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Central Bank Research Hub - Federal Reserve Board International Financial Discussion Papers



The U.S. Current Account Deficit and the Expected Share of World Output (JEL F32, F41)

by Charles Engel; John H. Rogers2006-856
( Jun 856)
 Abstract
 Full text

2008

Optimal Monetary Policy with Distinct Core and Headline Inflation Rates (JEL E32)

by Martin Bodenstein, Christopher J. Erceg, and Luca Guerrieri2008-941
(Aug 2008)
 Abstract
 Full text

Friends or Foes? The Stock Price Impact of Sovereign Wealth Fund Investments and the Price of Keeping Secrets (JEL G14, G15, G34, G38)

by Jason Kotter and Ugur Lel2008-940
(Aug 2008)
 Abstract
 Full text

Foreign Exposure to Asset-Backed Securities of U.S. Origin (JEL G15, G20)

by Daniel O. Beltran, Laurie Pounder, and Charles Thomas2008-939
(Aug 2008)
 Abstract
 Full text

Political Disagreement, Lack of Commitment and the Level of Debt (JEL C61, E61, E62, P16)

by Davide Debortoli and Ricardo Nunes2008-938
(Jul 2008)
 Abstract
 Full text

Simple Monetary Rules Under Fiscal Dominance (JEL E61, E62)

by Michael Kumhof, Ricardo Nunes, and Irina Yakadina2008-937
(Jul 2008)
 Abstract
 Full text

An Anatomy of Credit Booms: Evidence From Macro Aggregates and Micro Data (JEL E32, E44, E51, G21)

by Enrique G. Mendoza and Marco E. Terrones2008-936
(Jul 2008)
 Abstract
 Full text

How Long Can the Unsustainable U.S. Current Account Deficit Be Sustained?

by Carol C. Bertaut, Steven B. Kamin, and Charles P. Thomas2008-935
(Jul 2008)
 Abstract

Trade Elasticity of Substitution and Equilibrium Dynamics (JEL C68, F41)

by Martin Bodenstein2008-934
(Jun 2008)
 Abstract
 Full text

Predicting Global Stock Returns (JEL C22, C23, G12, G15)

by Erik Hjalmarsson2008-933
(Jun 2008)
 Abstract
 Full text

Jackknifing Stock Return Predictions

by Benjamin Chiquoine and Erik Hjalmarsson2008-932
(Jun 2008)
 Abstract
 Full text

Housing, Home Production, and the Equity and Value Premium Puzzles

by Morris A. Davis and Robert F. Martin2008-931
(Jun 2008)
 Abstract
 Full text

Why Do U.S. Cross-Listings Matter?

by John Ammer, Sara B. Holland, David C. Smith, and Francis E. Warnock2008-930
(May 2008)
 Abstract
 Full text

Competitive Search Equilibrium in a DSGE Model (JEL E10, E30, E32)

by David M. Arseneau and Sanjay K. Chugh2008-929
(Apr 2008)
 Abstract
 Full text

Interpreting Long-Horizon Estimates in Predictive Regressions (JEL C22, G1)

by Erik Hjalmarsson2008-928
(Apr 2008)
 Abstract
 Full text

Emerging Market Business Cycles Revisited: Learning about the Trend (JEL E44, F32, F41)

by Emine Boz, Christian Daude, and Ceyhun Bora Durdu2008-927
(Apr 2008)
 Abstract
 Full text

Predicting Cycles in Economic Activity (JEL E37)

by Jane Haltmaier2008-926
(Apr 2008)
 Abstract
 Full text

Bank Integration and Financial Constraints: Evidence from U.S. Firms (JEL G21, G28, G31)

by Ricardo Correa2008-925
(Mar 2008)
 Abstract
 Full text

A Solution to the Default Risk-Business Cycle Disconnect (JEL E32, E44, F32, F34)

by Enrique G. Mandoza and Vivian Z. Yue2008-924
(Mar 2008)
 Abstract
 Full text

Do Differences in Financial Development Explain the Global Pattern of Current Account Imbalances?

by Joseph W. Gruber and Steven B. Kamin2008-923
(Mar 2008)
 Abstract

Cross-border Bank Acquisitions: Is there a Performance Effect? (JEL F21, F23, G21, G34)

by Ricardo Correa2008-922
(Mar 2008)
 Abstract
 Full text

Cross-Border Returns Differentials (JEL F3, W13768)

by Stephanie E. Curcuru, Tomas Dvorak, and Francis E. Warnock2008-921
(Feb 2008)
 Abstract
 Full text

