In this paper we investigate whether macroeconomic uncertainty could distort allocation of loanable funds. To provide a road--map for our empirical investigation, we present a simple framework which demonstrates that an increase in macroeconomic uncertainty will lead to more homogeneous behavior...

We employ threshold cointegration methodology to model the policy problem solved by the Federal Reserve System in their manipulation of the discount rate under a reserves target operating procedure utilized since October 1979. The infrequent and discrete adjustments that characterize movements...

This paper presents the methodology used to construct reliable estimates of the term structure of interest rates for the United States during 1919-30. These monthly term structures are based on individual corporate bonds' price quotations for the majority of U.S. railroad corporations' issues of...

In this paper we empirically investigate whether sectoral business investment fluctuations in the U.K. are due to aggregate or sector-specific innovations. Using quarterly business investment data for ten industrial sectors over 1978-2000, we evaluate the nature of their intercorrelations by the...

A robust estimation technique--bounded-influence instrumental variables--is applied to an error-correction model formulation of a U.S. money-demand equation. The weights generated by bounded-influence instrumental variables are used to diagnose structural instability in the specification of the...