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The delayed response to a technology shock: a flexible price explanation

Vigfusson, Robert J. - Federal Reserve Board (Board of Governors of the … - 2004

I present empirical evidence of how the U.S. economy, including per-capita hours worked, responds to a technology shock. In particular, I present results based on permanent changes to a constructed direct measure of technological change for U.S. manufacturing industries. Based on empirical...

Persistent link: https://www.econbiz.de/10005368140

Long memory in emerging market stock returns

Wright, Jonathan H. - Federal Reserve Board (Board of Governors of the … - 1999

Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and...

Persistent link: https://www.econbiz.de/10005372566

Asset returns with earnings management

Sun, Bo - Federal Reserve Board (Board of Governors of the … - 2009

by individual firms does not only deliver the observed features in their own stocks, but can also be strong enough to …

Persistent link: https://www.econbiz.de/10008498914

The Stambaugh bias in panel predictive regressions

Hjalmarsson, Erik - Federal Reserve Board (Board of Governors of the … - 2007

This paper analyzes predictive regressions in a panel data setting. The standard fixed effects estimator suffers from a small sample bias, which is the analogue of the Stambaugh bias in time-series predictive regressions. Monte Carlo evidence shows that the bias and resulting size distortions...

Persistent link: https://www.econbiz.de/10005498753

Decomposing the U.S. external returns differential

Curcuru, Stephanie; Dvorak, Tomas; Warnock, Francis E. - Federal Reserve Board (Board of Governors of the … - 2009

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...

Persistent link: https://www.econbiz.de/10008615669

An international arbitrage pricing model with PPP deviations

Levine, Ross - Federal Reserve Board (Board of Governors of the … - 1986

stochastic differential equations which describe the dynamic paths of a vector of state variables, prices, and PPP deviations …

Persistent link: https://www.econbiz.de/10005368178

Efficiency in housing markets: do home buyers know how to discount?

Hjalmarsson, Erik; Hjalmarsson, Randi - Federal Reserve Board (Board of Governors of the … - 2006

We test for efficiency in the market for Swedish co-ops by examining the negative relationship between the sales price and the present value of future rents. If the co-op housing market is efficient, the present value of co-op rental payments due to underlying debt obligations of the cooperative...

Persistent link: https://www.econbiz.de/10005368187

The transmission of domestic shocks in the open economy

Erceg, Christopher J.; Gust, Christopher; … - Federal Reserve Board (Board of Governors of the … - 2007

composition of expenditure, and on the wedge between consumer and domestic prices, rather than on the response of aggregate output … and domestic prices. …

Persistent link: https://www.econbiz.de/10005368202

Tradeoffs between inflation and output-gap variances in an optimizing-agent model

Erceg, Christopher J.; Henderson, Dale W.; Levin, Andrew T. - Federal Reserve Board (Board of Governors of the … - 1998

the special case in which prices are sticky and wages are perfectly flexible. When the model is calibrated to exhibit an …

Persistent link: https://www.econbiz.de/10005368225

The constancy of illusions or the illusion of constancies: income and price elasticities for U.S. imports, 1890-1992

Marquez, Jaime - Federal Reserve Board (Board of Governors of the … - 1994

experienced the most pronounced fluctuations in income and prices of this century. Is our current understanding of the behavior of … suggest that the role of income and prices in determining imports is not known with any precision. This paper offers the first …-1992 data, I find that income and prices do not affect imports whereas the opposite conclusion arises with postwar data. The …

Persistent link: https://www.econbiz.de/10005368258