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Working Paper
The 1980s divergence in per capita personal incomes: what does it tell us?
Sherwood-Call, Carolyn (1994)
Working Papers in Applied Economic Theory , Paper 94-11

Working Paper
Maximum likelihood estimation with HP filtered data: an invariance theorem
Cogley, Timothy (1994)
Applying the Hodrick-Prescott filter to both the approximating model and the data adds a constant to the log-likelihood function. Thus, maximum likelihood estimates and likelihood ratio statistics are invariant to symmetric HP filtering.
Working Papers in Applied Economic Theory , Paper 94-12

Working Paper
General nonlinear estimation
Butler, Larry (1973)
Working Papers in Applied Economic Theory , Paper 12

Working Paper
Monetary control, interest rates and exchange rates: the case of Japan, 1973-1986
Hutchison, Michael M. (1986)
This paper analyzes the extent to which Japan's success at maintaining a low and stable inflation rate since the mid-1970s, while avoiding a major recession, is attributable to a switch in monetary control procedures by the Bank of Japan toward a so-called "money focused" monetary policy. Through estimation of an explicit Bank of Japan (BoJ) reaction function and using the vector autoregressions methodology, we find that little of the variation in the BoJ operating instrument is associated with an attempt to maintain money aggregates growth along a predetermined path. We do find, however, ...
Working Papers in Applied Economic Theory , Paper 86-08

Working Paper
Central bank secrecy and money surprises: international evidence
Hutchison, Michael M.; Judd, John P. (1991)
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 Papers in Applied Economic Theory , Paper 91-01

Working Paper
The cyclical behavior of prices: interpreting the evidence
Trehan, Bharat; Judd, John P. (1993)
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 ...
Working Papers in Applied Economic Theory , Paper 93-14

Working Paper
Optimal policy with limited commitment
Kasa, Kenneth (1994)
This paper uses Whiteman's(1986) frequency-domain optimization methodology to parameterize the precommitment period in a standard rational expectations policy design model. This allows researchers to adopt an empirical approach to the time consistency issue. That is, the operative commitment horizon in a given policy setting can be estimated along with the other parameters characterizing the preferences and constraints of the agents in the model. It is shown that the commitment horizon can be estimated by running (restricted) regressions of the policymaker's instrument variable on past values ...
Working Papers in Applied Economic Theory , Paper 94-16

Working Paper
Presidential popularity, presidential policies
Newman, Judy Liles; Walsh, Carl E. (1992)
Working Papers in Applied Economic Theory , Paper 92-01

Working Paper
Real exchange rate effects of monetary shocks under fixed and flexible exchange rates: theory and cross-country evidence
Glick, Reuven; Wihlborg, Clas (1987)
Working Papers in Applied Economic Theory , Paper 87-03

Working Paper
A frequency decomposition of approximation errors in stochastic discount factor models
Cogley, Timothy (1997)
This paper extends the work of Hansen and Jagannathan (1997) by showing how to decompose approximation errors in stochastic discount factor models by frequency. This decomposition is applied to a number of prominent consumption-based discount factor models top investigate how well they fit at low frequencies. There is some evidence of improved fit at low frequencies, but only in models with high degrees of risk aversion. In models with low degrees of risk aversion, approximation errors at low frequencies are just as severe as those at high frequencies.
Working Papers in Applied Economic Theory , Paper 97-04

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