PG 18 WC Economics SC Business & Economics GA 059CS UT WOS:000238711500006 ER PT J AU Lansing, KJ AF Lansing, KJ TI Lock-in of extrapolative expectations in an asset pricing model SO MACROECONOMIC DYNAMICS LA English DT Article DE asset pricing; distorted beliefs; expectations; bubbles ID STOCK-PRICES; MARKET VOLATILITY; EQUITY PREMIUM; INFLATION; RETURNS; BUBBLES; FORECASTS; BEHAVIOR; BELIEFS; CRASHES AB This paper examines an agent's choice of forecast method within a standard asset pricing model. A representative agent may choose: (1) a fundamentals-based forecast that employs knowledge of the dividend process, (2) a constant forecast that is based on a simple long-run average, or (3) a tithe-varying forecast that extrapolates from the last observation. 1 show that an agent who is concerned about minimizing forecast errors may inadvertently become "locked-in" to an extrapolative forecast. In particular, the initial use of extrapolation alters the law of motion of the forecast variable so that the agent perceives no accuracy gain froth switching to one of the alternative forecast methods. The model can generate excess volatility of stock prices, time-varying volatility of returns, long-horizon predictability of returns, bubbles driven by optimism about the future, and sharp downward movements in stock prices that resemble market crashes. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94120 USA. RP Lansing, KJ (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, POB 7702, San Francisco, CA 94120 USA. EM kevin.j.lansing@sf.frb.org NR 62 TC 9 Z9 9 U1 2 U2 4 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4211 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD JUN PY 2006 VL 10 IS 3 BP 317 EP 348 DI 10.1017/S1365100506050231 PG 32 WC Economics SC Business & Economics GA 039YK UT WOS:000237344400002 ER PT J AU Low, SA AF Low, Sarah A. TI Entrepreneurship in the region. SO PAPERS IN REGIONAL SCIENCE LA English DT Book Review C1 Fed Reserve Bank Kansas City, Kansas City, MO USA. RP Low, SA (reprint author), Fed Reserve Bank Kansas City, Kansas City, MO USA. NR 1 TC 0 Z9 0 U1 1 U2 2 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 1056-8190 EI 1435-5957 J9 PAP REG SCI JI Pap. Reg. Sci. PD JUN PY 2006 VL 85 IS 2 BP 331 EP 333 DI 10.1111/j.1435-5957.2006.00069.x PG 3 WC Economics; Environmental Studies; Geography SC Business & Economics; Environmental Sciences & Ecology; Geography GA 099OI UT WOS:000241604300010 ER PT J AU Gillette, AB Noe, TH AF Gillette, AB Noe, TH TI If at first you don't succeed: The effect of the option to resolicit on corporate takeovers SO REVIEW OF FINANCIAL STUDIES LA English DT Article ID FREE-RIDER PROBLEM; OFFERS; SHARE; BIDS AB This article models, and experimentally simulates, the free-rider problem in a takeover when the raider has the option to "resolicit," that is, to make a new offer after an offer has been rejected. In theory, the option to resolicit, by lowering offer credibility, increases the dissipative losses associated with free riding. The outcomes of our experiment support this prediction and produce losses from free riding even higher than theoretically predicted. These dissipation losses reduce raider gains to less than 3% of synergy value of the acquisition. C1 Kennesaw State Univ, Michael J Coles Coll Business, Kennesaw, GA 30144 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. Tulane Univ, AB Freeman Sch Business, New Orleans, LA 70118 USA. RP Gillette, AB (reprint author), Kennesaw State Univ, Michael J Coles Coll Business, Kennesaw, GA 30144 USA. EM agillet1@kennesaw.edu NR 26 TC 2 Z9 2 U1 1 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 SUM PY 2006 VL 19 IS 2 BP 561 EP 603 DI 10.1093/rfs/hhj011 PG 43 WC Business, Finance; Economics SC Business & Economics GA 030DS UT WOS:000236614100007 ER PT J AU Valletta, RG AF Valletta, RG TI The ins and outs of poverty in advanced economies: Government policy and poverty dynamics in Canada, Germany, Great Britain, and the United States SO REVIEW OF INCOME AND WEALTH LA English DT Article ID COUNTRIES AB Comparative analysis of poverty dynamics-transitions and persistence-can yield important insights about the nature of poverty and the effectiveness of alternative policy responses. This manuscript compares poverty dynamics in four advanced industrial countries (Canada, unified Germany, Great Britain, and the United States) for overlapping six-year periods in the 1990s, focusing on the impact of government policies. The data indicate that relative to measured cross-sectional poverty rates, poverty persistence is higher in North America than in Europe. Most poverty transitions, and the prevalence of chronic poverty, are associated with employment instability and family dissolution in all four countries. However, government tax-and-transfer policies are more effective at reducing poverty persistence in Europe than in North America. C1 Fed Reserve Bank San Francisco, Econ Res Dept, San Francisco, CA 94105 USA. RP Valletta, RG (reprint author), Fed Reserve Bank San Francisco, Econ Res Dept, 101 Market St, San Francisco, CA 94105 USA. EM rob.valletta@sf.frb.org NR 35 TC 11 Z9 11 U1 0 U2 4 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6586 J9 REV INCOME WEALTH JI Rev. Income Wealth PD JUN PY 2006 IS 2 BP 261 EP 284 PG 24 WC Economics SC Business & Economics GA 048EL UT WOS:000237930300005 ER PT J AU Hunt, RM AF Hunt, RM TI When do more patents reduce R&D? SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 118th Annual Meeting of the American-Economic-Association CY JAN 06-08, 2006 CL Boston, MA SP Amer Econ Assoc ID INNOVATION C1 Fed Reserve Bank Philadelphia, Res Dept, Philadelphia, PA 19106 USA. RP Hunt, RM (reprint author), Fed Reserve Bank Philadelphia, Res Dept, 10 Independence Mall, Philadelphia, PA 19106 USA. EM bob.hunt@phil.frb.org NR 15 TC 15 Z9 15 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 2006 VL 96 IS 2 BP 87 EP 91 DI 10.1257/000282806777212035 PG 5 WC Economics SC Business & Economics GA 047BQ UT WOS:000237855200017 ER PT J AU Orphanides, A AF Orphanides, A TI The road to price stability SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 118th Annual Meeting of the American-Economic-Association CY JAN 06-08, 2006 CL Boston, MA SP Amer Econ Assoc ID MONETARY-POLICY 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. EM Athanasios.Orphanides@frb.gov NR 9 TC 6 Z9 6 U1 0 U2 2 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAY PY 2006 VL 96 IS 2 BP 178 EP 181 DI 10.1257/000282806777212567 PG 4 WC Economics SC Business & Economics GA 047BQ UT WOS:000237855200034 ER PT J AU Goette, L Huffman, D Meier, S AF Goette, L Huffman, D Meier, S TI The impact of group membership on cooperation and norm enforcement: Evidence using random assignment to real social groups SO AMERICAN ECONOMIC REVIEW LA English DT Article; Proceedings Paper CT 118th Annual Meeting of the American-Economic-Association CY JAN 06-08, 2006 CL Boston, MA SP Amer Econ Assoc C1 Univ Zurich, Inst Empirical Res Econ, CH-8006 Zurich, Switzerland. Inst Study Labor, IZA, D-53113 Bonn, Germany. Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Goette, L (reprint author), Univ Zurich, Inst Empirical Res Econ, Blumlistr 10, CH-8006 Zurich, Switzerland. EM lorenz@iew.unizh.ch; huffman@iza.org; stephan.meier@bos.frb.org NR 11 TC 128 Z9 128 U1 1 U2 22 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 2006 VL 96 IS 2 BP 212 EP 216 DI 10.1257/000282806777211658 PG 5 WC Economics SC Business & Economics GA 047BQ UT WOS:000237855200041 ER PT J AU MacDonald, JM Aaronson, D AF MacDonald, JM Aaronson, D TI How firms construct price changes: Evidence from restaurant responses to increased minimum wages SO AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS LA English Estonian DT Article DE minimum wages; price pass-through; price stickiness ID STICKY PRICES; COMPETITION; RIGIDITY; DEMAND AB We use price data underlying the Consumer Price Index to assess how restaurants, whose prices are generally quite sticky, respond to minimum wage increases. Aggregate prices rise, quickly, by amounts reflecting the increase in costs, and they rise more among fast food outlets and in low-wage locations. But restaurants do not construct price increases by raising all their prices by amounts reflecting the increase in wages. Instead, they raise only some prices, but by larger amounts. Prices at cluster points are less likely to be changed, and prices that were recently increased (decreased) are less (more) likely to be raised. C1 Fed Reserve Bank Chicago, Chicago, IL USA. NR 24 TC 14 Z9 14 U1 0 U2 2 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0002-9092 J9 AM J AGR ECON JI Am. J. Agr. Econ. PD MAY PY 2006 VL 88 IS 2 BP 292 EP 307 DI 10.1111/j.1467-8276.2006.00859.x PG 16 WC Agricultural Economics & Policy; Economics SC Agriculture; Business & Economics GA 031PJ UT WOS:000236716200002 ER PT J AU Burke, MA Fournier, GM Prasad, K AF Burke, MA Fournier, GM Prasad, K TI The emergence of local norms in networks SO COMPLEXITY LA English DT Article DE local norms; network externality; critical thresholds; geographical variations ID ECONOMICS AB We develop an explanation of the emergence of local norms and the associated phenomenon of geographical variation in behavior Individuals are assumed to interact locally with neighbors in an environment with a network externality. Although many patterns of behavior are possible, the dispersed interactive choices of agents are shown to select behavior that is locally uniform but globally diverse. The range of applications of the theory includes regional variation in the practice of medicine, technology choice, and corruption. The framework is also useful for further developing our understanding of important phenomena like lock-in, critical thresholds, and contagion. (c) 2006 Wiley Periodicals, Inc. C1 Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20742 USA. Fed Reserve Bank Boston, Boston, MA 02205 USA. Florida State Univ, Tallahassee, FL 32306 USA. RP Prasad, K (reprint author), Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20742 USA. EM kprasad@rhsmith.umd.edu NR 27 TC 7 Z9 7 U1 1 U2 7 PU JOHN WILEY & SONS INC PI HOBOKEN PA 111 RIVER ST, HOBOKEN, NJ 07030 USA SN 1076-2787 J9 COMPLEXITY JI Complexity PD MAY-JUN PY 2006 VL 11 IS 5 BP 65 EP 83 DI 10.1002/cplx.20129 PG 19 WC Mathematics, Interdisciplinary Applications; Multidisciplinary Sciences SC Mathematics; Science & Technology - Other Topics GA 057YF UT WOS:000238630400006 ER PT J AU Testa, WA AF Testa, WA TI Headquarters research and implications for local development SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE headquarters; firm site AB Drawing from both the professional literature and from a conference held at the Federal Reserve Bank of Chicago in 2004, the author summarizes,findings and draws implications concerning the locational tendencies of stand-alone headquarters operations. In the United States, the geography of large company headquarters is becoming more dispersed toward medium-sized metropolitan areas even as the headquarters needs for urban infrastructure and amenities continue to sharpen. The location of the firm's branch plant locations will be critical for many headquarters, so developing a strategy focused on a region's own industry specializations should be considered. So too. as the organizational structure of firms becomes more complex and globally dispersed, many specialized establishments can be found under the same umbrella, making it imperative for local development practitioners to determine their region's functional niche. C1 Fed Reserve Bank Chicago, Dept Res, Reg Programs, Chicago, IL USA. RP Testa, WA (reprint author), Fed Reserve Bank Chicago, Dept Res, Reg Programs, Chicago, IL USA. NR 16 TC 6 Z9 8 U1 1 U2 5 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 MAY PY 2006 VL 20 IS 2 BP 111 EP 116 DI 10.1177/0891242406286270 PG 6 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA 039OF UT WOS:000237315400001 ER PT J AU Klier, TH AF Klier, TH TI Where the headquarters are: Location patterns of large public companies, 1990-2000 SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE headquarters location; MSA amenities; gross flows ID DOMINANCE AB This article examines the location of headquarters growth of large public companies during the 1990s. Headquarters continue to be attracted by large metropolitan areas. Yet among that group, they continue to disperse into medium-sized centers. This article identifies six different categories of gross flows underlying the net change of headquarters observed during the 1990s. There is strong variation among the 50 largest metropolitan areas in terms of the composition of these gross flows. On average, entry and exit represent more than two thirds of all gross flow activity Pure relocation of headquarters is found to lead to urbanization. Mergers tend to have no impact on the distribution of headquarters across Metropolitan Statistical Areas (MSAs). A binomial probability model of the decision to move uses company-level and MSA-level data and finds that MSA-level amenities affect a company's choice about where to locate its headquarters. C1 Fed Reserve Bank Chicago, Res Dept, Chicago, IL USA. RP Klier, TH (reprint author), Fed Reserve Bank Chicago, Res Dept, Chicago, IL USA. NR 15 TC 14 Z9 16 U1 0 U2 3 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 MAY PY 2006 VL 20 IS 2 BP 117 EP 128 DI 10.1177/0891242405286158 PG 12 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA 039OF UT WOS:000237315400002 ER PT J AU Ono, Y AF Ono, Y TI What do census data tell us about headquarters location? SO ECONOMIC DEVELOPMENT QUARTERLY LA English DT Article DE headquarters; business services; outsourcing AB This article provides insight into several topics that are closely linked with firms' decisions on headquarters location. Reviewing previous studies, the author examines characteristics of firms that have stand-alone headquarters and compares them with the characteristics of firms that perform management at their production facilities. The frequency of openings and closings of headquarters is also examined. The locations of headquarters are further compared with the geographical distribution of other economic activities among major U.S. metropolitan areas. The author then shifts the focus to New York City, which is often considered the nation's primary headquarters center and compares New York's Primary Metropolitan Statistical Area's share of headquarters with its share of business service industries. The author then looks into the distribution. of headquarters and other service industries in Manhattan, points out their differences, and provides possible explanations. C1 Fed Reserve Bank Chicago, Dept Res, Chicago, IL USA. RP Ono, Y (reprint author), Fed Reserve Bank Chicago, Dept Res, Chicago, IL USA. NR 12 TC 9 Z9 10 U1 0 U2 5 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 MAY PY 2006 VL 20 IS 2 BP 129 EP 141 DI 10.1177/0891242406286517 PG 13 WC Economics; Planning & Development; Urban Studies SC Business & Economics; Public Administration; Urban Studies GA 039OF UT WOS:000237315400003 ER PT J AU Martin, A AF Martin, A TI Liquidity provision vs. deposit insurance: preventing bank panics without moral hazard SO ECONOMIC THEORY LA English DT Article DE bank panics; liquidity provision; deposit insurance; moral hazard ID LAST-RESORT; EQUILIBRIUM EXPOSITION; RUNS; MODEL; INFORMATION; LENDER; INTERMEDIATION; CRISES AB In this paper I ask whether a central bank policy of providing liquidity to banks during panics can prevent bank runs without causing moral hazard. This kind of policy has been widely advocated, most notably by Bagehot (1873). I show a particular central bank liquidity provision policy can prevent bank panics without moral hazard problems. I also show that a deposit insurance policy, while preventing runs, can create moral hazard problems. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Martin, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM antoine.martin@ny.frb.org NR 36 TC 19 Z9 20 U1 8 U2 19 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD MAY PY 2006 VL 28 IS 1 BP 197 EP 211 DI 10.1007/s00199-005-0613-x PG 15 WC Economics SC Business & Economics GA 942RK UT WOS:000230299300010 ER PT J AU Poole, W AF Poole, W TI Inflation targeting SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY C1 Fed Res Bank, St Louis, MO 63102 USA. RP Poole, W (reprint author), Fed Res Bank, St Louis, MO 63102 USA. NR 11 TC 2 Z9 2 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2006 VL 88 IS 3 BP 155 EP 163 PG 9 WC Business, Finance; Economics SC Business & Economics GA 043VY UT WOS:000237632200001 ER PT J AU Coughlin, CC Garrett, TA Hernandez-Murillo, R AF Coughlin, CC Garrett, TA Hernandez-Murillo, R TI The geography, economics, and politics of lottery adoption SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID STATE LOTTERIES; COMPETITION; PRESSURE AB Since New Hampshire introduced the first modern state-sponsored lottery in 1964, 41 other states plus the District of Columbia have adopted lotteries. Lottery ticket sales in the United States topped $48 billion in 2004, with state governments reaping nearly $14 billion in net lottery revenue. In this paper the authors attempt to answer the question of why some states have adopted lotteries and others have not. First, they establish a framework for analyzing the determination of public policies that highlights the roles of individual voters, interest groups, and politicians within a state as well as the influence of policies in neighboring states. The authors then introduce some general explanations for the adoption of a new tax that stress the role of economic development, fiscal health, election cycles, political parties, and geography. Next, because the lottery adoption decision is more than simply a tax decision, a number of factors specific to this decision are identified. State income, lottery adoption by neighboring states, the timing of elections, and the role of organized interest groups, especially the opposition of certain religious organizations, are significant factors explaining lottery adoption. C1 Fed Res Bank, St Louis, MO 63102 USA. RP Coughlin, CC (reprint author), Fed Res Bank, St Louis, MO 63102 USA. RI Coughlin, Cletus/K-6860-2016 OI Coughlin, Cletus/0000-0002-8304-2796 NR 35 TC 6 Z9 6 U1 0 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2006 VL 88 IS 3 BP 165 EP 180 PG 16 WC Business, Finance; Economics SC Business & Economics GA 043VY UT WOS:000237632200002 ER PT J AU Anderson, RG Kliesen, KL AF Anderson, Richard G. Kliesen, Kevin L. TI The 1990s acceleration in labor productivity: Causes and measurement SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID TECHNICAL CHANGE; GROWTH; TECHNOLOGY AB The acceleration of labor productivity growth that began during the mid-1990s is the defining economic event of the past decade. A consensus has arisen among economists that the acceleration was caused by technological innovations that decreased the quality-adjusted prices of semiconductors and related information and communications technology (ICT) products, including digital computers. In sharp contrast to the previous 20 years, services-producing sectors-heavy users of ICT products-led the productivity increase, besting even a robust manufacturing sector. In this article, the authors survey the performance of the services-producing and goods-producing sectors and examine revisions to aggregate labor productivity data of the type commonly discussed by policymakers. The revisions, at times, were large enough to reverse preliminary conclusions regarding productivity growth slowdowns and accelerations. The unanticipated acceleration in the services sector and the large size of revisions to aggregate data combine to shed light on why economists were slow to recognize the productivity acceleration. C1 Fed Res Bank, St Louis, MO 63102 USA. RP Anderson, RG (reprint author), Fed Res Bank, St Louis, MO 63102 USA. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 50 TC 4 Z9 4 U1 0 U2 1 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2006 VL 88 IS 3 BP 181 EP 202 PG 22 WC Business, Finance; Economics SC Business & Economics GA 043VY UT WOS:000237632200003 ER PT J AU Bullard, JB AF Bullard, James B. TI The learnability criterion and monetary policy SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article; Proceedings Paper CT Conference on Heterogeneous Information and Modelling of Monetary Policy* CY OCT 02-03, 2003 CL Helsinki, FINLAND SP Bank of Finland, Ctr for Econ Pol Res ID MULTIPLE-SOLUTION INDETERMINACIES; RATIONAL-EXPECTATIONS; NASH INFLATION; TAYLOR RULE; MODELS; STABILITY; CONVERGENCE; EQUILIBRIA; EXCHANGE AB Expectations of the future play a large role in macroeconomics. The rational expectations assumption, which is commonly used in the literature, provides an important benchmark, but may be too strong for some applications. This paper reviews some recent research that has emphasized methods for analyzing models of learning, in which expectations are not initially rational but which may become rational eventually provided certain conditions are met. Many of the applications are in the context of popular models of monetary policy. The goal of the paper is to provide a largely nontechnical survey of some, but not all, of this work and to point out connections to some related research. C1 Fed Reserve Bank, St Louis, MO 63102 USA. RP Bullard, JB (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. RI Bullard, James/L-8120-2016 OI Bullard, James/0000-0002-1142-6803 NR 63 TC 21 Z9 21 U1 5 U2 6 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 EI 2163-4505 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAY-JUN PY 2006 VL 88 IS 3 BP 203 EP 217 PG 15 WC Business, Finance; Economics SC Business & Economics GA 043VY UT WOS:000237632200004 ER PT J AU Goncalves, S Guidolin, M AF Goncalves, S Guidolin, M TI Predictable dynamics in the S&P 500 index options implied volatility surface SO JOURNAL OF BUSINESS LA English DT Article ID MARKET VOLATILITY; VALUATION MODEL; TERM STRUCTURE; PRICES AB Recent evidence suggests that the parameters characterizing the implied volatility surface (IVS) in option prices are unstable. We study whether the resulting predictability patterns may be exploited. In a first stage we model the surface along cross-sectional moneyness and maturity dimensions. In a second stage we model the dynamics of the first-stage coefficients. We find that the movements of the S&P 500 IVS are highly predictable. Whereas profitable delta-hedged positions can be set up under selective trading rules, profits disappear when we increase transaction costs and trade on wide segments of the IVS. C1 Fed Reserve Bank, St Louis, MO 63102 USA. Univ Montreal, Dept Econ, CIREQ, Montreal, PQ H3C 3J7, Canada. Univ Montreal, CIRANO, Montreal, PQ H3C 3J7, Canada. RP Guidolin, M (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. EM Massimo.Guidolin@stls.frb.org RI nipe, cef/A-4218-2010 NR 33 TC 29 Z9 30 U1 1 U2 6 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0021-9398 J9 J BUS JI J. Bus. PD MAY PY 2006 VL 79 IS 3 BP 1591 EP 1635 DI 10.1086/500686 PG 45 WC Business SC Business & Economics GA 032SP UT WOS:000236795300019 ER PT J AU Bhattacharya, J Haslag, JH Martin, A AF Bhattacharya, J Haslag, JH Martin, A TI Sub-optimality of the Friedman rule in Townsend's turnpike and stochastic relocation models of money: Do finite lives and initial dates matter? SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE Friedman rule; monetary policy; overlapping generations; turnpike ID OPTIMUM QUANTITY; BANKING; POLICY AB The Friedman rule, a widely studied prescription for monetary policy, is optimal in Townsend's turnpike model of money; it is not so in the overlapping generations version of his stochastic relocation model of money. We investigate these monetary models in the light of this disparity. To this end, we create a modified version of the turnpike model that generates the same stationary monetary equilibria as does the two-period overlapping generations model with random relocation. We exploit this equivalence to explain the aforementioned disparity. We also discuss the importance of whether or not the economy has an initial date. (c) 2005 Published by Elsevier B.V. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Iowa State Univ, Ames, IA 50011 USA. Univ Missouri, Columbia, MO 65211 USA. RP Martin, A (reprint author), Fed Reserve Bank New York, 33 Liberty St, New York, NY 10045 USA. EM antoiiie.martin@ny.frb.org OI Bhattacharya, Joydeep/0000-0002-3148-4592 NR 16 TC 4 Z9 4 U1 0 U2 2 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD MAY PY 2006 VL 30 IS 5 BP 879 EP 897 DI 10.1016/j.jedc.2005.03.011 PG 19 WC Economics SC Business & Economics GA 039UK UT WOS:000237332600006 ER PT J AU Carlstrom, CT Fuerst, TS Ghironi, F AF Carlstrom, Charles T. Fuerst, Timothy S. Ghironi, Fabio TI Does it matter (for equilibrium determinacy) what price-index the central bank targets? SO JOURNAL OF ECONOMIC THEORY LA English DT Article DE determinacy; sectoral Taylor Rule; Taylor Principle ID OPTIMAL MONETARY-POLICY; RULES AB What inflation rate should the central bank target? We address determinacy issues related to this question in a two-sector model in which prices can differ in equilibrium. We assume that the degree of nominal price stickiness can vary across the sectors and that labor is immobile. The contribution of this paper is to demonstrate that a modified Taylor Principle holds in this environment. If the central bank elects to target sector one, and if it responds with a coefficient greater than unity to price movements in this sector, then this policy rule will ensure determinacy across all sectors. The results of this paper have at least two implications. First, the equilibrium-determinacy criterion does not imply a preference to any particular measure of inflation. Second, since the Taylor Principle applies at the sectoral level, there is no need for a Taylor Principle at the aggregate level. (c) 2004 Elsevier Inc. All rights reserved. C1 Fed Reserve Bank Cleveland, Dept Res, Cleveland, OH 44101 USA. Bowling Green State Univ, Bowling Green, OH 43403 USA. Boston Coll, Boston, MA USA. RP Carlstrom, CT (reprint author), Fed Reserve Bank Cleveland, Dept Res, POB 6387, Cleveland, OH 44101 USA. EM charlis.t.carlstrom@clev.frb.org; tfuerst@cba.bgsu.edu; fabio.ghironi@bc.edu RI Ghironi, Fabio/A-1290-2008 OI Ghironi, Fabio/0000-0002-4104-5673 NR 20 TC 13 Z9 13 U1 0 U2 0 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0022-0531 EI 1095-7235 J9 J ECON THEORY JI J. Econ. Theory PD MAY PY 2006 VL 128 IS 1 BP 214 EP 231 DI 10.1016/j.jet.2004.09.003 PG 18 WC Economics SC Business & Economics GA 049VE UT WOS:000238044700008 ER PT J AU Santos, JAC Rumble, AS AF Santos, JAC Rumble, AS TI The American keiretsu and universal banks: Investing, voting and sitting on nonfinancials' corporate boards SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE boards of directors; bank directors; trust business; voting rights; cash rights ID UNITED-STATES; OWNERSHIP STRUCTURE; FINANCIAL DISTRESS; OF-INTEREST; JAPAN; INVESTMENT; PERFORMANCE; EQUITY; SYSTEM; GOVERNANCE AB This paper investigates the equity investments and voting rights that American banks control through their trust business. The paper also studies whether the voting rights American banks control through their trust business help explain their presence on firms' corporate boards. We find that on average the largest 100 American banks control 10% of the voting rights of S&P 500 firms. We also find that there are several firms in the S&P 500 index in which the top banks control more than 20% of their voting rights, and several firms in the country in which these banks control more than 60% of their voting rights. Our investigation into the presence of American bankers on corporate boards shows that bankers are more likely to join the boards of firms in which they control a large voting stake. We also find that banks' lending relationships help explain bankers' board memberships. Our results further show that bankers who have both a voting stake in a firm and a lending relationship with it have a higher likelihood of joining the firm's board of directors. (c) 2005 Elsevier B.V. All rights. reserved. C1 Fed Reserve Bank New York, Dept Res, New York, NY 10045 USA. RP Santos, JAC (reprint author), Fed Reserve Bank New York, Dept Res, 33 Liberty St, New York, NY 10045 USA. EM joao.santos@ny.frb.org RI Santos, Joao/B-6135-2009; nipe, cef/A-4218-2010; OI santos, joao/0000-0002-6002-5969 NR 61 TC 19 Z9 19 U1 0 U2 14 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD MAY PY 2006 VL 80 IS 2 BP 419 EP 454 DI 10.1016/j.jfineco.2005.03.011 PG 36 WC Business, Finance; Economics SC Business & Economics GA 045KH UT WOS:000237740500006 ER PT J AU Aguiar, M Broner, FA AF Aguiar, M Broner, FA TI Determining underlying macroeconomic fundamentals during emerging market crises: Are conditions as bad as they seem? SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE emerging market crises; macroeconomic fundamentals; asset returns; exchange-rate overshooting; credit market conditions; sudden stops ID DEVALUATION AB Emerging market crises are characterized by large swings in both macroeconomic fundamentals and asset prices. The economic significance of observed movements in macroeconomic variables is obscured by the brief and extreme nature of crises. In this paper we propose to study the macroeconomic consequences of crises by studying the behavior of "effective" fundamentals, constructed by studying the relative movements of stock prices during crises. We find that these effective fundamentals provide a different picture than that implied by observed fundamentals. First, asset prices often reflect expectations of improvement in fundamentals after the initial devaluations; specifically, effective depreciations are positive but not as large as the observed ones. Second, crises vary in their effect on credit market conditions, with investors expecting tightening of credit in some cases (Mexico 1994, Philippines 1997), but loosening of credit in others (Sweden 1992, Korea 1997, Brazil 1999). (c) 2006 Elsevier B.V. All rights reserved. C1 Univ Pompeu Fabra, Barcelona, Spain. Fed Reserve Bank Boston, Boston, MA USA. EM mark.aguiar@bos.frb.org; fernando.broner@upf.edu RI Broner, Fernando/A-8904-2013 OI Broner, Fernando/0000-0002-5507-9823 NR 16 TC 0 Z9 0 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD MAY PY 2006 VL 53 IS 4 BP 699 EP 724 DI 10.1016/j.jmoneco.2005.02.005 PG 26 WC Business, Finance; Economics SC Business & Economics GA 056UV UT WOS:000238551500003 ER PT J AU Athreya, KB Simpson, NB AF Athreya, KB Simpson, NB TI Unsecured debt with public insurance: From bad to worse SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE incomplete markets; bankruptcy; unemployment ID BANKRUPTCY-REFORM-ACT; UNEMPLOYMENT-INSURANCE; LIQUIDITY CONSTRAINTS; JOB DISPLACEMENT; MORAL HAZARD; WELFARE; ECONOMIES; DEFAULT; LOSSES; MARKET AB In U.S. data, income interruptions, the receipt of public insurance, and the incidence of personal bankruptcy are all closely related. The central contribution of this paper is to evaluate bankruptcy protection and public insurance in a unified setting where each program alters incentives in the other. Our analysis delivers two striking conclusions. First. we find that U.S. personal bankruptcy law is an important barrier that prevents the public insurance system from improving welfare. Second, contrary to popular belief, we find that increases in the generosity of public insurance will lead to more, not less, bankruptcy. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. Colgate Univ, Dept Econ, Hamilton, NY 13346 USA. RP Athreya, KB (reprint author), Fed Reserve Bank Richmond, Dept Res, POB 27622, Richmond, VA 23261 USA. EM kartik.athreya@rich.frb.org; nsimpson@mail.colgate.edu NR 45 TC 5 Z9 5 U1 1 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 MAY PY 2006 VL 53 IS 4 BP 797 EP 825 DI 10.1016/j.jmoneco.2005.02.007 PG 29 WC Business, Finance; Economics SC Business & Economics GA 056UV UT WOS:000238551500008 ER PT J AU Weiler, S Hoag, D Fan, CM AF Weiler, S Hoag, D Fan, CM TI Prospecting for economic returns to research: Adding informational value at the market fringe SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID AGRICULTURAL-RESEARCH; UNCERTAINTY; MECHANISM AB Private markets constantly assess project investment opportunities across a spectrum of such possibilities. The market's perspective on the boundary of viable projects, however, may be more limited than socially optimal due to informational constraints. In the case of economic development projects in particular, this boundary could be extended by public researchers. This paper constructs a method to estimate the private and social value-added of such research, providing a new means to understand and assess the public/private sector interface. The framework uses agents' evolving subjective perceptions through Bayesian updating to value research information, along with methods to estimate functional forms and relative optima. Two case studies of regional development research on value-added agriculture in Colorado highlight the utility of the approach. C1 Federal Reserve Bank, Ctr Study Rural Amer, Kansas City, MO 64198 USA. Colorado State Univ, Dept Agr & Resource Econ, Ft Collins, CO 80523 USA. Colorado State Univ, Dept Econ, Ft Collins, CO 80523 USA. RP Weiler, S (reprint author), Federal Reserve Bank, Ctr Study Rural Amer, 925 Grand Blvd, Kansas City, MO 64198 USA. EM stephan.weiler@kc.frb.org; dana.hoag@colostate.edu; chuen-mei.fan@colostate.edu NR 32 TC 1 Z9 1 U1 0 U2 0 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD MAY PY 2006 VL 46 IS 2 BP 289 EP 311 DI 10.1111/j.0022-4146.2006.00442.x PG 23 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 036HZ UT WOS:000237063500006 ER PT J AU Henderson, JR AF Henderson, JR TI Apple Pie and Enchiladas: Latino newcomers in the rural midwest SO JOURNAL OF REGIONAL SCIENCE LA English DT Book Review C1 Fed Reserve Bank Kansas City, Ctr Study Rural Amer, Kansas City, KS USA. RP Henderson, JR (reprint author), Fed Reserve Bank Kansas City, Ctr Study Rural Amer, Kansas City, KS USA. NR 1 TC 0 Z9 0 U1 0 U2 0 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD MAY PY 2006 VL 46 IS 2 BP 406 EP 409 PG 4 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 036HZ UT WOS:000237063500021 ER PT J AU Zhao, B Ondrich, J Yinger, J AF Zhao, B Ondrich, J Yinger, J TI Why do real estate brokers continue to discriminate? Evidence from the 2000 Housing Discrimination Study SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE housing discrimination; audit; fixed-effects logit ID RACIAL-DISCRIMINATION; ETHNIC DISCRIMINATION; MARKETS; AGENTS; CUSTOMERS; HOUSES; AUDITS AB This study examines racial and ethnic discrimination in discrete choices by real estate brokers using national audit data from the 2000 Housing Discrimination Study. It uses a fixed-effects logit model to estimate the probability that discrimination occurs and to study the causes of discrimination. The data make it possible to control for auditors' actual demographic and socioeconomic characteristics and characteristics assigned for the purposes of the audit. The study finds that discrimination remains strong but has declined in both the scope and incidence since 1989. The estimations also identify both brokers' prejudice and white customers' prejudice as causes of discrimination. (c) 2005 Elsevier Inc. All rights reserved. C1 Syracuse Univ, Maxwell Sch, Ctr Policy Res, Syracuse, NY 13244 USA. Fed Reserve Bank Boston, New England Publ Policy Ctr, Boston, MA 02210 USA. RP Yinger, J (reprint author), Syracuse Univ, Maxwell Sch, Ctr Policy Res, Syracuse, NY 13244 USA. EM Bo.Zhao@bos.frb.org; jiondrich@maxwell.syr.edu; jyinger@maxwell.syr.edu NR 31 TC 25 Z9 25 U1 1 U2 19 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAY PY 2006 VL 59 IS 3 BP 394 EP 419 DI 10.1016/j.jue.2005.12.001 PG 26 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 037KR UT WOS:000237146100005 ER PT J AU Broda, C Weinstein, DE AF Broda, C Weinstein, DE TI Globalization and the gains from variety SO QUARTERLY JOURNAL