Search Results
Journal Article
Open mouth operations: a Swiss case study
Journal Article
FOMC decisions and bond market uncertainty
Journal Article
The response of market interest rates to discount rate changes
Journal Article
Risk premiums among corporate bonds
Journal Article
Argentina Agonistes
Working Paper
Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
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.
Working Paper
The practice boundaries of advanced practice nurses: an economic and legal analysis
The purpose of this study is to examine the causes and effects of State regulation that determines the extent of professional independence of advanced practice nurses (APNs). We analyze determinants of these regulations in panel data across States. We find that in States where APNs have acquired a substantial amount of professional independence, the earnings of APNs are substantially lower, and those of physicians' assistants are substantially higher, than in other States. These results are striking since physicians' assistants are in direct competition with APNs; the only real operational ...
Working Paper
The price puzzle and indeterminacy in an estimated DSGE model
We extend Lubik and Schorfheide's (2004) likelihood-based estimation of dynamic stochastic general equilibrium (DSGE) models under indeterminacy to encompass a sample period including both determinacy and indeterminacy by implementing the change-point methodology (Chib, 1998). The most striking finding about the indeterminacy regime, which is estimated to coincide with the Great Inflation of the 1970s, is that it exhibits the price puzzle, in that the inflation rate rises immediately and in a sustained manner following a positive interest rate shock. Thus, the price puzzle might have been a ...
Working Paper
Multivariate contemporaneous threshold autoregressive models
In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. The model is a multivariate generalization of the contemporaneous threshold autoregressive model introduced by Dueker et al. (2007). A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. The stability and distributional properties of the proposed model are investigated. The ...
Working Paper
Monetary policy and stock market booms and busts in the 20th century
This paper examines the association between monetary policy and stock market booms and busts in the United States, United Kingdom, and Germany during the 20th century. Booms tended to arise when output growth was rapid and inflation was low, and end within a few months of an increase in inflation and monetary policy tightening. Latent variable VAR analysis of post-war data finds that inflation has had a particularly strong impact on market conditions, with disinflation shocks moving the market toward a boom and positive inflation shocks moving the market toward a bust. We conclude that ...