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Working Paper
Durable good inventories and the volatility of production: explaining the less volatile U.S. economy
Wen, Yi (2005)
This paper provides a simple dynamic optimization model of durable goods inventories. Closed-form solutions are derived in a general equilibrium environment with imperfect information and serially correlated shocks. The model is then applied to scrutinize some popular conjectures regarding the causes of the volatility reduction of GDP since 1984.
Working Papers , Paper 2005-047

Journal Article
Observations: smart art
Lovejoy, Kristin (2002-04-02)
Investing in fine art versus the stock market.
Regional Review , Volume 12 , Issue Q 2 , Pages 1

Working Paper
Are TIPS really tax disadvantaged? Rethinking the tax treatment of U.S. Treasury Inflation Indexed Securities
Mercer, Jeffrey M.; Hein, Scott E. (2003)
In 1997 the U.S. Treasury introduced Inflation Indexed (or Protected) Securities with substantial promotional fanfare. Yet, due in part to what some in the finance profession have described as a "tax disadvantage" placed upon TIPS, many are questioning whether they should appeal to a wide audience. Some, in fact, advise holding TIPS only in tax-deferred accounts. In this paper, the authors develop a framework that allows us to demonstrate that the tax treatment of TIPS is trivially different from that of conventional Treasury securities. Utilizing an after-tax valuation approach, they ...
FRB Atlanta Working Paper , Paper 2003-9

Working Paper
'Captive markets': the impact of kidnappings on corporate investment in Colombia
Suarez, Gustavo A.; Pshisva, Rony (2006)
This paper measures the impact of crime on firm investment by exploiting variation in kidnappings in Colombia from 1996 to 2002. Our central result is that firms invest less when kidnappings directly target firms. We also find that broader forms of crime--homicides, guerrilla attacks, and general kidnappings--have no significant effect on investment. This finding alleviates concerns that our main result may be driven by unobserved variables that explain both overall criminal activity and investment. Furthermore, kidnappings that target firms reduce not only the investment of firms that sell ...
Finance and Economics Discussion Series , Paper 2006-18

Working Paper
Idiosyncratic shocks and the role of nonconvexities in plant and aggregate investment dynamics
Thomas, Julia K.; Khan, Aubhik (2007)
The authors study a model of lumpy investment wherein establishments face persistent shocks to common and plant-specific productivity, and nonconvex adjustment costs lead them to pursue generalized (S,s) investment rules. They allow persistent heterogeneity in both capital and total factor productivity alongside low-level investments exempt from adjustment costs to develop the first model consistent with the cross-sectional distribution of establishment investment rates. Examining the implications of lumpy investment for aggregate dynamics in this setting, the authors find that they remain ...
Working Papers , Paper 07-24

Journal Article
The vanishing equity premium
Clement, Douglas (2001-06)
The Region , Volume 15 , Issue Jun , Pages 6-7

Conference Paper
Putting the brakes on Sudden Stops: the financial frictions - moral hazard tradeoff of asset price guarantees
Mendoza, Enrique G.; Durdu, Bora (2004-06)
The hypothesis that Sudden Stops to capital inflows in emerging economies may originate in frictions inherent to global capital markets, such as collateral constraints and trading costs, suggests that Sudden Stops could be prevented by an international organization that offers exante price guarantees on the emerging-markets asset class. Providing these guarantees is a risky endeavor, however, because they introduce a moral-hazard-like incentive similar to those that are viewed as another culprit behind emerging markets crises. This paper studies this financial frictions-moral hazard tradeoff ...
Proceedings , Issue Jun

Working Paper
What is the U.S. gross investment in intangibles? (At least) one trillion dollars a year!
Nakamura, Leonard I. (2001)
This paper argues that the rate of intangible investment ? investment in the development and marketing of new products ? accelerated in the wake of the electronics revolution in the 1970s. The paper presents preliminary direct and indirect empirical evidence that US private firms currently invest at least $1 trillion annually in intangibles. This rate of investment roughly equals US gross investment in nonresidential tangible assets. It also suggests that the capital stock of intangibles in the US has an equilibrium market value of at least $5 trillion.
Working Papers , Paper 01-15

Report
Intervention strategies and exchange rate volatility: a noise trading perspective
Hung, Juann H. (1995)
This paper estimates and explains the impact of U.S. sterilized intervention on exchange rate volatility. We find that U.S. intervention reduced both yen/dollar and DM/dollar exchange rate volatilities during 1985-86, but increased them during 1987-89. These results make sense in a noise trading framework where the effectiveness of sterilized intervention may depend critically on the shrewdness of intervention strategies. Depending on circumstances, central banks may use noise trading channels through covert intervention, or activate signaling channels through overt intervention. The ...
Research Paper , Paper 9515

Working Paper
Maximum likelihood in the frequency domain: a time to build example
Vigfusson, Robert J.; Christiano, Lawrence J. (1999)
A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for interpreting maximum likelihood ratio tests. We apply the methods to the estimation and testing of two real business cycle models. The standard real business cycle model is rejected in favor of an alternative in which capital investment requires a planning period.
Working Paper Series , Paper WP-99-4

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