On the Application of Automatic Differentiation to the Likelihood Function for Dynamic General Equilibrium Models (JEL C52, C61, C63)

by Houtan Bastani and Luca Guerrieri2008-920
(Feb 2008)
 Abstract
 Full text

Optimal Fiscal and Monetary Policy in Customer Markets (JEL E30, E50, E61, E63)

by David M. Arseneau and Sanjay K. Chugh2008-919
(Jan 2008)
 Abstract
 Full text

International Competition and Inflation: A New Keynesian Perspective (JEL E31, E32, F41)

by Luca Guerrieri, Christopher Gust, and David Lopez-Salido2008-918
(Jan 2008)
 Abstract
 Full text

Measuring U.S. International Relative Prices: A WARP View of the World (JEL C22, C82, F41)

by Charles P. Thomas, Jaime Marquez, and Sean Fahle2008-917
(Jan 2008)
 Abstract
 Full text

2007

Loose Commitment (JEL C61, C63, E61, E62)

by Davide Debortoli and Ricardo Nunes2007-916
(Dec 2007)
 Abstract
 Full text

Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated (JEL C12, C15, C32)

by Erik Hjalmarsson and Par Osterholm2007-915
(Dec 2007)
 Abstract
 Full text

Sovereign CDS and Bond Pricing Dynamics in Emerging Markets: Does the Cheapest-to-Deliver Option Matter? (JEL G10, G14, G15)

by John Ammer and Fang Cai2007-912
(Dec 2007)
 Abstract
 Full text

Precautionary Demand for Foreign Assets in Sudden Stop Economies: An Assessment of the New Mercantilism (JEL D52, E44, F32, F41)

by Ceyhun Bora Durdu, Enrique G. Mendoza, and Marco E. Terrones2007-911
(Dec 2007)
 Abstract
 Full text

The Stambaugh Bias in Panel Predictive Regressions (JEL C22, C23, G1)

by Erik Hjalmarsson2007-914
(Nov 2007)
 Abstract
 Full text

India's Future: It's About Jobs (JEL E20, F00)

by Geoffrey N. Keim and Beth Anne Wilson2007-913
(Nov 2007)
 Abstract
 Full text

Monthly Estimates of U.S. Cross-Border Securities Positions (JEL C80, F30)

by Carol C. Bertaut and Ralph W. Tryon2007-910
(Nov 2007)
 Abstract
 Full text

Quantitative Implications of Indexed Bonds in Small Open Economies (JEL E44, F32, F41)

by Ceyhun Bora Durdu2007-909
(Nov 2007)
 Abstract
 Full text

External Governance and Debt Agency Costs of Family Firms (JEL F30, G30, G32)

by Andrew Ellul, Levent Guntay, and Ugur Lel2007-908
(Nov 2007)
 Abstract
 Full text

The Transmission of Domestic Shocks in the Open Economy (JEL E52, F41, F47)

by Christopher J. Erceg, Christopher Gust, and David Lopez-Salido2007-906
(Nov 2007)
 Abstract
 Full text

A Residual-Based Cointegration Test for Near Unit Root Variables (JEL C12, C22)

by Erik Hjalmarsson and Par Osterholm2007-907
(Oct 2007)
 Abstract
 Full text

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets (JEL C22, G12)

by Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson, and Mico Loretan2007-905
(Sep 2007)
 Abstract
 Full text

The Role of China in Asia: Engine, Conduit, or Steamroller? (JEL E32, F10, F40)

by Jane T. Haltmaier, Shaghil Ahmed, Brahima Coulibaly, Ross Knippenberg, Sylvain Leduc, Mario Marazzi, and Beth Anne Wilson2007-904
(Sep 2007)
 Abstract
 Full text

Trading Activity and Exchange Rates in High-Frequency EBS Data (JEL F31, G14)

by Alain P. Chaboud, Sergey V. Chernenko, and Jonathan H. Wright2007-903
(Sep 2007)
 Abstract
 Full text

