Despite the dramatic increase in the flow of funds to emerging stock markets, relatively little is known about the cost of transacting on these markets. This paper estimates the execution costs of trading on a representative emerging market stock exchange, the Jakarta Stock Exchange (JSX). We...

This paper examines the empirical relation between financial market development, as measured by the stock market, and gross private savings rates in 16 emerging markets over 1982-1993. With data from all 16 countries, there is evidence of a significant positive relation between savings and stock...

The results of recent empirical studies on the relationships among Federal Reserve monetary-policy actions, U.S. interventions in currency markets, and exchange rates are re-examined. Changes in the Federal Reserve's federal funds rate target as measure of monetary-policy actions are used. Then...

One puzzling feature of recent empirical studies of the effects of monetary policy changes on exchange rates is the result that the exchange rate does not adjust immediately to the policy shock. Instead, these studies find that it can take as long as two years for the exchange rate to fully...

Models of the monetary transmission mechanism often generate empirically implausible business fluctuations. This paper analyzes the role of on-the-job search in the propagation of monetary shocks in a sticky price model with labor market search frictions. Such frictions induce long-term...

This study examines the problem of forecasting an aggregate of cointegrated disaggregates. It first establishes conditions under which forecasts of an aggregate variable obtained from a disaggregate VECM will be equal to those from an aggregate, univariate time series model, and develops a...

This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy applied to direct, multi-step predictions from both non-nested and nested linear regression models. In contrast to earlier work -- including West (1996), Clark and McCracken (2001, 2005),and...

We investigate implications of search and matching frictions in the labor market for in ation targeting interest rate policy in terms of equilibrium stability. When the interest rate is set in response to past or present in ation, determinacy of equilibrium is ensured similarly to comparable...