Boston Fed Research

This paper explores the relationship between output volatility and economic development. We develop a methodology to assess countries' extent of sectoral diversification. The productive structur...

https://www.bostonfed.org/publications/research-department-working-paper/2003/diversification-and-development.aspx

Operational risk is currently receiving significant media attention, as financial scandals have appeared regularly and multiple events have exceeded one billion dollars in total impact. Regulato...

https://www.bostonfed.org/publications/research-department-working-paper/2003/capital-and-risk-new-evidence-on-implications-of-large-operational-losses.aspx

Much has been written recently about the problems for emerging markets that might result from a mismatch between foreign-currency denominated liabilities and assets (or income flows) denominated...

https://www.bostonfed.org/publications/research-department-working-paper/2002/corporate-dollar-debt-and-depreciations-much-ado-about-nothing.aspx

This paper is chapter 7 in our monograph, Job Creation, Job Destruction, and International Competition (W.E. Upjohn Institute for Employment Research 2003). The chapter, which expands on the ide...

https://www.bostonfed.org/publications/research-department-working-paper/2002/job-creation-job-destruction-and-international-competition-job-flows-and-trade-the-case-of-nafta.aspx

This paper is chapter 4 in our monograph, Job Creation, Job Destruction, and International Competition (W.E. Upjohn Institute for Employment Research, 2003). The chapter, which expands on the id...

https://www.bostonfed.org/publications/research-department-working-paper/2002/job-creation-job-destruction-and-international-competition-a-literature-review.aspx

This paper reports the results of a detailed examination of the hypothesis that improved inventory management and production techniques are responsible for the decline in the volatility of U.S. ...

https://www.bostonfed.org/publications/research-department-working-paper/2002/inventory-investment-and-output-volatility.aspx

This paper develops a new instrumental-variable (IV) approach to estimate the effects of different exchange rate regimes on bilateral outcomes. The basic idea is that the characteristics of the ...

https://www.bostonfed.org/publications/research-department-working-paper/2002/economic-effects-of-currency-unions.aspx

Traditional methods of modelling returns and testing the Capital Asset Pricing Model (CAPM) do so at the mean of the conditional distribution. Instead, we model returns and test whether the cond...

https://www.bostonfed.org/publications/research-department-working-paper/2002/a-quantile-regression-analysis-of-the-cross-section-of-stock-market-returns.aspx

Revised article published in Journal of Monetary Economics vol. 51, no. 6 (September 2004): 1133-1153. New Keynesian macroeconomic models have generally emphasized that expectations of future...

https://www.bostonfed.org/publications/research-department-working-paper/2002/estimating-the-euler-equation-for-output.aspx

Event study analysis is applied to investigate stock price reaction to the announcement of bonus issues for the emerging stock markets of China. Results show that the issues with a high bonus ra...

https://www.bostonfed.org/publications/research-department-working-paper/2002/the-behavior-of-chinas-stock-prices-in-response-to-the-proposal-and-approval-of-bonus-issues.aspx

Empirical research on the effects of differential business taxation across jurisdictions relies on the appropriate measurement of the burden of tax in each location. While numerous summary measu...

https://www.bostonfed.org/publications/research-department-working-paper/2001/measuring-the-incentive-effects-of-state-tax-policies-toward-capital-investment.aspx

A number of recent papers have explored monetary policy options, including in- flation targeting and inflation forecast targeting (notably Svensson (1999a, 1999b, 2000)) and price level targetin...

https://www.bostonfed.org/publications/research-department-working-paper/2001/optimal-monetary-policy-in-a-model-with-habit-formation-and-explicit-tax-distortions.aspx

Lucas (1976) criticized Keynesian models because of parametric instability. For many economists, the “Lucas critique” provided a reason to replace the Keynesian approach with equilibrium model...

https://www.bostonfed.org/publications/research-department-working-paper/2001/are-taste-and-technology-parameters-stable-a-test-of-deep-parameter-stability-in-real-business-cycle-models-of-the-us-economy.aspx