Exchange Rate Pass-Through to Export Prices: Assessing Some Cross-Country Evidence (JEL E31, F30, F41)

by Robert J. Vigfusson, Nathan Sheets, and Joseph Gagnon2007-902
(Sep 2007)
 Abstract
 Full text

Real-Time Measurement of Business Conditions (JEL C01, C22, E32, E37)

by S. Boragan Aruoba, Francis X. Diebold, and Chiara Scotti2007-901
(Aug 2007)
 Abstract
 Full text

Bargaining, Fairness, and Price Rigidity in a DSGE Environment (JEL E20, E30, E31, E32)

by David M. Arseneau and Sanjay K. Chugh2007-900
(Jul 2007)
 Abstract
 Full text

What Can the Data Tell Us about Carry Trades in Japanese Yen? (JEL F31, F32)

by Joseph E. Gagnon and Alain P. Chaboud2007-899
(Jul 2007)
 Abstract
 Full text

Three Great American Disinflations (JEL E32, E42, E52, E58)

by Michael Bordo, Christopher Erceg, Andrew Levin, and Ryan Michaels2007-898
(Jun 2007)
 Abstract
 Full text

Oil Shocks and External Adjustment (JEL F32, F41)

by Martin Bodenstein, Christopher J. Erceg, and Luca Guerrieri2007-897
(Jun 2007)
 Abstract
 Full text

Price Setting during Low and High Inflation: Evidence from Mexico (JEL C23, D40, E31)

by Etienne Gagnon2007-896
(May 2007)
 Abstract
 Full text

A Note on the Coefficient of Determination in Models with Infinite Variance Variables (JEL C12, C13, C21, G12)

by Jeong-Ryeol Kurz-Kim and Mico Loretan2007-895
(May 2007)
 Abstract
 Full text

The Stability of Large External Imbalances: The Role of Returns Differentials (JEL F3, W13074)

by Stephanie E. Curcuru, Tomas Dvorak, and Francis E. Warnock2007-894
(Apr 2007)
 Abstract
 Full text

Optimal Fiscal and Monetary Policy with Costly Wage Bargaining (JEL E24, E50, E62, E63)

by David M. Arseneau and Sanjay K. Chugh2007-893
(Apr 2007)
 Abstract
 Full text

U.S. External Adjustment: Is It Disorderly? Is It Unique? Will It Disrupt the Rest of the World? (JEL F32, F41)

by Steven B. Kamin, Trevor A. Reeve, and Nathan Sheets2007-892
(Apr 2007)
 Abstract
 Full text

Some Simple Tests of the Globalization and Inflation Hypothesis (JEL C22, E31, F41)

by Jane Ihrig, Steven B. Kamin, Deborah Lindner, and Jaime Marquez2007-891
(Apr 2007)
 Abstract
 Full text

Dollarization and Financial Integration (JEL F33, F34, F36)

by Cristina Arellano and Jonathan Heathcote2007-890
(Feb 2007)
 Abstract
 Full text

Markov Switching GARCH Models of Currency Turmoil in Southeast Asia (JEL C13, C22, C52, F31, F34)

by Celso Brunetti, Roberto S. Mariano, Chiara Scotti, and Augustine H.H. Tan2007-889
(Jan 2007)
 Abstract
 Full text

2006

Are Antidumping Duties for Sale? Case-Level Evidence on the Grossman-Helpman Protection for Sale Model (JEL F13)

by Carolyn L. Evans and Shane M. Sherlund2006-888
(Dec 2006)
 Abstract
 Full text

Flying Geese or Sitting Ducks: China's Impact on the Trading Fortunes of other Asian Economies (JEL F10, F31, O53)

by Alan G. Ahearne, John G. Fernald, Prakash Loungani, and John W. Schindler2006-887
(Dec 2006)
 Abstract
 Full text

Measurement Matters for Modeling U.S. Import Prices (JEL C51, C53, F17, F41)

by Charles P. Thomas and Jaime Marquez2006-883
(Dec 2006)
 Abstract
 Full text

Global Asset Prices and FOMC Announcements (JEL E44, E52, G14, G15)

by Joshua Hausman and Jon Wongswan2006-886
(Nov 2006)
 Abstract
 Full text

Of Nutters And Doves (JEL E52, E58)

by Roc Armenter and Martin Bodenstein2006-885
(Nov 2006)
 Abstract
 Full text

International Asset Markets And Real Exchange Rate Volatility

by Martin Bodenstein2006-884
(Nov 2006)
 Abstract
 Full text

Predicting Sharp Depreciations in Industrial Country Exchange Rates (JEL C22, F31)

by Jonathan H. Wright and Joseph E. Gagnon2006-881
(Nov 2006)
 Abstract
 Full text

