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Federal Reserve Bank of St. Louis
(27 results)-
White Papers
Financial Integration, Globalization, Growth And Systemic Real Risk
October 20, 2010, 12:00am PDT
Using data for a large number of advanced and emerging market economies during 1985- 2009, this paper documents the dynamics of financial integration and assesses whether advances in financial...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Does Aggregate Relative Risk Aversion Change Countercyclically Over Time? Evidence From The Stock Market
June 11, 2007, 12:00am PDT
Using a semiparametric estimation technique, the authors show that the stock market risk-return tradeoff and Sharpe ratio increase monotonically with the consumption-wealth ratio (CAY) across...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Do Macroeconomic Announcements Move Inflation Forecasts?
October 1, 2009, 12:00am PDT
This paper presents an empirical strategy that bridges the gap between event studies and macroeconomic forecasts based on common-factor models. Event studies examine the response of financial...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Panel Discussion: The Future Of State And Local Government Finance
October 1, 2010, 12:00am PDT
Obsolescence is an extreme condition. According to the online Merriam-Webster Dictionary, something becomes obsolete when it is "No longer in use or no longer useful." By this definition, if the...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
The State Of State And Local Government Finance
October 1, 2010, 12:00am PDT
This paper provides an overview of the state-local government sector, a review of the short-run impact of the 2007-09 recession on state and local governments, and a brief summary of key long-run...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
A Bayesian Multi-Factor Model Of Instability In Prices And Quantities Of Risk In U.S. Financial Markets
January 1, 2011, 12:00am PST
This paper analyzes the empirical performance of two alternative ways in which multi-factor models with time-varying risk exposures and premia may be estimated. The first method echoes the seminal...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Speculative Bubbles And Financial Crisis
July 23, 2009, 12:00am PDT
Why are asset prices so much more volatile and so often detached from their fundamental values? Why does the bursting of financial bubbles depress the real economy? This paper addresses these...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Financial Development And Economic Volatility: A Unified Explanation
May 6, 2009, 12:00am PDT
Empirical studies showed that firm-level volatility has been increasing but the aggregate volatility has been decreasing in the US for the post-war period. This paper proposes a unified...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
The Effectiveness Of Monetary Policy
October 1, 2007, 12:00am PDT
This analysis addresses changing views of the role and effectiveness of monetary policy, inflation targeting as an "Effective monetary policy," monetary policy and short-run (output)...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Monetary Policy: Why Money Matters And Interest Rates Don't
May 1, 2008, 12:00am PDT
Monetary policy is now conducted by targeting a very short-term interest rate. The Fed and other central banks attempt to control the price level by manipulating aggregate demand by adjusting...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Three Lessons For Monetary Policy From The Panic Of 2008
June 1, 2010, 12:00am PDT
We have been wrestling with one of the most severe recessions in the post-World War II era; moreover, it has been accompanied by a widespread financial crisis. After unprecedented policy...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Economic Projections And Rules Of Thumb For Monetary Policy
August 1, 2008, 12:00am PDT
Monetary policy analysts often rely on rules of thumb, such as the Taylor rule, to describe historical monetary policy decisions and to compare current policy with historical norms. Analysis along...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Laffer Traps And Monetary Policy
June 1, 2008, 12:00am PDT
This paper focuses on the interaction, in a stylized economy with flexible prices, of monetary and fiscal policy when both are active-active in the sense that how the policy instrument is set...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Monetary Policy As Equilibrium Selection
August 1, 2007, 12:00am PDT
Can monetary policy guide expectations toward desirable outcomes when equilibrium and welfare are sensitive to alternative, commonly held rational beliefs? This paper studies this question in an...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Optimal Monetary And Fiscal Policies In A Search Theoretic Model Of Monetary Exchange
June 1, 2008, 12:00am PDT
In this paper, the authors study optimal monetary and fiscal policies, and the welfare costs of inflation, within the Lagos and Wright (2005) framework. Monetary equilibria may be inefficient...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
On The Relevance Of Credit Market Structure To Monetary Policy
June 1, 2007, 12:00am PDT
Credit affects the economy via various channels: its price, collateral requirements and the extent of rationing. Would the intensity of monetary transmission be affected by the market structure of...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Using Extraneous Information To Analyze Monetary Policy In Transition Economies
October 29, 2007, 12:00am PDT
Empirical macroeconomics is plagued by small sample size and large idiosyncratic variation. This problem is especially severe in the case of the transition economies. The authors utilize a...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
House Prices And The Stance Of Monetary Policy
August 1, 2008, 12:00am PDT
This paper estimates a Bayesian vector autoregression for the U.S. economy that includes a housing sector and addresses the following questions: can developments in the housing sector be explained...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Macroeconometric Equivalence, Microeconomic Dissonance, And The Design Of Monetary Policy
