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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

"Here, dollars, dollars ..."estimating currency demand and worldwide currency substitution

Doyle, Brian M. - Federal Reserve Board (Board of Governors of the … - 2000

In measuring the percentage of foreign-held U.S., German, and Swiss currencies for the period of the 1960s through the 1990s, I obtain estimates much different from those of others. Using currency demand equations implied by cointegrating vectors for Canada, the Netherlands, and Austria, I...

Persistent link: https://www.econbiz.de/10005712664

Precautionary money balances with aggregate uncertainty

II, Wilbur John Coleman - Federal Reserve Board (Board of Governors of the … - 1991

This paper studies the dependence of velocity on stochastic monetary growth in a model where households demand money … uncertainty leads households to value money for its insurance against adverse endowment shocks. With stochastic monetary growth … the distribution of money balances across households does not settle down to a time invariant distribution, so one aim of …

Persistent link: https://www.econbiz.de/10005712765

Broad money demand and financial liberalization in Greece

Ericsson, Neil R.; Sharma, Sunil - Federal Reserve Board (Board of Governors of the … - 1996

This paper develops a constant, data-coherent, error correction model for broad money demand (M3) in Greece. This model … model is remarkably stable. The dynamics of money demand are important, with price and income elasticities being much …

Persistent link: https://www.econbiz.de/10005712813