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Author:Dueker, Michael J. 

Working Paper
Non-monotonic long memory dynamics in black-market premia

The dynamic response of Black market premia to domestic shocks is an important issue in the design and implementation of stabilization and reform programs. We use a vector autoregressive fractionally integrated model to provide new evidence on the dynamics of the official and Black market exchange rates. We show that the official and Black market exchange rates in Hungary are cointegrated with a negative fractional order ofintegration in the cointegrating residuals. The new empirical finding means that the cointegrating residuals are positively autocorrelated in the short run due to ...
Working Papers , Paper 1995-003

Working Paper
Stochastic capital depreciation and the comovement of hours and productivity

An unresolved question concerning stochastic depreciation shocks is whether they have to be unrealistically large to have any useful role in a dynamic general equilibrium model economy, as Ambler and Paquet (1994) first suggested. We first consider implied depreciation rates from sectoral data from the Bureau of Economic Analysis. These depreciation rates vary across time solely due to compositional changes within each sector. Hence, they tend to understate the range of fluctuation that would hold if the economic shelf life of capital varied endogenously as in Cooley, Greenwood and Yorukoglu ...
Working Papers , Paper 2002-003

Journal Article
Hypothesis testing with near-unit roots: the case of long-run purchasing-power parity

Review , Issue Jul , Pages 37-48

Journal Article
Narrow vs. broad measures of money as intermediate targets: some forecast results

Review , Issue Jan , Pages 41-51

Journal Article
FOMC decisions and bond market uncertainty

Monetary Trends , Issue Jan

Journal Article
Open mouth operations: a Swiss case study

Monetary Trends , Issue Jan

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 ...
Working Papers , Paper 2007-020

Journal Article
The price puzzle: an update and a lesson

National Economic Trends , Issue Oct

Working Paper
European business cycles: new indices and analysis of their synchronicity

This article presents a new type of business-cycle index that allows for cycle-to-cycle comparisons of the depth of recessions within a country, cross-country comparisons of business-cycle correlation and simple aggregation to arrive at a measure of a European business cycle. The paper examines probit-type specifications of binary recession/expansion variables in a Gibbs-sampling framework, wherein it is possible to incorporate time-series features to the model, such as serial correlation, heteroskedasticity and regime switching. The data-augmentation implied by Gibbs sampling generates ...
Working Papers , Paper 1999-019

Journal Article
Argentina Agonistes

International Economic Trends , Issue Feb

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