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Crude Oil Price Changes Quicker to Register at Gasoline Pump

How big an impact should we expect on gasoline prices? Based on recent research, most of the initial effect showed up quickly at the pump.
Dallas Fed Economics

Working Paper
Endogenous innovation in a north-north model of the product cycle

This paper examines the effect of endogenous innovation in a North-North model of the product cycle. Innovation is a dynamic process that requires labor to b employed in research and development for innovation to occur. Technology is transferred both within and across countries. The results show that in this generalized product cycle model, the amount of innovation and technology transfer affects the economic incentives to innovate and the relative wages in both countries. As a result, changes in the amount of innovation in one country can have significant redistributional effects worldwide, ...
Working Papers , Paper 1990-007

Working Paper
Unit roots in economic time series: a selective survey

Finance and Economics Discussion Series , Paper 49

Working Paper
Early warning models in real time

Each quarter, banks file a call report, or Report of Condition and Income, containing hundreds of accounting items pertaining to their financial condition. Because call reports are filed quarterly, whereas banks are typically examined about once every twelve to eighteen months, statistical early warning models using call report data potentially provide a more up-to-date picture of a bank's condition than on-site exams alone. Often neglected, however, is the fact that call report data are subject to revision. We find evidence of a strong relationship between on-site exams and call report ...
Financial Industry Studies Working Paper , Paper 00-01

Conference Paper
The international transmission of asset price volatility

Proceedings - Economic Policy Symposium - Jackson Hole

Journal Article
Central bank dollar swap lines and overseas dollar funding costs

In the decade prior to the financial crisis, foreign banks? exposure to U.S.-dollar-denominated assets rose dramatically. When the crisis hit in 2007, the banks? access to dollar funding came under severe duress, with potentially dire consequences for global financial markets that could also spread to U.S. markets. The Federal Reserve responded in December 2007 by establishing temporary reciprocal currency swap lines, or facilities, with foreign central banks designed to ameliorate dollar funding stresses overseas. Drawing on rigorous analysis of the swaps, as well as insights of other ...
Economic Policy Review , Volume 17 , Issue May , Pages 3-20

Working Paper
Rational bubbles under diverse information

This paper uses a set of post-extraction information trees to generally model diverse information and agent specific state price processes to define present and fundamental values. It shows that there can be no negative or finite bubbles and that, if agents are impatient and the aggregate endowment has a finite present value under some state price process of some agent, then there can be no bubble under this state price process for any asset with positive supply.
International Finance Discussion Papers , Paper 621

Working Paper
Predictive regressions with panel data

This paper analyzes panel data inference in predictive regressions with endogenous and nearly persistent regressors. The standard fixed effects estimator is shown to suffer from a second order bias; analytical results, as well as Monte Carlo evidence, show that the bias and resulting size distortions can be severe. New estimators, based on recursive demeaning as well as direct bias correction, are proposed and methods for dealing with cross sectional dependence in the form of common factors are also developed. Overall, the results show that the econometric issues associated with predictive ...
International Finance Discussion Papers , Paper 869

Journal Article
The usefulness of applied econometrics to the policymaker

Review , Volume 55 , Issue May , Pages 7-10

Parsimonious estimation with many instruments

We suggest a way to perform parsimonious instrumental variables estimation in the presence of many, and potentially weak, instruments. In contrast to standard methods, our approach yields consistent estimates when the set of instrumental variables complies with a factor structure. In this sense, our method is equivalent to instrumental variables estimation that is based on principal components. However, even if the factor structure is weak or nonexistent, our method, unlike the principal components approach, still yields consistent estimates. Indeed, simulations indicate that our approach ...
Staff Reports , Paper 386



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