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Working Paper
Fiscal competition and reality: A time series approach
Becsi, Zsolt (1998)
Strategic interjurisdictional behavior and the interaction over time of the mean and dispersion of average tax rates across states are analyzed in a vector autoregression model. Variance decompositions reveal that fiscal competition explains roughly one-third of the time variation of state and local taxes. Impulse response functions identify the type of fiscal competition and the characteristics of leaders and followers. Local tax dynamics agree with Wildasin's (1988) results on expenditure competition with significant short- and medium-run effects but insignificant long-run effects. State ...
FRB Atlanta Working Paper , Paper 98-19

Working Paper
Credible monetary policy with long-lived agents: recursive approaches
Chang, Roberto (1996)
This paper develops recursive methods that completely characterize all the time-consistent equilibria of a class of models with long-lived agents. This class is large enough to encompass many problems of interest, such as capital-labor taxation and optimal monetary policy. The recursive methods obtained are intuitive and yield useful algorithms to compute the set of all time-consistent equilibria. ; These results are obtained by exploiting two key ideas derived from dynamic programming. The first--developed by Abreu, Pearce, and Stachetti in the context of repeated games and by Spear and ...
FRB Atlanta Working Paper , Paper 96-20

Working Paper
Pricing S&P 500 index options using a Hilbert space basis
Abken, Peter A.; Madan, Dilip B.; Ramamurtie, Buddhavarapu Sailesh (1996)
This paper tests the approach of Madan and Milne (1994) and its extension in Abken, Madan, and Ramamurtie (1996) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and test the model on S&P 500 index options. Restrictions on the prices of Hermite polynomial risk are imposed that allow all option maturity classes to be used in estimation. These restrictions are rejected by our empirical tests of a four-parameter specification of the model. Nevertheless, the unrestricted four-parameter model, based ...
FRB Atlanta Working Paper , Paper 96-21

Working Paper
The effects of subject pool and design experience on rationality in experimental asset markets
Ackert, Lucy F.; Church, Bryan K. (1998)
Empirical evidence suggests that prices do not always reflect fundamental values and individual behavior is often inconsistent with rational expectations theory. We report the results of fourteen experimental markets designed to examine whether the interactive effect of subject pool and design experience tempers price bubbles and improves forecasting ability. Our main findings are: (i) price run-ups are modest and dissipate quickly when traders are knowledgeable about financial markets and have design experience; (ii) price bubbles moderate quickly when only a subset of traders are ...
FRB Atlanta Working Paper , Paper 98-18

Working Paper
Legal restrictions and welfare in a simple model of money
Roberds, William (1991)
FRB Atlanta Working Paper , Paper 91-14

Working Paper
Star power: the effect of Morningstar ratings on mutual fund flows
Tkac, Paula A.; Diane Del Guercio (2001)
Morningstar, Inc., has been hailed in both academic and practitioner circles as having the most influential rating system in the mutual fund industry. We investigate Morningstar?s influence by estimating the value of a star in terms of the asset flow it generates for the typical fund. We use event-study methods on a sample of 3,388 domestic equity mutual funds from November 1996 to October 1999 to isolate the ?Morningstar effect? from other influences on fund flow. ; We separately study initial rating events, whereby a fund is rated for the first time on its 36-month anniversary, and rating ...
FRB Atlanta Working Paper , Paper 2001-15

Working Paper
Asymmetric labor force participation decisions over the business cycle: evidence from U.S. microdata
Hotchkiss, Julie L.; Robertson, John C. (2006)
The purpose of this paper is to explore the microfoundations of the observed asymmetric movement in aggregate unemployment rates. Using U.S. data, we find that individual labor force participation responds asymmetrically to changes in local labor market conditions, consistent with the pattern of movements in the aggregate unemployment rate. Differences in the asymmetry and sensitivity of labor force participation decisions are found across gender, age, and education groups, and these differences are used to anticipate changes in the aggregate movements as population characteristics change ...
FRB Atlanta Working Paper , Paper 2006-08

Working Paper
Immigration, remittances, and business cycles
Mandelman, Federico S.; Zlate, Andrei (2010)
We use data on border enforcement and macroeconomic indicators from the United States and Mexico to estimate a two-country business cycle model of labor migration and remittances. The model matches the cyclical dynamics of labor migration to the United States and documents how remittances to Mexico serve an insurance role to smooth consumption across the border. During expansions in the destination economy, immigration increases with the expected stream of future wage gains, but it is dampened by a sunk migration cost that reflects the intensity of border enforcement. During recessions, ...
FRB Atlanta Working Paper , Paper 2008-25

Working Paper
The conquest of South American inflation
Sargent, Thomas J.; Williams, Noah; Zha, Tao (2006)
We infer determinants of Latin American hyperinflations and stabilizations by using the method of maximum likelihood to estimate a hidden Markov model that potentially assigns roles both to fundamentals in the form of government deficits that are financed by money creation and to destabilizing expectations dynamics that can occasionally divorce inflation from fundamentals. Our maximum likelihood estimates allow us to interpret observed inflation rates in terms of variations in the deficits, sequences of shocks that trigger temporary episodes of expectations driven hyperinflations, and ...
FRB Atlanta Working Paper , Paper 2006-20

Working Paper
Generalizing the Taylor principle: comment
Farmer, Roger E. A.; Waggoner, Daniel F.; Zha, Tao (2008)
Davig and Leeper (2007) have proposed a condition they call the generalized Taylor principle to rule out indeterminate equilibria in a version of the New Keynesian model, where the parameters of the policy rule follow a Markov-switching process. We show that although their condition rules out a subset of indeterminate equilibria, it does not establish uniqueness of the fundamental equilibrium. We discuss the differences between indeterminate fundamental equilibria included by Davig and Leeper's condition and fundamental equilibria that their condition misses.
FRB Atlanta Working Paper , Paper 2008-19

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