#2002-022D "Explaining the Evolution of Pension Structure and Job Tenure"
by Leora Friedberg, and Michael T. Owyang
October 2002
Revised November 2005

Current and expected job tenure have fallen significantly over the last two decades. Over the same period, traditional defined benefit pensions, designed to reward long tenure, have become steadily less common. This paper uses a contract-theoretic matching model with moral hazard to explain changes in pension structure and job tenure. More...

#2002-021A "Duration Dependence in Monetary Policy: International Evidence"
by Michael T. Owyang, and Abbigail Chiodo
October 2002

A study the duration of monetary regimes in a simple neo-classical Phillips curve model. This paper considers the role of the duration of inflationary regimes on the average inflation rate in an international cross-section. More...

#2002-020A "New Evidence on the Fed's Productivity in Providing Payments Services"
by R. Alton Gilbert, David C. Wheelock, and Paul Wilson
September 2002

As the dominant provider of payments services, the efficiency with which the Federal Reserve provides such services in an important public policy issue. This paper examines the productivity of Federal Reserve check-processing offices during 1980-1999 using non-parametric estimation methods and newly developed methods for non-parametric inference and hypothesis testing. More...

PUBLISHED: Journal of Banking and Finance, September 2004, 28(9), pp. 2175-90

#2002-019B "Entrepreneurship and the Policy Environment"
by Yannis Georgellis, and Howard J. Wall
September 2002
Revised March 2004

This paper uses a spatial panel approach to examine the effect of the government-policy environment on the level of entrepreneurship. Specifically, we investigate whether marginal income tax rates and bankruptcy exemptions influence rates of entrepreneurship. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, March/April 2006, 88(2), pp. 95-111

#2002-018A "Modeling Volcker as a Non-Absorbing State: Agnostic Identification of a Markov-Switching VAR"
by Michael T. Owyang
August 2002

Recently, models of monetary policy have been constructed to include structural breaks to account for changes in policymaker preferences or operating procedures. These models typically assume that when changes occur, they happen once and for all. More...

#2002-017D "Forecasting Foreign Exchange Volatility: Why Is Implied Volatility Biased and Inefficient? And Does It Matter?"
by Christopher J. Neely
August 2002
Revised March 2004

Research has consistently found that implied volatility is a conditionally biased predictor of realized volatility across asset markets. This paper evaluates explanations for this bias in the market for options on foreign exchange futures. More...

FORTHCOMING: Journal of International Financial Markets, Institutions and Money

#2002-016A "Directly Measuring Early Exercise Premiums Using American and European S&P 500 Index Options"
by Michael J. Dueker, and Thomas W. Miller, Jr.
August 2002

The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor's 500 Index from April 2, 1986 through June 20, 1986. This unique time period allows for a direct measurement of the early-exercise premium in American-style index options. More...

PUBLISHED: Journal of Futures Markets, March 2003, 23(3), pp. 287-313

#2002-015A "Tax Competition and Tax Harmonization with Evasion"
by Néstor Gándelman, and Rubén Hernández-Murillo
August 2002

We examine a two-jurisdiction tax competition environment where local governments can only imperfectly monitor where agents pay taxes and risk-averse individuals my choose to cross borders to pay lower taxes in a neighboring location. More...

PUBLISHED: Topics in Economic Analysis and Policy, 2004, 4(1), Article 13

#2002-014E "Nonlinearity and the Permanent Effects of Recessions"
by Chang-Jin Kim, James Morley, and Jeremy M. Piger
October 2002
Revised December 2003

This paper presents a new nonlinear time series model that captures a post-recession "bounce-back" in the level of aggregate output. While a number of studies have examined this type of business cycle asymmetry using recession-based dummy variables and threshold models, we relate the "bounce-back" effect to an endogenously estimated unobservable Markov-switching state variable. When the model is applied to U.S. real GDP, we find that the Markov-switching regimes are closely related to NBER-dated recessions and expansions. More...

PUBLISHED: Journal of Applied Econometrics, 2005, 20(2), pp. 291-309

#2002-013C "Time-Varying Risk Premia and The Cross Section of Stock Returns"
by Hui Guo
April 2002
Revised May 2005

This paper develops and estimates a heteroskedastic variant of Campbell's (1993) ICAPM, in which risk factors include a stock market return and variables forecasting stock market returns or variance. Our main innovation is the use of a new set of predictive variables, which not only have superior forecasting abilities for stock returns and variance, but also are theoretically motivated. More...

PUBLISHED: Journal of Banking and Finance, July 2006, 30(7), pp. 2087-2107