Several recent studies have reached quite different conclusions about which variable is the best ... more Several recent studies have reached quite different conclusions about which variable is the best indicator of the stance of monetary policy. These differences likely reflect varying assumptions about bank and Federal Reserve behavior. This paper takes a detailed and comprehensive look at the implementation of monetary policy and the identification of monetary policy shocks. The paper first outlines a general analytical model for studying and evaluating monetary policy procedures. The model is then used to estimate both the Fed's operational policy objectives and its intermediate objectives. The results can be summarized as follows: First, monetary policy shocks over the past several years have primarily affected the federal funds rate, even during periods when the Fed was reportedly targeting reserves. In addition, the paper finds a statistically-significant liquidity effect in all periods examined, although the effect is quite small. Finally, there is statistical evidence that ...
Journal of Business & Economic Statistics, 1992
Two critical assumptions are often made in empirical research regarding the relationship between ... more Two critical assumptions are often made in empirical research regarding the relationship between economic variables and economic disturbances—linearity and Gaussianity. Together, these two assumptions place strong restrictions on the time series behavior of a model. Most important, these restrictions imply conditional symmetry. Using seminonparametric (SNP) techniques, this article presents evidence that real gross national product growth displays conditional asymmetry. Although these results confirm related results of Brock and Sayers, Sichel, and Hamilton, the SNP approach is novel in that it emphasizes the relationship between common modeling assumptions and the restrictions that these assumptions place on data.
... conditional variance to persist over time. Although he found that a GARCH model fit US inflat... more ... conditional variance to persist over time. Although he found that a GARCH model fit US inflation data marginally better, he also found little sup-port for theinflation-uncertainty hypothesis. In related studies, Evans (1991) and ...
... Public Finances and Economic Growth. Allan D. Brunner. International Monetary Fund. 700 19 th... more ... Public Finances and Economic Growth. Allan D. Brunner. International Monetary Fund. 700 19 th Street, NW. ... King, Robert G., Charles I. Plosser, and Sergio Rebelo, 1988, Production, Growth, and Business Cycles: II New Directions, Journal of Monetary Economics, 21:309-41. ...
... Measures of Cost Efficiency in Selected Countries (Relative to Commercial Banks), 1997-2001 2... more ... Measures of Cost Efficiency in Selected Countries (Relative to Commercial Banks), 1997-2001 21 13 ... as background for IMF Executive Board discussions on the German Financial Sector Assessment ... the 1980s and 1990s to introduce more varied forms of ownership, reduce the ...
This paper examines the effects of trade costs on macroeconomic volatility. We first construct a ... more This paper examines the effects of trade costs on macroeconomic volatility. We first construct a dynamic, two-country general equilibrium model, where the degree of market integration depends directly on trade costs (transport costs, tariffs, etc.). The model is a extension of Obstfeld and Rogoff (1995). Naturally, a reduction in trade costs leads to more market integration, as the relative price
Typescript. Theses (Ph. D.)--Duke University, 1989. Vita. Includes bibliographical references (le... more Typescript. Theses (Ph. D.)--Duke University, 1989. Vita. Includes bibliographical references (leaves 136-137).
In late 1990, the Federal Reserve eliminated reserve requirements on nonpersonal time deposits, a... more In late 1990, the Federal Reserve eliminated reserve requirements on nonpersonal time deposits, and required reserves fell by about $10 billion, an almost 20-percent reduction. In early 1992, reserve requirements against transaction accounts were lowered from 12 ...
Several recent studies have reached quite different conclusions about which variable is the best ... more Several recent studies have reached quite different conclusions about which variable is the best indicator of the stance of monetary policy. These differences likely reflect varying assumptions about bank and Federal Reserve behavior. This paper takes a detailed and comprehensive look at the implementation of monetary policy and the identification of monetary policy shocks. The paper first outlines a general analytical model for studying and evaluating monetary policy procedures. The model is then used to estimate both the Fed's operational policy objectives and its intermediate objectives. The results can be summarized as follows: First, monetary policy shocks over the past several years have primarily affected the federal funds rate, even during periods when the Fed was reportedly targeting reserves. In addition, the paper finds a statistically-significant liquidity effect in all periods examined, although the effect is quite small. Finally, there is statistical evidence that ...
Journal of Business & Economic Statistics, 1992
Two critical assumptions are often made in empirical research regarding the relationship between ... more Two critical assumptions are often made in empirical research regarding the relationship between economic variables and economic disturbances—linearity and Gaussianity. Together, these two assumptions place strong restrictions on the time series behavior of a model. Most important, these restrictions imply conditional symmetry. Using seminonparametric (SNP) techniques, this article presents evidence that real gross national product growth displays conditional asymmetry. Although these results confirm related results of Brock and Sayers, Sichel, and Hamilton, the SNP approach is novel in that it emphasizes the relationship between common modeling assumptions and the restrictions that these assumptions place on data.
... conditional variance to persist over time. Although he found that a GARCH model fit US inflat... more ... conditional variance to persist over time. Although he found that a GARCH model fit US inflation data marginally better, he also found little sup-port for theinflation-uncertainty hypothesis. In related studies, Evans (1991) and ...
... Public Finances and Economic Growth. Allan D. Brunner. International Monetary Fund. 700 19 th... more ... Public Finances and Economic Growth. Allan D. Brunner. International Monetary Fund. 700 19 th Street, NW. ... King, Robert G., Charles I. Plosser, and Sergio Rebelo, 1988, Production, Growth, and Business Cycles: II New Directions, Journal of Monetary Economics, 21:309-41. ...
... Measures of Cost Efficiency in Selected Countries (Relative to Commercial Banks), 1997-2001 2... more ... Measures of Cost Efficiency in Selected Countries (Relative to Commercial Banks), 1997-2001 21 13 ... as background for IMF Executive Board discussions on the German Financial Sector Assessment ... the 1980s and 1990s to introduce more varied forms of ownership, reduce the ...
This paper examines the effects of trade costs on macroeconomic volatility. We first construct a ... more This paper examines the effects of trade costs on macroeconomic volatility. We first construct a dynamic, two-country general equilibrium model, where the degree of market integration depends directly on trade costs (transport costs, tariffs, etc.). The model is a extension of Obstfeld and Rogoff (1995). Naturally, a reduction in trade costs leads to more market integration, as the relative price
Typescript. Theses (Ph. D.)--Duke University, 1989. Vita. Includes bibliographical references (le... more Typescript. Theses (Ph. D.)--Duke University, 1989. Vita. Includes bibliographical references (leaves 136-137).
In late 1990, the Federal Reserve eliminated reserve requirements on nonpersonal time deposits, a... more In late 1990, the Federal Reserve eliminated reserve requirements on nonpersonal time deposits, and required reserves fell by about $10 billion, an almost 20-percent reduction. In early 1992, reserve requirements against transaction accounts were lowered from 12 ...
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