#2001-025B "Fixing Swiss Potholes: The Importance of Improvements"
by Michael J. Dueker, and Andreas M. Fischer
November 2001
Revised January 2003

This note sheds new light on the dynamic properties of maintenance and repair and examines the behavior of an additional form of capital spending-that of improvements. The analysis examines a unique long-run data set on Swiss road spending. More...

PUBLISHED: Economics Letters, June 2003, 79(3), pp. 409-15

#2001-024A "The Importance of Scale Economies and Geographic Diversification in Community Bank Mergers"
by William R. Emmons, R. Alton Gilbert, and Timothy J. Yeager
November 2001

Mergers of community banks across economic market areas potentially reduce both idiosyncratic and local market risk. A merger may reduce idiosyncratic risk because the larger post-merger bank has a larger customer base. Negative credit and liquidity shocks from individual customers would have smaller effects on the portfolio of the merged entity than on the individual community banks involved in the merger. More...

PUBLISHED: Journal of Financial Services Research, April 2004, 25(2-3), pp. 259-81

#2001-023A "Corporate Governance, Entrenched Labor, and Economic Growth"
by William R. Emmons, and Frank A. Schmid
November 2001

The German system of codetermination contributes to the entrenchment of labor. We show in a two-period model of project choice that entrenched labor leads to underinvestment and overstaffing. More...

#2001-022D "Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model"
by Ming Chien Lo, and Jeremy M. Piger
November 2001
Revised July 2003

This paper investigates regime switching in the response of U.S. output to a monetary policy action. We find substantial, statistically significant, time variation in this response, and that this time variation corresponds to "high response" and "low response" regimes. More...

PUBLISHED: Journal of Money, Credit, and Banking, October 2005, 37(5), pp. 865-87

#2001-021F "Can Markov Switching Models Predict Excess Foreign Exchange Returns?"
by Michael J. Dueker, and Christopher J. Neely
November 2001
Revised March 2006

This paper merges the literature on technical trading rules with the literature on Markov switching to develop economically useful trading rules. The Markov models' out-of sample, excess returns modestly exceed those of standard technical rules and are profitable over the most recent subsample. More...

PUBLISHED: Journal of Banking and Finance, February 2007, 31(2), pp. 279-96

#2001-020A "What Happens When the Technology Growth Trend Changes?: Transition Dynamics, Capital Growth and the "New Economy""
by Michael R. Pakko
October 2001

The rapid increase in U.S. economic growth during the late 1990s inspired speculation that an acceleration in the rate of technological progress had given rise to an increase in potential output growth. This paper considers the transition dynamics associated with such a change using a general equilibrium framework that incorporates stochastic growth trends. More...

PUBLISHED: Review of Economic Dynamics, April 2002, 5(2), pp. 376-407

#2001-019B "Forecasting Macro Variables with a Qual VAR Business Cycle Turning Point Index"
by Michael J. Dueker, and Katrin Wesche
October 2001
Revised 2005

One criticism of VAR forecasting is that macroeconomic variables tend not to behave as linear functions of their own past around business cycle turning points. ...This article investigates an alternative linear model that adds to the information set a latent index of nearness to a turning point. More...

#2001-018A "Aggregate Price Shocks and Financial Stability: The United Kingdom 1796-1999"
by Michael D. Bordo, Michael J. Dueker, and David C. Wheelock
October 2001

This paper investigates the impact historically of aggregate price shocks on financial stability in the United Kingdom. We construct an annual index of U.K. financial conditions for 1790-1999 and use a dynamic probit model to estimate the effect of aggregate price shocks on the index. More...

PUBLISHED: Explorations in Economic History, April 2003, 40(2), pp. 143-69

#2001-017D "The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycles"
by Chang-Jin Kim, Jeremy M. Piger, and Richard Startz
April 2001
Revised June 2005

This paper investigates the dynamic relationship between permanent and transitory components of post-war U.S. business cycles. We specify a time-series model for real GNP and consumption in which the two share a common stochastic trend and transitory component, and Markov-regime switching is used to model business cycle phases in these components. More...

FORTHCOMING: Journal of Money, Credit, and Banking

#2001-016C "The Less Volatile US Economy: A Bayesian Investigation of Timing, Breadth,and Potential Explanations"
by Chang-Jin Kim, Charles R. Nelson, and Jeremy M. Piger
October 2001
Revised March 2003

Using a Bayesian model comparison strategy, we search for a volatility reduction within the post-war sample for the growth rates of U.S. aggregate and disaggregate real GDP. We find that the growth rate of aggregate real GDP has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP. More...

PUBLISHED: Journal of Business and Economic Statistics, January 2004, 22(1), pp. 80-93