October 1, 2008, 12:00am PDT
Many recent studies in macroeconomics have focused on the estimation of DSGE models using a system of loglinear approximations to the models' nonlinear equilibrium conditions. The term...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Optimal Monetary Policy Under Uncertainty: A Markov Jump-linear-quadratic Approach
August 1, 2008, 12:00am PDT
This paper studies the design of optimal monetary policy under uncertainty using a Markov Jump-Linear-Quadratic (MJLQ) approach. To approximate the uncertainty that policymakers face, the authors...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Asset Prices, Liquidity, And Monetary Policy In The Search Theory Of Money
August 1, 2010, 12:00am PDT
The author presents a search-based model in which money coexists with equity shares on a risky aggregate endowment. Agents can use equity as a means of payment, so shocks to equity prices...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Worldwide Macroeconomic Stability And Monetary Policy Rules
June 1, 2007, 12:00am PDT
The authors study the interaction of multiple large economies in dynamic stochastic general equilibrium. Each economy has a monetary policymaker that attempts to control the economy through the...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
The Identification Of The Response Of Interest Rates To Monetary Policy Actions Using Market-based Measures Of Monetary Policy Shocks
August 1, 2009, 12:00am PDT
It is common practice to estimate the response of asset prices to monetary policy actions using market-based measures of monetary policy shocks, such as the federal funds futures rate. The author...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Friedman And Taylor On Monetary Policy Rules: A Comparison
April 1, 2008, 12:00am PDT
The names Milton Friedman and John Taylor are associated with different monetary policy rules; but, as shown in this paper, the difference between their perceptions of how the economy works is not...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Indirect Taxation And The Welfare Effects Of Altruism On The Optimal Fiscal Policy
September 1, 2009, 12:00am PDT
This paper analyzes the welfare effects of altruism on the optimal fiscal policy. The existence of positive bequests links present and future generations in the economy. The authors show that...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Fiscal Multipliers In War And In Peace
April 1, 2010, 12:00am PDT
Proponents of fiscal stimulus argue that government spending is needed to replace the private spending normally lost during a recession. Estimates of the so-called fiscal multiplier based on...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Deficits, Debt And Looming Disaster : Reform Of Entitlement Programs May Be The Only Hope
December 19, 2008, 12:00am PST
For the fiscal year 2008, the federal government's deficit totaled $455 billion, the largest ever for a single year. In the final days of the fiscal year, which ended Sept. 30, the total federal...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Deficits, Debt And Looming Disaster : Reform Of Entitlement Programs May Be The Only Hope
December 19, 2008, 12:00am PST
For the fiscal year 2008, the federal government's deficit totaled $455 billion, the largest ever for a single year. In the final days of the fiscal year, which ended Sept. 30, the total federal...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Fiscal Multipliers In War And In Peace
April 1, 2010, 12:00am PDT
Proponents of fiscal stimulus argue that government spending is needed to replace the private spending normally lost during a recession. Estimates of the so-called fiscal multiplier based on...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Indirect Taxation And The Welfare Effects Of Altruism On The Optimal Fiscal Policy
September 1, 2009, 12:00am PDT
This paper analyzes the welfare effects of altruism on the optimal fiscal policy. The existence of positive bequests links present and future generations in the economy. The authors show that...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Friedman And Taylor On Monetary Policy Rules: A Comparison
April 1, 2008, 12:00am PDT
The names Milton Friedman and John Taylor are associated with different monetary policy rules; but, as shown in this paper, the difference between their perceptions of how the economy works is not...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
The Identification Of The Response Of Interest Rates To Monetary Policy Actions Using Market-based Measures Of Monetary Policy Shocks
August 1, 2009, 12:00am PDT
It is common practice to estimate the response of asset prices to monetary policy actions using market-based measures of monetary policy shocks, such as the federal funds futures rate. The author...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Worldwide Macroeconomic Stability And Monetary Policy Rules
June 1, 2007, 12:00am PDT
The authors study the interaction of multiple large economies in dynamic stochastic general equilibrium. Each economy has a monetary policymaker that attempts to control the economy through the...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Asset Prices, Liquidity, And Monetary Policy In The Search Theory Of Money
August 1, 2010, 12:00am PDT
The author presents a search-based model in which money coexists with equity shares on a risky aggregate endowment. Agents can use equity as a means of payment, so shocks to equity prices...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Optimal Monetary Policy Under Uncertainty: A Markov Jump-linear-quadratic Approach
August 1, 2008, 12:00am PDT
This paper studies the design of optimal monetary policy under uncertainty using a Markov Jump-Linear-Quadratic (MJLQ) approach. To approximate the uncertainty that policymakers face, the authors...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Macroeconometric Equivalence, Microeconomic Dissonance, And The Design Of Monetary Policy
October 1, 2008, 12:00am PDT
Many recent studies in macroeconomics have focused on the estimation of DSGE models using a system of loglinear approximations to the models' nonlinear equilibrium conditions. The term...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