This paper extends the theoretical model of Hall and Jorgenson (1967) in order to examine major changes in state and local tax laws and their effects on the variation in tax burdens across state...

https://www.bostonfed.org/publications/research-department-working-paper/2001/state-user-costs-of-capital.aspx

Revised article published in Review of International Economics vol. 13, issue 2 (May 2005): 283-297. The programs of the International Monetary Fund were originally designed to provide short-...

https://www.bostonfed.org/publications/research-department-working-paper/2001/time-present-and-time-past-a-duration-analysis-of-imf-program-spells.aspx

We consider a neoclassical interpretation of Germany and Japan?s rapid postwar growth that relies on a catch-up mechanism through capital accumulation where technology is embodied in new capital...

https://www.bostonfed.org/publications/research-department-working-paper/2001/transition-dynamics-in-vintage-capital-models-explaining-the-postwar-catch-up-of-germany-and-japan.aspx

A number of recent papers have explored monetary policy options, including inflation targeting and inflation forecast targeting (notably Svensson (1999a, 1999b, 2000)) and price level targeting ...

https://www.bostonfed.org/publications/research-department-working-paper/2000/optimal-monetary-policy-in-a-model-with-habit-formation.aspx

Revised article published in American Economic Review. The relative wealth hypothesis of Froot and Stein (1991), motivated by the aggregate correlation between real exchange rates and foreign...

https://www.bostonfed.org/publications/research-department-working-paper/2000/troubled-banks-impaired-foreign-direct-investment-the-role-of-relative-access-to-credit.aspx

This paper assesses the effects of insurance and capital requirements on assets' equilibrium returns in a capital-asset-pricing model in which intermediaries possess better information than the ...

https://www.bostonfed.org/publications/research-department-working-paper/2000/deposit-insurance-capital-requirements-and-financial-stability.aspx

Revised article published in .Journal of Money, Credit and Banking vol. 35, no. 6, part 1 (December 2003): 931-946. Evidence of an operative credit channel has been inconclusive. The inabilit...

https://www.bostonfed.org/publications/research-department-working-paper/2000/identifying-the-macroeconomic-effect-of-loan-supply-shocks.aspx

Revised article published in Journal of Money, Credit and Banking vol. 35, no. 4 (August 2003): 557-589. Reproduced here with permission from the Ohio State University Press. This paper quan...

https://www.bostonfed.org/publications/research-department-working-paper/2000/monetary-policy-housing-investment-and-heterogeneous-regional-markets.aspx

Revised article forthcoming in Journal of International Economics . This paper contributes to an understanding of internationally generated adjustment costs by demonstrating a statistically s...

https://www.bostonfed.org/publications/research-department-working-paper/1999/job-creation-job-destruction-and-the-real-exchange-rate.aspx

Revised article published in American Statistical Association, 1999 Proceedings: Government and Social Statistics Section 13-22. This paper extends the work of Dunne, Roberts, and Samuelson ...

https://www.bostonfed.org/publications/research-department-working-paper/1999/gross-job-flows-and-firms.aspx

Revised article published in Journal of Money, Credit and Banking vol. 35, no. 6, part 1 (December 2003): 931-946. This paper provides evidence that the Federal Reserve has an informational a...

https://www.bostonfed.org/publications/research-department-working-paper/1999/does-the-federal-reserve-possess-an-exploitable-informational-advantage.aspx

We seek to determine the presence and causes of network externalities for the automated clearinghouse (ACH) electronic payments system, using a monthly panel data set on individual bank adoption...

https://www.bostonfed.org/publications/research-department-working-paper/1999/network-externalities-and-technology-adoption-lessons-from-electronic-payments.aspx

In this paper, I conduct a structural change test that casts doubt on the validity of exogenous growth assumptions. Cross-sectional empirical support for non-stochastic convergence in the neocla...

