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Temporary price changes and the real effects of monetary policy

Kehoe, Patrick J.; Midrigan, Virgiliu - Federal Reserve Bank of Minneapolis - 2008

In the data, prices change both temporarily and permanently. Standard Calvo models focus on permanent price changes and …

Persistent link: https://www.econbiz.de/10005526370

Seasonalities in security returns: the case of earnings announcements

Chari, V.V.; Jagannathan, Ravi; Ofer, Aharon R. - Federal Reserve Bank of Minneapolis - 1987

An examination of the behavior of stock returns around quarterly earnings announcement dates finds a seasonal pattern: small firms show large positive abnormal returns and a sizable increase in the variability of returns around these dates. Only part of the large abnormal returns can be...

Persistent link: https://www.econbiz.de/10005498476

Measuring the pricing error of the arbitrage pricing theory

Geweke, John; Zhou, Guofu - Federal Reserve Bank of Minneapolis - 1995

This paper provides an exact Bayesian framework for analyzing the arbitrage pricing theory (APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions for functions of interest in the factor model. In particular, we propose a measure of the APT pricing deviations...

Persistent link: https://www.econbiz.de/10005498525

Can sticky price models generate volatile and persistent real exchange rates?

Chari, V.V.; Kehoe, Patrick J.; McGrattan, Ellen R. - Federal Reserve Bank of Minneapolis - 1998

The conventional wisdom is that monetary shocks interact with sticky goods prices to generate the observed volatility … and persistence in real exchange rates. We investigate this conventional wisdom in a quantitative model with sticky prices …

Persistent link: https://www.econbiz.de/10005498563

Predicting the effects of Federal Reserve policy in a sticky-price model: an analytical approach

McGrattan, Ellen R. - Federal Reserve Bank of Minneapolis - 1999

In this paper, I characterize equilibria for a sticky-price model in which Federal Reserve policy is an interest-rate rule similar to that described in Taylor (1993). For standard preferences and technologies used in the literature, the model predicts that the nominal interest rate is negatively...

Persistent link: https://www.econbiz.de/10005427776

Temporary price changes and the real effects of monetary policy

Kehoe, Patrick J.; Midrigan, Virgiliu - Federal Reserve Bank of Minneapolis - 2008

it. If we do so prices change only every 50 weeks and the Calvo model overestimates the real effects of monetary shocks … by almost 70%. A second shortcut is to leave the temporary changes in the data. If we do so prices change every 3 weeks … can generate the same real effects as our benchmark model if we set parameters so that prices change every 17 weeks. …

Persistent link: https://www.econbiz.de/10005427801

Price deflation and real tariff rates: the United States, 1903 to 1940

Crucini, Mario J. - Federal Reserve Bank of Minneapolis - 1991

change and miss the cyclical variation in tariff rates that results from the impact of changing prices on the real value of …

Persistent link: https://www.econbiz.de/10005372786

The effects of stochastic inflation on asset prices

Labadie, Pamela A. - Federal Reserve Bank of Minneapolis - 1988

Stochastic inflation affects the risk characteristics, measured by the equity premium and the correlation of the equity’s return with consumption, in a fundamental way. The riskiness of a dollar-denominated asset depends on two conditional covariances: the covariance of the marginal rate of...

Persistent link: https://www.econbiz.de/10005372834

Equilibrium selections

Allen, Beth; Dutta, Jayasri; Polemarchakis, Haraklis M. - Federal Reserve Bank of Minneapolis - 1994

This paper studies the outcome of fully insured random selections among multiple competitive equilibria. This defines an iterative procedure of reallocation which is Pareto improving at each step. The process converges to a unique Pareto optimal allocation in finitely many steps. The key...

Persistent link: https://www.econbiz.de/10005372838

The Optimal Extraction of Exhaustible Resources

Chari, V. V.; Christiano, Lawrence J. - Federal Reserve Bank of Minneapolis - 2014

Policymakers concerned about rapid swings in commodity prices seek economic guidance about causal factors and future …

Persistent link: https://www.econbiz.de/10011127928