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Working Paper
A monthly model of the money and bank loan markets
Working Paper
M1 versus M2: which is more reliable?
Working Paper
Central bank secrecy and money surprises: international evidence
The information value of central bank announcements of projected future money growth is shown to depend both on the accuracy of the announcements and the extent to which the announcements themselves are anticipated by the public. We construct a new data set on internal Federal Reserve money projections. These projections, which are kept secret while they are in force, are comparable in many important respects with publicly announced Bank of Japan money projections. Using a derivative of the law of iterated projections, we estimate the information value of disclosure on the part of the Bank ...
Working Paper
Velocity in the 1980s: an analysis of interactions among monetary components
We use vector autoregressions to examine the behavior of the velocities of alternative monetary aggregates, focusing on the role of disinflation and deregulation during the 1980s. By estimating a single system that contains income, prices, interest rates and the components of M3, we are able to analyze how interactions among those components affect the behavior of the velocities of M1, M1A, and M3. The analysis suggests that other checkable deposits, the deregulated component of M1, behave more like the relatively liquid savings-type deposits in M2 than the transactions deposits in M1A. This ...
Working Paper
Monetary \"targeting\" in Japan and the U.S.: which is more accurate?
This paper examines the issue of whether differences in money targeting or base-drift procedures between Japan and the U.S. are significant contributing factors to Japan's superior macroeconomic performance over the last decade, and concludes that these procedures probably are not important factors. ; We compare Bank of Japan (BoJ) money growth projections with Federal Reserve money targets. We show that BoJ projections are not comparable to annual money targets set by the Fed. We construct from past Records of Policy Actions of Federal Open Market Committee meetings a data set of Fed ...
Working Paper
The cyclical behavior of prices: interpreting the evidence
Whether prices are pro- or counter-cyclical represents a major difference in the predictions of models that focus on aggregate demand shocks as the primary source of business cycle fluctuations, versus those that emphasize shocks to aggregate supply. Earlier studies have interpreted their finding of generally negative cross-correlations between output and prices in the post-WWII U.S. as being more consistent with supply-driven models. In the present paper, we ask whether this interpretation is appropriate. We show that the signs of price-output correlations have little to say about which type ...