OF ECONOMICS LA English DT Article ID PRODUCT DIFFERENTIATION; INTERNATIONAL-TRADE; GROWTH; WELFARE; DEMAND; EXPORT AB Since the seminal work of Krugman, product variety has played a central role in models of trade and growth. In spite of the general use of love-of-variety models, there has been no systematic study of how the import of new varieties has contributed to national welfare gains in the United States. In this paper we show that the unmeasured growth in product variety from U. S. imports has been an important source of gains from trade over the last three decades (1972-2001). Using extremely disaggregated data, we show that the number of imported product varieties has increased by a factor of three. We also estimate the elasticities of substitution for each available category at the same level of aggregation, and describe their behavior across time and SITC industries. Using these estimates, we develop an exact aggregate price index and find that the upward bias in the conventional import price index over this time period was 28 percent or 1.2 percentage points per year. We estimate the value to U. S. consumers of the expanded import varieties between 1972 and 2001 to be 2.6 percent of GDP. C1 Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. Fed Reserve Bank New York, New York, NY 10045 USA. Columbia Univ, New York, NY 10027 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. RP Broda, C (reprint author), Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. NR 36 TC 408 Z9 410 U1 15 U2 65 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0033-5533 J9 Q J ECON JI Q. J. Econ. PD MAY PY 2006 VL 121 IS 2 BP 541 EP 585 DI 10.1162/qjec.2006.121.2.541 PG 45 WC Economics SC Business & Economics GA 041LD UT WOS:000237456800005 ER PT J AU Wheeler, CH AF Wheeler, CH TI Productivity and the geographic concentration of industry: The role of plant scale SO REGIONAL SCIENCE AND URBAN ECONOMICS LA English DT Article DE localization economies; establishment size; plant size wage premium ID LABOR-MARKET; CITIES; AGGLOMERATION; ORGANIZATION; DENSITY AB A large body of research has established a positive connection between an industry's productivity and the magnitude of its presence within locally defined geographic areas. This paper examines whether this relationship can be linked to a micro-level underpinning commonly associated with productivity: establishment scale. Looking at manufacturing industries across a sample of U.S. metropolitan areas, I find two primary results. First, average plant size increases substantially as an industry's employment in a metropolitan area rises. Second, the direct association between worker wages and local industry employment is more strongly associated with average plant size than the total number of plants, suggesting that localization economies may have significant organizational aspects. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Res Bank St Louis, Div Res, St Louis, MO 63166 USA. RP Wheeler, CH (reprint author), Fed Res Bank St Louis, Div Res, POB 442, St Louis, MO 63166 USA. EM christopher.h.wheeler@stls.frb.org NR 40 TC 9 Z9 9 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 MAY PY 2006 VL 36 IS 3 BP 313 EP 330 DI 10.1016/j.regsciurbeco.2005.10.004 PG 18 WC Economics; Environmental Studies; Urban Studies SC Business & Economics; Environmental Sciences & Ecology; Urban Studies GA 049KG UT WOS:000238014400001 ER PT J AU Davis, SJ Kubler, F Willen, P AF Davis, SJ Kubler, F Willen, P TI Borrowing costs and the demand for equity over the life cycle SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID PORTFOLIO CHOICE; LIQUIDITY CONSTRAINTS; RISK; CONSUMPTION; SAVINGS AB We construct a life cycle model that delivers realistic behavior for both equity holdings and borrowing. The key model ingredient is a wedge between the cost of borrowing and the risk-free investment return. Borrowing can either raise or lower equity demand, depending on the cost of borrowing. A borrowing rate equal to the expected return on equity-which we show roughly matches the data-minimizes the demand for equity. Alternative models with no borrowing or limited borrowing at the risk-free rate cannot simultaneously fit empirical evidence on borrowing and equity holdings. C1 Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. NBER, Cambridge, MA 02138 USA. Univ Mannheim, D-6800 Mannheim, Germany. Fed Reserve Bank Boston, Boston, MA 02210 USA. RP Davis, SJ (reprint author), Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. NR 45 TC 37 Z9 37 U1 1 U2 6 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2006 VL 88 IS 2 BP 348 EP 362 DI 10.1162/rest.88.2.348 PG 15 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 045WM UT WOS:000237773400011 ER PT J AU Comin, D Mulani, S AF Comin, D Mulani, S TI Diverging trends in aggregate and firm volatility SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article AB This note documents the diverging trends in volatility of the growth rate of sales at the aggregate and firm levels. We establish that the upward trend in firm volatility is not simply driven by a compositional bias in the sample studied. We argue that this new fact brings into question the proposed explanations for the decline in aggregate volatility and that, given the symmetry of the diverging trends at the micro and macro levels, a common explanation is likely. We conclude by describing one such theory. C1 NYU, NBER, New York, NY 10012 USA. Fed Reserve Bank New York, New York, NY 10045 USA. RP Comin, D (reprint author), NYU, NBER, 550 1St Ave, New York, NY 10012 USA. NR 16 TC 49 Z9 49 U1 0 U2 3 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD MAY PY 2006 VL 88 IS 2 BP 374 EP 383 DI 10.1162/rest.88.2.374 PG 10 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 045WM UT WOS:000237773400013 ER PT J AU Haveman, R Holden, K Wolfe, B Sherlund, S AF Haveman, R Holden, K Wolfe, B Sherlund, S TI Do newly retired workers in the united states have sufficient resources to maintain well-being? SO ECONOMIC INQUIRY LA English DT Article AB A current policy issue is the extent to which savings are sufficient to sustain economic well-being in retirement. We compare annuitized wealth at retirement to three preretirement consumption estimates. About one-half of new retirees have insufficient resources to enable the full maintenance of estimated preretirement consumption in retirement, and about 40% fail to meet the "0.7 of earnings" standard that is used in many studies. Using standards reflecting social (poverty) norms we find a less serious problem. About 5% (25%) of new retirees have insufficient resources to enable an above-poverty (near-poverty) level of living during retirement. C1 Univ Wisconsin, La Follette Sch Publ Affairs, Madison, WI 53706 USA. Fed Reserve Board, Washington, DC 20551 USA. RP Haveman, R (reprint author), Univ Wisconsin, La Follette Sch Publ Affairs, 1225 Observ Dr, Madison, WI 53706 USA. EM haveman@lafollette.wisc.edu; holden@lafollette.wisc.edu; wolfe@lafoflette.wisc.edu; shane.m.sherlund@frb.gov NR 26 TC 12 Z9 12 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 APR PY 2006 VL 44 IS 2 BP 249 EP 264 DI 10.1093/ei/cbj023 PG 16 WC Economics SC Business & Economics GA 032DW UT WOS:000236755100004 ER PT J AU Luttmer, EGJ Mariotti, T AF Luttmer, EGJ Mariotti, T TI Competitive equilibrium when preferences change over time SO ECONOMIC THEORY LA English DT Article DE changing preferences; competitive equilibrium ID SUBGAME-PERFECT EQUILIBRIUM; CONTINUOUS GAMES; INFORMATION; EXISTENCE AB We show the existence of a competitive equilibrium in an economy with many consumers whose preferences may change over time. The demand correspondence of an individual consumer is determined by the set of subgame-perfect equilibrium outcomes in his intrapersonal game. For additively separable preferences with concave period utility functions that are unbounded above, this demand correspondence will satisfy the usual boundary conditions. Whenever consumers can recall their own mixed actions, this correspondence is convex-valued. This ensures the existence of a symmetric competitive equilibrium. C1 Univ Toulouse 1, GREMAQ IDEI, F-31000 Toulouse, France. Univ Minnesota, Dept Econ, Minneapolis, MN 55455 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Luttmer, EGJ (reprint author), Univ Toulouse 1, GREMAQ IDEI, 21 Allee Brienne, F-31000 Toulouse, France. EM luttmer@econ.umn.edu; mariotti@cict.fr NR 16 TC 5 Z9 5 U1 0 U2 5 PU SPRINGER PI NEW YORK PA 233 SPRING STREET, NEW YORK, NY 10013 USA SN 0938-2259 J9 ECON THEOR JI Econ. Theory PD APR PY 2006 VL 27 IS 3 BP 679 EP 690 DI 10.1007/s00199-004-0586-1 PG 12 WC Economics SC Business & Economics GA 922ZV UT WOS:000228879300011 ER PT J AU Ackert, LF Charupat, N Church, BK Deaves, R AF Ackert, LF Charupat, N Church, BK Deaves, R TI An experimental examination of the house money effect in a multi-period setting SO EXPERIMENTAL ECONOMICS LA English DT Article DE house money; prospect theory ID PROSPECT-THEORY; RISK-AVERSION; CHOICE; UNCERTAINTY; PSYCHOLOGY AB There is evidence that risk-taking behavior is influenced by prior monetary gains and losses. When endowed with house money, people become more risk taking. This paper is the first to report a house money effect in a dynamic, financial setting. Using an experimental method, we compare market outcomes across sessions that differ in the level of cash endowment (low and high). Our experimental results provide support for a house money effect. Traders' bids, price predictions, and market prices are influenced by the amount of money that is provided prior to trading. However, dynamic behavior is difficult to interpret due to conflicting influences. C1 Kennesaw State Univ, Dept Econ & Finance, Michael J Coles Coll Business, Kennesaw, GA 30144 USA. Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. McMaster Univ, Michael G DeGroote Sch Business, Hamilton, ON L8S 4M4, Canada. Georgia Tech, Coll Management, Atlanta, GA 30332 USA. RP Ackert, LF (reprint author), Kennesaw State Univ, Dept Econ & Finance, Michael J Coles Coll Business, Kennesaw, GA 30144 USA. EM lackert@kennesaw.edu; charupat@mcmail.cis.mcmaster.ca; bryan.church@mgt.gatech.edu; deavesr@mcmaster.ca NR 25 TC 40 Z9 43 U1 3 U2 12 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 1386-4157 J9 EXP ECON JI Exp. Econ. PD APR PY 2006 VL 9 IS 1 BP 5 EP 16 DI 10.1007/s10683-006-1467-1 PG 12 WC Economics SC Business & Economics GA 039VA UT WOS:000237334300001 ER PT J AU Adams, RB Santos, JAC AF Adams, RB Santos, JAC TI Identifying the effect of managerial control on firm performance SO JOURNAL OF ACCOUNTING & ECONOMICS LA English DT Article DE managerial control; voting rights; performance measurement; trust investments ID EMPLOYEE STOCK OWNERSHIP; CORPORATE-CONTROL; VOTING-RIGHTS; SHAREHOLDER WEALTH; BANKING INDUSTRY; COMMON-STOCK; MARKET VALUE; DETERMINANTS; VALUATION; COSTS AB Using a unique sample, we attempt to identify the consequence of the separation between inside ownership and control for firm performance. We exploit the fact that banking institutions may hold their own shares in trust to construct a clean measure of the wedge between inside voting control and cash flow rights. These shares provide managers with no monetary incentives, since their dividends accrue to trust beneficiaries. However, managers may have the authority to vote these shares. Contrary to the belief that managerial control is purely detrimental, we find that it has positive effects on performance over at least some range. (c) 2006 Elsevier B.V. All rights reserved. C1 Stockholm Sch Econ, Dept Finance, S-11383 Stockholm, Sweden. Fed Reserve Bank New York, Res Dept, New York, NY 10045 USA. RP Adams, RB (reprint author), Stockholm Sch Econ, Dept Finance, S-11383 Stockholm, Sweden. EM renee.adams@hhs.se RI Santos, Joao/B-6135-2009; nipe, cef/A-4218-2010; Adams, Renee/B-1197-2011; OI santos, joao/0000-0002-6002-5969 NR 57 TC 20 Z9 21 U1 3 U2 26 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-4101 J9 J ACCOUNT ECON JI J. Account. Econ. PD APR PY 2006 VL 41 IS 1-2 BP 55 EP 85 DI 10.1016/j.jacceco.2005.08.001 PG 31 WC Business, Finance; Economics SC Business & Economics GA 027MG UT WOS:000236419100003 ER PT J AU Willis, JL AF Willis, JL TI Magazine prices revisited SO JOURNAL OF APPLIED ECONOMETRICS LA English DT Article ID MIXTURE LIKELIHOODS; ADJUSTMENT; INFLATION; GEOMETRY AB This paper examines price adjustment behaviour in the magazine industry. In a frequently cited study, Cecchetti (1986) constructs a reduced-form (S, s) model for firms. Cecchetti assumes that a firm's pricing rules are fixed for non-overlapping three-year intervals and estimates the model using a conditional logit specification from Chamberlain (1980). The estimates are inconsistent, however, due to the duration-dependent specification of the model. Two alternative specifications are used to obtain consistent estimation. The consistent estimates continue to provide strong evidence in favour of state-dependent pricing models, but only weak evidence on the behaviour of price adjustment costs. Copyright (c) 2006 John Wiley & Sons, Ltd. C1 Fed Reserve Bank Kansas City, Kansas City, MO 64198 USA. RP Willis, JL (reprint author), Univ Texas, Dept Econ, 1 Univ Stn Stop C3100, Austin, TX 78712 USA. EM jon.willis@madisonreds.com NR 19 TC 9 Z9 9 U1 2 U2 4 PU JOHN WILEY & SONS LTD PI CHICHESTER PA THE ATRIUM, SOUTHERN GATE, CHICHESTER PO19 8SQ, W SUSSEX, ENGLAND SN 0883-7252 J9 J APPL ECONOM JI J. Appl. Econom. PD APR PY 2006 VL 21 IS 3 BP 337 EP 344 DI 10.1002/jae.836 PG 8 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 040EQ UT WOS:000237362200003 ER PT J AU Berger, AN di Patti, EB AF Berger, AN di Patti, EB TI Capital structure and firm performance: A new approach to testing agency theory and an application to the banking industry SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT 16th Australasian Finance and Banking Conference CY DEC, 2003 CL Sydney, AUSTRALIA DE capital structure; agency costs; banking; efficiency ID OWNERSHIP STRUCTURE; CORPORATE-CONTROL; FINANCIAL INSTITUTIONS; COMMERCIAL-BANKS; MANAGERIAL OWNERSHIP; EXPENSE PREFERENCE; EQUITY OWNERSHIP; MARKET POWER; EFFICIENCY; DEBT AB Corporate governance theory predicts that leverage affects agency costs and thereby influences firm performance. We propose a new approach to test this theory using profit efficiency, or how close a firm's profits are to the benchmark of a best-practice firm facing the same exogenous conditions. We are also the first to employ a simultaneous-equations model that accounts for reverse causality from performance to capital structure. We find that data on the US banking industry are consistent with the theory, and the results are statistically significant, economically significant, and robust. Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. Wharton Financial Inst Ctr, Philadelphia, PA 19104 USA. Bank Italy, Dept Res, I-00184 Rome, Italy. RP Berger, AN (reprint author), Fed Reserve Syst, Board Governors, 20th & C St NW,Mail Stop 153, Washington, DC 20551 USA. EM aberger@frb.gov; emilia.bonaccorsidipatti@bancaditalia.it NR 51 TC 74 Z9 76 U1 12 U2 43 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD APR PY 2006 VL 30 IS 4 BP 1065 EP 1102 DI 10.1016/j.jbankfin.2005.05.015 PG 38 WC Business, Finance; Economics SC Business & Economics GA 034TI UT WOS:000236953100003 ER PT J AU Kwan, SH AF Kwan, SH TI The X-efficiency of commercial banks in Hong Kong SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT 16th Australasian Finance and Banking Conference CY DEC, 2003 CL Sydney, AUSTRALIA DE Hong Kong banking; bank efficiency; X-efficiency ID FINANCIAL INSTITUTIONS; FUTURE; COST AB Using the stochastic frontier approach to investigate the cost efficiency of commercial banks in Hong Kong, this paper found that the average X-efficiency of Hong Kong banks was about 16-30% of observed total costs. However, X-efficiency was found to decline over time, indicating that Hong Kong banks were operating closer to the cost frontier than before, consistent with technological innovations in the banking industry. Furthermore, the average large bank was found to be less efficient than the average small bank, but the size effect appears to be related to differences in portfolio characteristics among different size banks. (c) 2005 Elsevier B.V. All rights reserved. C1 Hong Kong Inst Monetary Res, Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Kwan, SH (reprint author), Hong Kong Inst Monetary Res, Fed Reserve Bank San Francisco, 101 Mkt St, San Francisco, CA 94105 USA. EM simon.kwan@sf.frb.org NR 20 TC 19 Z9 19 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 APR PY 2006 VL 30 IS 4 BP 1127 EP 1147 DI 10.1016/j.jbankfin.2005.05.016 PG 21 WC Business, Finance; Economics SC Business & Economics GA 034TI UT WOS:000236953100005 ER PT J AU Burnside, C Eichenbaum, M Rebelo, S AF Burnside, C Eichenbaum, M Rebelo, S TI Government finance in the wake of currency crises SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE currency crisis; banking crisis; speculative attacks; seignorage; fiscal reform; bailouts ID REAL EXCHANGE-RATE; PAYMENTS CRISES; PRICE-LEVEL; ASIAN CURRENCY; FISCAL THEORY; BALANCE; DEFICITS AB We address three questions: (i) Can classical models be reconciled with the fact that many crises are marked by high rates of depreciation and small increases in seignorage revenue? (ii) What are the implications of different financing methods for post-crisis rates of inflation and depreciation? (iii) How do governments pay for the fiscal costs associated with currency crises? To study these questions we use a general equilibrium model in which prospective government deficits trigger a currency crisis. We then use our model in conjunction with fiscal data to interpret government financing in the wake of three recent Currency crises: Korea (1997), Mexico (1994) and Turkey (2001). (c) 2006 Elsevier B.V. All rights reserved. C1 Northwestern Univ, NBER, Evanston, IL 60208 USA. Northwestern Univ, CEPR, Evanston, IL 60208 USA. Duke Univ, Durham, NC 27706 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Rebelo, S (reprint author), Northwestern Univ, NBER, Evanston, IL 60208 USA. EM s-rebelo@kellogg.northwestern.edu RI nipe, cef/A-4218-2010 NR 29 TC 15 Z9 16 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 APR PY 2006 VL 53 IS 3 BP 401 EP 440 DI 10.1016/j.jmoneco.2005.03.012 PG 40 WC Business, Finance; Economics SC Business & Economics GA 041XI UT WOS:000237489600002 ER PT J AU Jensen, MJ Liu, M AF Jensen, Mark J. Liu, Ming TI Do long swings in the business cycle lead to strong persistence in output SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE business cycles; duration; fat-tailed distributions; long swings; long memory; regime switching model ID STABLE INDEX-ALPHA; DURATION DEPENDENCE; TIME-SERIES; FRACTIONAL-INTEGRATION; TAIL THICKNESS; GNP GROWTH; MEMORY; MODEL; CRITIQUE; BEHAVIOR AB This paper investigates how the occasional long swing in the business cycle can produce long-memory behaviour in US output. chain regime switching model of real aggregate output to include the occasional long regime. We do this by modeling the duration length of the expansion and recession regimes as draws from a fat-tailed distribution with realized durations that are high in variability and occasionally extreme in value. Empirically, we find that the tail indices for the length of US economic booms and busts correspond with the long-memory parameter estimates of Diebold and Rudebusch [1989. Long memory and persistence in aggregate output. Journal of Monetary Economics 24, 189-209] and Sowell [1992a. Modeling long-run behavior with the fractional ARIMA model. Journal of Monetary Economics 29, 277-302] for real US output. Estimates of our extended regime switching model produce better short- and long-run forecasts of output in comparison to forecasts with a fractionally integrated model. Furthermore, our estimated regime-switching model finds US expansions to be fragile during their infancy, but become more and more likely to continue after surviving the first seven quarters. