Despite the increasing use of electronic payments, currency retains an important role in the payments system of every country. Two aspects of currency usage drive currency design worldwide: deterring counterfeiting and making paper currency accessible to the visually impaired. Further, among the...

In this paper, we examine the use of Box-Tiao's (1977) canonical correlation method as an alternative to likelihood-based inferences for vector error-correction models. It is now well-known that testing of cointegration ranks based on Johansen's (1995) ML-based method suffers from severe small...

This brief essay is a working draft of an article in preparation for the forthcoming International Encyclopedia of the Social Sciences, 2nd ed., examining the role of the monetary base in monetary economics and monetary policymaking. Comments are welcome

Deposits held at Federal Reserve Banks are an essential input to the business activity of most depository institutions in the United States. Managing these deposits is an important and complex inventory problem, for two reasons. First, Federal Reserve regulations require that depository...

This paper investigates whether investors are compensated for taking on commonality risk in equity portfolios. A large literature documents the existence and the causes of commonality in illiquidity, but the implications for investors are less understood. In a more than fifty year long sample of...

This paper investigates whether investors are compensated for taking on commonality risk in equity portfolios. A large literature documents the existence and the causes of commonality in illiquidity, but the implications for investors are less well understood. In a more than fifty year long...

This study offers a single, consistent model that tracks the velocity of broad money (M2) since 1929, including the Great Depression, the global financial crisis, and the Great Recession. The model emphasizes the roles of changes in uncertainty and risk premia, financial innovation, and major...

We develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluatethese methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1)...

This analysis examines the long-run demand for the adjusted monetary base in the United States, 1919-1999. When the "price"of the base is measured by the inverse of the yield on long-term, high-quality corporate bonds and an appropriate functional form is selected, the quantity of base money...