Search Results
Journal Article
Interest rates and economic announcements
Working Paper
How important are capital and total factor productivity for economic growth?
The authors examine the relative importance of the growth of physical and human capital and the growth of total factor productivity (TFP) using newly organized data on 145 countries that span more than one hundred years for twenty-four of these countries. For all countries, only 3 percent of average output growth per worker is associated with TFP growth. This world average masks interesting variations across countries and regions. Of the nine regions, TFP growth accounts for about twenty percent of average output growth in three regions and between ten and zero percent in the other three ...
Journal Article
Is money irrelevant?
Working Paper
Index arbitrage and nonlinear dynamics between the S&P 500 futures and cash
We use a cost of carry model with nonzero transactions costs to motivate estimation of a nonlinear dynamic relationship between the S&P 500 futures and cash indexes. Discontinuous arbitrage suggests that a threshold error correction mechanism may characterize many aspects of the relationship between the futures and cash indexes. We use minute-by-minute data on the S&P 500 futures and cash indexes. The results indicate that nonlinear dynamics are important and related to arbitrage and suggest that arbitrage is associated with more rapid convergence of the basis to the cost of carry than would ...
Working Paper
Suspension of payments, bank failures, and the nonbank public's losses
Arguably, eliminating suspensions of payments--periods when banks jointly refuse to convert their liabilities into outside money or other assets--was an important impetus for creating the Federal Reserve. Friedman and Schwartz suggest that a suspension in 1930 would have decreased the severity of the Great Depression. More recently, an emerging literature suggests that suspensions of payments may well be optimal in some states of the world. We present evidence about suspensions of payments from an episode that is close to a controlled experiment for examining their effects. In 1861, about 44 ...
Journal Article
Economic slowdown: demand or supply induced?
Journal Article
Social Security private accounts: a risky proposition?
In the ongoing debate over Social Security, private accounts have been recommended as one part of the resolution of the funding difficulties the system faces in coming years. This article discusses what private accounts can and cannot do for individuals who choose to use them and for future Social Security deficits. ; Under current proposals, private accounts would give account holders personal ownership rights and could be willed to heirs at death. Most proposals would limit the range of assets that can be held but would permit account owners to determine their investments based on personal ...
Working Paper
The economics of international monies
The economics of international monies is likely to be informative about the future of the euro. The authors summarize the history of international monies, from the gold solidus introduced in the fourth century to the present. They identify four common characteristics of these currencies: high unitary value; relatively low inflation rates; issuance by major economic and trading powers; and spontaneous, as opposed to planned, adoption. Recent theoretical literature supports the importance of the characteristics, while recent theories? common implication of multiple equilibria supports the ...
Working Paper
Are stocks in new industries like lottery tickets?
We examine the distribution of returns in new industries to determine whether stocks in new industries are similar to lottery tickets. We focus on one characteristic of lottery tickets: negative expected returns. We examine data from the United States on sellers of own-brand personal computers, airlines and airplane manufacturers, automobile manufacturers, railroads, and telegraphs. A relatively small number of companies generate outstanding returns in some industries. We find no evidence of low expected returns. On the contrary, firms in new industries typically have high volatility of ...
Working Paper
International money and common currencies in historical perspective
The authors review the history of international monies and the theory related to their adoption and use. There are four key characteristics of these currencies: high unitary value; relatively low inflation rates for long periods; issuance by major economic and trading powers; and spontaneous, as opposed to planned, adoption internationally. The economic theory of the demand for money provides support for the importance of these characteristics. The value of a unit is arbitrary for a fiat money, but the other characteristics are likely to be important for determining any fiat money that will ...