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Series:Research Working Paper  Bank:Federal Reserve Bank of Kansas City 

Working Paper
Borrowed reserves targeting and nominal income smoothing

Research Working Paper , Paper 89-15

Working Paper
Tax analysis in a dynamic stochastic model: on measuring Harberger triangles and Okun gaps

Research Working Paper , Paper 89-01

Working Paper
How real is the \\"real exchange rate?\\"

Research Working Paper , Paper 87-04

Working Paper
Inside money, outside money, and inflation

Research Working Paper , Paper 87-10

Working Paper
Market makers' supply and pricing of financial market liquidity

This study models the bid-ask spread in financial markets as a function of asset price variability and order flow. The market-maker is characterized as passively accepting orders to buy and to sell a security at the market's prevailing price (plus or minus half the bid-ask spread). The bid-ask spread adjusts to cover market-makers' average costs. The bid-ask spread then varies positively with: the security's price volatility, the volatility of order flow, and the absolute value of the market-maker's net inventory position. Each of these variables increases average cost and hence is priced in ...
Research Working Paper , Paper RWP 00-03

Working Paper
International transmission of anticipated inflation under alternative exchange-rate regimes

This paper studies the international transmission of anticipated inflation. A two-country, two-good, two-currency, cash-in-advance model is used to examine analytically and numerically the consequences of changes in a country's inflation rate. Domestic monetary policy influences real activity at home through an inflation-tax channel. These real effects are transmitted to the foreign country via fluctuations in the real exchange rate. Under a flexible nominal exchange rate, inflation is a beggar-thy-neighbor policy. Under a fixed nominal exchange rate, each country suffers a welfare loss when ...
Research Working Paper , Paper 99-04

Working Paper
Forecast-based monetary policy

A number of central banks use (published or unpublished) forecasts of goal variables as key ingredients in their decisions for instrument settings. This use of forecasts is modelled as a particular form of objective with the minimization of which the central bank is charged. We use an estimated optimization-based model with staggered price and wage setting to analyze the welfare properties of such objectives and their implications for the form of instrument rules. We find that stabilizing expected price inflation at a horizon of two years around target dominates policies of stabilizing ...
Research Working Paper , Paper 99-10

Working Paper
Cointegration: how short is the long run?

Research Working Paper , Paper 90-08

Working Paper
Moving endpoints and the internal consistency of agents' ex ante forecasts

Forecasts by rational agents contain embedded initial and terminal boundary conditions. Standard time series models generate two types of long-run "endpoints"--fixed endpoints and moving average endpoints. Neither can explain the shifting endpoints implied by postwar movements in the cross-section of forward rate forecasts in the term structure or by post-1979 changes in survey estimates of expected inflation. Multiperiod forecasts by a broader class of "moving endpoint" time series models provide substantially improved tracking of the historical term structure and generally support ...
Research Working Paper , Paper 97-01

Working Paper
Lender exposure and effort in the syndicated loan market

This paper tests for agency problems between the lead arranger and syndicate participants in the syndicated loan market. One problem comes from adverse selection, whereby the lead arranger has a private informational advantage over participants. A second problem comes from moral hazard, whereby the lead arranger puts less effort in monitoring when it retains a smaller loan portion. Applying an instrumental variables strategy, I find that borrowers' performance is influenced by the lead's share. Dynamic tests extract active contributions made by the lead, supporting a monitoring ...
Research Working Paper , Paper RWP 10-12

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Nie, Jun 18 items

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