We use a copula approach to investigate the effect of uncertainty on crude- oil returns. Using copulas to construct multivariate distributions of time- series data permit the calculation of the dependence structure between the series independently of the marginal distributions. Further, we...

Using quantile regressions and cross-sectional data from 152 countries, we examine the relationship between inflation and its variability. We consider two measures of inflation -- the mean and median -- and three different measures of inflation variability -- the standard deviation, relative...

Recent studies that evaluate inflation targeting through average treatment effects generally conclude the window-dressing view for industrial countries and policy effectiveness for developing countries. Allowing for a time-varying relationship (treatment effect) between the monetary policy and...

This paper examines whether U.S. stock-market wealth asymmetrically affects consumption. After identifying asymmetric behavior for consumption and stock market wealth, the results confirm that stock-market wealth asymmetrically affects real per capita consumption. Negative 'news' affects...

This paper considers the contacting approach to central banking in the context of a simple common agency model. The recent literature on optimal contracts suggests that the political principal of the central bank can design the appropriate incentive schemes that remedy for time-inconsistency...

The aggregate performance of the banking industry depends on the underlying micro-level dynamics within that industry -- adjustments within banks, reallocations between banks, entries of new banks, and exits of existing banks. Jeon and Miller (2002a) extend Bailey, Hulten, and Campbell (1992)...

We examine the effects of technology on productivity growth by disaggregating total output into sectoral components, exploring the roles of investment and technology on productivity growth for countries in different income groups. We find that for low-income countries, investment is the most...

We develop a portfolio balance model with real capital accumulation. The introduction of real capital as an asset as well as a good produced and demanded by firms enriches extant portfolio balance models of exchange rate determination. We show that expansionary monetary policy causes exchange...

Regulatory change not seen since the Great Depression swept the U.S. banking industry beginning in the early 1980s and culminating with the Interstate Banking and Branching Efficiency Act of 1994. Banking analysts anticipated dramatic consolidation with large numbers of mergers and acquisitions....

We study the effects of trade orientation and human capital on total factor productivity for a pooled cross-section, time-series sample of developed and developing countries. We first estimate total factor productivity from a parsimonious specification of the aggregate production function...