https://www.bostonfed.org/publications/research-department-working-paper/1999/is-the-us-economy-characterized-by-endogenous-growth-a-timeseries-test-of-two-stochastic-growth-models.aspx

Revised article published in Review of Economics and Statistics vol. 85, no. 1 (February 2003): 94-104. For years, the problems associated with the Lucas critique have loomed over empirical m...

https://www.bostonfed.org/publications/research-department-working-paper/1999/are-deep-parameters-stable-the-lucas-critique-as-an-empirical-hypothesis.aspx

We show a statistically significant and economically relevant effect of open capital accounts on financial deepness and economic growth in a cross-section of countries over the period 1986 to 19...

https://www.bostonfed.org/publications/research-department-working-paper/1999/capital-account-liberalization-financial-depth-and-economic-growth.aspx

Revised article published in Quarterly Journal of Economics 114 (May 1999). Recently, several central banks have lost their bank supervisory responsibilities, in part because it has not been ...

https://www.bostonfed.org/publications/research-department-working-paper/1999/is-bank-supervision-central-to-central-banking.aspx

I analyze the effects of an expected future reduction in government spending on the current level of economic activity. In a closed-economy dynamic general equilibrium setup with nominal rigidit...

https://www.bostonfed.org/publications/research-department-working-paper/1999/fiscal-retrenchments-and-the-level-of-economic-activity.aspx

Revised article published in the Journal of Financial Intermediation 9 (July 2000): 298-319. Banking crises have continued to emerge in recent years, contributing to severe economic contracti...

https://www.bostonfed.org/publications/research-department-working-paper/1999/the-impact-of-greater-bank-disclosure-amidst-a-banking-crisis.aspx

I analyze the effects of a favorable shift in expected future productivity on the current level of investment and the real interest rate. In a standard RBC model, an increase in expected future ...

https://www.bostonfed.org/publications/research-department-working-paper/1999/productivity-shocks-investment-and-the-real-interest-rate.aspx

Revised article published in American Economic Review vol. 92, no. 4 (September 2002): 1013-1028. A number of recent papers have developed dynamic macroeconomic models that incorporate ration...

https://www.bostonfed.org/publications/research-department-working-paper/1998/dynamic-inconsistencies-counterfactual-implications-of-a-class-of-rational-expectations-models.aspx

Revised article published in Global Financial Crises: Cases, Correlates , Caveats, in B.N. Ghosh; editor London Routledge (2001). Japanese banks are among the world's largest global financial...

https://www.bostonfed.org/publications/research-department-working-paper/1998/japanese-banking-problems-implications-for-southeast-asia.aspx

Revised paper was published in The Asian Financial Crisis: Origins, Implications and Solutions; W. C. Hunter, G. Kaufman, and T. Krueger, eds. Kluwer publishers (1999). Greater transparency a...

https://www.bostonfed.org/publications/research-department-working-paper/1998/will-greater-disclosure-and-transparency-prevent-the-next-banking-crisis.aspx

Revised article published in the New England Economic Review (September/October 1999) . The performance of stock prices during breaks in trading has received considerable attention in recent ...

https://www.bostonfed.org/publications/research-department-working-paper/1998/weekends-can-be-rough-revisiting-the-weekend-effect-in-stock-prices.aspx

Revised article published in Journal of International Economics 53 (2001): 283-305. Since August 1995, Japanese banks have had to pay a premium on Eurodollar and Euroyen interbank loans rela...

https://www.bostonfed.org/publications/research-department-working-paper/1998/determinants-of-the-japan-premium-actions-speak-louder-than-words.aspx

This paper tests the dynamic implications of beta-convergence with time-series data from the 48 contiguous U.S. states. The motivation for this paper rests with the interpretation of results fro...

https://www.bostonfed.org/publications/research-department-working-paper/1998/what-do-cross-sectional-growth-regressions-tell-us-about-convergence.aspx

