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Song, Zhaogang; Zhu, Haoxiang - Federal Reserve Board (Board of Governors of the … - 2014

The Federal Reserve (Fed) uses a unique auction mechanism to purchase U.S. Treasury securities in implementing its … transaction prices and quantities of each traded bond in each auction, as well as dealers' identities. We find that: (1) In QE … toward more liquid bonds; (2) The auction costs are low on average: the Fed pays around 0.7 cents per $100 par value above …

Persistent link: https://www.econbiz.de/10010886228

Unit roots in economic time series: a selective survey

Diebold, Francis X.; Nerlove, Marc - Federal Reserve Board (Board of Governors of the … - 1988

Persistent link: https://www.econbiz.de/10005513031

Making the Cobb-Douglas functional form an efficient nonparametric estimator through localization

McManus, Douglas A. - Federal Reserve Board (Board of Governors of the … - 1994

Persistent link: https://www.econbiz.de/10005513056

Techniques for estimating dynamic comovement with an application to common international output fluctuations

Kozicki, Sharon - Federal Reserve Board (Board of Governors of the … - 1993

Persistent link: https://www.econbiz.de/10005514189

A comparison of some basic monetary policy regimes for open economies: implications of different degrees of instrument adjustment and wage persistence

Henderson, Dale W.; McKibbin, Warwick J. - Federal Reserve Board (Board of Governors of the … - 1993

Monetary policy regime combinations are compared for symmetric and asymmetric temporary shocks to money demand, goods demand, and productivity. In every region, the interest-rate instrument is either kept constant or changed to eliminate (full instrument adjustment) or reduce (partial...

Persistent link: https://www.econbiz.de/10005498770

The ET interview: professor David F. Hendry

Ericsson, Neil - Federal Reserve Board (Board of Governors of the … - 2004

procedures; David's textbook Dynamic Econometrics; Monte Carlo techniques (PcNaive); evaluation of these developments in … empirical and Monte Carlo econometrics. …

Persistent link: https://www.econbiz.de/10005498891

The Lucas critique revisited: assessing the stability of empirical Euler equations

Oliner, Stephen; Rudebusch, Glenn; Sichel, Daniel - Federal Reserve Board (Board of Governors of the … - 1992

Persistent link: https://www.econbiz.de/10005427860

Exogeneity, cointegration, and economic policy analysis

Ericsson, Neil R.; Hendry, David F.; Mizon, Grayham E. - Federal Reserve Board (Board of Governors of the … - 1998

This overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general; and these concepts are then applied to...

Persistent link: https://www.econbiz.de/10005372535

A retrospective on J. Denis Sargan and his contributions to econometrics

Ericsson, Neil R.; Maasoumi, Esfandiar; Mizon, Grayham E. - Federal Reserve Board (Board of Governors of the … - 2001

econometrics, emphasizing the breadth of his work in both theoretical and applied econometrics. We include a complete bibliography …

Persistent link: https://www.econbiz.de/10005372638

Monetary policy and multiple equilibria

Benhabib, Jess; Schmitt-Grohe, Stephanie; Uribe, Martin - Federal Reserve Board (Board of Governors of the … - 1998

In this paper, we characterize conditions under which interest rate feedback rules whereby the nominal interest rate is set as an increasing function of the inflation rate generate multiple equilibria. We show that these conditions depend not only on the fiscal regime (as emphasized in the...

Persistent link: https://www.econbiz.de/10005393676