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Res Bank Atlanta, Atlanta, GA 30309 USA. Chinese Univ Hong Kong, Dept Finance, Hong Kong, Hong Kong, Peoples R China. RP Jensen, MJ (reprint author), Fed Res Bank Atlanta, Atlanta, GA 30309 USA. EM mark.jensen@atl.frb.org; liuming@baf.msmail.cuhk.edu.hk NR 36 TC 9 Z9 9 U1 3 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2006 VL 53 IS 3 BP 597 EP 611 DI 10.1016/j.jmoneco.2005.01.006 PG 15 WC Business, Finance; Economics SC Business & Economics GA 041XI UT WOS:000237489600008 ER PT J AU Li, WL Sarte, PD AF Li, WL Sarte, PD TI US consumer bankruptcy choice: The importance of general equilibrium effects SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE consumer bankruptcy; Chapter 7; Chapter 13 ID DECISION AB We study the implications of U.S. personal bankruptcy rules for resource allocation and welfare. Our analysis shows that general equilibrium considerations along with bankruptcy chapter choice and production matter crucially for the effects of policy reform. Contrary to previous work, we find that completely eliminating bankruptcy provisions causes significant declines in output and welfare by reducing capital formation and labor input. Furthermore, subjecting Chapter 7 filers to means testing, as suggested by recent legislative proposals, would not improve upon current bankruptcy provisions and, at best, leave aggregate filings, output, and welfare unchanged. However, we do find that an alternative tightening of Chapter 7, in the form of lower asset exemptions, can increase economic efficiency. (c) 2006 Elsevier B.V. All rights reserved. C1 Fed Res Bank Philadelphia, Philadelphia, PA 19106 USA. Fed Reserve Bank Richmond, Richmond, VA 23219 USA. RP Sarte, PD (reprint author), Fed Res Bank Philadelphia, Philadelphia, PA 19106 USA. EM pierre.sarte@rich.frb.org NR 25 TC 27 Z9 27 U1 0 U2 3 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 J9 J MONETARY ECON JI J. Monetary Econ. PD APR PY 2006 VL 53 IS 3 BP 613 EP 631 DI 10.1016/j.jmoneco.2005.01.007 PG 19 WC Business, Finance; Economics SC Business & Economics GA 041XI UT WOS:000237489600009 ER PT J AU Ashcraft, AB AF Ashcraft, Adam B. TI New evidence on the lending channel SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE transmission mechanism of monetary policy; lending channel; source-of-strength doctrine ID CAPITAL-MARKET FRICTIONS; BANK SIZE; TRANSMISSION; DEPOSIT; RISK AB The response of aggregate lending to monetary policy is stronger in state banking markets where financially constrained banks have more market shared. On the other hand. there is little difference in the response of state output across the market share financially constrained banks. implying that the aggregate elasticity of output to bank lending is very small. if not zero. I conclude that while small firms might view bank loans as special, they are not special enough for the lending channel to he an important part of how monetary policy works. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Ashcraft, AB (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM Adam.Ashcroft@ny.frb.org NR 25 TC 81 Z9 82 U1 1 U2 11 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD APR PY 2006 VL 38 IS 3 BP 751 EP 775 DI 10.1353/mcb.2006.0037 PG 25 WC Business, Finance; Economics SC Business & Economics GA 041SV UT WOS:000237477100009 ER PT J AU Swanson, ET AF Swanson, Eric T. TI Have increases in Federal Reserve transparency improved private sector interest rate forecasts? SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE transparency; Federal Reserve; central bank; private sector; forecasts ID MONETARY-POLICY; MARKETS AB Yes. This paper shows that since the late 1980s. U.S. financial markets and private sector forecasters have become (1) better able to forecast the federal funds rate at horizons out to several months. (2) less surprised by Federal Reserve announcements. (3) more certain of their interest rate forecasts ex ame. as measured by interest rate options, and (4) less diverse in the cross-sectional variety of their interest rate forecasts. We also present evidence that strongly suggests increases in Federal Reserve transparency played it role: for example, private sector forecasts of GDP and inflation have not experienced similar improvements over the same period indicating that the improvement in interest rate forecasts has been special. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Swanson, ET (reprint author), Fed Reserve Bank San Francisco, 101 Market St, San Francisco, CA 94105 USA. EM eric.swanson@sf.frb.org NR 17 TC 39 Z9 39 U1 1 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 APR PY 2006 VL 38 IS 3 BP 791 EP 819 DI 10.1353/mcb.2006.0046 PG 29 WC Business, Finance; Economics SC Business & Economics GA 041SV UT WOS:000237477100011 ER PT J AU Prescott, EC AF Prescott, EC TI Nobel lecture: The transformation of macroeconomic policy and research SO JOURNAL OF POLITICAL ECONOMY LA English DT Editorial Material ID BUSINESS-CYCLE; LIFE-CYCLE; MONOPOLISTIC COMPETITION; GENERAL EQUILIBRIUM; INCREASING RETURNS; ECONOMIC-GROWTH; LABOR; INVESTMENT; MODEL; US C1 Arizona State Univ, Tempe, AZ 85287 USA. Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. RP Prescott, EC (reprint author), Arizona State Univ, Tempe, AZ 85287 USA. NR 65 TC 41 Z9 42 U1 4 U2 9 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 2006 VL 114 IS 2 BP 203 EP 235 DI 10.1086/503205 PG 33 WC Economics SC Business & Economics GA 032SL UT WOS:000236794900001 ER PT J AU Pennington-Cross, A AF Pennington-Cross, Anthony TI The value of foreclosed property SO JOURNAL OF REAL ESTATE RESEARCH LA English DT Article ID MORTGAGE INSURANCE INDUSTRY; PRICES; SEARCH; MARKET; LAWS AB This paper examines the expected price appreciation of distressed property and compares it to the prevailing metropolitan area appreciation rate. Whether due to individual property or local area heterogeneity in appreciation, the results show that foreclosed property appreciates less than the area average appreciation rate. The magnitude of the deviation is sensitive to loan characteristics, legal restrictions, housing market conditions and marketing time. C1 Fed Reserve Bank St Louis, St Louis, MO 63166 USA. RP Pennington-Cross, A (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63166 USA. EM Anthony.Pennington-Cross@stls.frb.org NR 22 TC 56 Z9 56 U1 0 U2 2 PU AMER REAL ESTATE SOCIETY PI CLEMSON PA CLEMSON UNIV, SCHOOL BUSINESS & BEHAVIORAL SCI, DEPT FINANCE, 314 SIRRINE HALL, CLEMSON, SC 29634 USA SN 0896-5803 J9 J REAL ESTATE RES JI J. Real Estate Res. PD APR-JUN PY 2006 VL 28 IS 2 BP 193 EP 214 PG 22 WC Business, Finance; Economics SC Business & Economics GA 103FR UT WOS:000241871600005 ER PT J AU Fernandez-Villaverde, J Rubio-Ramirez, JF AF Fernandez-Villaverde, J Rubio-Ramirez, JF TI Economic and VAR shocks: What can go wrong? SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 20th Annual Conference of the European-Economic-Association CY AUG 24-27, 2005 CL Amsterdam, NETHERLANDS SP European Econ Assoc AB This paper discusses the problem of invertibility between the economic shocks in a dynamic equilibrium model and the corresponding VAR innovations. We present an algebraic check of invertibility based on the model fundamentals and we find the identification scheme that recovers the economic shocks from the VAR innovations when the model is invertible. We illustrate our results with a model of the Great Depression proposed by Christiano, Motto, and Rostagno (2003). C1 Univ Penn, Philadelphia, PA 19104 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Fernandez-Villaverde, J (reprint author), Univ Penn, Philadelphia, PA 19104 USA. EM jesusfv@econ.upenn.edu; Juan.Rubio@atl.frb.org NR 3 TC 5 Z9 5 U1 0 U2 0 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR-MAY PY 2006 VL 4 IS 2-3 BP 466 EP 474 DI 10.1162/jeea.2006.4.2-3.466 PG 9 WC Economics SC Business & Economics GA 053WD UT WOS:000238335700016 ER PT J AU Doepke, M Schneider, M AF Doepke, M Schneider, M TI Aggregate implications of wealth redistribution: The case of inflation SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 20th Annual Conference of the European-Economic-Association CY AUG 24-27, 2005 CL Amsterdam, NETHERLANDS SP European Econ Assoc AB This paper shows that a zero-sum redistribution of wealth within a country can have persistent aggregate effects. Motivated by the case of an unanticipated inflation episode, we consider redistribution shocks that shift resources from old to young households. Aggregate effects arise because there are asymmetries in the reaction of winners and losers to changes in wealth. We focus on two sources of asymmetries: Differences in the average age of winners and losers, and differences in their labor force status. C1 Univ Calif Los Angeles, Los Angeles, CA 90024 USA. NYU, New York, NY USA. Fed Reserve Bank Minneapolis, Minneapolis, MN USA. RP Doepke, M (reprint author), Univ Calif Los Angeles, Los Angeles, CA 90024 USA. EM doepke@econ.ucla.edu; ms1927@nyu.edu NR 2 TC 9 Z9 9 U1 0 U2 2 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR-MAY PY 2006 VL 4 IS 2-3 BP 493 EP 502 DI 10.1162/jeea.2006.4.2-3.493 PG 10 WC Economics SC Business & Economics GA 053WD UT WOS:000238335700019 ER PT J AU Mukoyama, T Sahin, A AF Mukoyama, T Sahin, A TI Specialization and human capital in search equilibrium SO JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION LA English DT Article; Proceedings Paper CT 20th Annual Conference of the European-Economic-Association CY AUG 24-27, 2005 CL Amsterdam, NETHERLANDS SP European Econ Assoc AB This paper constructs a general equilibrium search-matching model with heterogeneous workers. Workers choose whether to invest in general human capital or specific human capital when they enter the labor market. We analyze how unemployment benefits affect the choice of the type of human capital investment. C1 Fed Reserve Bank New York, New York, NY USA. EM mukoyama@alcor.concordia.ca; aysegul.sahin@ny.frb.org NR 11 TC 4 Z9 4 U1 0 U2 4 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 1542-4766 J9 J EUR ECON ASSOC JI J. Eur. Econ. Assoc. PD APR-MAY PY 2006 VL 4 IS 2-3 BP 503 EP 512 DI 10.1162/jeea.2006.4.2-3.503 PG 10 WC Economics SC Business & Economics GA 053WD UT WOS:000238335700020 ER PT J AU Sims, CA Zha, T AF Sims, CA Zha, T TI Does monetary policy generate recessions? SO MACROECONOMIC DYNAMICS LA English DT Article DE monetary policy; identification; structural VAR ID BUSINESS-CYCLE; MODELS; SHOCKS; IDENTIFICATION; PUZZLE; PRIORS; FUNDS; RATES; MONEY AB We consider two kinds of answers to the title question: Do random shifts in monetary policy account for historical recessions, and would changes in the systematic component of monetary policy have allowed reductions in inflation or output variance without substantial costs. The answer to both questions is no. We use weak identifying assumptions and include extensive discussion of these assumptions, including a completely specified dynamic stochastic equilibrium model in which our identifying assumptions can be shown to be approximately satisfied. C1 Fed Res Bank Atlanta, Dept Res, Atlanta, GA 30303 USA. Princeton Univ, Princeton, NJ 08544 USA. RP Zha, T (reprint author), Fed Res Bank Atlanta, Dept Res, Atlanta, GA 30303 USA. EM tzha@mindspring.com NR 39 TC 96 Z9 101 U1 5 U2 8 PU CAMBRIDGE UNIV PRESS PI NEW YORK PA 40 WEST 20TH ST, NEW YORK, NY 10011-4211 USA SN 1365-1005 J9 MACROECON DYN JI Macroecon. Dyn. PD APR PY 2006 VL 10 IS 2 BP 231 EP 272 DI 10.1017/S136510050605019X PG 42 WC Economics SC Business & Economics GA 032WQ UT WOS:000236807400006 ER PT J AU Bassetto, M Benhabib, J AF Bassetto, M Benhabib, J TI Redistribution, taxes, and the median voter SO REVIEW OF ECONOMIC DYNAMICS LA English DT Article DE redistribution; median voter; capital income taxes; Gorman aggregation ID GENERAL EQUILIBRIUM; TAXATION; PREFERENCES; COMMITMENT; MODEL AB We study a simple model of production, accumulation, and redistribution, where agents are heterogeneous in their initial wealth, and a sequence of redistributive tax rates is voted upon. Though the policy is infinite-dimensional, we prove that a median voter theorem holds if households have identical, Gorman aggregable preferences; furthermore, the tax policy preferred by the median voter has the "bang-bang" property. (c) 2006 Elsevier Inc. All rights reserved. C1 NYU, Dept Econ, New York, NY 10003 USA. Natl Bur Econ Res, Cambridge, MA 02138 USA. Univ Minnesota, Minneapolis, MN 55455 USA. Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Benhabib, J (reprint author), NYU, Dept Econ, 269 Mercer St,7th Floor, New York, NY 10003 USA. EM bassetto@econ.umn.edu; jess.benhabib@nyu.edu OI Bassetto, Marco/0000-0001-8325-8450 NR 13 TC 10 Z9 10 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 2006 VL 9 IS 2 BP 211 EP 223 DI 10.1016/j.red.2006.02.001 PG 13 WC Economics SC Business & Economics GA 032PC UT WOS:000236785700001 ER PT J AU Phelan, C AF Phelan, C TI Opportunity and social mobility SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID REPEATED MORAL HAZARD; PRIVATE INFORMATION; INSURANCE; OPTIMA AB This paper argues that both unequal opportunity and social mobility are necessary implications of an efficient societal arrangement when incentives must be provided. C1 Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. Univ Minnesota, Minneapolis, MN 55455 USA. RP Phelan, C (reprint author), Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA. NR 15 TC 18 Z9 19 U1 0 U2 3 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD APR PY 2006 VL 73 IS 2 BP 487 EP 504 DI 10.1111/j.1467-937X.2006.00384.x PG 18 WC Economics SC Business & Economics GA 044BI UT WOS:000237646700008 ER PT J AU Prescott, ES Townsend, RM AF Prescott, ES Townsend, RM TI Private information and intertemporal job assignments SO REVIEW OF ECONOMIC STUDIES LA English DT Article ID PRE-DECISION INFORMATION; PRINCIPAL-AGENT PROBLEMS; MORAL HAZARD; COMMUNICATION; INCENTIVES; WORK AB This paper studies the assignment of people to projects over time in a model with private information. The combination of risk neutrality with incomplete contracts that restrict the ability of an agent to report on interim states is a force for long-term assignments. More generally, however. rotating agents can be valuable because it conceals information from agents, which mitigates incentive constraints. With complete contracts that communicate interim states, rotation allows for even more concealment possibilities and better-targeted incentives. Furthermore, it allows for the reporting of interim shocks at no cost to the principal. Properties of the production technology are also shown to matter. Substitutability of intertemporal effort is a force for long-term assignments, while coordination with Nash equilibrium strategies is a force for job rotation. C1 Fed Reserve Bank Richmond, Richmond, VA 23219 USA. Univ Chicago, Chicago, IL 60637 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Prescott, ES (reprint author), Fed Reserve Bank Richmond, Richmond, VA 23219 USA. NR 26 TC 1 Z9 1 U1 1 U2 9 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0034-6527 J9 REV ECON STUD JI Rev. Econ. Stud. PD APR PY 2006 VL 73 IS 2 BP 531 EP 548 DI 10.1111/j.1467-937X.2006.00386.x PG 18 WC Economics SC Business & Economics GA 044BI UT WOS:000237646700010 ER PT J AU Johnson, MH AF Johnson, MH TI School of life SO NEW REPUBLIC LA English DT Letter C1 Fed Reserve Syst, Washington, DC 20551 USA. RP Johnson, MH (reprint author), Fed Reserve Syst, Washington, DC 20551 USA. NR 0 TC 0 Z9 0 U1 0 U2 0 PU NEW REPUBLIC INC PI WASHINGTON PA 1331 H STREET, NW STE 700, WASHINGTON, DC 20005 USA SN 0028-6583 J9 NEW REPUBLIC JI New Repub. PD MAR 20 PY 2006 VL 234 IS 10-11 BP 4 EP 4 PG 1 WC Political Science SC Government & Law GA 022HY UT WOS:000236047500004 ER PT J AU Sims, CA Zha, T AF Sims, CA Zha, T TI Were there regime switches in US monetary policy? SO AMERICAN ECONOMIC REVIEW LA English DT Article ID VECTOR AUTOREGRESSIONS; MODELS; LIKELIHOOD AB A multivariate regime-switching model for monetary policy is confronted with U.S. data. The best fit allows time variation in disturbance variances only. With