Working Paper
Signal extraction and the propagation of business cycles
Kasa, Kenneth (1995)
This paper studies a class of models developed by Townsend (1993) and Sargent (1991). These models feature dynamic signal extraction problems in which firms with heterogeneous information draw inferences from endogenously generated time series about the value of common persistent shock. Because the information firms receive is partially determined by the expectations of other firms, each firm must 'forecast the forecasts of others'. Moreover, since it is common knowledge that everyone is in the same situation, there occurs an infinite regress in expectations, in which each firm attempts to ...
Working Papers in Applied Economic Theory , Paper 95-14

Working Paper
A comparison of discount rate models using international stock market data
Kasa, Kenneth (1994)
This paper compares the ability of four discount rate models to explain the cross-sectional and time-series variation of stock returns in the U.S., Japan, England, Germany, and Canada. The data consist of quarterly returns (in dollars) on Morgan Stanley's Capital International indices for the period 1972 through 1991. The following four models are considered: (1) A consumption CAPM model, linking the discount rate to the intertemporal marginal rate of substitution in consumption, (2) A production CAPM model, linking the discount rate to the intertemporal marginal rate of transformation in ...
Working Papers in Applied Economic Theory , Paper 94-15

Working Paper
Optimal policy with limited commitment
Kasa, Kenneth (1994)
This paper uses Whiteman's(1986) frequency-domain optimization methodology to parameterize the precommitment period in a standard rational expectations policy design model. This allows researchers to adopt an empirical approach to the time consistency issue. That is, the operative commitment horizon in a given policy setting can be estimated along with the other parameters characterizing the preferences and constraints of the agents in the model. It is shown that the commitment horizon can be estimated by running (restricted) regressions of the policymaker's instrument variable on past values ...
Working Papers in Applied Economic Theory , Paper 94-16

Working Paper
Interpreting the dynamics in U.S. international trade
Kasa, Kenneth (1993)
Working Papers in Applied Economic Theory , Paper 94-01

Working Paper
The role of relative performance in bank closure decisions
Spiegel, Mark M.; Kasa, Kenneth (1999)
This paper studies a competitive banking industry subject to common and idiosyncratic shocks. The induced correlation across bank portfolio returns can be used by a regulator to improve inferences about bank portfolio choices. We compare two types of closure rules: (1) an 'absolute closure rule', which closes banks when their own individual asset/liability ratios fall below a given threshold, and (2) a 'relative closure rule', which closes banks when their asset/liability ratios fall below the industry average by a given amount. ; Two main results emerge from the model. First, a relative ...
Working Papers in Applied Economic Theory , Paper 99-07

Journal Article
Measuring the gains from international portfolio diversification
Kasa, Kenneth (1994)
FRBSF Economic Letter

Journal Article
Could Russia have learned from China?
Kasa, Kenneth (1998)
FRBSF Economic Letter

Journal Article
Time for a Tobin tax?
Kasa, Kenneth (1999)
FRBSF Economic Letter

Journal Article
New measures of Japanese monetary policy
Popper, Helen; Kasa, Kenneth (1996)
FRBSF Economic Letter

Journal Article
International trade and U.S. labor market trends
Kasa, Kenneth (1994)
FRBSF Economic Letter