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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 inflation regime, and a moderate liquidity effect in the low inflation regime. Furthermore, the liquidity effect becomes stronger when the economy leaves a low inflation regime period and enters a high inflation regime period. The converse also holds. The anticipated inflation effect becomes stronger upon switching from a low to high inflation regime.
AUTHORS: Huh, Chan Guk
DATE: 1995
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 in the full sample continues to do so over the expansion sample but lose their predictive power in the contraction samples. ; Earlier version: Asymmetry in the relationship between output and interest rates (Paper no. 93-13)
AUTHORS: Huh, Chan Guk
DATE: 1994
Working Paper
Output, money and price correlations in a real business cycle model
AUTHORS: Huh, Chan Guk
DATE: 1990
Working Paper
Forecasting industrial production using models with business cycle asymmetry
This paper exploits business cycle asymmetry observed in data, namely, a systematic shift in the dynamic relationship between the output and the interest rate spread across expansionary and contractionary periods in forecasting monthly industrial production. A bivariate model of monthly industrial production and the spread between the 6-month commercial paper and the federal funds rates is used as an example to illustrate forecast exercise. This paper's method does not require a forecaster to make an exact ex-ante determination of turning points in the output series which is being forecasted. Comparison of the forecast performance of various two-regime based and conventional models suggests that a measurable gain can be made by considering models which explicitly incorporate asymmetry in data.
AUTHORS: Huh, Chan Guk
DATE: 1993
Working Paper
Causality and correlations of output and nominal variables in a real business cycle model
A dynamic general equilibrium economy in which output is exogenous with respect to money is calibrated and simulated following a procedure commonly used in real business cycle literature. It is then confronted with the key comovement patterns of output and nominal variables in the post-war U.S. time series data. The model economy performs well in matching key second moment patterns involving output, money and price. The model economy - with its embedded 'reverse causation' from output to money - also provides the means for carrying out a probabilistic appraisal of the observed money to output Granger causality in U. S. data. Repeated applications of the Granger causality test to simulated data lead to find that money causes output more often than expected.
AUTHORS: Huh, Chan Guk
DATE: 1992
Working Paper
Modelling the time series behavior of the aggregate wage rate
AUTHORS: Trehan, Bharat; Huh, Chan Guk
DATE: 1992
Working Paper
Expectations, credibility, and disinflation in a small macroeconomic model
We use a version of the Fuhrer-Moore model to study the effects of expectations and central bank credibility on the economy's dynamic transition path during a disinflation. Simulations are compared under four different specifications of the model that vary according to the way that expectations are formed (rations versus adaptive) and the degree of central bank credibility (full versus partial). In general, the various specifications exhibit qualitatively similar behavior and can reasonably approximate the trend movements in U.S. macro variables during the Volcker disinflation of the early 1980s. However, the specification with adaptive expectations and partial credibility is the only one to capture the temporary rise in the long-term nominal interest rate observed in U.S. data at the start of the disinflation. Our simulations also show that incremental reductions in the output sacrifice ratio are largest at the low end of the credibility range, suggesting that a central bank may face diminishing returns in its efforts to enhance credibility.
AUTHORS: Huh, Chan Guk; Lansing, Kevin J.
DATE: 1998
Journal Article
Just-in-time inventory management: has it made a difference?
AUTHORS: Huh, Chan Guk
DATE: 1994
Journal Article
Political business cycles
AUTHORS: Huh, Chan Guk
DATE: 1990
Journal Article
Probability of recession
AUTHORS: Huh, Chan Guk
DATE: 1991