#1995-008B "The Effects of Annuities, Bequests, and Aging in an Overlapping Generations Model of Endogenous Growth"
by Rowena A. Pecchenino, and Patricia S. Pollard


In this paper, we examine the effects of introducing actuarially fair annuity markets into an overlapping generations model of endogenous growth. We find the complete annuitization of agents' wealth is not, in general, dynamically optimal; that the degree of annuitization that is dynamically optimal depends nonmonotonically on the expected length of retirement and on the pay-as-you-go social security tax rate. More...

PUBLISHED: Economic Journal, January 1997

#1995-007A "Lessons from the United States and European Community for the Integration of High and Low Income Economics."
by Cletus C. Coughlin, and David C. Wheelock
April 1995

This paperdraws on the experiences of the United States and European Community to speculate on the effects of agreements to integrate high and low income economies. The evidence suggests that reducing barriers to the flow of goods or resources will promote convergence, even among integrating countries with disparate incomes. More...

PUBLISHED: in Khosrow Fatemi, ed., International Business in the New Millenium, Volume III: International Capital Markets and Economic Integration. Laredo, TX; Texas A&M International University, 1997, pp. 777-96.

#1995-006B "On Learning and the Stability of Cycles"
by James B. Bullard, and John Duffy


We study a general equilibrium model where the multiplicity of stationary periodic perfect foresight equilibria is pervasive. We investigate the extent of which agents can learn to coordinate on stationary perfect foresight cycles. More...

PUBLISHED: Macroeconomic Dynamics, March 1998

#1995-005A "Identifying Austria's Implicit Monetary Target: An Alternative Test of the 'Hard Currency' Policy"
by Michael J. Dueker, and Patrick K. Asea
March 1995

One simple test of the long-run viability of an exchange-rate peg, which complements tests based on market expectations, is to ask whether the implicit inflation target ofthe pegging country is the same as that of the anchor country. If the implicit inflation targets of the two countries are different, the peg's long-run credibility can be rejected. More...

#1995-004B "Commitment as Investment Under Uncertainty"
by Joseph Ritter, and Joseph G. Haubrich
March 1995
Revised April 1996

Irreversible investment and the techniques associated with pricing real options have led to significant advances many areas. We broaden this range of applications, showing how the techniques can apply to many policy problems in finance, macroeconomics, and trade policy. More...

#1995-003A "Non-Monotonic Long Memory Dynamics in Black-Market Exchange Rates."
by Michael J. Dueker, and Patrick K. Asea
March 1995

The dynamic response of Black market premia to domestic shocks is an important issue in the design and implementation of stabilization and reform programs. We use a vector autoregressive fractionally integrated model to provide new evidence on the dynamics of the official and Black market exchange rates. More...

#1995-002C "Risk Aversion Versus Intertemporal Substitution: A Case Study of Identification Failure in the Intertemporal Consumption"
by Christopher J. Neely, Amlan Roy, and Charles Whiteman

Revised June 1999

Is the risk aversion parameter in the simple intertemporal consumption CAPM "small" as in Hansen and Singleton (1982,1983), or is it that its reciprocal, the intertemporal elasticity of substitution, is small, as in Hall (1988)? This paper attributes the disparate estimates of this fundamental parameter not only to failures of instrument admissibility as do Hall (1988) and Hansen-Singleton (1996), but rather to failures of instrument relevance. More...

PUBLISHED: Journal of Business and Economic Statistics, October 2001, 19(4), pp. 395-403

#1995-001D "Dependent Children and Aged Parents: Funding Education and Social Security in an Aging Economy"
by Patricia S. Pollard, and Rowena A. Pecchenino

Revised April 2000

In the last few decades in the United States birth rates have declined and longevity has risen while productivity growth has slowed. Given such changes, the increasing burden of funding programs for the elderly is likely to shift resources away from the young and toward the elderly. More...

PUBLISHED: Journal of Macroeconomics, June 2002, 24(2), pp. 145-69

#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...