This paper measures the effect on the federal funds rate of an open-market operation. The paper deals with simultaneous-equations bias by developing a proxy for the errors the Federal Reserve makes in forecasting the extent to which Treasury operations will add or drain reserves available to...

This paper models occasional, discrete shifts in the growth rate of a nonstationary series. Algorithms for inferring these unobserved shifts are presented, a byproduct of which permits estimation of parameters by maximum likelihood. An empirical application of this technique suggests that the...

This paper investigates a general equilibrium model of unemployment and the business cycle in which specialization of labor plays a key role. A rational expectations equilibrium with ful ly flexible wages and prices can exhibit unemployment in which the ma rginal product of employed workers...

This paper investigates the joint time series behavior of monthly stock returns and growth in industrial production. We find that stock returns are well characterized by year-long episodes of high volatility, separated by longer quiet periods. Real output growth, on the other hand, is subject to...

This article proposes a very tractable approach to estimating parameters for mixtures of normal distributions. The analyst proceeds as if, in addition to the data, he or she had observed some pseudo data points drawn from each distribution whose values reflect his or her priors. The approach...

A vector autoregression is a reduced-form representation, and, therefore, would be expected to change when any structural equation in the system changes, regardless of whether economic decisions are forward-looking. Even so, a dynamic simulation of a model with unit roots will exhibit large...