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Keywords:Econometric models 

Working Paper
Efficient computation of stochastic coefficients models

Finance and Economics Discussion Series , Paper 132

Working Paper
Tradability, Productivity, and Understanding International Economic Integration

This paper develops a two-country macro model with endogenous tradability to study features of international economic integration. Recent episodes of integration in Europe and North America suggest some surprising observations: while quantities of trade have increased significantly, especially along the extensive margin of goods previously not traded, price dispersion has not decreased and may even have increased. These observations challenge the usual understanding of integration in the literature. We propose a way of reconciling these price and quantity observations in a macroeconomic model ...
Working Paper Series , Paper 2005-13

Conference Paper
International payments imbalances in Japan, Germany, and the United States

Conference Series ; [Proceedings] , Volume 32 , Pages 19-57

Journal Article
Fiscal and monetary policy: conference summary

This Economic Letter summarizes the papers presented at a conference on "Fiscal and Monetary Policy" held at the Federal Reserve Bank of San Francisco on March 4 and 5, 2005.
FRBSF Economic Letter

Conference Paper
Narrow money, broad money, and the transmission of monetary policy

Proceedings

Working Paper
A comparison of discount rate models using international stock market data

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
Output dynamics in real business cycle models

The time series literature reports two stylized facts about output dynamics in the United States. GNP growth is positively autocorrelated over short horizons and negatively autocorrelated over longer horizons, and GNP has an important trend reverting component which has a hump-shaped moving average representation. We consider whether various real business cycle (RBC) models are consistent with these stylized facts. ; We find that many RBC models have weak internal propagation mechanisms and must rely on exogenous factors to replicate both stylized facts. In particular, intertemporal ...
Working Papers in Applied Economic Theory , Paper 93-10

Working Paper
Effects of using dependent and independent differences in tests of random walk models against regression models

Finance and Economics Discussion Series , Paper 129

Working Paper
Indeterminacy and investment adjustment costs

It is widely known that a neoclassical growth model with sufficient increasing returns to production may feature an indeterminate steady state. This note shows how investment adjustment costs increase the degree of increasing returns required for indeterminacy to arise. We also argue that sector-specific externalities are observationally equivalent to negative adjustment costs. It is widely known that a neoclassical growth model with sufficient increasing returns to production may feature an indeterminate steady state. This note shows how investment adjustment costs increase the degree of ...
Finance and Economics Discussion Series , Paper 1998-38

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Williams, John C. 15 items

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Zha, Tao 14 items

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