coefficients allowed to change, the best fit is with change only in the monetary policy rule and there are three estimated regimes corresponding roughly to periods when most observers believe that monetary, policy actually differed. But the differences among regimes are not large enough to account for the rise, then decline, in inflation of the 1970s and 1980s. Our estimates imply monetary targeting was central in the early 1980s, but also important sporadically in the 1970s. C1 Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. Fed Reserve Bank Atlanta, Res Dept, Atlanta, GA 30309 USA. RP Sims, CA (reprint author), Princeton Univ, Dept Econ, Princeton, NJ 08544 USA. EM sims@princeton.edu; tzha@mindspring.com NR 38 TC 363 Z9 365 U1 5 U2 31 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 2006 VL 96 IS 1 BP 54 EP 81 DI 10.1257/000282806776157678 PG 28 WC Economics SC Business & Economics GA 027LY UT WOS:000236418300003 ER PT J AU Rudd, J Whelan, K AF Rudd, J Whelan, K TI Can rational expectations sticky-price models explain inflation dynamics? SO AMERICAN ECONOMIC REVIEW LA English DT Article ID KEYNESIAN PHILLIPS-CURVE; MONETARY-POLICY; TESTS C1 Fed Reserve Syst, Board Governors, Div Res & Stat, Washington, DC 20551 USA. Cent Bank & Financial Serv Author Ireland, Dept Econ Anal Res & Publicat, Dublin 2, Ireland. RP Fed Reserve Syst, Board Governors, Div Res & Stat, 20th & C St NW,Mailstop 80, Washington, DC 20551 USA. EM jeremy.b.rudd@frb.gov; karl.whelan@centralbank.ie NR 23 TC 50 Z9 53 U1 1 U2 6 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 EI 1944-7981 J9 AM ECON REV JI Am. Econ. Rev. PD MAR PY 2006 VL 96 IS 1 BP 303 EP 320 DI 10.1257/000282806776157560 PG 18 WC Economics SC Business & Economics GA 027LY UT WOS:000236418300016 ER PT J AU Chang, YS Hong, JH AF Chang, YS Hong, JH TI Do technological improvements in the manufacturing sector raise or lower employment? SO AMERICAN ECONOMIC REVIEW LA English DT Article ID BUSINESS-CYCLE; SHOCKS; FLUCTUATIONS C1 Seoul Natl Univ, Sch Econ, Seoul 151742, South Korea. Fed Reserve Bank Richmond, Richmond, VA 23219 USA. Univ Penn, Dept Econ, Philadelphia, PA 19104 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Chang, YS (reprint author), Seoul Natl Univ, Sch Econ, Seoul 151742, South Korea. EM yohg@snu.ac.kr; jayhwa@econ.upenn.edu NR 28 TC 27 Z9 28 U1 2 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 MAR PY 2006 VL 96 IS 1 BP 352 EP 368 DI 10.1257/000282806776157687 PG 17 WC Economics SC Business & Economics GA 027LY UT WOS:000236418300019 ER PT J AU Mitcell, MF Moro, A AF Mitcell, MF Moro, A TI Persistent distortionary policies with asymmetric information SO AMERICAN ECONOMIC REVIEW LA English DT Article ID PROTECTION; TRANSFERS C1 Univ Iowa, Dept Econ, Iowa City, IA 52245 USA. Fed Reserve Bank New York, Res & Stat Grp, New York, NY 10045 USA. RP Mitcell, MF (reprint author), Univ Iowa, Dept Econ, Iowa City, IA 52245 USA. EM matthew-mitchell@uiowa.edu; andrea.moro@ny.frb.org OI Moro, Andrea/0000-0001-5570-8151 NR 21 TC 11 Z9 11 U1 1 U2 3 PU AMER ECONOMIC ASSOC PI NASHVILLE PA 2014 BROADWAY, STE 305, NASHVILLE, TN 37203 USA SN 0002-8282 J9 AM ECON REV JI Am. Econ. Rev. PD MAR PY 2006 VL 96 IS 1 BP 387 EP 393 DI 10.1257/000282806776157605 PG 7 WC Economics SC Business & Economics GA 027LY UT WOS:000236418300021 ER PT J AU Matschke, X Sherlund, SM AF Matschke, X Sherlund, SM TI Do labor issues matter in the determination of US trade policy? An empirical reevaluation SO AMERICAN ECONOMIC REVIEW LA English DT Article ID EQUATION TOBIT-MODEL; ENDOGENOUS PROTECTION; UNITED-STATES; SALE C1 Univ Connecticut, Dept Econ, Storrs, CT 06269 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Matschke, X (reprint author), Univ Connecticut, Dept Econ, Storrs, CT 06269 USA. EM xenia.matschke@uconn.edu; shane.m.sherlund@frb.gov NR 18 TC 20 Z9 20 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 MAR PY 2006 VL 96 IS 1 BP 405 EP 421 DI 10.1257/000282806776157524 PG 17 WC Economics SC Business & Economics GA 027LY UT WOS:000236418300023 ER PT J AU Hernandez-Murillo, R Owyang, MT AF Hernandez-Murillo, R Owyang, MT TI The information content of regional employment data for forecasting aggregate conditions SO ECONOMICS LETTERS LA English DT Article DE forecasting; aggregation; spatial econometrics AB We consider whether disaggregated data enhance the efficiency of aggregate employment forecasts. We find that incorporating spatial interaction into a disaggregated forecasting model lowers the out-of-sample mean squared error from a univariate aggregate model by 70% at a two-year horizon. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. RP Hernandez-Murillo, R (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 422, St Louis, MO 63166 USA. EM hernandez@stls.frb.org RI Owyang, Michael/I-5750-2016 OI Owyang, Michael/0000-0002-2109-3432 NR 2 TC 11 Z9 11 U1 0 U2 1 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD MAR PY 2006 VL 90 IS 3 BP 335 EP 339 DI 10.1016/j.econlet.2005.08.023 PG 5 WC Economics SC Business & Economics GA 024QW UT WOS:000236212100007 ER PT J AU Wen, Y AF Wen, Y TI Demand shocks and economic fluctuations SO ECONOMICS LETTERS LA English DT Article DE demand shocks; Hall's residual; real business cycles; crowding out; investment dynamics ID REAL BUSINESS-CYCLE; CAPACITY UTILIZATION AB This paper studies conditions under which demand-side shocks can generate realistic business cycles in RBC models. Although highly persistent demand shocks are necessary for generating procyclical. investment, variable capacity utilization and habit formation can reduce the required degree of persistence. Published by Elsevier B.V. C1 Fed Reserve Bank St Louis, Res Dept, St Louis, MO 63166 USA. RP Wen, Y (reprint author), Fed Reserve Bank St Louis, Res Dept, POB 442, St Louis, MO 63166 USA. EM yw57@cornell.edu RI Wen, Yi/I-5756-2016 OI Wen, Yi/0000-0001-5658-1578 NR 11 TC 3 Z9 3 U1 0 U2 2 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0165-1765 J9 ECON LETT JI Econ. Lett. PD MAR PY 2006 VL 90 IS 3 BP 378 EP 383 DI 10.1016/j.econlet.2005.09.010 PG 6 WC Economics SC Business & Economics GA 024QW UT WOS:000236212100014 ER PT J AU Georgellis, Y Wall, HJ AF Georgellis, Y Wall, HJ TI Entrepreneurship and the policy environment SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID SELF-EMPLOYMENT; LIQUIDITY CONSTRAINTS; PERSONAL BANKRUPTCY; UNITED-STATES; TAX; CREDIT; CHOICE; MODEL AB This paper uses a panel approach to examine the effect that the government-policy environment has on the level of entrepreneurship. Specifically, the authors investigate whether marginal income tax rates and bankruptcy exemptions influence rates of entrepreneurship. Whereas previous work in the literature finds that both policies are positively related to entrepreneurship, these results show non-monotonic relationships: a U-shaped relationship between marginal tax rates and entrepreneurship and an S-shaped relationship between bankruptcy exemptions and entrepreneurship. C1 Brunel Univ, Dept Econ & Finance, Uxbridge UB8 3PH, Middx, England. Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Georgellis, Y (reprint author), Brunel Univ, Dept Econ & Finance, Uxbridge UB8 3PH, Middx, England. OI Georgellis, Yannis/0000-0002-7866-8014 NR 39 TC 18 Z9 18 U1 1 U2 8 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2006 VL 88 IS 2 BP 95 EP 111 PG 17 WC Business, Finance; Economics SC Business & Economics GA 027NL UT WOS:000236422200001 ER PT J AU Wheeler, CH AF Wheeler, CH TI Human capital growth in a cross section of US metropolitan areas SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID EDUCATION; CITIES AB Growth of human capital, defined as the change in the fraction of a metropolitan area's labor force with a bachelor's degree, is typically viewed as generating a number of desirable outcomes, including economic growth. Yet, in spite of its importance, few empirical studies have explored why some economies accumulate more human capital than others. This paper attempts to do so using a sample of more than 200 metropolitan areas in the United States over the years 1980, 1990, and 2000. The results reveal two consistently significant correlates of human capital growth: population and the existing stock of college-educated labor. Given that population growth and human capital growth are both positively associated with education, these results suggest that the geographic distributions of population and human capital should have become more concentrated in recent decades. That is, larger, more-educated metropolitan areas should have exhibited the fastest rates of increase in both population and education and thus "pulled away" from smaller, less-educated metropolitan areas. The evidence largely supports this conclusion. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Wheeler, CH (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 22 TC 6 Z9 6 U1 0 U2 0 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2006 VL 88 IS 2 BP 113 EP 132 PG 20 WC Business, Finance; Economics SC Business & Economics GA 027NL UT WOS:000236422200002 ER PT J AU Kliesen, KL Schmid, FA AF Kliesen, KL Schmid, FA TI Macroeconomic news and real interest rates SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID MONETARY-POLICY; ECONOMIC-NEWS; BOND PRICES; MARKET AB Economic news affects the perceptions of investors, forecasters, and policymakers about the strength or weakness of the economy. These expectations are updated on the basis of regularly occurring surprises in macroeconomic announcement data. The response of asset prices to positive or negative announcement surprises has been a regular feature of the literature for more than 20 years. In this vein, the authors evaluate the responses of the yield of 10-year Treasury inflation-indexed securities to nearly three dozen macroeconomic announcements. They find that the real long-term rate of interest responds positively to surprises in a handful of key macroeconomic indicators, including labor productivity growth. Also, the authors find no support for the proposition that the Federal Reserve has information about its actions or the state of the real economy that is not in the pubic domain and, hence, not already priced in the real long-term interest rate. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Kliesen, KL (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RI Kliesen, Kevin/I-5746-2016 OI Kliesen, Kevin/0000-0002-7166-6016 NR 22 TC 2 Z9 2 U1 2 U2 2 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2006 VL 88 IS 2 BP 133 EP 143 PG 11 WC Business, Finance; Economics SC Business & Economics GA 027NL UT WOS:000236422200003 ER PT J AU Dueker, MJ AF Dueker, MJ TI Using cyclical regimes of output growth to predict jobless recoveries SO FEDERAL RESERVE BANK OF ST LOUIS REVIEW LA English DT Article ID BUSINESS-CYCLE; RECESSIONS AB Gaps between output and employment growth are often attributed to transitional phases by which the economy adjusts to shifts in the rate of trend productivity growth. Nevertheless, cyclical factors can also drive a wedge between output and employment growth. This article shows that one measure of cyclical dynamics-the expected output loss associated with a recession-helps predict the gap between output and employment growth in the coming four quarters. This measure of the output loss associated with a recession can take unexpected twists and turns as the recovery unfolds. The empirical results in this paper support the proposition that a weaker-than-expected rebound in the economy can partially mute employment growth for a time relative to output growth. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Dueker, MJ (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. NR 13 TC 1 Z9 1 U1 0 U2 4 PU FEDERAL RESERVE BANK ST LOUIS PI ST LOUIS PA BOX 442, ST LOUIS, MO 63166 USA SN 0014-9187 J9 FED RESERVE BANK ST JI Fed. Reserve Bank St. Louis Rev. PD MAR-APR PY 2006 VL 88 IS 2 BP 145 EP 153 PG 9 WC Business, Finance; Economics SC Business & Economics GA 027NL UT WOS:000236422200004 ER PT J AU Anderson, PM Butcher, KF AF Anderson, PM Butcher, KF TI Childhood obesity: Trends and potential causes SO FUTURE OF CHILDREN LA English DT Article ID BODY-MASS INDEX; RANDOMIZED CONTROLLED-TRIAL; YOUNG CHILDRENS DIETS; PHYSICAL-ACTIVITY; MATERNAL EMPLOYMENT; FOOD-CONSUMPTION; NONOBESE ADOLESCENTS; ENERGY-INTAKE; JUICE INTAKE; TELEVISION AB The increase in childhood obesity over the past several decades, together with the associated health problems and costs, is raising grave concern among health care professionals, policy experts, children's advocates, and parents. Patricia Anderson and Kristin Butcher document trends in children's obesity and examine the possible underlying causes of the obesity epidemic. They begin by reviewing research on energy intake, energy expenditure, and "energy balance," noting that children who eat more " empty calories" and expend fewer calories through physical activity are more likely to be obese than other children. Next they ask what has changed in children's environment over the past three decades to upset this energy balance equation. In particular, they examine changes in the food market, in the built environment, in schools and child care settings, and in the role of parents-paying attention to the timing of these changes. Among the changes that affect children's energy intake are the increasing availability of energy-dense, high-calorie foods and drinks through schools. Changes in the family, particularly an increase in dual-career or single-parent working families, may also have increased demand for food away from home or pre-prepared foods. A host of factors have also contributed to reductions in energy expenditure. In particular, children today seem less likely to walk to school and to be traveling more in cars than they were during the early 1970s, perhaps because of changes in the built environment. Finally, children spend more time viewing television and using computers. Anderson and Butcher find no one factor that has led to increases in children's obesity. Rather, many complementary changes have simultaneously increased children's energy intake and decreased their energy expenditure. The challenge in formulating policies to address children's obesity is to learn how best to change the environment that affects children's energy balance. C1 Dartmouth Coll, Hanover, NH 03755 USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Anderson, PM (reprint author), Dartmouth Coll, Hanover, NH 03755 USA. NR 94 TC 234 Z9 236 U1 6 U2 100 PU WOODROW WILSON SCH PUBLIC & INT AFFARIS, PRINCETON UNIV & BROOKINS INST PI WASHINGTON PA BROOKINGS INSTITUTION, 1775 MASSACHUSETTS AVE, NW, WASHINGTON, DC 20036 USA SN 1054-8289 J9 FUTURE CHILD JI Future Child. PD SPR PY 2006 VL 16 IS 1 BP 19 EP 45 DI 10.1353/foc.2006.0001 PG 27 WC Family Studies; Health Policy & Services; Social Sciences, Interdisciplinary SC Family Studies; Health Care Sciences & Services; Social Sciences - Other Topics GA 029HG UT WOS:000236551900002 PM 16532657 ER PT J AU Brewer, E Jackson, WE AF Brewer, E Jackson, WE TI A note on the "risk-adjusted" price-concentration relationship in banking SO JOURNAL OF BANKING & FINANCE LA English DT Article DE structure-conduct-performance; efficient-structure; consumer deposit pricing; risk-adjusted; commercial banks ID FEDERAL DEPOSIT INSURANCE; MARKET-POWER; RIGIDITY; INDUSTRY; POLICY AB Price-concentration studies in banking typically find a significant and negative relationship between consumer deposit rates (i.e., prices) and market concentration. This implies highly concentrated banking markets are "bad" for depositors. It also provides support for the Structure-Conduct-Performance hypothesis and rejects the Efficient-Structure hypothesis. However, these studies have focused almost exclusively on supply-side control variables and neglected demand-side variables when estimating the reduced form price-concentration relationship. For example, previous studies have not included in their analysis bank-specific risk variables as measures of cross-sectional derived deposit demand. We find that when bank-specific risk variables are included in the analysis the magnitude of the relationship between deposit rates and market concentration decreases by over 50%. We offer an explanation for these results based on the correlation between a bank's risk profile and the structure of the market in which it operates. These results suggest that it may be necessary to reconsider the well-established assumption that higher market concentration necessarily leads to anticompetitive deposit pricing behavior by commercial banks. This has direct implications for the antitrust evaluations of bank merger and acquisition proposals by regulatory agencies. And, in a more general sense, these results suggest that any Structure-Conduct-Performance based study that does not explicitly consider the possibility of very different risk profiles of the firms analyzed may indeed miss a very important set of explanatory variables. And, thus, the results from those studies may be spurious. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Atlanta, Dept Res, Atlanta, GA 30309 USA. Depaul Univ, Dept Finance, Chicago, IL 60604 USA. Fed Reserve Bank Chicago, Dept Res, Chicago, IL 60604 USA. Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27599 USA. RP Jackson, WE (reprint author), Fed Reserve Bank Atlanta, Dept Res, 1000 Peachtree St NE, Atlanta, GA 30309 USA. EM ebreweri@depaul.edu; william.jackson@atl.frb.org NR 35 TC 10 Z9 10 U1 3 U2 6 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 2006 VL 30 IS 3 BP 1041 EP 1054 DI 10.1016/j.jbankfin.2005.06.006 PG 14 WC Business, Finance; Economics SC Business & Economics GA 030NU UT WOS:000236642200013 ER PT J AU Dick, AA AF Dick, AA TI Nationwide branching and its impact on market structure, quality, and bank performance SO JOURNAL OF BUSINESS LA English DT Article ID DEREGULATION; RESTRICTIONS; INDUSTRY AB The paper examines the effects of the Riegle-Neal branching deregulation in the 1990s on banking market structure, service, and performance. While concentration at the regional level has increased, deregulation has left almost intact the structure of metropolitan markets, which have between two and three dominant banks - controlling over half of market deposits - both at the beginning and the end of the sample. A significant portion of the observed increase in branch networks can be traced to the deregulation, allowing consumers to enjoy larger fee-free networks locally and regionally. Costs, service fees, and credit risk increase, spreads fall, and profits are unaffected. