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Working Paper
Asset price declines and real estate market illiquidity: evidence from Japanese land values

We develop an overlapping generations model of the real estate market in which search frictions and a debt overhang combine to generate price persistence and illiquidity. Illiquidity stems from heterogeneity in agent real estate valuations. The variance of agent valuations determines how quickly prices adjust following a shock to fundamentals. We examine the predictions of the model by studying price depreciation in Japanese land values subsequent to the 1990 stock market crash. Commercial land values fell much more quickly than residential land values. As we would posit that the variance of ...
Working Paper Series , Paper 2004-16

Journal Article
Price risk intermediation in the over-the-counter derivatives markets: interpretation of a global survey

In April 1995, central banks in twenty-six countries conducted a global survey of the financial derivatives markets' size and structure. The authors' analysis of the survey results suggests that at the time of the survey, dealers in the aggregate assumed only small exposures to price risks in meeting end-user demands. In addition, despite the derivatives markets' large size, potential price shocks there would still be appreciably smaller in scale than price shocks in the cash markets. Thus, the overall effect of derivatives markets may be to modify and redistribute exposures to price risks in ...
Economic Policy Review , Volume 2 , Issue Apr , Pages 1-15

Journal Article
An empirical investigation of fluctuations in manufacturing sales and inventory within a sticky-price framework

Economic Quarterly , Issue Sum , Pages 61-84

Journal Article
Long-run labor market dynamics and short-run inflation

Economic Perspectives , Volume 18 , Issue Mar , Pages 15-27

Increased price flexibility and output stability

Research Paper , Paper 8803

Working Paper
A discrete model of discriminatory price auctions - an alternative to Menezes-Monteiro

Menezes and Monteiro, Math. Soc. Sci. (1995), show that a multi-unit discriminatory price auction does not have a pure strategy equilibrium unless one imposes some rather special conditions on the demand functions. This non-existence result might indicate a problem either with the underlying auction procedure (as Menezes and Monteiro suggest) or with the modelling approach (as we suggest). We observe that the non-existence problem disappears if bids must come in multiples of smallest units --- a realistic feature. Moreover, we show that most of the analysis can be recast in a discrete action ...
Finance and Economics Discussion Series , Paper 1998-08

Journal Article
Are prices countercyclical? Evidence from East Asian countries

Review , Issue Sep , Pages 69-82

Working Paper
The effects of interest rates and taxes on new car prices

Utilizing the Consumer Expenditure Survey and state-level variation in taxes, this study finds that prices for most models of new cars shift by more than the amount of a sales tax. The evidence of an overshifting of prices offers support for the recent models of tax incidence in imperfectly competitive markets. The results also suggest that changes in the after-tax interest rate have offsetting effects on new car prices; a one percentage point increase in the after-tax real interest rate will prompt, on average, a mark-down of $106.
Finance and Economics Discussion Series , Paper 1997-38

Working Paper
Monetary policy shocks and price stickiness: an analysis of price and output responses to policy in manufacturing industries

This paper uses annual data on 450 SIC four-digit manufacturing industries obtained from the NBER Manufacturing Productivity Database to examine how manufacturing industries respond to unanticipated changes in the federal funds rate. The analysis proceeds in three stages. First, industry price and output responses to unanticipated changes in the federal funds rate are examined. Second, the effect of industry characteristics on these responses is analyzed. Finally, the paper assesses whether particular industry characteristics are associated with price rigidity or interest rate sensitivity. ...
Research Working Paper , Paper 96-07

Journal Article
Statement to Congress, February 6, 1990 (price stability)

Federal Reserve Bulletin , Issue Mar



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