#2008-033A "Are Credit Unions Too Small?"
by David C. Wheelock, and Paul Wilson
September 2008

Since 1985, the share of U.S. depository institution assets held by credit unions has nearly doubled, and the average (inflation-adjusted) size of credit unions has increased over 600 percent. We use a non-parametric local-linear estimator to estimate a cost relationship for credit unions and derive estimates of ray-scale and expansion-path scale economies. More...

#2008-031A "Asset Prices, Exchange Rates and the Current Account"
by Marcel Fratzscher, Luciana Juvenal, and Lucio Sarno
August 2008

This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. More...

#2008-030A "Averaging Forecasts from VARs with Uncertain Instabilities"
by Todd E. Clark, and Michael W. McCracken
August 2008

Recent work suggests VAR models of output, inflation, and interest rates may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. More...

#2008-029A "Tests of Equal Predictive Ability with Real-Time Data"
by Todd E. Clark, and Michael W. McCracken
August 2008

This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy applied to direct, multi–step predictions from both non-nested and nested linear regression models. More...

#2008-028A "Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts"
by Todd E. Clark, and Michael W. McCracken
August 2008

This paper presents analytical, Monte Carlo, and empirical evidence on combining recursive and rolling forecasts when linear predictive models are subject to structural change. More...

#2008-027A "Threshold Adjustment in Deviations from the Law of One Price"
by Luciana Juvenal, and Mark P. Taylor
August 2008

Using self-exciting threshold autoregressive models, we explore the validity of the law of one price (LOOP) for sixteen sectors in nine European countries. More...

PUBLISHED: Studies in Nonlinear Dynamics and Econometrics, September 2008, 12(3)

#2008-026A "City Business Cycles and Crime"
by Thomas A. Garrett, and Lesli S. Ott
August 2008

We explore the influence of city-level business cycle fluctuations on crime in 20 large cities in the United States. Our monthly time series analysis considers seven crimes over an approximately 20-year period: murder, rape, assault, robbery, burglary, larceny, and motor vehicle theft. More...

#2008-025A "Is Inflation an International Phenomenon?"
by Christopher J. Neely, and David E. Rapach
August 2008

Common shocks, similarities in central bank reaction functions, and international trade potentially produce common components in international inflation rates. More...

#2008-018A "Real Interest Rate Persistence: Evidence and Implications"
by Christopher J. Neely, and David E. Rapach
June 2008

The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. We selectively survey the empirical literature that examines the time-series properties of real interest rates. More...

#2008-012A "Inflation, Monetary Policy and Stock Market Conditions"
by Michael D. Bordo, Michael J. Dueker, and David C. Wheelock
May 2008

This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. More...