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Dick, AA (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM astrid.dick@ny.frb.org RI Dick, Astrid/C-1261-2010 NR 14 TC 46 Z9 46 U1 0 U2 5 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 MAR PY 2006 VL 79 IS 2 BP 567 EP 592 DI 10.1086/499131 PG 26 WC Business SC Business & Economics GA 015FH UT WOS:000235536800004 ER PT J AU Furfine, C AF Furfine, C TI The costs and benefits of moral suasion: Evidence from the rescue of long-term capital management SO JOURNAL OF BUSINESS LA English DT Article ID BANKS; MARKET; FUNDS; RISK AB This study examines the level of unsecured borrowing done by the firms that ultimately rescued Long-Term Capital Management in the days leading up to the hedge fund's rescue. Although these banks borrowed less at the height of the crisis, evidence suggests that this reduction in borrowing was demand-driven and did not result from rationing by the market. Further, it is shown that large banks that were not involved with the LTCM rescue saw the rates they pay for unsecured funds decline following the hedge fund's resolution. This finding is consistent with an increase in the strength of a too-big-to-fail policy. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Furfine, C (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM craig.furfine@chi.frb.org NR 19 TC 12 Z9 12 U1 0 U2 3 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 MAR PY 2006 VL 79 IS 2 BP 593 EP 622 DI 10.1086/499132 PG 30 WC Business SC Business & Economics GA 015FH UT WOS:000235536800005 ER PT J AU Guo, H AF Guo, H TI On the out-of-sample predictability of stock market returns SO JOURNAL OF BUSINESS LA English DT Article ID ECONOMIC-SIGNIFICANCE; FORECAST EVALUATION; CONSUMPTION; PRICES; BONDS; COSTS; RISK AB In this paper, I provide new evidence of the out-of-sample predictability of stock returns. In particular, I find that the consumption-wealth ratio in conjunction with a measure of aggregate stock market volatility exhibits substantial out-of-sample forecasting power for excess stock market returns. Also, simple trading strategies based on the documented predictability generate returns of higher mean and lower volatility than the buy-and-hold strategy does, and this difference is economically important. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Guo, H (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. EM hui.guo@stls.frb.org NR 32 TC 37 Z9 38 U1 0 U2 8 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 MAR PY 2006 VL 79 IS 2 BP 645 EP 670 DI 10.1086/499134 PG 26 WC Business SC Business & Economics GA 015FH UT WOS:000235536800007 ER PT J AU Rosen, RJ AF Rosen, RJ TI Merger momentum and investor sentiment: The stock market reaction to merger announcements SO JOURNAL OF BUSINESS LA English DT Article ID ACQUIRING FIRMS; CORPORATE ACQUISITIONS; BIDDING FIRMS; TOBINS-Q; PERFORMANCE; RETURNS; GAINS; SHAREHOLDERS; OWNERSHIP; DECISIONS AB This paper examines the effects of mergers on bidding firms' stock prices. I find evidence of merger momentum: bidder stock prices are more likely to increase when a merger is announced if recent mergers by other firms have been received well (a "hot" merger market) or if the overall stock market is doing better. However, there is long-run reversal. Long-run bidder stock returns are lower for mergers announced when either the merger or stock markets were hot at the time of the merger than for those announced at other times. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. RP Rosen, RJ (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. EM rrosen@frbchi.org NR 36 TC 38 Z9 38 U1 3 U2 25 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 MAR PY 2006 VL 79 IS 2 BP 987 EP 1017 DI 10.1086/499146 PG 31 WC Business SC Business & Economics GA 015FH UT WOS:000235536800020 ER PT J AU Bollerslev, T Zhou, H AF Bollerslev, T Zhou, H TI Volatility puzzles: a simple framework for gauging return-volatility regressions SO JOURNAL OF ECONOMETRICS LA English DT Article DE leverage asymmetry; volatility feedback; implied volatility forecast; realized volatility; stochastic volatility niodel; instrument variable ID STOCK-MARKET VOLATILITY; STOCHASTIC VOLATILITY; EMPIRICAL-EVIDENCE; ASYMMETRIC VOLATILITY; IMPLIED VOLATILITY; TERM STRUCTURE; OPTION PRICES; TIME-SERIES; RISK PREMIA; MODEL AB This paper provides a simple theoretical framework for assessing the empirical linkages between returns and realized and implied volatilities. First, we show that whereas the volatility feedback effect as measured by the sign of the correlation between contemporaneous return and realized volatility depends importantly on the underlying structural model parameters, the correlation between return and implied volatility is unambiguously positive for all reasonable parameter configurations. Second, the asymmetric response of current volatility to lagged negative and positive returns, typically referred to as the leverage effect, is always stronger for implied than realized volatility. Third, implied volatilities generally provide downward biased forecasts Of Subsequent realized volatilities. Our results help explain previous findings reported in the extant empirical literature, and is further corroborated by new estimation results for a sample of monthly returns and implied and realized volatilities for the S&P500 aggregate market index. (c) 2005 Elsevier 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, Mail Stop 91, Washington, DC 20551 USA. EM boller@econ.duke.edu; hao.zhou@frb.gov NR 70 TC 62 Z9 62 U1 6 U2 17 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD MAR-APR PY 2006 VL 131 IS 1-2 BP 123 EP 150 DI 10.1016/j.jeconom.2005.01.006 PG 28 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 027IX UT WOS:000236410000006 ER PT J AU Diebold, FX Rudebusch, GD Aruoba, SB AF Diebold, FX Rudebusch, GD Aruoba, SB TI The macroeconomy and the yield curve: a dynamic latent factor approach SO JOURNAL OF ECONOMETRICS LA English DT Article DE term structure; interest rates; macroeconomic fundamentals; factor model; state-space model ID NOMINAL INTEREST-RATES; TERM STRUCTURE; MONETARY-POLICY; MODELS; VARIABLES AB We estimate a. model that summarizes the yield curve using latent factors (specifically, level, slope, and Curvature) and also includes observable macroeconomic variables (specifically, real activity, inflation, and the monetary policy instrument). Our goal is to provide a characterization of the dynamic interactions between the macroeconomy and the yield Curve. We find strong evidence of the effects of macro variables on future movements in the yield curve and evidence for a reverse influence as well. We also relate our results to the expectations hypothesis. (c) 2005 Elsevier B.V. All rights reserved. C1 Univ Maryland, Dept Econ, College Pk, MD 20742 USA. Univ Penn, Dept Econ, Philadelphia, PA USA. Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Aruoba, SB (reprint author), Univ Maryland, Dept Econ, College Pk, MD 20742 USA. EM fdiebold@sas.upenn.edu; glenn.rudebusch@sf.frb.org; aruoba@econ.umd.edu NR 34 TC 164 Z9 167 U1 0 U2 12 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD MAR-APR PY 2006 VL 131 IS 1-2 BP 309 EP 338 DI 10.1016/j.jeconom.2005.01.011 PG 30 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 027IX UT WOS:000236410000012 ER PT J AU Ang, A Plazzesi, M Wei, M AF Ang, A Plazzesi, M Wei, M TI What does the yield curve tell us about GDP growth? SO JOURNAL OF ECONOMETRICS LA English DT Article DE term structure; forecasting; financial markets and the macroeconomy; monetary policy ID TERM-STRUCTURE; INTEREST-RATES; ECONOMIC-ACTIVITY; INFORMATION; VARIABLES; MATURITY; RETURNS; MODELS AB A lot, including a few things you may not expect. Previous studies find that the term spread forecasts GDP but these regressions are unconstrained and do not model regressor endogencity. We build a dynamic model for GDP growth and yields that completely characterizes expectations of GDP. The model does not permit arbitrage. Contrary to previous findings, we predict that the short rate has more predictive power than any term spread. We confirm this finding by forecasting GDP out-of-sample. The model also recommends the use of lagged GDP and the longest maturity yield to measure slope. Greater efficiency enables the yield-curve model to produce superior out-of-sample GDP forecasts than unconstrained OLS regressions at all horizons. (c) 2005 Elsevier B.V. All rights reserved. C1 Columbia Univ, Columbia Business Sch, New York, NY 10027 USA. Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA. Board Governors Fed Reserve, Div Monetary Affairs, Washington, DC 20551 USA. RP Ang, A (reprint author), Columbia Univ, Columbia Business Sch, 3022 Broadway,805 Uris Hall, New York, NY 10027 USA. EM aa610@columbia.edu; monika.piazzesi@gsb.uchicago.edu; min.wei@frb.gov NR 62 TC 149 Z9 151 U1 5 U2 26 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-4076 J9 J ECONOMETRICS JI J. Econom. PD MAR-APR PY 2006 VL 131 IS 1-2 BP 359 EP 403 DI 10.1016/j.jeconom.2005.01.032 PG 45 WC Economics; Mathematics, Interdisciplinary Applications; Social Sciences, Mathematical Methods SC Business & Economics; Mathematics; Mathematical Methods In Social Sciences GA 027IX UT WOS:000236410000014 ER PT J AU Rosenberg, JV Schuermann, T AF Rosenberg, JV Schuermann, T TI A general approach to integrated risk management with skewed, fat-tailed risks SO JOURNAL OF FINANCIAL ECONOMICS LA English DT Article DE market risk; credit risk; operational risk; risk diversification; copula ID VALUE-AT-RISK; FINANCIAL RISK; DENSITY FORECASTS; DEPENDENCE; COPULAS; MARKETS AB Integrated risk management for financial institutions requires an approach for aggregating risk types (market, credit, and operational) whose distributional shapes vary considerably. We construct the joint risk distribution for a typical large, internationally active bank using the method of copulas. This technique allows us to incorporate realistic marginal distributions that capture essential empirical features of these risks such as skewness and fat-tails while allowing for a rich dependence structure. We explore the impact of business mix and inter-risk correlations on total risk. We then compare the copula-based method with several conventional approaches to computing risk. (c) 2005 Elsevier B.V. All rights reserved. C1 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. EM joshua.rosenberg@ny.frb.org; til.schuermann@ny.frb.org NR 45 TC 90 Z9 101 U1 2 U2 32 PU ELSEVIER SCIENCE SA PI LAUSANNE PA PO BOX 564, 1001 LAUSANNE, SWITZERLAND SN 0304-405X J9 J FINANC ECON JI J. Financ. Econ. PD MAR PY 2006 VL 79 IS 3 BP 569 EP 614 DI 10.1016/j.jfineco.2005.03.001 PG 46 WC Business, Finance; Economics SC Business & Economics GA 019CV UT WOS:000235814100004 ER PT J AU Cascio, EU Lewis, EG AF Cascio, EU Lewis, EG TI Schooling and the Armed Forces Qualifying Test - Evidence from school-entry laws SO JOURNAL OF HUMAN RESOURCES LA English DT Article ID INSTRUMENTAL VARIABLES; COGNITIVE-DEVELOPMENT; AGE; WHITE; ACHIEVEMENT; INTELLIGENCE; READINESS; EDUCATION; PROGRAMS; EARNINGS AB How much can late schooling investments close racial and ethnic skill gaps? We investigate this question by exploiting the large differences in completed schooling that arise among teenagers with birthdays near school-entry cutoff dates. We estimate that an additional year of high school raises the Armed Forces Qualifying Test (AFQT) scores of minorities in the NLSY 79 by 0.31 to 0.32 standard deviations. These estimates imply that closing existing racial and ethnic gaps in schooling could close skill gaps by between 25 and 50 percent. Our approach also uncovers a significant direct effect of season of birth on test scores, suggesting that previous estimates using season of birth as an instrument for schooling are biased. C1 Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. Fed Reserve Bank Philadelphia, Philadelphia, PA USA. RP Cascio, EU (reprint author), Univ Calif Davis, Dept Econ, Davis, CA 95616 USA. EM eucascio@ucdavis.edu NR 43 TC 57 Z9 58 U1 5 U2 11 PU UNIV WISCONSIN PRESS PI MADISON PA JOURNAL DIVISION, 1930 MONROE ST, 3RD FL, MADISON, WI 53711 USA SN 0022-166X EI 1548-8004 J9 J HUM RESOUR JI J. Hum. Resour. PD SPR PY 2006 VL 41 IS 2 BP 294 EP 318 PG 25 WC Economics; Industrial Relations & Labor SC Business & Economics GA 033DS UT WOS:000236827300003 ER PT J AU Kose, MA Yi, KM AF Kose, MA Yi, KM TI Can the standard international business cycle model explain the relation between trade and comovement? SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE international trade; international business cycle comovement ID CURRENCY AREA CRITERIA; VERTICAL SPECIALIZATION; WORLD-TRADE; GROWTH; TRANSMISSION; FLUCTUATIONS; ENDOGENEITY; COUNTRIES; COSTS AB Recent empirical research finds that pairs of countries with stronger trade linkages tend to have more highly correlated business cycles. We assess whether the standard international business cycle framework can replicate this intuitive result. We employ a three-country model with transportation costs. We simulate the effects of increased goods market integration under two asset market structures, complete markets and international financial autarky. Our main finding is that under both asset market structures the model can generate stronger correlations for pairs of countries that trade more, but the increased correlation falls far short of the empirical findings. Even when we control for the fact that most country-pairs are small with respect to the rest-of-the-world, the model continues to fall short. We also conduct additional simulations that allow for increased trade with the third country or increased TFP shock comovement to affect the country-pair's business cycle comovement. These simulations are helpful in highlighting channels that could narrow the gap between the empirical findings and the predictions of the model. (c) 2005 Elsevier B.V. All rights reserved. C1 Int Monetary Fund, Washington, DC 20431 USA. Fed Reserve Bank Philadelphia, Dept Res, Philadelphia, PA 19106 USA. RP Kose, MA (reprint author), Int Monetary Fund, 700 19th St NW, Washington, DC 20431 USA. EM akose@imf.org; Kei-Mu.Yi@phil.frb.org NR 33 TC 56 Z9 56 U1 3 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 2006 VL 68 IS 2 BP 267 EP 295 DI 10.1016/j.jinteco.2005.07.002 PG 29 WC Economics SC Business & Economics GA 030LZ UT WOS:000236637400001 ER PT J AU Crowley, MA AF Crowley, MA TI Do safeguard tariffs and antidumping duties open or close technology gaps? SO JOURNAL OF INTERNATIONAL ECONOMICS LA English DT Article DE trade theory; trade policy; technology adoption; antidumping; safeguard measures ID PROTECTION; DIFFUSION; GAME AB This paper examines how the country-breadth of tariff protection can affect the technology adoption decisions of both domestic import-competing and foreign exporting firms. The contribution of the analysis is to show how firm-level technology adoption changes under tariffs of different country-breadth. I show that a country-specific tariff like an antidumping duty induces both domestic import-competing firms and foreign exporting firms to adopt a new technology earlier than they would under free trade. In contrast, a broadly-applied tariff like a safeguard can accelerate technology adoption by a domestic import-competing firm, but will slow-down technology adoption by foreign exporting firms. Because safeguard tariffs can delay the foreign firm's adoption of new technology, the worldwide welfare costs associated with using them may be larger than is generally believed. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Chicago, Econ Res, Chicago, IL 60604 USA. RP Crowley, MA (reprint author), Fed Reserve Bank Chicago, Econ Res, 230 LaSalle St, Chicago, IL 60604 USA. EM mcrowley@frbchi.org NR 32 TC 17 Z9 17 U1 1 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 2006 VL 68 IS 2 BP 469 EP 484 DI 10.1016/j.jinteco.2005.06.007 PG 16 WC Economics SC Business & Economics GA 030LZ UT WOS:000236637400011 ER PT J AU Ravenna, F Walsh, CE AF Ravenna, F Walsh, CE TI Optimal monetary policy with the cost channel SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE cost channel; optimal monetary policy; sticky prices ID INFLATION DYNAMICS; MOMENTS ESTIMATORS; GENERALIZED-METHOD; PRICES AB In the standard new Keynesian framework, an optimizing policy maker does not face a trade-off between stabilizing the inflation rate and stabilizing the gap between actual output and output under flexible prices. An ad hoc, exogenous cost-push shock is typically added to the inflation equation to generate a meaningful policy problem. In this paper, we show that a cost-push shock arises endogenously when a cost channel for monetary policy is introduced into the new Keynesian model. A cost channel is present when firms' marginal cost depends directly on the nominal rate of interest. Besides providing empirical evidence for a cost channel, we explore its implications for optimal monetary policy. We show that its presence alters the optimal policy problem in important ways. For example, both the output gap and inflation are allowed to fluctuate in response to productivity and demand shocks under optimal monetary policy. (c) 2006 Elsevier B.V. All rights reserved. C1 Univ Calif Santa Cruz, Dept Econ, Santa Cruz, CA 95064 USA. Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Univ Calif Santa Cruz, Dept Econ, 1156 High St, Santa Cruz, CA 95064 USA. EM walshc@ucsc.edu NR 22 TC 112 Z9 114 U1 0 U2 5 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3932 EI 1873-1295 J9 J MONETARY ECON JI J. Monetary Econ. PD MAR PY 2006 VL 53 IS 2 BP 199 EP 216 DI 10.1016/j.jmoneco.2005.01.004 PG 18 WC Business, Finance; Economics SC Business & Economics GA 030PD UT WOS:000236645800002 ER PT J AU Ennis, HM Keister, T AF Ennis, HM Keister, T TI Bank runs and investment decisions revisited SO JOURNAL OF MONETARY ECONOMICS LA English DT Article DE banking panics; liquidity; investment ID LIQUIDITY AB We examine how the possibility of a bank run affects the investment decisions made by a competitive bank. Cooper and Ross [1998. Bank runs: liquidity costs and investment distortions. Journal of Monetary Economics 41, 27-38] have shown that when the probability of a run is small, the bank will offer a contract that admits a bank-run equilibrium. We show that, in this case, the bank will chose to hold an amount of liquid reserves exactly equal to what withdrawal demand will be if a run does not occur; precautionary or "excess" liquidity will not be held. This result allows us to show that when the cost of liquidating investment early is high, an increase in the probability of a run will lead the bank to invest less. However, when liquidation costs are moderate, the level of investment is increasing in the probability of a run. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Bank Richmond, Dept Res, Richmond, VA 23261 USA. ITAM, Ctr Invest Econ, Mexico City 10700, DF, Mexico. RP Ennis, HM (reprint author), Fed Reserve Bank Richmond, Dept Res, POB 27622, Richmond, VA 23261 USA. EM Huberto.Ennis@rich.frb.org; keister@itam.mx RI Keister, Todd/B-5951-2008 NR 13 TC 9 Z9 9 U1 6 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 MAR PY 2006 VL 53 IS 2 BP 217 EP 232 DI 10.1016/j.jmoneco.2004.09.006 PG 16 WC Business, Finance; Economics SC Business & Economics GA 030PD UT WOS:000236645800003 ER PT J AU Eggertsson, GB AF Eggertsson, GB TI The deflation bias and committing to being irresponsible SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE deflation; liquidity traps; zero bound on interest rates ID MONETARY-POLICY; ECONOMY; PRICES AB I model deflation, at zero nominal interest rate, in a microfounded general equilibrium model. I show that one can analyze deflation as, a credibility problem if three conditions are satisfied. First: The government's only policy instrument is increasing the money supply by open market operations in short-term bonds. Second: The economy is subject to large negative demand shocks. Third: The government cannot commit to future policy. I call the credibility problem that arises under these conditions the deflation bias. I propose several policies to solve it. They all involve printing money or issuing nominal debt. In addition they require cutting taxes, buying real assets such as stocks, or purchasing foreign exchange. The government "credibly commits to being irresponsible" by pursuing these policies. It commits to higher money supply in the future so that the private sector expects inflation instead of deflation. This is optimal since it curbs deflation and increases output by lowering the real rate of return. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Fed Reserve Bank New York, New York, NY 10045 USA. EM Gauti.Eggertsson@ny.frb.org NR 59 TC 26 Z9 26 U1 0 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR PY 2006 VL 38 IS 2 BP 283 EP 321 DI 10.1353/mcb.2006.0031 PG 39 WC Business, Finance; Economics SC Business & Economics GA 027NQ UT WOS:000236422700001 ER PT J AU Guerrieri, L AF Guerrieri, L TI The inflation persistence of staggered contracts SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE maximum likelihood; Phillips curve ID BUSINESS-CYCLE; PRICES AB One of the criticisms routinely advanced against models with staggered contracts is their inability to generate inflation persistence. This paper finds that staggered contracts]a Taylor are, in fact, capable of reproducing the inflation persistence implied by U.S. data. Following Fuhrer and Moore, I capture the moments that the model needs to replicate by using the correlograms from a small vector autoregression (VAR). I estimate the contract parameters using the method of maximum likelihood. The correlogram of inflation for the contract model is very close to the correlogram from the VAR. By the same metric, Taylor contracts fare poorly in reproducing the comovements of inflation and output. C1 Fed Reserve Syst, Washington, DC 20551 USA. RP Guerrieri, L (reprint author), Fed Reserve Syst, Washington, DC 20551 USA. EM luca.guerrieri@frb.gov NR 21 TC 4 Z9 4 U1 1 U2 1 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR PY 2006 VL 38 IS 2 BP 483 EP 494 DI 10.1353/mcb.2006.0033 PG 12 WC Business, Finance; Economics SC Business & Economics GA 027NQ UT WOS:000236422700009 ER PT J AU Thornton, DL AF Thornton, DL TI Tests of the expectations hypothesis: Resolving the Campbell-Shiller paradox SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE expectations hypothesis; Campbell-Shiller paradox; Monte Carlo experiment ID INTEREST-RATE MOVEMENTS; TERM STRUCTURE; INTEREST-RATES; RATIONAL-EXPECTATIONS; YIELD SPREADS; AFFINE MODELS; PREMIA; INFORMATION; REGIMES; VIEW AB One of the more puzzling results in the expectations hypothesis (EH) testing literature is the Campbell-Shiller paradox (CSP). In an influential paper, Campbell and Shiller (1991) found that "the slope of the term structure almost always gives a forecast in the wrong direction for the short-term change in the yield on the longer bond, but gives a forecast in the right direction for long-term changes in short rates." This paper provides an econometric resolution to the CSP. Specifically, it shows that, by their construction, these tests can generate results consistent with the CSP if the EH does not hold-whatever the reason. Monte Carlo experiments confirm that this explanation can account for Campbell and Shiller's paradoxical results for most pairings of short-term and long-term rates considered. C1 Fed Reserve Bank St Louis, St Louis, MO 63102 USA. RP Thornton, DL (reprint author), Fed Reserve Bank St Louis, St Louis, MO 63102 USA. EM thornton@stls.frb.org NR 42 TC 10 Z9 10 U1 2 U2 7 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD MAR PY 2006 VL 38 IS 2 BP 511 EP 542 DI 10.1353/mcb.2006.0036 PG 32 WC Business, Finance; Economics SC Business & Economics GA 027NQ UT WOS:000236422700011 ER PT J AU Harrigan, J Venables, AJ AF Harrigan, J Venables, AJ TI Timeliness and agglomeration SO JOURNAL OF URBAN ECONOMICS LA English DT Article DE just-in-time; clustering; location; trade ID TIME AB An important element of the cost of distance is time taken in delivering final and intermediate goods. We argue that time costs are qualitatively different from direct monetary costs such as freight charges. The difference arises because of uncertainty. Unsynchronised deliveries can disrupt production, and delivery time can force producers to order components before demand and cost uncertainties are resolved. Using several related models we show that this generates a hitherto unexplored mechanism for clustering. If final assembly takes place in two locations and component production has increasing returns to scale, then component production will tend to cluster around just one of the assembly plants. (c) 2005 Elsevier Inc. All rights reserved. C1 London Sch Econ, Dept Econ, London WC2A 2AE, England. Fed Reserve Bank New York, Int Res Dept, New York, NY 10045 USA. NBER, Cambridge, MA 02138 USA. RP Venables, AJ (reprint author), London Sch Econ, Dept Econ, Houghton St, London WC2A 2AE, England. EM james.harrigan@ny.frb.org; a.j.venables@lse.ac.uk NR 19 TC 26 Z9 27 U1 2 U2 4 PU ACADEMIC PRESS INC ELSEVIER SCIENCE PI SAN DIEGO PA 525 B ST, STE 1900, SAN DIEGO, CA 92101-4495 USA SN 0094-1190 J9 J URBAN ECON JI J. Urban Econ. PD MAR PY 2006 VL 59 IS 2 BP 300 EP 316 DI 10.1016/j.jue.2005.10.004 PG 17 WC Economics; Urban Studies SC Business & Economics; Urban Studies GA 025VN UT WOS:000236295200007 ER PT J AU Tamura, R AF Tamura, R TI Human accomplishment: 800 BC to 1950 SO PUBLIC CHOICE LA English DT Review ID ECONOMIC-GROWTH C1 Clemson Univ, Walker Dept Econ, Clemson, SC 29634 USA. Fed Reserve Bank Atlanta, Clemson, SC 29634 USA. RP Tamura, R (reprint author), Clemson Univ, Walker Dept Econ, Clemson, SC 29634 USA. EM rtamura@clemson.edu NR 17 TC 1 Z9 1 U1 0 U2 1 PU SPRINGER PI DORDRECHT PA VAN GODEWIJCKSTRAAT 30, 3311 GZ DORDRECHT, NETHERLANDS SN 0048-5829 J9 PUBLIC CHOICE JI Public Choice PD MAR PY 2006 VL 126 IS 3-4 BP 485 EP 503 DI 10.1007/s11127-006-1055-0 PG 19 WC Economics; Political Science SC Business & Economics; Government & Law GA 028UF UT WOS:000236513600014 ER PT J AU Case, B Colwell, PF Leishman, C Watkins, C AF Case, B Colwell, PF Leishman, C Watkins, C TI The impact of environmental contamination on condo prices: A hybrid repeat-sale/hedonic approach SO REAL ESTATE ECONOMICS LA English DT Article ID RESIDENTIAL PROPERTY-VALUES; REAL-ESTATE; WASTE SITES; INDEXES; SALES; METHODOLOGIES; CONSTRUCTION; REGRESSION; QUALITY; AIRPORT AB We extend the literature on the impact of externalities using an approach based on a hybrid of hedonic and repeat-sales methods. The externality in question is groundwater contamination in Scottsdale, Arizona. The use of condominium sales allows us to assume that major physical characteristics remain unchanged, but location parameters may be altered by urban growth and development as well as contamination. We find an economically significant discount for properties located in the contaminated area. Interestingly, it does not appear until several years after the contamination becomes publicly known, and it seems to have disappeared before the end of the study period. C1 Fed Reserve Board, Washington, DC 20551 USA. Univ Illinois, Dept Finance, Champaign, IL 61820 USA. Heriot Watt Univ, Sch Built Environm, Edinburgh EH14 4AS, Midlothian, Scotland. Univ Sheffield, Dept Town & Reg Planning, Sheffield S10 2TN, S Yorkshire, England. RP Case, B (reprint author), Fed Reserve Board, Washington, DC 20551 USA. EM Bradford.Case@frb.gov; pcolwell@uiuc.edu; c.m.leishman@hw.ac.uk; c.a.watkins@sheffield.ac.uk OI Watkins, Craig/0000-0002-1249-9473 NR 45 TC 6 Z9 6 U1 2 U2 4 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 1080-8620 J9 REAL ESTATE ECON JI Real Estate Econ. PD SPR PY 2006 VL 34 IS 1 BP 77 EP 107 DI 10.1111/j.1540-6229.2006.00160.x PG 31 WC Business, Finance; Economics; Urban Studies SC Business & Economics; Urban Studies GA 012SO UT WOS:000235360000003 ER PT J AU Evans, CL AF Evans, CL TI Border effects and the availability of domestic products abroad SO CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE LA English DT Article ID NATIONAL BORDERS; TRADE; CANADA; COSTS; OECD AB Trade between countries could fall short of trade within a country because (1) the volume of international trade is less than the volume of domestic trade for a given product (the intensive margin); or (2) some goods that are sold domestically are simply not exported (the extensive margin). My theoretical model illustrates that either of these two factors could explain a given aggregate 'border effect.' I examine the empirical relevance of this distinction by isolating the fraction of total domestic production attributable only to exporters, finding that around one-half of the border effect may be attributed to each explanation. C1 Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RP Evans, CL (reprint author), Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. EM carolyn.l.evans@frb.gov NR 35 TC 6 Z9 6 U1 2 U2 3 PU UNIV TORONTO PRESS INC PI TORONTO PA JOURNALS DIVISION, 5201 DUFFERIN ST, DOWNSVIEW, TORONTO, ON M3H 5T8, CANADA SN 0008-4085 J9 CAN J ECON JI Can. J. Econ.-Rev. Can. Econ. PD FEB PY 2006 VL 39 IS 1 BP 211 EP 246 DI 10.1111/j.0008-4085.2006.00345.x PG 36 WC Economics SC Business & Economics GA 022IS UT WOS:000236049500010 ER PT J AU Wakerly, EC Scott, BG Nason, JM AF Wakerly, EC Scott, BG Nason, JM TI Common trends and common cycles in Canada: who knew so much has been going on? SO CANADIAN JOURNAL OF ECONOMICS-REVUE CANADIENNE D ECONOMIQUE LA English DT Article ID PRICE MACROECONOMY RELATIONSHIP; ECONOMIC-GROWTH; COINTEGRATION VECTORS; TIME-SERIES; CONVERGENCE; MODELS; FLUCTUATIONS; DYNAMICS; STATES; OIL AB It is generally accepted that convergence is well established for Canadian regional outputs. Another prevalent belief is that the Canadian regions respond symmetrically to the same aggregate shocks. A common trends / common cycles decomposition of Canadian regional outputs casts doubt on the convergence hypothesis and reveals trend shocks dominate fluctuations in Ontario, Quebec, and the Maritimes in the short and long run, but not in British Columbia and the Prairies. Thus, Canadian regional output fluctuations are driven by an asymmetric and economically important set of disaggregate propagation and growth mechanisms. Our results point to a new Canadian macroeconomic research agenda. C1 Univ E Anglia, Sch Econ, Norwich NR4 7TJ, Norfolk, England. Univ Wisconsin, Dept Econ, Madison, WI 53706 USA. Fed Res Bank Atlanta, Res Dept, Atlanta, GA USA. RP Wakerly, EC (reprint author), Univ E Anglia, Sch Econ, Norwich NR4 7TJ, Norfolk, England. EM jim.nason@ati.frb.org NR 58 TC 4 Z9 4 U1 2 U2 9 PU UNIV TORONTO PRESS INC PI TORONTO PA JOURNALS DIVISION, 5201 DUFFERIN ST, DOWNSVIEW, TORONTO, ON M3H 5T8, CANADA SN 0008-4085 J9 CAN J ECON JI Can. J. Econ.-Rev. Can. Econ. PD FEB PY 2006 VL 39 IS 1 BP 320 EP 347 DI 10.1111/j.0008-4085.2006.00349.x PG 28 WC Economics SC Business & Economics GA 022IS UT WOS:000236049500014 ER PT J AU Daly, MC Valletta, RG AF Daly, MC Valletta, RG TI Inequality and poverty in United States: The effects of rising dispersion of men's earnings and changing family behaviour SO ECONOMICA LA English DT Article ID INCOME-DISTRIBUTION; WAGE INEQUALITY; CHILD POVERTY; TRENDS; UK AB Using semiparametric density estimation techniques, we analyse the effect of rising dispersion of men's earnings and related changes in family behaviour on increasing inequality in the distribution of family income in the United States. For the period 1969-1989, the growing dispersion of men's earnings and changing family structure can account for most of the rise in family income inequality. By contrast, the increase in labour force participation by women offset this trend. Inequality grew at a slower rate in the 1990s than in earlier decades, largely because of stabilization in the relative earnings of men from low-income families. C1 Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. RP Daly, MC (reprint author), Fed Reserve Bank San Francisco, San Francisco, CA 94105 USA. NR 37 TC 29 Z9 30 U1 0 U2 12 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0013-0427 J9 ECONOMICA JI Economica PD FEB PY 2006 VL 73 IS 289 BP 75 EP 98 DI 10.1111/j.1468-0335.2006.00449.x PG 24 WC Economics SC Business & Economics GA 005BQ UT WOS:000234797600005 ER PT J AU Bartolini, L Prati, A AF Bartolini, L Prati, A TI Cross-country differences in monetary policy execution and money market rates' volatility SO EUROPEAN ECONOMIC REVIEW LA English DT Article DE interbank market; interest rate volatility; central bank procedures ID FEDERAL-FUNDS MARKET; TERM INTEREST-RATE; STOCHASTIC VOLATILITY; INTERBANK MARKET; RATE VARIABILITY; MODEL; RESERVES; BEHAVIOR; DEMAND AB Volatility patterns in overnight interest rates display differences across industrial countries that existing models-designed to replicate the features of individual countries' markets cannot account for. This paper presents an equilibrium model of the overnight interbank market that matches cross-country differences in patterns in interest volatility by incorporating differences in how central banks manage liquidity in response to shocks. Our model is consistent with central banks' practice of rationing access to marginal facilities when the objective of stabilizing short-term interest rates conflicts with another high-frequency objective, such as an exchange rate target. (c) 2006 Elsevier B.V. All rights reserved. C1 Int Monetary Fund, Res Dept, Washington, DC 20431 USA. Fed Reserve Bank New York, Dept Res, New York, NY 10045 USA. RP Prati, A (reprint author), Int Monetary Fund, Res Dept, 700 19th St NW, Washington, DC 20431 USA. EM leo.bartolini@ny.frb.org; APRATI@imf.org NR 27 TC 12 Z9 12 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 FEB PY 2006 VL 50 IS 2 BP 349 EP 376 DI 10.1016/j.eurocorev.2004.09.015 PG 28 WC Economics SC Business & Economics GA 015NM UT WOS:000235558100006 ER PT J AU Chang, YS Kim, SB AF Chang, YS Kim, SB TI From individual to aggregate labor supply: A quantitative analysis based on a heterogeneous agent macroeconomy SO INTERNATIONAL ECONOMIC REVIEW LA English DT Article ID BUSINESS-CYCLE; HOUSEHOLD PRODUCTION; INDIVISIBLE LABOR; FLUCTUATIONS; MODEL; EQUILIBRIUM; EARNINGS; HOMEWORK; SHOCKS; INCOME AB At the aggregate level, the labor-supply elasticity depends on the reservation-wage distribution. We present a model economy where workforce heterogeneity stems from idiosyncratic productivity shocks. The model economy exhibits the cross-sectional earnings and wealth distributions that are comparable to those in the micro data. We find that the aggregate labor-supply elasticity of such an economy is around 1, greater than a typical micro estimate. C1 Seoul Natl Univ, Sch Econ, Seoul 151742, South Korea. Fed Reserve Bank Richmond, Richmond, VA 23219 USA. Concordia Univ, Dept Econ, Montreal, PQ, Canada. RP Chang, YS (reprint author), Seoul Natl Univ, Sch Econ, Seoul 151742, South Korea. EM yohg@snu.ac.kr NR 45 TC 50 Z9 50 U1 1 U2 3 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0020-6598 J9 INT ECON REV JI Int. Econ. Rev. PD FEB PY 2006 VL 47 IS 1 BP 1 EP 27 DI 10.1111/j.1468-2354.2006.00370.x PG 27 WC Economics SC Business & Economics GA 004GM UT WOS:000234740000001 ER PT J AU Pritsker, M AF Pritsker, M TI The hidden dangers of historical simulation SO JOURNAL OF BANKING & FINANCE LA English DT Article; Proceedings Paper CT International Conference on Modeling, Optimization and Risk Management in Finance CY MAR 05-07, 2003 CL Univ Florida, Gainesville, FL SP Risk Management & Financial Engn Lab HO Univ Florida DE value-at-risk; backtest; historical simulation ID VALUE-AT-RISK; DENSITY FORECASTS; EXCHANGE-RATES; TIME