Search Results
Working Paper
Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research
This paper studies the effects of applying the Hodrick-Prescott filter to trend and difference stationary time series. Applying the Hodrick-Prescott filter to an integrated process is similar to detrending a random walk. When the data are difference stationary, the Hodrick-Prescott filter can generate business cycle dynamics even if none are present in the original data. We study the implications for interpreting stylized facts about business cycles and for analyzing data generated by real business cycle models.
Conference Paper
Effects of the Hodrick-Prescott filter on integrated time series
Journal Article
The baby boom, the baby bust, and asset markets
Journal Article
Should the Fed take deliberate steps to deflate asset price bubbles?
On several occasions over the last few years, various economists and policymakers have expressed the opinion that the stock market was overvalued. They often compared the situation with the 1920s and warned that the U.S. economy was headed for a similar collapse. Some analysts also suggested that the Fed raise interest rates to slow the rate of "asset inflation," on the grounds that it would be better to burst a speculative bubble in its early stages than to let it develop and suffer the inevitable crash. This paper takes up the other side of the debate and argues that deliberate ...
Journal Article
Proposals for reforming Social Security
Journal Article
On the transition to a fully funded Social Security system