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The sovereignty option: the Quebec referendum and market views on the Canadian dollar

Leahy, Michael P.; Thomas, Charles P. - Federal Reserve Board (Board of Governors of the … - 1996

We use exchange traded options on Canadian dollar futures to estimate the market's risk-neutral distribution for the Canadian dollar in the days before and after the Quebec sovereignty referendum. We employ a relatively new technique that places little a priori structure on the estimated...

Persistent link: https://www.econbiz.de/10005498744

Money, politics and the post-war business cycle

Faust, Jon; Irons, John - Federal Reserve Board (Board of Governors of the … - 1996

While macroeconometricians continue to dispute the size, timing, and even the existence of effects of monetary policy, political economists often find large effects of political variables and often attribute the effects to manipulation of the Fed. Since the political econometricians often use...

Persistent link: https://www.econbiz.de/10005498761

Regional patterns in the law of one price: the roles of geography vs. currencies

Engel, Charles; Rogers, John H. - Federal Reserve Board (Board of Governors of the … - 1996

We find evidence that the law of one price (LOOP) holds more nearly for country pairs that are within geographic regions than for country pairs that are not. These findings are established using consumer price data from 23 countries (including data from eight North American cities.) We find that...

Persistent link: https://www.econbiz.de/10005498791

Money, sticky wages, and the Great Depression

Bordo, Michael D.; Erceg, Christopher J.; Evans, Charles L. - Federal Reserve Board (Board of Governors of the … - 1997

money supply shocks. The Taylor contracts model is surprisingly successful in accounting for the behavior of major …

Persistent link: https://www.econbiz.de/10005498805

Dollarization in Argentina

Kamin, Steven B.; Ericsson, Neil R. - Federal Reserve Board (Board of Governors of the … - 1993

, cointegration analysis of peso money demand in Argentina finds a negative "ratchet effect" from inflation on the demand for pesos …. The reduction in peso money demand attributable to the ratchet effect is similar in magnitude to the estimated stock of …

Persistent link: https://www.econbiz.de/10005498817

Hysteresis in a simple model of currency substitution

Uribe, Martin - Federal Reserve Board (Board of Governors of the … - 1995

A simple model of currency substitution is developed in which the private cost of performing transactions in the foreign currency depends upon the aggregate degree of dollarization. This feature generates multiple steady states and hysteresis in an otherwise standard cash-in-advance model of a...

Persistent link: https://www.econbiz.de/10005498824

The robustness of identified VAR conclusions about money

Faust, Jon - Federal Reserve Board (Board of Governors of the … - 1998

This paper presents a new way to assess robustness of claims from identified VAR work. All possible identifications are checked for the one that is worst for the claim, subject to the restriction that the VAR produce reasonable impulse responses to shocks. The statistic on which the claim is...

Persistent link: https://www.econbiz.de/10005498828

Imperfect monitoring and the discounting of inside money

David C. Mills, Jr. - Federal Reserve Board (Board of Governors of the … - 2007

One of the fundamental questions concerning inside money is whether its issuers should be regulated and how. This paper … evaluates the efficiency of one prevalent regulatory recommendation -- a requirement that private issuers redeem inside money on … demand at par -- in a random-matching model of money where the issuers of inside money are only imperfectly monitored. I find …

Persistent link: https://www.econbiz.de/10005393963

Solving stochastic money-in-the-utility-function models

Nesmith, Travis D. - Federal Reserve Board (Board of Governors of the … - 2005

This paper analyzes the necessary and sufficient conditions for solving money-in-the-utility-function models when …

Persistent link: https://www.econbiz.de/10005394065

Currency ratios and U.S. underground economic activity

Porter, Richard D.; Weinbach, Gretchen C. - Federal Reserve Board (Board of Governors of the … - 1998

Cagan's classic currency ratio suggests that underground economic activity in the U.S. surged starting in 1994. In contrast, we show that a ratio adjusted to take care of two distorting developments -- retail sweep programs and overseas demand for U.S. currency -- did not surge, and that...

Persistent link: https://www.econbiz.de/10005394168