#1994-022B "Product Cycles, Innovation and Relative Wages in European Countries"
by Alison Butler, and Michael J. Dueker


This paper attempts to bridge the gap between the theoretical literature examining how innovation affects income across countries and the empirical literature examining how relative wages within a country change over time. We test the hypothesis that the relative wage between workers in high-and low-technology industries within a country is a function of the rate of domestic innovation and innovation abroad. More...

PUBLISHED: Journal of International Economics, as

#1994-021B "Technical Progress, Inefficiency and Productivity Change in U.S. Banking, 1984-1993"
by David C. Wheelock, and Paul Wilson

Revised October 1996

Numerous studies have found that US commercial banks are quite inefficient, and we find that, on average, banks became more technically inefficient between 1984 and 1993. Our analysis of productivity change, however, shows that technological improvements adopted by a few banks pushed out the efficient frontier, and that, on average, commercial banks experienced productivity gains. More...

PUBLISHED: Journal of Money, Credit, and Banking, May 1999, 31(2), pp. 212-34

#1994-020B "Realignments of Target Zone Exchange Rate Systems: What Do We Know?"
by Christopher J. Neely
January 1994

This article surveys recent work on forecasting realignments and estimating the credibility of target zones. The literature finds that realignments are somewhat predictable from readily available information such as interest rates and position of the exchange rate within the band. The relationship between realignment expectations and macrovariables is weak and uncertain. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, September/October 1994, 76(5)

#1994-019B "International Risk Sharing and Low Cross-Country Consumption Correlations: Are They Really Inconsistent?"
by Michael R. Pakko
May 1994
Revised August 1996

In dynamic equilibrium trade models, the common assumption that asset markets are complete implies that correlations of consumption across countries should be quite high. In contrast, measured consumption correlations tend to be rather low. More...

PUBLISHED: Review of International Economics, August 1997, 5(3), pp. 386-400

#1994-018A "Are There Adverse Real Effects from Monetary Policy Coordination? Some Evidence from Austria, Belgium and the Netherlands"
by John A. Tatom, and Dieter Proske
February 1994

A central hypothesis and concern of some skeptics of European monetary union is that monetary policy coordination to secure a peg to the Gennan mark (DM) will tie real economic performance, especially the unemployment rate, to that in Germany. Evidence on this hypothesis can be found in Austria, Belgium and the Netherlands, however, where currencies have been tightly pegged to the mark since 1979, 1986 and 1984, respectively. More...

#1994-017A "Asymmetry in the Prime Rate and Firms' Preference for Internal Finance"
by Michael J. Dueker, and Daniel L. Thornton


This article tests for asymmetry in the behavior of bank lending rates by testing the hypothesis that the prime rate responds more fully and quickly to increase than decreases in market interest rates. The econometric methodology used is better suited to the discreteness and rigidity of the prime rate than that of previous studies. More...

#1994-016B "Compound Volatility Processes in EMS Exchange Rates."
by Michael J. Dueker

Revised March 1995

This paper introduces a compound GARCH/markov switching model to add flexibility to the GARCH model in order to model the volatilities of exchange rates in target zones subject to realignments. The compound volatility model endogenizes the weights given to realignments (and all other shocks) in the GARCH process. More...

#1994-015B "Markov Switching in GARCH Processes and Mean Reverting Stock Market Volatility"
by Michael J. Dueker


This paper introduces four models of conditional heteroscedasticity that contain markov switching parameters to examine their multi-period stock-market volatility forecasts as predictions of options-implied volatilities. More...

PUBLISHED: Journal of Business and Economic Statistics, January 1997

#1994-014C "A Model of Learning and Emulation with Artificial Adaptive Agents"
by James B. Bullard, and John Duffy

Revised December 1996

We study adaptive learning behavior in a sequence of n-period endowment overlapping generations economies with fiat currency, where n refers to the number of periods in agents' lifetimes. Agents initially have heterogeneous beliefs and seek to form multi-step-ahead forecasts of future prices using a forecast rule chosen from a vast set of possible forecast rules. More...

PUBLISHED: Journal of Economic Dynamics and Control, February 1998

#1994-013A "Learning in a Large Square Economy"
by James B. Bullard, and John Duffy


Learning is introduced into a sequence of large square endowment economies indexed by n, in which agents live n periods. Young agents need to forecast n - 1 periods ahead in these models in order to make consumption decisions, and thus these models constitute multi-step ahead systems. More...