AB Many large financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical simulation based methods, but the methods' properties are not well understood. This paper theoretically and empirically examines the historical simulation method, a variant of historical simulation introduced by Boudoukh et al. [Boudoukh, J., Richardson, M., Whitelaw, R., 1998. The best of both worlds, Risk 11(May) 64-67] (BRW), and the filtered historical simulation method (FHS) of Barone-Adesi et al. [Barone-Adesi, G., Bourgoin F., Giannopoulos, K., 1998. Don't look back. Risk 11(August) 100-104; Barone-Adesi, G., Giannopoulos K., Vosper L., 1999. VaR without correlations for nonlinear portfolios. Journal of Futures Markets 19(April) 583-602]. The historical simulation and BRW methods are both under-responsive to changes in conditional risk; and respond to changes in risk in an asymmetric fashion: measured risk increases when the portfolio experiences large losses, but not when it earns large gains. The FHS method is promising, but its risk estimates are variable in small samples, and its assumption that correlations are constant is violated in large samples. Additional refinements are needed to account for time-varying correlations; and to choose the appropriate length of the historical sample period. (c) 2005 Elsevier B.V. All rights reserved. C1 Fed Reserve Board, Washington, DC 20551 USA. RP Pritsker, M (reprint author), Fed Reserve Board, Mail Stop 91, Washington, DC 20551 USA. EM mpritsker@frb.gov NR 28 TC 53 Z9 57 U1 1 U2 10 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0378-4266 J9 J BANK FINANC JI J. Bank Financ. PD FEB PY 2006 VL 30 IS 2 BP 561 EP 582 DI 10.1016/j.jbankfin.2005.04.013 PG 22 WC Business, Finance; Economics SC Business & Economics GA 023NL UT WOS:000236133400014 ER PT J AU Tamura, R AF Tamura, R TI Human capital and economic development SO JOURNAL OF DEVELOPMENT ECONOMICS LA English DT Article DE mortality; human capital; demographic transition ID DEMOGRAPHIC-TRANSITION; MORTALITY DECLINE; GROWTH; CONVERGENCE; POPULATION; STAGNATION; MALTHUS; REGIMES; MODEL AB This paper develops a general equilibrium model of fertility and human capital investment with young adult mortality. Because young adult mortality is negatively related to average young adult human capital, human capital accumulation lowers mortality, inducing demographic transition and industrial revolution. Data confirm that young adult mortality is related negatively to schooling, and the rate of return to schooling, and positively to fertility. The data indicate a negative relationship between TFP growth and schooling accumulation. The model fits the data on country populations, per capita incomes, human capital, total fertility rates, infant mortality, life expectancy and conditional life expectancy. (c) 2005 Elsevier B.V. All rights reserved. C1 Clemson Univ, Dept Econ, Clemson, SC 29634 USA. Fed Reserve Bank Atlanta, Atlanta, GA USA. RP Tamura, R (reprint author), Clemson Univ, Dept Econ, Clemson, SC 29634 USA. EM rtamura@clemson.edu NR 58 TC 75 Z9 76 U1 3 U2 13 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0304-3878 J9 J DEV ECON JI J. Dev. Econ. PD FEB PY 2006 VL 79 IS 1 BP 26 EP 72 DI 10.1016/j.jdeveco.2004.12.003 PG 47 WC Economics SC Business & Economics GA 993HP UT WOS:000233945500002 ER PT J AU Swanson, ET AF Swanson, ET TI Optimal nonlinear policy: signal extraction with a non-normal prior SO JOURNAL OF ECONOMIC DYNAMICS & CONTROL LA English DT Article DE signal extraction; optimal monetary policy; non-Gaussian; non-normal; priors; learning; beliefs ID RULES AB The literature on optimal monetary policy typically makes three major assumptions: (1) policyrnakers' preferences are quadratic, (2) the economy is linear, and (3) stochastic shocks and policyrnakers' prior beliefs about unobserved variables are normally distributed. This paper relaxes the third assumption and explores its implications for optimal policy. The separation principle continues to hold in this framework, allowing for tractability and application to forward-looking models, but policymakers' beliefs are no longer updated ill a linear fashion, allowing for plausible nonlinearities in optimal policy. We consider in particular a class of models in which policyrnakers' priors about the natural rate of unemployment are diffuse in a region around the mean. When this is the case, optimal policy responds cautiously to small surprises in the observed unemployment rate, but becomes increasingly aggressive at the margin. These features match statements by Federal Reserve officials and the behavior of the Fed in the 1990s. (c) 2005 Published by Elsevier B.V. C1 Fed Reserve Syst, Board Governors, Fed Reserve Board, Washington, DC 20551 USA. RP Swanson, ET (reprint author), Fed Reserve Syst, Board Governors, Fed Reserve Board, Mail Stop 71,2000 C St,NW, Washington, DC 20551 USA. EM eswanson@frb.gov NR 14 TC 4 Z9 4 U1 0 U2 0 PU ELSEVIER SCIENCE BV PI AMSTERDAM PA PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS SN 0165-1889 J9 J ECON DYN CONTROL JI J. Econ. Dyn. Control PD FEB PY 2006 VL 30 IS 2 BP 185 EP 203 DI 10.1016/j.jedc.2004.10.007 PG 19 WC Economics SC Business & Economics GA 007HW UT WOS:000234960600002 ER PT J AU Cetorelli, N Strahan, PE AF Cetorelli, N Strahan, PE TI Finance as a barrier to entry: Bank competition and industry structure in local US Markets SO JOURNAL OF FINANCE LA English DT Article ID CAPITAL STRUCTURE; INTERNATIONAL EVIDENCE; ECONOMIC-GROWTH; FIRM GROWTH; DEREGULATION; EXIT; ENTREPRENEURSHIP; INTERMEDIATION; RESTRICTIONS; INFORMATION AB This paper tests how competition in local U.S. banking markets affects the market structure of nonfinancial sectors. Theory offers competing hypotheses about how competition ought to influence firm entry and access to bank credit by mature firms. The empirical evidence, however, strongly supports the idea that in markets with concentrated banking, potential entrants face greater difficulty gaining access to credit than in markets in which banking is more competitive. C1 Fed Reserve Bank New York, New York, NY 10045 USA. Boston Coll, Chestnut Hill, MA 02167 USA. RP Cetorelli, N (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 51 TC 124 Z9 124 U1 5 U2 28 PU WILEY-BLACKWELL PI MALDEN PA COMMERCE PLACE, 350 MAIN ST, MALDEN 02148, MA USA SN 0022-1082 J9 J FINANC JI J. Financ. PD FEB PY 2006 VL 61 IS 1 BP 437 EP 461 DI 10.1111/j.1540-6261.2006.00841.x PG 25 WC Business, Finance; Economics SC Business & Economics GA 005CN UT WOS:000234800300014 ER PT J AU Fisher, EO AF Fisher, EO TI The forward premium in a model with heterogeneous prior beliefs SO JOURNAL OF INTERNATIONAL MONEY AND FINANCE LA English DT Article DE international finance; learning, information, and knowledge; asset pricing ID SPECULATIVE INVESTOR BEHAVIOR; EXPECTATIONS; EXCHANGE; MARKET; INFORMATION; EFFICIENCY; TESTS AB This paper explores a model of bond prices where agents have diverse prior beliefs about domestic and foreign inflation. In the long run, the foreign exchange forward premium reflects expected differences in inflation, but in the short run, it depends upon the diversity of prior beliefs. If some people have diffuse priors about a country's inflation process, then its currency commands a forward premium that is eventually dissipated. Using data on the dollar-mark premium from the 1980s, it shows that this kind of diversity really matters. Thus models with a single representative agent give an inadequate description of the data. (c) 2005 Elsevier Ltd. All rights reserved. C1 Ohio State Univ, Columbus, OH 43210 USA. Univ Calif Santa Barbara, Santa Barbara, CA 93106 USA. Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA. RP Fisher, EO (reprint author), Ohio State Univ, 410 Arps Hall,1945 N High St, Columbus, OH 43210 USA. EM fisher.244@osu.edu NR 17 TC 7 Z9 7 U1 0 U2 2 PU ELSEVIER SCI LTD PI OXFORD PA THE BOULEVARD, LANGFORD LANE, KIDLINGTON, OXFORD OX5 1GB, OXON, ENGLAND SN 0261-5606 J9 J INT MONEY FINANC JI J. Int. Money Finan. PD FEB PY 2006 VL 25 IS 1 BP 48 EP 70 DI 10.1016/j.jimonfin.2005.10.004 PG 23 WC Business, Finance SC Business & Economics GA 011DF UT WOS:000235247300004 ER PT J AU Martin, A AF Martin, A TI Endogenous multiple currencies SO JOURNAL OF MONEY CREDIT AND BANKING LA English DT Article DE multiple currencies; indeterminacy of exchange rate; currency substitution ID EXCHANGE-RATES; MONEY; MODEL; SUBSTITUTION; FINANCE; SEARCH; PRICES AB In this paper I study a model in which households can decide which currency or currencies they will accept. I provide a simple set of assumptions that are sufficient to prevent the indeterminacy of the exchange rate in the sense of Kareken and Wallace (1981). In a two-country model, stable equilibria have either a single currency or national Currencies. I also show currency substitution occurs as an endogenous response to high growth in the stock of a currency. C1 Fed Reserve Bank New York, New York, NY 10045 USA. RP Martin, A (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. EM antoine.martin@ny.frb.org NR 34 TC 2 Z9 2 U1 1 U2 4 PU WILEY-BLACKWELL PI HOBOKEN PA 111 RIVER ST, HOBOKEN 07030-5774, NJ USA SN 0022-2879 EI 1538-4616 J9 J MONEY CREDIT BANK JI J. Money Credit Bank. PD FEB PY 2006 VL 38 IS 1 BP 245 EP 262 DI 10.1353/mcb.2006.0019 PG 18 WC Business, Finance; Economics SC Business & Economics GA 012BG UT WOS:000235312600012 ER PT J AU Paulson, AL Townsend, RM Karaivanov, A AF Paulson, AL Townsend, RM Karaivanov, A TI Distinguishing limited liability from moral hazard in a model of entrepreneurship SO JOURNAL OF POLITICAL ECONOMY LA English DT Article ID CONSTRAINTS; INFORMATION; SELECTION; CHOICE; OPTIMA AB We present and estimate a model in which the choice between entrepreneurship and wage work may be influenced by financial market imperfections. The model allows for limited liability, moral hazard, and a combination of both constraints. The paper uses structural techniques to estimate the model and identify the source of financial market imperfections using data from rural and semiurban households in Thailand. Structural, nonparametric, and reduced-form estimates provide independent evidence that the dominant source of credit market imperfections is moral hazard. We reject the hypothesis that limited liability alone can explain the data. C1 Fed Reserve Bank Chicago, Chicago, IL 60604 USA. Univ Chicago, Chicago, IL 60637 USA. Simon Fraser Univ, Burnaby, BC V5A 1S6, Canada. RP Paulson, AL (reprint author), Fed Reserve Bank Chicago, Chicago, IL 60604 USA. OI Karaivanov, Alexander/0000-0002-5184-3126 NR 20 TC 37 Z9 37 U1 0 U2 12 PU UNIV CHICAGO PRESS PI CHICAGO PA 1427 E 60TH ST, CHICAGO, IL 60637-2954 USA SN 0022-3808 J9 J POLIT ECON JI J. Polit. Econ. PD FEB PY 2006 VL 114 IS 1 BP 100 EP 144 DI 10.1086/498917 PG 45 WC Economics SC Business & Economics GA 010RT UT WOS:000235214000004 ER PT J AU Edmiston, KD AF Edmiston, KD TI Workers' compensation and state employment growth SO JOURNAL OF REGIONAL SCIENCE LA English DT Article ID UNEMPLOYMENT-INSURANCE; MANDATED BENEFITS; LABOR DEMAND; DURATION; INJURY; COSTS; DETERMINANTS; SUBSTITUTION; PROGRAMS; SUPPORT AB Workers' compensation reforms have been on the table in virtually every state over the last several years, and many states have launched comprehensive reforms. At least nine states undertook major reforms of their workers' compensation systems in 2004 alone, and the reforms were driven largely by claims that higher workers' compensation costs are driving away businesses and the employment that comes with them. This paper examines the relationship between workers' compensation costs, as proxied by benefits/earnings, and employment across U.S. states and the District of Columbia from 1976 to 2000. Workers' compensation costs are found to have a statistically significant negative impact on employment and wages, but the elasticities are very small, suggesting that workers' compensation is not a likely cause of jobs woes in most states. Unemployment insurance appears to have an effect of similar magnitude. Medical cost inflation is found to be a significant factor in explaining movements in workers' compensation costs over time. C1 Fed Reserve Bank Kansas City, Comunity Affairs Dept, Kansas City, MO 64198 USA. RP Edmiston, KD (reprint author), Fed Reserve Bank Kansas City, Comunity Affairs Dept, 925 Grand Blvd, Kansas City, MO 64198 USA. EM kelly.edmiston@kc.frb.org NR 53 TC 2 Z9 2 U1 1 U2 7 PU BLACKWELL PUBLISHING PI OXFORD PA 9600 GARSINGTON RD, OXFORD OX4 2DQ, OXON, ENGLAND SN 0022-4146 J9 J REGIONAL SCI JI J. Reg. Sci. PD FEB PY 2006 VL 46 IS 1 BP 121 EP 145 DI 10.1111/j.0022-4146.2006.00435.x PG 25 WC Economics; Environmental Studies; Planning & Development SC Business & Economics; Environmental Sciences & Ecology; Public Administration GA 001IG UT WOS:000234526200006 ER PT J AU Juster, FT Lupton, JP Smith, JP Stafford, F AF Juster, FT Lupton, JP Smith, JP Stafford, F TI The decline in household saving and the wealth effect SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID CONSUMPTION AB Using a unique set of household-level panel data, we estimate the effect of capital gains on saving by asset type, controlling for observable and unobservable household-specific fixed effects. The results suggest that the decline in the personal saving rate since 1984 is largely due to the significant capital gains in corporate equities experienced over this period. Over 5-year periods, the effect of capital gains in corporate equities on saving is substantially larger than the effect of capital gains in housing or other assets. Failure to differentiate wealth effects across asset types results in a significant understatement of their size. C1 Univ Michigan, Ann Arbor, MI 48109 USA. Fed Reserve Syst, Board Governors, Washington, DC 20551 USA. RAND Corp, Santa Monica, CA 90406 USA. RP Stafford, F (reprint author), Univ Michigan, Ann Arbor, MI 48109 USA. NR 18 TC 22 Z9 22 U1 0 U2 4 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD FEB PY 2006 VL 88 IS 1 BP 20 EP 27 PG 8 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 014YK UT WOS:000235516700003 ER PT J AU Rhine, SLW Greene, WH Toussaint-Comeau, M AF Rhine, SLW Greene, WH Toussaint-Comeau, M TI The importance of check-cashing businesses to the unbanked: Racial/ethnic differences SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article AB The roughly 9.1% of all U. S. families that are without some type of transaction account (unbanked) are disproportionately represented among minorities. The unbanked often must rely on alternative ways to carry out basic financial transactions such as cashing payroll checks and paying bills. This study analyzes unique survey data and finds that a consumer's decision to patronize check-cashing businesses is jointly made with the decision to be unbanked. For the unbanked, these businesses are an important source of financial services. Attributes that contribute to these decisions, however, vary with the racial/ethnic group. Latent preference effects are also observed to influence this joint decision for blacks and Hispanics. These findings may explain in part why the provisions of the Debt Collection Improvement Act (DCIA) of 1996 have not been more successful in bringing unbanked federal benefits recipients into the financial mainstream. Consumer participation in mainstream financial markets can improve their ability to build assets and create wealth, can protect them from theft and discriminatory, predatory, or otherwise unsavory lending practices, and may promote economic stability and vitality in the communities where they reside. By more fully understanding consumers' financial decisions, policies can be better directed to improve the effectiveness of legislation such as the DCIA of 1996 in encouraging mainstream financial market participation. C1 Fed Reserve Bank New York, New York, NY 10045 USA. NYU, New York, NY USA. Fed Reserve Bank Chicago, Chicago, IL USA. RP Toussaint-Comeau, M (reprint author), Fed Reserve Bank New York, New York, NY 10045 USA. NR 28 TC 17 Z9 17 U1 2 U2 6 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD FEB PY 2006 VL 88 IS 1 BP 146 EP 157 PG 12 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 014YK UT WOS:000235516700012 ER PT J AU Pence, KM AF Pence, KM TI Foreclosing on opportunity: State laws and mortgage credit SO REVIEW OF ECONOMICS AND STATISTICS LA English DT Article ID INSURANCE INDUSTRY; LOANS; REGRESSION; BANKRUPTCY; MARKET AB Foreclosure laws govern the rights of borrowers and lenders when borrowers default on mortgages. In states with laws favoring the borrower, the supply of mortgage credit may decrease because lenders face higher costs. To examine the laws' effects, I compare approved mortgage applications in census tracts that border each other but are located in different states. Using a regression-discontinuity design and semiparametric estimation methods, I find that loan sizes are 3% to 7% smaller in defaulter-friendly states; this result suggests that defaulter-friendly laws impose material costs on borrowers at the time of loan origination. 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 24 TC 65 Z9 65 U1 2 U2 6 PU M I T PRESS PI CAMBRIDGE PA 238 MAIN STREET, STE 500, CAMBRIDGE, MA 02142-1046 USA SN 0034-6535 J9 REV ECON STAT JI Rev. Econ. Stat. PD FEB PY 2006 VL 88 IS 1 BP 177 EP 182 PG 7 WC Economics; Social Sciences, Mathematical Methods SC Business & Economics; Mathematical Methods In Social Sciences GA 014YK UT WOS:000235516700015 ER PT J AU Pakko, MR AF Pakko, MR TI Smoke-free law did affect revenue from gaming in Delaware SO TOBACCO CONTROL LA English DT Letter C1 Fed Reserve Bank, St Louis, MO 63102 USA. RP Pakko, MR (reprint author), Fed Reserve Bank, St Louis, MO 63102 USA. EM pakko@stls.frb.org NR 4 TC 16 Z9 16 U1 0 U2 2 PU B M J PUBLISHING GROUP PI LONDON PA BRITISH MED ASSOC HOUSE, TAVISTOCK SQUARE, LONDON WC1H 9JR, ENGLAND SN 0964-4563 J9 TOB CONTROL JI Tob. Control PD FEB PY 2006 VL 15 IS 1 BP 68 EP 69 DI 10.1136/tc.2005.012443 PG 2 WC Public, Environmental & Occupational Health SC Public, Environmental & Occupational Health GA 005RS UT WOS:000234842100021 PM 16436409 ER EF