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U.S. real exchange rate fluctuations and relative price fluctuations
Betts, Caroline M.; Kehoe, Timothy J. - Federal Reserve Bank of Minneapolis - 2004
crucially on the choice of price series used to measure relative prices and on the choice of trade partner. The relation is … stronger when we measure relative prices using producer prices rather than consumer prices. The relation is stronger the more …
Persistent link: https://www.econbiz.de/10005712333
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Some fresh perspectives on price-support policies
Miller, Preston - Federal Reserve Bank of Minneapolis - 2000
Trade protection remains a prominent feature of the current world economy and likely has significant effects on industries and macroeconomies. In this paper a particular type of policy, price supports, is analyzed in a two-country, dynamic, general equilibrium model. This model brings new...
Persistent link: https://www.econbiz.de/10005367619
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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
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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
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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
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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
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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
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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
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
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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
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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