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Endogenous productivity and development accounting

Cross-country data reveal that the per capita incomes of the richest countries exceed those of the poorest countries by a factor of thirty-five. We formalize a model with embodied technical change in which newer, more productive vintages of capital coexist with older, less productive vintages. A reduction in the cost of investment raises both the quantity and productivity of capital simultaneously. The model induces a simple relationship between the relative price of investment goods and per capita income. Using cross-country data on the prices of investment goods, we find that the model does ...
Staff Reports , Paper 258

Journal Article
Dividing up the investment pie: have we overinvested in housing?

Business Review , Issue Mar , Pages 13-23

The CAPM is alive and well

In empirical studies of the CAPM, it is commonly assumed that, (a) the return to the value-weighted portfolio of all stocks is a reasonable proxy for the return on the market portfolio of all assets in the economy, and (b) betas of assets remain constant over time. Under these assumptions, Fama and French (1992) find that the relation between average return and beta is flat. We argue that these two auxiliary assumptions are not reasonable. We demonstrate that when these assumptions are relaxed, the empirical support for the CAPM is very strong. When human capital is also included in measuring ...
Staff Report , Paper 165

Working Paper
A bottleneck capital model of development

A convex marginal adjustment cost allows the neoclassical growth model to match observed transition paths for output growth, savings, investment, the real interest rate, and the shadow value of installed capital. Such an adjustment cost need apply only to one of two complementary capital inputs with minimal factor income share. The interaction of complementary capital inputs blurs the distinction between capital accumulation and productivity growth.
Research Working Paper , Paper RWP 01-10

Journal Article
International risk-based capital standard: history and explanation

In December the Board of Governors of the Federal Reserve System adopted final guidelines for the new Risk-Based Capital Standard. This article traces the evolution of the new standard, discusses how capital measures of the United States will change, and indicates how Fifth District banking organizations may fare under the new standard.
Economic Review , Volume 74 , Issue Nov , Pages 28-34

Journal Article
Policy update : A pinch of Basel?

Related links:
Econ Focus , Volume 15 , Issue 1Q , Pages 9

Working Paper
Argentina's recovery and "excess" capital shallowing of the 1990s

The paper examines Argentinas economic expansion in the 1990s through the lens of a parsimonious neoclassical growth model. The main finding is that investment remained considerably weaker than what the model would have predicted. The resulting excessive capital shallowing could be identified as a weakness of the rapid economic growth of the 1990s that may have played a role in Argentinas ultimate inability to escape the crisis that started to unfold towards the end of that decade. ; Economic Research Working Paper 0204
Center for Latin America Working Papers , Paper 0102

Working Paper
Inflation, real interest tax wedges, and capital formation

Inflation magnifies the distorting effects of taxation when the tax treatment of interest income and expense is not fully indexed to inflation. The distortion involves a real interest tax wedge which is the difference between the real before tax interest rate that influences fully taxed investors and the real after tax interest rate that influences savers. Reducing the real tax wedge by eliminating inflation or indexing would stimulate private saving and non-residential investment, but decrease tax receipts and the tax deductions that subsidize home ownership.
Working Papers , Paper 1998-005

Working Paper
Does monetary policy affect stock prices and Treasury yields? An error correction and simultaneous equation approach

This study pursues two addenda to the practitioner and academic on the effect of monetary policy on asset prices. First, this paper applies cointegration theory, and, second, relaxes the stringent assumption in the literature that changes in 10-year Treasury yields, stock returns, and changes in the stance of monetary policy are exogenous. Given quarterly data from 1978:Q4 to 2002:Q3, two-stage least squares (2SLS) regressions suggest that changes in the exogenous component of the federal funds rate affect changes in Treasury yields but not stock returns, ceteris paribus. However, this result ...
Finance and Economics Discussion Series , Paper 2003-10



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