House Prices And The Stance Of Monetary Policy
August 1, 2008, 12:00am PDT
This paper estimates a Bayesian vector autoregression for the U.S. economy that includes a housing sector and addresses the following questions: can developments in the housing sector be explained...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Using Extraneous Information To Analyze Monetary Policy In Transition Economies
October 29, 2007, 12:00am PDT
Empirical macroeconomics is plagued by small sample size and large idiosyncratic variation. This problem is especially severe in the case of the transition economies. The authors utilize a...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
On The Relevance Of Credit Market Structure To Monetary Policy
June 1, 2007, 12:00am PDT
Credit affects the economy via various channels: its price, collateral requirements and the extent of rationing. Would the intensity of monetary transmission be affected by the market structure of...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Optimal Monetary And Fiscal Policies In A Search Theoretic Model Of Monetary Exchange
June 1, 2008, 12:00am PDT
In this paper, the authors study optimal monetary and fiscal policies, and the welfare costs of inflation, within the Lagos and Wright (2005) framework. Monetary equilibria may be inefficient...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Monetary Policy As Equilibrium Selection
August 1, 2007, 12:00am PDT
Can monetary policy guide expectations toward desirable outcomes when equilibrium and welfare are sensitive to alternative, commonly held rational beliefs? This paper studies this question in an...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Laffer Traps And Monetary Policy
June 1, 2008, 12:00am PDT
This paper focuses on the interaction, in a stylized economy with flexible prices, of monetary and fiscal policy when both are active-active in the sense that how the policy instrument is set...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Economic Projections And Rules Of Thumb For Monetary Policy
August 1, 2008, 12:00am PDT
Monetary policy analysts often rely on rules of thumb, such as the Taylor rule, to describe historical monetary policy decisions and to compare current policy with historical norms. Analysis along...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Three Lessons For Monetary Policy From The Panic Of 2008
June 1, 2010, 12:00am PDT
We have been wrestling with one of the most severe recessions in the post-World War II era; moreover, it has been accompanied by a widespread financial crisis. After unprecedented policy...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Monetary Policy: Why Money Matters And Interest Rates Don't
May 1, 2008, 12:00am PDT
Monetary policy is now conducted by targeting a very short-term interest rate. The Fed and other central banks attempt to control the price level by manipulating aggregate demand by adjusting...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
The Effectiveness Of Monetary Policy
October 1, 2007, 12:00am PDT
This analysis addresses changing views of the role and effectiveness of monetary policy, inflation targeting as an "Effective monetary policy," monetary policy and short-run (output)...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Financial Development And Economic Volatility: A Unified Explanation
May 6, 2009, 12:00am PDT
Empirical studies showed that firm-level volatility has been increasing but the aggregate volatility has been decreasing in the US for the post-war period. This paper proposes a unified...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Speculative Bubbles And Financial Crisis
July 23, 2009, 12:00am PDT
Why are asset prices so much more volatile and so often detached from their fundamental values? Why does the bursting of financial bubbles depress the real economy? This paper addresses these...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
A Bayesian Multi-Factor Model Of Instability In Prices And Quantities Of Risk In U.S. Financial Markets
January 1, 2011, 12:00am PST
This paper analyzes the empirical performance of two alternative ways in which multi-factor models with time-varying risk exposures and premia may be estimated. The first method echoes the seminal...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
The State Of State And Local Government Finance
October 1, 2010, 12:00am PDT
This paper provides an overview of the state-local government sector, a review of the short-run impact of the 2007-09 recession on state and local governments, and a brief summary of key long-run...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Panel Discussion: The Future Of State And Local Government Finance
October 1, 2010, 12:00am PDT
Obsolescence is an extreme condition. According to the online Merriam-Webster Dictionary, something becomes obsolete when it is "No longer in use or no longer useful." By this definition, if the...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Do Macroeconomic Announcements Move Inflation Forecasts?
October 1, 2009, 12:00am PDT
This paper presents an empirical strategy that bridges the gap between event studies and macroeconomic forecasts based on common-factor models. Event studies examine the response of financial...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Does Aggregate Relative Risk Aversion Change Countercyclically Over Time? Evidence From The Stock Market
June 11, 2007, 12:00am PDT
Using a semiparametric estimation technique, the authors show that the stock market risk-return tradeoff and Sharpe ratio increase monotonically with the consumption-wealth ratio (CAY) across...
Provided by Federal Reserve Bank of St. Louis
-
White Papers
Financial Integration, Globalization, Growth And Systemic Real Risk
October 20, 2010, 12:00am PDT
Using data for a large number of advanced and emerging market economies during 1985- 2009, this paper documents the dynamics of financial integration and assesses whether advances in financial...
Provided by Federal Reserve Bank of St. Louis
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