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

Working Paper
Borrowed reserves targeting and nominal income smoothing
AUTHORS: VanHoose, David D.
DATE: 1989

Working Paper
Tax analysis in a dynamic stochastic model: on measuring Harberger triangles and Okun gaps
AUTHORS: Greenwood, Jeremy; Huffman, Gregory W.
DATE: 1989

Working Paper
How real is the \\"real exchange rate?\\"
AUTHORS: Becketti, Sean; Hakkio, Craig S.
DATE: 1987

Working Paper
Inside money, outside money, and inflation
AUTHORS: Talbot, Kathleen E.; Boschen, John F.
DATE: 1987

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 the bid-ask spread. Thus market liquidity (varying inversely with the bid-ask spread) declines with increasing price and volume volatility and with increasing size of market-maker net inventory positions. The model hence provides a particularly simple explanation for declining market liquidity during periods of large price movements and trading imbalances that increase the size of market-makers' net inventory.
AUTHORS: Starr, Ross M.; Shen, Pu
DATE: 2000

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 one country inflates. The quantitative results are fairly insensitive to variations in the cash-credit mix used to finance investment expenditures.
AUTHORS: Rioja, Felix K.; Holman, Jill A.
DATE: 1999

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 inflation at shorter or longer horizons. However, stabilizing all fluctuations, not just forecastable ones, in both wage and price inflation leads to the closest approximation to the welfare-optimal rule.
AUTHORS: Laubach, Thomas; Amato, Jeffery D.
DATE: 1999

Working Paper
Cointegration: how short is the long run?
AUTHORS: Hakkio, Craig S.; Rush, Mark
DATE: 1990

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 the internal consistency of the ex ante long-run expectations of bond traders and survey respondents.
AUTHORS: Tinsley, Peter A.; Kozicki, Sharon
DATE: 1997

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 interpretation. Loan covenants serve as a mechanism to induce the lead arranger to monitor.
AUTHORS: Mora, Nada
DATE: 2010

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