Revised article published in Journal of Banking and Finance 23 (February 1999): 579-604. We examine foreign acquisitions of United States Banks around the time of the ownership change to determi...

https://www.bostonfed.org/publications/research-department-working-paper/1998/the-poor-performance-of-foreign-bank-subsidiaries-were-the-problems-acquired-or-created.aspx

Revised article published in Quarterly Journal of Economics (May 1999). Even in a world with rational expectations, it has been well established theoretically that if the central bank possesses ...

https://www.bostonfed.org/publications/research-department-working-paper/1998/does-the-federal-reserve-have-an-informational-advantage-you-can-bank-on-it.aspx

Revised article published in American Economic Review 90, no. 3 (June 2000): 367-90.In earlier work (Fuhrer 1996), I document what I view as the failure of standard models of representative cons...

https://www.bostonfed.org/publications/research-department-working-paper/1998/an-optimizing-model-for-monetary-policy-analysis-can-habit-formation-help.aspx

Revised article published in Journal of Monetary Economics (May 2001). This paper builds and estimates a new model of firm behavior that includes decisions to order, use, and stock input mate...

https://www.bostonfed.org/publications/research-department-working-paper/1997/input-and-output-inventories.aspx

Revised article published in Journal of Financial Services Research 16, no. 1 (September 1999). Because the automated clearinghouse (ACH) has been found to have lower social costs than paper...

https://www.bostonfed.org/publications/research-department-working-paper/1997/the-effect-of-pricing-on-demand-and-revenue-in-federal-reserve-ach-payment-processing.aspx

Revised article published in American Economic Review (March 2000): 30-45. The dramatic 70 percent decline in Japanese commercial real estate prices from their peak in 1990 provides a natural...

https://www.bostonfed.org/publications/research-department-working-paper/1997/collateral-damage-effects-of-the-japanese-bank-crisis-on-real-activity-in-the-united-states.aspx

Whether central banks should play an active role in bank supervision and regulation is being debated both in the United States and abroad. While the Bank of England has recently been stripped of...

https://www.bostonfed.org/publications/research-department-working-paper/1997/is-bank-supervision-central-to-central-banking.aspx

Revised article published in Journal of Banking and Finance 22, nos. 6-8 (August 1998): 799-820. Concern with the potential effect of bank mergers on small business lending has stemmed from a...

https://www.bostonfed.org/publications/research-department-working-paper/1997/bank-consolidation-and-small-business-lending-its-not-just-bank-size-that-matters.aspx

Even though the momentum of the "devolution" movement has slowed, federal intergovernmental grants will probably be cut substantially during the next five to ten years. Federal tax reform could ...

https://www.bostonfed.org/publications/research-department-working-paper/1997/the-subsidy-from-state-and-local-tax-deductibility-trends-methodological-issues-and-its-value-after-federal-tax-reform.aspx

Revised article published in Financial Management (Winter 1999). Providing managers with stock in the firm may help ensure that managers act in the shareholders' interest. The level of manage...

https://www.bostonfed.org/publications/research-department-working-paper/1997/managers-opportunistic-trading-of-their-firms-shares-a-case-study-of-executives-in-the-banking-industry.aspx

Revised article published in Journal of Public Economics 80, no. 2 (May 2001): 287-311. This paper examines the impact of a specific local tax limit, Proposition 2½ in Massachusetts, on the ...

https://www.bostonfed.org/publications/research-department-working-paper/1997/property-tax-limits-and-local-fiscal-behavior-did-massachusetts-cities-and-towns-spend-too-little-on-town-services-under-proposition-2.aspx

Revised article published in Southern Economic Journal 66, no. 4 (March 2000): 957-975. The boards of directors of the 12 District Reserve Banks are the rare private citizens who play a role ...

https://www.bostonfed.org/publications/research-department-working-paper/1996/reserve-banks-the-discount-rate-recommendation-and-fomc-policy.aspx