#1995-018A "Testing Asset Pricing Models with Euler Equations: It's Far Worse Than You Think. Original version, 94-010A"
by Christopher J. Neely
September 1995

This paper reexamines the small sample properties of Hansen?s (1982) Generalized Method of Moments (GMM) and Hansen and Jagannathan?s (1989) estimation-free tests on simulated data from a more plausible consumption based asset pricing model. Previous studies are incomplete and misleading. More...

#1995-017A "Learning in a Model of Economic Growth and Development"
by James B. Bullard, Jasmina Arifovic, and John Duffy
November 1995

We study a model of economic growth and development with a threshold externality. The model has one steady state with a low and stagnant level of income per capita and another steady state with a high and growing level of income per capita. More...

PUBLISHED: Journal of Economic Growth, June 1997

#1995-016A "Interbank Netting Agreements and the Distribution of Bank Default Risk"
by William R. Emmons


Central banks and private banks alike have advocated greater use of interbank netting agreements in recent years in order to reduce potential for transmitting economic shocks through interbank markets. More...

#1995-015B "Dynamic Commitment and Incomplete Policy Rules"
by Joseph Ritter, and Joseph G. Haubrich

Revised June 1998

Considering the dynamics of commitment highlights, some neglected features of time inconsistency problems. We modify the standard rules-versus-discretion question in three ways: (1) A government that does not commit today retains the option to do so tomorrow, (2) the government's commitment capability is restricted to a class of simple rules, and (3) the government's ability to make irrevocable commitments is restricted. More...

FORTHCOMING: Journal of Money, Credit, and Banking

#1995-014A "Inflation Targeting in a Small Open Economy:Empirical Results for Switzerland"
by Michael J. Dueker, and Andreas M. Fischer


This paper extends McCallum?s (1987) nominal targeting rule to a small open economy by allowing for feedback from the exchange rate. Instead of setting parameters in a McCallum-type targeting rule and simulating, the parameters are estimated using a markov switching model. More...

PUBLISHED: Journal of Monetary Economics, Febuary 1996

#1995-013B "Why Do Banks Disappear: The Determinants of U.S. Bank Failures and Acquisitions"
by David C. Wheelock, and Paul Wilson
August 1995

This paper examines the determinants of individual bank failures and acquisitions in the United States during 1984-1993. We use bank-specific information suggested by examiner CAMEL-rating categories to estimate competing-risks hazard models with time-varying covariates. More...

PUBLISHED: Review of Economics and Statistics, February 2000, 82(1), pp. 127-38

#1995-012B "Trade, Growth and Capital: A Case Study of Jamaica"
by Donald S. Allen, and Michelle T. Gyles
September 1995

This is the first of two articles on the dynamics of the Jamaican economy over the last two and a half decades. It compares the overall macroeconomy of Jamaica in the areas of output, fiscal and monetary policy, capital formation and trade to that of Singapore and South Korea. More...

#1995-011A "Exchange Rate Constraints and Money Control in Korea"
by Guyhan Kim
July 1995

This paper applies two traditional empirical approaches to investigate how successfully Korea managed to control money supply in response to the changes in foreign reserves since 1980. One is to estimate offset coefficients and the other is to estimate sterilization coefficients. The estimation results are as follows. More...

#1995-010D "Endogenous Money Supply and the Business Cycle"
by William T. Gavin, and Finn E. Kydland

Revised December 1997

This paper documents changes in the cyclical behavior of nominal data series that appear after 1979:Q3 when the Federal Reserve implemented a policy to lower the inflation rate. Such changes were not apparent in real variables. More...

PUBLISHED: Review of Economic Dynamics, April 1999, 2(2), pp. 347-369

#1995-009A "Tariffs and Asset Market Structure: Some Basic Comparative Dynamics"
by Michael R. Pakko
June 1995

Stockman and Dellas (1986) demonstrated that in the presence of complete international asset markets, the relative welfare implications of a small tariffare reversed from standard trade theory. This paper examines the robustness of that result to change in preference parameters and asset market structure. For nearly all values of substitution elasticity and risk aversion, the reversal remains. More...