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Bank:Board of Governors of the Federal Reserve System (U.S.) 

Working Paper
The Asian dollar market
AUTHORS: Emery, Robert F.
DATE: 1975

Working Paper
Trade policy for the multiple product declining industry
Increasing returns to scale and scope in production technology combined with product substitutability in demand yields an environment where free trade may not maximize domestic country welfare. If not, there is an optimal tax on imports that depends on the cross-elasticity of demand between the products in the spectrum and on the degree of economies of scale and scope in technology. However, even if protection may be warranted in the short run, the long run solution is consistent with the theory of comparative advantage.
AUTHORS: Mann, Catherine L.
DATE: 1985

Working Paper
Exchange-rate based inflation stabilization: the initial real effects of credible plans
This paper presents a dynamic general equilibrium model of a small, open, monetary economy in order to analyze the short-run effects of credible stabilization plans that fix the nominal exchange rate in a regime of free convertibility. In this model inflation acts as a tax on domestic market transactions. In particular, it generates a wedge between the rate of return on investment in domestic capital and the rate of return on investment in foreign assets. The model stresses the importance of adjustment costs (including gestation lags) in explaining the precise character of the initial dynamics. The main stylized facts of this type of programs namely an initial phase characterized by several months of real exchange rate appreciation, trade balance deterioration and expansion in aggregate demand and production, followed by a deflationary slowdown in real activity, are replicated without resorting to credibility problems, sticky prices, adaptive expectations, or gradual disinflation schemes. Finally, the model is calibrated using long-run relations from the Argentinean economy, and its quantitative predictions are compared to the initial effects of that country's Convertibility Plan of April 1991.
AUTHORS: Uribe, Martin
DATE: 1995

Working Paper
Money demand in open economies : a currency substitution model for Venezuela
This paper investigates the extent to which domestic money balances in Venezuela are influenced by foreign exchange considerations. To this end, individuals are assumed to choose the levels of foreign and domestic money that minimize the borrowing costs associated with a given level of monetary services. The solution to this optimization problem yields a closed form domestic money demand function. This specification is estimated and the results point to an elasticity of currency substitution in excess of one. Conditioned on these estimates, the paper presents estimates of the out-of-sample exchange-rate risk for the period 1981-1982, prior to the collapse of the fixed exchange rate system in 1983.
AUTHORS: Marquez, Jaime R.
DATE: 1985

Working Paper
Elections and macroeconomic policy cycles Anne Sibert
There is an extensive empirical literature on political business cycles, but its theoretical foundations are grounded in pre-rational expectations macroeconomic theory. Here we show that electoral cycle in taxes, government spending and money growth can be modeled as an equilibrium signaling process. The cycle is driven by temporary information asymmetries which can arise if, for example, the government has more current information on its performance in providing for national defense. Incumbents cheat least when their private information is either extremely favorable or extremely unfavorable. An exogenous increase in the incumbent party's popularity does not necessarily imply a damped policy cycle.
AUTHORS: Rogoff, Kenneth S.; Sibert, Anne C.
DATE: 1985

Working Paper
Product market competition and the impact of price uncertainty on investment: some evidence from U.S. manufacturing industries
This paper examines the relationship between real exchange rates and real interest rates using three different approaches across four currencies and two horizons with 20 years of data. Each approach gives some encouragement that this relationship might hold, but each approach also encounters problems establishing the form or usefulness of the relationship. On balance, this paper contributes to the literature by finding more encouraging results than in earlier studies, but it still remains to be demonstrated that the real exchange rate-real interest rate relationship is the linchpin to explaining exchange rate movements.
AUTHORS: Ghosal, Vivek; Loungani, Prakash
DATE: 1995

Working Paper
Simultaneous determination of the U.S. balance of payments and exchange rates: an exploratory report
AUTHORS: Howe, Howard; Clark, Peter K.; Berner, Richard; Kwack, Sung Y.; Stevens, Guy V. G.
DATE: 1975

Working Paper
Predicting cycles in economic activity
Predicting cycles in economic activity is one of the more challenging but important aspects of economic forecasting. This paper reports the results from estimation of binary probit models that predict the probability of an economy being in a recession using a variety of financial and real activity indicators. The models are estimated for eight countries, both individually and using a panel regression. Although the success of the models varies, they are all able to identify a significant number of recessionary periods correctly.
AUTHORS: Haltmaier, Jane
DATE: 2008

Working Paper
Jackknifing stock return predictions
We show that the general bias reducing technique of jackknifing can be successfully applied to stock return predictability regressions. Compared to standard OLS estimation, the jackknifing procedure delivers virtually unbiased estimates with mean squared errors that generally dominate those of the OLS estimates. The jackknifing method is very general, as well as simple to implement, and can be applied to models with multiple predictors and overlapping observations. Unlike most previous work on inference in predictive regressions, no specific assumptions regarding the data generating process for the predictors are required. A set of Monte Carlo experiments show that the method works well in finite samples and the empirical section finds that out-of-sample forecasts based on the jackknifed estimates tend to outperform those based on the plain OLS estimates. The improved forecast ability also translates into economically relevant welfare gains for an investor who uses the predictive regression, with jackknifed estimates, to time the market.
AUTHORS: Chiquoine, Benjamin; Hjalmarsson, Erik
DATE: 2008

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