To the surprise of many market watchers, Thailand's exchange-rate peg to the dollar collapsed in July 1997, leading to similar rounds of currency devaluations in other East Asian countries. This study seeks to determine if there were identifiable contrasts in implementation between Thailand's...

In this article, we demonstrate that a small degree of stochastic variation in the depreciation rate of capital can greatly reduce the comovement between hours worked and labor productivity in a neoclassical growth model. The depreciation rate is modeled as a Markov process to place a strict...

This note sheds new light on the dynamic properties of maintenance and repair and examines the behavior of an additional form of capital spending - that of improvements. The analysis examines a unique long-run data set on Swiss road spending.

It is widely believed that the Fed controls the funds rate by altering the degree of pressure in the reserve market through open market operations when it changes its target for the federal funds rate. Recently, however, several economists have suggested that open market operations may not be...

This paper uses a dynamic factor model recently studied by Forni, Hallin, Lippi and Reichlin (2000) to analyze the response of 21 U.S. interest rates to news. Using daily data, we find that the news that affects interest rates daily can be summarized by two common factors. This finding is robust...

Despite its important role in monetary policy and finance, the expectations hypothesis (EH) of the term structure of interest rates has received virtually no empirical support. The empirical failure of the EH was attributed to a variety of econometric biases associated with the single-equation...

The phrase “liquidity effect” was introduced by Milton Friedman (1969) to describe the first of three effects on interest rates caused by an exogenous change in the money supply. The lack of empirical support for the liquidity effect using monthly and quarterly data using various monetary...

A seminal paper by Fama and Bliss (1987) showed that a simple regression model could explain a significant portion of 1-year ahead excess returns. Cochrane and Piazzesi (2005) showed that their regression model could explain a significantly larger por tion of excess returns than Fama and...