Sovereign Debt Crises and Credit to the Private Sector (JEL F32, F34, G32)

by Carlos Arteta and Galina Hale2006-878
(Nov 2006)
 Abstract
 Full text

Changes in Job Quality and Trends in Labor Hours (JEL E24, J22, O47)

by Brahima Coulibaly2006-882
(Oct 2006)
 Abstract
 Full text

Optimal Fiscal and Monetary Policy When Money is Essential (JEL E13, E52, E62, E63)

by S. Boragan Aruoba and Sanjay K. Chugh2006-880
(Oct 2006)
 Abstract
 Full text

PPP Rules, Macroeconomic Instability and Learning

by Luis-Felipe Zanna2006-814
(Oct 2006)
 Abstract
 Full text

Efficiency in Housing Markets: Do Home Buyers Know how to Discount? (JEL G14, R21, R31)

by Erik Hjalmarsson and Randi Hjalmarsson2006-879
(Sep 2006)
 Abstract
 Full text

International Cross-listing, Firm Performance and Top Management Turnover: A Test of the Bonding Hypothesis (JEL F30, G15, G30, G34, K22, M40)

by Ugur Lel and Darius P. Miller2006-877
(Sep 2006)
 Abstract
 Full text

An Empirical Analysis of Specialist Trading Behavior at the New York Stock Exchange (JEL G10, G14)

by Sigridur Benediktsdottir2006-876
(Sep 2006)
 Abstract
 Full text

A Bivariate Model of Fed and ECB Main Policy Rates (JEL C11, C3, C52, E52)

by Chiara Scotti2006-875
(Sep 2006)
 Abstract
 Full text

Informed and Strategic Order Flow in the Bond Markets (JEL E44, G14)

by Paolo Pasquariello and Clara Vega2006-874
(Sep 2006)
 Abstract
 Full text

The Monetary Origins of Asymmetric Information in International Equity Markets (JEL F3, G12, G14, G15)

by Gregory H. Bauer, Clara Vega2006-872
(Sep 2006)
 Abstract
 Full text

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (JEL C5, F3, F4, G1)

by Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Clara Vega2006-871
(Sep 2006)
 Abstract
 Full text

Ramsey Meets Hosios: The Optimal Capital Tax and Labor Market Efficiency (JEL E24, E62, H21, J64)

by David M. Arseneau; Sanjay K. Chugh2006-870
(Sep 2006)
 Abstract
 Full text

How Do FOMC Actions and U.S. Macroeconomic Data Announcements Move Brazilian Sovereign Yield Spreads and Stock Prices? (JEL F36, F39, F42)

by Patrice Robitaille and Jennifer E. Roush2006-868
(Sep 2006)
 Abstract
 Full text

Does The Time Inconsistency Problem Make Flexible Exchange Rates Look Worse Than You Think? (JEL E33, E61, F41)

by Roc Armenter Martin Bodenstein2006-865
(Sep 2006)
 Abstract
 Full text

Monetary Policy, Oil Shocks, and TFP: Accounting for the Decline in U.S. Volatility (JEL E31, E32, E52)

by Sylvain Leduc and Keith Sill2006-873
(Aug 2006)
 Abstract
 Full text

Predictive Regressions with Panel Data

by Erik Hjalmarsson2006-869
(Aug 2006)
 Abstract
 Full text

Closing Open Economy Models (JEL D51, F41)

by Martin Bodenstein2006-867
(Aug 2006)
 Abstract
 Full text

Assessing Structural VARs (JEL C1)

by Lawrence J. Christiano Martin Eichenbaum Robert Vigfusson2006-866
(Aug 2006)
 Abstract
 Full text

Trade Integration, Competition, and the Decline in Exchange-Rate Pass-Through (JEL F15, F41)

by Christopher Gust, Sylvain Leduc, and Robert J. Vigfusson2006-864
(Aug 2006)
 Abstract
 Full text

Transmission of Volatility and Trading Activity in the Global Interdealer Foreign Exchange Market: Evidence from Electronic Broking Services (EBS)