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Showing results 1 to 10 of approximately 13.
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Journal Article
Is the Fed being swept out of (monetary) control?
What are "reserves," and why do banks hold them? What are "sweep accounts," and how do they work? What?s the relationship between the two? And what?s the Fed?s role in all of this? In this article, Jeff Wrase considers the effect sweep accounts have had on the market for bank reserves and on the Fed?s job of managing reserves in the banking system. He also looks at changes the Federal Reserve has made to keep the federal funds rate from becoming too volatile as the use of sweep accounts spreads
Working Paper
Schumpeterian growth and endogenous business cycles
This paper contains a dynamic general equilibrium model with an endogenous process for growth and business cycles driven partly by technological discovery and diffusion. The model integrates two branches of the literature. One is literature on Schumpeterian, or "quality ladder," models, in which growth is driven endogenously by attempts to innovate in order to capture monopoly rents and in which the focus is on low-frequency fluctuations in variables. The other is the real business cycle literature, in which the focus is on high-frequency fluctuations driven by exogenous productivity ...
Working Paper
Exchange rates, monetary policy regimes, and beliefs
The authors investigate an international monetary business-cycle model in which agents face monetary policy processes that incorporate regime shifts. In any given period agents cannot directly observe the policy regime, but instead form beliefs that are updated via Bayesian learning. As a result, expectation adjustment displays inertia that adds persistence to the effects of monetary shocks. Monetary policy process for the U.S. and an aggregate of OECD countries are estimated using Hamilton's Markov-switching model. The authors then solve and calibrate a version of the model and examine its ...
Discussion Paper
Liquidity and real activity in a simple open economy model
We examine nominal and real exchange rates, interest rates, prices, and evolutions of real variables in a two-country, monetary general-equilibrium model that includes a financial sector and shocks to technologies and money growth rates. Qualitative properties of the model are provided and moment predictions from a calibrated version of the model are compared to moments of time series drawn from actual economies. We focus on international monetary shock transmissions, and effects of monetary innovations on nominal and real exchange rates and nominal interest rates.
Working Paper
Exchange rates and monetary policy regimes in Canada and the U.S.
This paper examines monetary regime switching in Canada and the United States and the implications of regime switching for exchange rates and key nominal and real macroeconomic aggregates for the two countries. Evidence of Markov regime switching in the process governing monetary base growth and in the bilateral exchange rate between the two countries is presented. Given this evidence, a two-country general equilibrium monetary model is constructed to account for observed properties of the U.S.-Canadian dollar exchange rate and for measured effects of monetary policy on key variables. Agents ...
Working Paper
Exchange rates and international relative prices and quantities in equilibrium models with alternative preference specifications
Dynamic open economy models with time-separable, deterministic utilities fail to account for observed dynamics of exchange rates and international relative prices and quantities. This paper examines the ability of extensions of existing open economy models to account for exchange rates, international relative prices, and international trade quantities. The extensions involve preferences with taste shocks and nontime-separable utilities in habit persistence form. Quantitative properties of calibrated versions of the models are examined in light of time series properties of key international ...
Discussion Paper
A monetary, open-economy model with capital mobility
This paper examines a two-country, monetary general-equilibrium model that includes a financial sector, capital mobility, and shocks to technologies and money-growth rates. Capital mobility allows agents in both countries to participate in rewards from relatively favorable shocks realized in either country. Currency exchange facilitates currency-intermediated international trade of consumption and capital goods. Qualitative and quantitative implications of the model for evolutions of variables are investigated. The quantitative analysis is performed by numerically solving and simulating the ...
Journal Article
The interplay between home production and business activity.
Jeff Wrase explores this influence and discusses the potential gains from incorporating household decisions about allocating resources between the home and the marketplace into models used to forecast and account for changes in economic conditions.
Journal Article
Inflation-indexed bonds: how do they work?
In January 1997, the United States Treasury, after years of debate, issued its first inflation-indexed bonds. These securities differ from conventional bonds in that principal and interest payments are linked to a price index. Thus, the purchasing power of an investor's savings is protected from inflation. This article provides a simple description of the Treasury's new offering and discusses why indexed bonds may be useful to investors, the Treasury, and policymakers