In this paper we ask whether or not recent explosive growth in commodity derivative trading, both over the counter and on organized exchanges, represents a new us of these derivatives as an asset class to exploit a previously unrecognized hedge for business cycle risk as claimed by Gorton and...

This paper analyzes the effect of energy price shocks on business cycle fluctuations in a model with monetary policy and a tax code. The tax code includes a tax on realized nominal capital gains. When the monetary regime allows energy price shocks to affect long run inflation expectations, oil...

A study of the effect of disinflation policies on monetary velocity, which shows a systematic relation between unexpected changes in the money-income relationship and changes in the trends of inflation rates, and which concludes that the failure to commit to a stable price policy tends to...

A demonstration of time series techniques used to forecast quarterly money supply levels. The results indicate that a bivariate model, including an interest rate and M1 predicts M1 better than the univariate model using M1 only, and as well as a 5-variable model which adds prices, output, and...

An empirical and theoretical analysis of how changes in the monetary policy function affect the covariance structure of macroeconomic data.

This paper examines the impact of a persistent shock to the growth rate of total factor productivity in a New Keynesian model in which the central bank does not observe the shock. The authors then investigate the performance of alternative policy rules in such an incomplete information...