Many explanations of the stylized facts concerning real exchange rate movements focus on monetary shocks, but it is often found empirically that monetary shocks are unimportant. I provide evidence that is contrary to this empirical finding. Using over 100 years of data, I estimate the...

Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least two potential problems with the results. First, to the extent that...

We show that the standard procedure for estimating long-run identified vector autoregressions uses a particular estimator of the zero-frequency spectral density matrix of the data. We develop alternatives to the standard procedure and evaluate the properties of these alternative procedures using...

In this paper I generalize the standard simultaneous equations model by allowing the innovations of the structural equations to exhibit Generalized Autoregressive Conditional Heteroskedasticity (GARCH). I refer to this new specification as the SEM-GARCH model. I develop two estimation...

A "structural" error correction model (in Boswijk's sense) is a rep­resentation of a conditional error correction model that satisfies certain restrictions. This paper examines the conditions under which such a struc­tural error correction model exists and when the associated representation is...

Many techniques have been proposed for forming confidence intervals for the impulse responses in a vector autoregression. However, numerous Monte-Carlo simulations have shown that all of these methods often have coverage well below the nominal level. This paper proposes a new approach to...

In this paper, we document that mortgage-backed securities (MBS) held by the Federal Reserve exhibit faster principal prepayment rates than MBS held by the rest of the market. Next, we show that this stylized fact persists even when controlling for factors that affect prepayment behavior, and...