#2004-007B "Inflation-Targeting, Price-Path Targeting and Indeterminacy"
by Robert Dittmar, and William T. Gavin
March 2004
Revised December 2004

In this paper, we examine the areas of indeterminacy in a flexible price RBC model with shopping time role for money and a central bank that uses an interest rate rule to target inflation and/or the price level. We present analytical results showing that, although inflation targeting often results in real indeterminacy, a price level target generally delivers a unique equilibrium for a relevant range of policy parameters. More...

PUBLISHED: Economics Letters, September 2005, 88(3), pp. 336-42

#2003-014D "Gold, Fiat Money and Price Stability"
by Michael D. Bordo, Robert Dittmar, and William T. Gavin
June 2003
Revised May 2007

The classical gold standard has long been associated with long-run price stability. But short-run price variability led critics of the gold standard to propose reforms that look much like modern versions of price path targeting. More...

PUBLISHED: B.E. Journals, Topics in Macroeconomics, 2007, 7(1), Article 26

#2002-003C "Stochastic Capital Depreciation and the Comovement of Hours and Productivity"
by Michael J. Dueker, Andreas M. Fischer, and Robert Dittmar
January 2002
Revised November 2006

An unresolved question concerning stochastic depreciation shocks is whether they have to be unrealistically large to have any useful role in a dynamic general equilibrium model economy, as Ambler and Paquet (1994) first suggested. We first consider implied depreciation rates from sectoral data from the Bureau of Economic Analysis. More...

PUBLISHED: Topics in Macroeconomics, January 2007, 6(3), pp. Article 6

#2001-010E "Inflation Persistence and Flexible Prices"
by Robert Dittmar, William T. Gavin, and Finn E. Kydland
September 2001
Revised April 2004

If the central bank follows an interest rate rule, then inflation is likely to be persistence, even when prices are fully flexible. Any shock, whether persistent or not, may lead to inflation persistence. More...

PUBLISHED: International Economic Review, February 2005, 46(1), pp. 245-61

#1999-021A "What Do New Keynesian Phillips Curves Imply for Price Level Targeting?"
by Robert Dittmar, and William T. Gavin
August 1999

This paper extends the analysis of price level targeting to a model including the New-Keynesian Phillips Curve. We examine the inflation-output variability tradeoffs implied by optimal inflation and price level rules. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, March/April 2000, 82(2), pp. 21-30

#1996-006C "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach"
by Christopher J. Neely, Paul A. Weller, and Robert Dittmar
June 1996

Using genetic programming techniques to find technical trading rules, we find strong evidence of economically significant out-of-sample excess returns to those rules for each of six exchange rates, over the period 1981-1995. Further, when the dollar/deutschemark rules are allowed to determine trades in the other markets, there is a significant improvement in performance in all cases, except for the deutschemark/yen. More...

PUBLISHED: Journal of Financial and Quantitative Analysis, December 1997