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When is inter-transaction time informative?
Furfine, Craig H. (contributor) - 2003 - [Elektronische Ressource]
"We investigate the information content of inter- transaction time and find that it varies both across stocks and over … time. On average, inter-transaction time is found to be informative whenever stocks are sufficiently traded. The magnitude …- transaction time is negatively correlated with proxies for the amount of private information in the trading of a particular stock …
Persistent link: https://www.econbiz.de/10001761370
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Some empirical evidence on the effects of monetary policy shocks on exchange rates
Eichenbaum, Martin; Evans, Charles - Federal Reserve Bank of Chicago - 1992
Persistent link: https://www.econbiz.de/10005519115
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The implications of first-order risk aversion for asset market risk premiums
Bekaert, Geert; Hodrick, Robert J.; Marshall, David A. - Federal Reserve Bank of Chicago - 1994
Persistent link: https://www.econbiz.de/10005410921
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Continuous linked settlement
David L. Roscoe, III - Federal Reserve Bank of Chicago - 1998
Persistent link: https://www.econbiz.de/10010724604
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Payments system risk issues in a global economy
Baer, Herbert L.; Evanoff, Douglas D. - Federal Reserve Bank of Chicago - 1990
Persistent link: https://www.econbiz.de/10005724791
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Banking and currency crises and systemic risk: a taxonomy and review
Kaufman, George G. - Federal Reserve Bank of Chicago - 1999
Many countries have experienced banking and currency crises in recent years. Although these crises appear to share many common causes and consequences, they have generally been analysed by different sets of economists. This paper develops a common framework, applies this framework to analysing...
Persistent link: https://www.econbiz.de/10005726282
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Technical change, diffusion, and productivity
Campbell, Jeffrey R. - Federal Reserve Bank of Chicago - 1993
Persistent link: https://www.econbiz.de/10005515115
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Seasonal Solow residuals and Christmas: a case for labor hoarding and increasing returns
Braun, R. Anton; Evans, Charles L. - Federal Reserve Bank of Chicago - 1991
Persistent link: https://www.econbiz.de/10005519105
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Firm-specific capital, nominal rigidities and the business cycle
Altig, David; Christiano, Lawrence J.; Eichenbaum, Martin; … - Federal Reserve Bank of Chicago - 2004
Macroeconomic and microeconomic data paint conflicting pictures of price behavior. Macroeconomic data suggest that inflation is inertial. Microeconomic data indicate that firms change prices frequently. We formulate and estimate a model which resolves this apparent micro - macro conflict. Our...
Persistent link: https://www.econbiz.de/10005519989
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Economic determinants of the nominal treasury yield curve
Evans, Charles L.; Marshall, David - Federal Reserve Bank of Chicago - 2001
We study the effect of different types of macroeconomic impulses on the nominal yield curve. We employ two distinct approaches to identifying economic shocks in VARs. Our first approach uses a structural VAR due to Galí (1992). Our second strategy identifies fundamental impulses from...
Persistent link: https://www.econbiz.de/10005419944