We consider which factors determined the price-rent ratio for the housing market in 18 U.S. metropolitan areas (MSAs) and at the national level over the period of 1975 to 2012. Based on a present-value framework, our proposed empirical model separates the price-rent ratio for a given market into...

This paper develops a new measure of comovement in the banking sector that takes into account the dynamic nature of interlinkages among different bank holding corporations at different stages of business cycles. For this purpose, we use a dynamic factor model with time-varying parameters and...

This study shows that, in a model with non-separable preferences for durable and non-durable goods, the effect of relative prices on the ratio of consumption for the two goods, known as the intratemporal elasticity of substitution, has decreased in the U.S. since 1981. We found that durable and...

In this paper, we use high frequency daily data to examine the dynamic relationship between the federal funds futures rate and the 3-month T-bill rate. Our results show that one month federal funds futures rate is cointegrated with the 3-month T-bill rate, and thus move together in the long-run....

In this paper we estimate the evolution of the implicit inflation target underlying the monetary policy of 18 ‘inflation targeting lite’ economies (i.e., emerging countries that target inflation implicitly) using a time‐varying parameter specification of the Taylor rule. We find...