Search Results
Journal Article
Banking system developments in the four Asian tigers
Working Paper
Regime switching in the dynamic relationship between the federal funds rate and nonborrowed reserves
This paper examines the dynamic relationship between changes in the funds rate and nonborrowed reserves within a reduced form framework that allows the relationship to have two distinct patterns over time. A regime switching model a la Hamilton (1989) is estimated. The two regimes are different in such characteristics as average changes in the interest rate, and volatility. The historical aerate of the API inflation rate is significantly higher in the high growth and more volatile regime. Innovations in money growth are associated with a strong anticipated inflation effect in the high ...
Journal Article
Labor market structure and monetary policy
Journal Article
1989 Fall Academic Conference
Working Paper
Asymmetry in the bivariate relationship between output and interest rates
This paper investigates whether an asymmetry is present in the Granger-causal relationship between output and a set of interest rates and their spreads, across expansionary and contractionary business cycle phases in post 1950 U.S. Non-structural VAR models of monthly industrial production and three interest rates and four spreads are estimated for expansion and contraction samples. This study finds asymmetry in the bivariate relationship between the output and the financial variables across the two samples. Most of the interest rates and the spreads that were observed to Granger-cause output ...
Journal Article
The equity risk-premium puzzle
Journal Article
Inflation-indexed bonds
Journal Article
Measuring the cost of \\"financial repression\\"
Working Paper
A dynamic model of export competition, policy coordination and simultaneous currency collapse
This paper offers a game-theoretic interpretation of the recent currency crisis in Asia. Specifically, we argue that the 'price wars during booms' logic of Rotemberg and Saloner (1986) can be used to explain the nearly simultaneous devaluation of several Asian currencies during the summer of 1997. The idea is as follows. Since each of these countries relies heavily on exports to the U.S. pressures for competitive devaluations naturally arise. ; We view the historical tendency of these countries to peg to the dollar as a way to avoid these pressures. However, it must be in the ...