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Conference Paper
Tax reform and capital formation
Kopcke, Richard W. (1985)
Conference Series ; [Proceedings] , Volume 29 , Pages 103-152

Working Paper
Using a projection method to analyze inflation bias in a micro-founded model
Anderson, Gary S.; Kim, Jinill; Yun, Tack (2010)
Since Kydland and Prescott (1977) and Barro and Gordon (1983), most studies of the problem of the inflation bias associated with discretionary monetary policy have assumed a quadratic loss function. We depart from the conventional linear-quadratic approach to the problem in favor of a projection method approach. We investigate the size of the inflation bias that arises in a microfounded nonlinear environment with Calvo price setting. The inflation bias is found to lie between 1% and 6% for a reasonable range of parameter values, when the bias is defined as the steady-state deviation of the ...
Finance and Economics Discussion Series , Paper 2010-18

Report
Regulatory evaluation of value-at-risk models
Lopez, Jose A. (1997)
Beginning in 1998, commercial banks may determine their regulatory capital requirements for market risk exposure using value-at-risk (VaR) models; i.e., time-series models of the distributions of portfolio returns. Currently, regulators have available three statistical methods for evaluating the accuracy of VaR models: the binomial method, the interval forecast method, and the distribution forecast method. These methods test whether the VaR forecasts in question exhibit properties characteristics of accurate VaR forecasts. However, the statistical tests can have low power against alternative ...
Research Paper , Paper 9710

Working Paper
A model of crises in emerging markets
Dooley, Michael P. (1998)
This paper presents a "first generation" model of speculative attacks on emerging markets. Credit-constrained governments accumulate liquid assets in order to self-insure against shocks to national consumption. Governments also insure poorly regulated domestic financial markets. Given this policy regime, a variety of internal and external shocks generate capital inflows followed by anticipated speculative attacks. The model suggests that a common shock generated capital inflows to emerging markets in Asia and Latin America after 1989. Country-specific factors determined the timing of ...
International Finance Discussion Papers , Paper 630

Conference Paper
International payments imbalances of the East Asian developing economies
Sundberg, Mark W.; Sachs, Jeffrey D. (1988)
Conference Series ; [Proceedings] , Volume 32 , Pages 103-156

Working Paper
Term structure estimation with survey data on interest rate forecasts
Orphanides, Athanasios; Kim, Don H. (2005)
The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as additional input to the estimation to overcome the problem. The three-factor pure-Gaussian model thus estimated with the U.S. Treasury term structure for the 1990-2003 period generates a stable estimate of the expected path of the short rate, reproduces the well-known stylized patterns in the expectations ...
Finance and Economics Discussion Series , Paper 2005-48

Conference Paper
List price signaling and buyer behavior in the housing market
Sirmans, C. F.; Knight, John R.; Turnbull, Geoffrey K. (1994)
Proceedings

Report
Non-convexities in quantitative general equilibrium studies of business cycles
Prescott, Edward C. (2003)
This paper reviews the role of micro non-convexities in the study of business cycles. One important non-convexity arises because an individual can work only one workweek length in a given week. The implication of this non-convexity is that the aggregate intertemporal elasticity of labor supply is large and the principal margin of adjustment is in the number employed-not in the hours per person employed-as observed. The paper also reviews a business cycle model with an occasionally binding capacity constraint. This model better mimics business cycle fluctuations than the standard real business ...
Staff Report , Paper 312

Working Paper
Some problems with identification in parametric models
Swamy, P. A. V. B.; Mehta, J. S.; Von zur Muehlen, Peter (1990)
Finance and Economics Discussion Series , Paper 144

Working Paper
Productivity shocks, habits, and the current account
Gruber, Joseph W. (2002)
Empirical work regarding Intertemporal Current Account (ICA) models has centered around two distinct testing methodologies, present value tests and a productivity shock approach as formulated in Glick and Rogoff (1995). In previous work, Gruber (2001), I have tested an ICA model that allows for habits in aggregate consumption via the present value method. This paper applies the alternative Glick and Rogoff style approach to testing the model. The benefits of doing such are an ability to separate country-specific from worldwide output changes, a distinction of considerable importance, as well ...
International Finance Discussion Papers , Paper 733

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