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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

The Fragility of Sensitivity Analysis: An Encompassing Perspective

by Neil R. Ericsson2008-959
(Nov 2008)
 Abstract
 Full text

Home Computers and Educational Outcomes: Evidence from the NLSY97 and CPS (JEL C35, I20, O33)

by Daniel O. Beltran, Kuntal K. Das, and Robert W. Fairlie2008-958
(Nov 2008)
 Abstract
 Full text

Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices (JEL C32, E37, Q43)

by Lutz Kilian and Clara Vega2008-957
(Nov 2008)
 Abstract
 Full text

A Non-Random Walk Revisited: Short- and Long-Term Memory in Asset Prices (JEL E30, G14)

by Paul Eitelman and Justin Vitanza2008-956
(Nov 2008)
 Abstract
 Full text

Estimating the Parameters of a Small Open Economy DSGE Model: Identifiability and Inferential Validity (JEL C11, C15, F41)

by Daniel O. Beltran and David Draper2008-955
(Nov 2008)
 Abstract
 Full text

Housing Market Risks in the United Kingdom (JEL E21, E22, R21)

by Robert F. Martin2008-954
(Nov 2008)
 Abstract
 Full text

Testing the Expectations Hypothesis When Interest Rates are Near Integrated (JEL C22, G12)

by Meredith Beechey, Erik Hjalmarsson, and Par Osterholm2008-953
(Oct 2008)
 Abstract
 Full text

Do Fundamentals Explain the International Impact of U.S. Interest Rates? Evidence at the Firm Level (JEL E44, E52, G14, G15)

by John Ammer, Clara Vega, and Jon Wongswan2008-952
(Oct 2008)
 Abstract
 Full text

Soft Information in Earnings Announcements: News or Noise? (JEL D82, G14, M41)

by Elizabeth Demers and Clara Vega2008-951
(Oct 2008)
 Abstract
 Full text

Assessing the Potential for Further Foreign Demand for U.S. Assets: Has Financing U.S. Current Account Deficits Made Foreign Investors Overweight in U.S. Securities? (JEL F3, G11, G15)

by Carol C. Bertaut2008-950
(Oct 2008)
 Abstract
 Full text

Expected Consumption Growth from Cross-Country Surveys: Implications for Assessing International Capital Markets (JEL E21, F32, F41)

by Charles Engel and John H. Rogers2008-949
(Sep 2008)
 Abstract
 Full text

Exchange Rates and Fundamentals: A Generalization (JEL E31, E37, F41)

by James M. Nason and John H. Rogers2008-948
(Sep 2008)
 Abstract
 Full text

Current Account Sustainability and Relative Reliability (JEL F3)

by Stephanie E. Curcuru, Charles P. Thomas, and Francis E. Warnock2008-947
(Sep 2008)
 Abstract
 Full text

Emerging Market Business Cycles with Remittance Fluctuations (JEL E44, F32, F41)

by Ceyhun Bora Durdu and Serdar Sayan2008-946
(Sep 2008)
 Abstract
 Full text

Escape From New York: The Market Impact of SEC Rule 12h-6 (JEL G14, G15, G38)

by Nuno Fernandes, Ugur Lel, and Darius P. Miller2008-945
(Sep 2008)
 Abstract
 Full text

The Macroeconomic Effect of External Pressures on Monetary Policy (JEL E52, E58, E61)

by Davide Debortoli and Ricardo Nunes2008-944
(Sep 2008)
 Abstract
 Full text

Constructive Data Mining: Modeling Argentine Broad Money Demand (JEL C52, E41)

by Neil R. Ericsson and Steven B. Kamin2008-943
(Sep 2008)
 Abstract
 Full text

The Asian Financial Crisis, Uphill Flow of Capital, and Global Imbalances: Evidence from a Micro Study (JEL F21, F3)

by Brahima Coulibaly and Jonathan Millar2008-942
(Aug 2008)
 Abstract
 Full text

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