An analysis of how central-bank exchange-market intervention can affect both the level of exchange rates and the risk premium in asset returns, showing how the risk premium is related to the conditional variances of intervention and other exogenous processes.

A look at whether the United States' decision to cease intervention after March 1981 had a perceptible influence on the day-to-day behavior of exchange rates, using the stable paretian distribution.

Sterilized intervention is generally ineffective. Countries that conduct monetary policy using an overnight, interbank rate as an intermediate target automatically sterilize their interventions. Nonsterilized interventions can influence nominal exchange rates, but they conflict with price...

This paper utilizes recent research developments in portfolio balance theory and in real exchange-rate instability to synthesize, update, and test the optimum currency area (OCA) theory. Four hypotheses, capturing the central features of the OCA theory, are advanced and tested in a...

In this paper I revisit the debate on the impact of bank and market characteristics on the rigidity of retail bank interest rates. Whereas existing research in this area has been exclusively concerned with static measures of bank and market structure, I adopt a dynamic approach which explores...

Recent monetary policy experience suggests a simple test of models of monetary non-neutrality. Suppose the central bank pegs the nominal interest rate below steady state for a reasonably short period of time. Familiar intuition suggests that this should be inflationary. But a monetary model...

This paper develops and estimates an equilibrium model of the term structures of nominal and real interest rates. The term structures are driven by state variables that include the short term real interest rate, expected inflation, a factor that models the changing level to which inflation is...

This working paper examines a theoretical model in which an entrepreneur’s net worth affects his ability to finance current activity. Net worth, in turn, is determined by asset prices, which can be affected by monetary policy. In this environment, the central bank plays a welfare-improving...

An examination of how intergenerational altruism and borrowing constraints shape the interest rate, savings, and welfare response to funded and unfunded Social Security programs.

An analysis of the interest rate and savings effects of fiscal policy in an overlapping generations framework, discussing the circumstances under which capital's steady-state marginal product varies.