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Author:Dueker, Michael J. 

Journal Article
Using cyclical regimes of output growth to predict jobless recoveries

Gaps between output and employment growth are often attributed to transitional phases by which the economy adjusts to shifts in the rate of trend productivity growth. Nevertheless, cyclical factors can also drive a wedge between output and employment growth. This article shows that one measure of cyclical dynamics-the expected output loss associated with a recession-helps predict the gap between output and employment growth in the coming four quarters. This measure of the output loss associated with a recession can take unexpected twists and turns as the recovery unfolds. The empirical ...
Review , Volume 88 , Issue Mar , Pages 145-154

Working Paper
Fixing Swiss potholes: the importance of improvements

This note sheds new light on the dynamic properties of maintenance and repair and examines the behavior of an additional form of capital spending-that of improvements. The analysis examines a unique long-run data set on Swiss road spending.
Working Papers , Paper 2001-025

Working Paper
Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve

We estimate a multivariate autoregressive fractionally-integrated moving-average (ARFIMA) model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent series. Although previous work has recognized that deviations from long-run relationships could exhibit long memory and go undetected in traditional 1(1)/i (0) cointegration analysis, previous tests for fractional cointegration relied on a two-step testing procedure and maintained the assumption in the second step that the parent series were ...
Working Papers , Paper 1994-027

Journal Article
Are federal funds rate changes consistent with price stability? Results from an indicator model

Review , Volume 78 , Issue Jan , Pages 45-51

Working Paper
Compound volatility processes in EMS exchange rates

This paper introduces a compound GARCH/markov switching model to add flexibility to the GARCH model in order to model the volatilities of exchange rates in target zones subject to realignments. The compound volatility model endogenizes the weights given to realignments (and all other shocks) in the GARCH process. Previous GARCH applications to EMS exchange rates took polar positions by arbitrarily placing full or zero weight on realignment shocks. Markov switching in the student-t degrees-of-freedom parameter is shown to make the difference between rejection and acceptance of goodness-of-fit ...
Working Papers , Paper 1994-016

Journal Article
The sensitivity of empirical studies to alternative measures of the monetary base and reserves

Review , Issue Nov , Pages 51-69

Journal Article
Spring of disconnect across stock markets?

Monetary Trends , Issue Sep

Working Paper
Product cycles, innovation and relative wages in European countries

This paper attempts to bridge the gap between the theoretical literature examining how innovation affects income across countries and the empirical literature examining how relative wages within a country change over time. We test the hypothesis that the relative wage between workers in high-and low-technology industries within a country is a function of the rate of domestic innovation and innovation abroad. To test this hypothesis data for 7 European countries for the years 1971-1988 are used. The empirical results show that the relative rates of innovation (as measured by the ratio of ...
Working Papers , Paper 1994-022

Journal Article
Political economy of state homeland security grants

National Economic Trends , Issue Dec

Working Paper
Monetary policy and stock market booms and busts in the 20th century

This paper examines the association between monetary policy and stock market booms and busts in the United States, United Kingdom, and Germany during the 20th century. Booms tended to arise when output growth was rapid and inflation was low, and end within a few months of an increase in inflation and monetary policy tightening. Latent variable VAR analysis of post-war data finds that inflation has had a particularly strong impact on market conditions, with disinflation shocks moving the market toward a boom and positive inflation shocks moving the market toward a bust. We conclude that ...
Working Papers , Paper 2007-020

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Business cycles 8 items

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time series analysis 6 items

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