#1994-032C "The Information Content of Discount Rate Announcements: What's Behind the Announcement Effect"
by Daniel L. Thornton

Revised March 1996

A considerable volume of research shows that asset prices respond to changes in the Federal Reserve's discount rate. While several competing hypotheses have been advanced to explain the market's response to discount rate announcements, comparatively little effort has been made to differentiate among alternative hypotheses. More...

PUBLISHED: Journal of Banking and Finance, January 1998

#1994-031A "The Baby Boom and International Capital Flows."
by Peter S. Yoo


This paper presents a model of economic growth based on the life-cycle hypothesis to determine the path of international capital flows as the baby boom passes through the U.S. economy. More...

#1994-030A "U.S. Official Forecasts of Group of Seven Economic Performance, 1976-90"
by Michael Ulan, William G. Dewald, and James B. Bullard


In this paper, we evaluate the accuracy of the U.S. Treasury Department forecasts of real growth and inflation from 1976 to 1990 for the Group of Seven (G-7) economies. The accuracy of these forecasts is measured against the standard of actual real world growth and inflation as subsequently published in the Treasury's World Economic Outlook (WEO). More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, March/April 1995, 72(2)

#1994-029A "Why Does Inventory Investment Fluctuate So Much During Contractions?"
by Donald S. Allen


Inventory investment appears to have a significant impact on the movement of aggregate output during business cycle contractions. Recent empirical evidence has raised doubts about the often used assumption of a buffer-stock/production-smoothing motivation for inventory. More...

PUBLISHED: Journal of Economic Behavior and Organization, January 1997

#1994-028A "Using Genetic Algorithms to Model the Evolution of Heterogeneous Beliefs"
by James B. Bullard, and John Duffy


Genetic algorithms have been used by economists to model the process by which a population of heterogeneous agents learn how to optimize a given objective. However, most general equilibrium models in use today presume that agents already know how to optimize. More...

PUBLISHED: Computational Economics, February 1999, 13(1), pp. 41-60

#1994-027C "Maximum-Likelihood Estimation of Fractional Cointegration with an Application to U.S. and Canadian Bond Rats"
by Michael J. Dueker, and Richard Startz

Revised July 1997

We estimate a multivariate autoregressive fractionally-integrated moving-average (ARFIMA) model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent series. Although previous work has recognized that deviations from long-run relationships could exhibit long memory and go undetected in traditional 1(1)/i (0) cointegration analysis, previous tests for fractional cointegration relied on a two-step testing procedure and maintained the assumption in the second step that the parent series were known to have a unit root. More...

PUBLISHED: Review of Economics and Statistics, August 1998

#1994-026B "Characterizing Cross-Country Consumption Correlations"
by Michael R. Pakko


General equilibrium models of international fluctuations which assume complete asset markets predict that consumption will be highly correlated across countries, while the data display correlations which are rather low. It is common to characterize this empirical regularity by noting that cross-country consumption correlations tend to be lower than corresponding output correlations. More...

PUBLISHED: Review of Economics and Statistics, February 1998, 80(1), pp. 169-74

#1994-025A "Banking and Deposit Insurance as a Risk-Transfer Mechanism"
by Sangkyun Park


This paper models an economy in which risk-averse savers and risk-neutral entrepreneurs make investment decisions. Aggregate investment in high-yielding risky projects is maximized when risk-neutral agents bear all nondiversifiable risks. More...

#1994-024A "Monetary Policy and the Determination of the Interest Rate and Exchange Rate in a Small Open Economy with Increasing"
by Byung Chan Ahn


This paper presents a general model of the determination of the interest rate and the exchange rate which is relevant for a small economy with any degree of capital mobility. The model is tested by using the quarterly data of Korea and Singapore. More...

#1994-023A "Market Discipline by Depositors: Evidence from Reduced Form Equations"
by Sangkyun Park


This paper examines the effects of the estimated probability of bank failure on the growth rates of large time deposits and interest rates on those deposits. While riskier banks paid higher interest rates, they attracted less large time deposits in the second half of the 1980s. More...

PUBLISHED: Quarterly Review of Economics & Finance, 1995 Special Issue