We test the menu cost model of Ball and Mankiw (1994, 1995), which impliesthat the impact of price dispersion on inflation should differ between inflation anddeflation episodes, using data for Japan and Hong Kong. We use a random crosssectionsample split when calculating the moments of the...

SUERF – The European Money and Finance Forum, the Deutsche Bundesbank and the Institute for Monetary and Financial Stability (IMFS) took the opportunity of the first anniversary of this new institution to organise a joint conference in Berlin on 8-9 November 2011. The purpose of this event was...

This paper studies the exchange rate between the East and West German mark in the period before German monetary union. We show that standard exchange rate theory contains strong predictions about the dynamics of the exchange rate under these circumstances, and we use state-space methods to...

This paper studies the term structure of short-term interbank rates in Hong Kong. Principal components analysis suggests that the variation of the term structure can be largely attributed to two components which capture shifts in the level and slope of the yield curve. We find that term spreads...

This paper estimates a demand equation for German M3 over the period 1971:1-1989:4, and studies its ability to predict all-German M3 during 1990:l-1992:4 and (a measure of) western German M3 during 1990:l-1994:l. Although the out-of-sample prediction errors appear serially correlated, the...