Institution
Federal Reserve Bank of St. Louis
Other•St Louis, Missouri, United States•
About: Federal Reserve Bank of St. Louis is a other organization based out in St Louis, Missouri, United States. It is known for research contribution in the topics: Monetary policy & Inflation. The organization has 203 authors who have published 1650 publications receiving 46084 citations.
Topics: Monetary policy, Inflation, Interest rate, Business cycle, Debt
Papers published on a yearly basis
Papers
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TL;DR: In this article, a dynamic optimizing business cycle model whose price-setting behavior satisfies the natural rate hypothesis is presented, and the empirical estimates of the real side of the economy are similar whichever price adjustment specification is chosen.
94 citations
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TL;DR: In this article, the authors find strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size-and value effects, and they find that mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that introduce short-run market timing opportunities for investors.
Abstract: This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size- and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that introduce short-run market timing opportunities for investors. The magnitude of the premia on the size and value portfolios and their hedging properties are found to vary across regimes. Regimes are shown to have a large impact both on the optimal asset allocation--especially under rebalancing--and on investors' utility. Regimes also have a considerable impact on hedging demands, which are positive when the investor starts from more favorable regimes and negative when starting from bad states. Recursive out-of-sample forecasting experiments show that portfolio strategies based on models that account for regimes dominate single-state benchmarks. Copyright The Author 2007. Published by Oxford University Press. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org, Oxford University Press.
93 citations
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01 Jan 2009TL;DR: In this paper, a model where foreign aid bolsters a developing country's proactive counterterrorism efforts against a resident transnational terrorist group is presented, where the donor country allocates resources to terrorism-fighting tied aid, general assistance, and defensive actions at home.
Abstract: This paper presents a model where foreign aid bolsters a developing country's proactive counterterrorism efforts against a resident transnational terrorist group. In stage 1 of the game, the donor country allocates resources to terrorism-fighting tied aid, general assistance, and defensive actions at home. The recipient country then decides its proactive campaign against the common terrorist threat in stage 2, while the terrorists direct their attacks against the donor and recipient countries in stage 3. Terrorists' choices in the final stage provide a solid microfoundation for the terrorists' likelihood of success function. In stage 2, greater tied aid raises the recipient country's proactive measures and regime instability, while increased general aid reduces these proactive efforts and regime instability. In stage 1, a donor's homeland security decisions are interdependent with its aid package to a recipient country, hosting resident transnational terrorists. This interdependency and its implications have gone unrecognized to date. Copyright 2011 Oxford University Press 2010 All rights reserved, Oxford University Press.
92 citations
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TL;DR: In this article, the authors used genetic programming to construct risk-adjusted, ex ante, optimal, trading rules for the S&P500 Index and then characterised the predictive content of these rules.
92 citations
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TL;DR: In this article, a general equilibrium system where agents have heterogeneous beliefs concerning realizations of possible outcomes is studied and the actual outcomes feed back into beliefs thus creating a complicated nonlinear system.
Abstract: We study a general equilibrium system where agents have heterogeneous beliefs concerning realizations of possible outcomes. The actual outcomes feed back into beliefs thus creating a complicated nonlinear system. Beliefs are updated via a genetic algorithm learning process which we interpret as representing communication among agents in the economy. We are able to illustrate a simple principle: genetic algorithms can be implemented so that they represent pure learning effects (i.e., beliefs updating based on realizations of endogenous variables in an environment with heterogeneous beliefs). Agents optimally solve their maximization problem at each date given their beliefs at each date. We report the results of a set of computational experiments in which we find that our population of artificial adaptive agents is usually able to coordinate their beliefs so as to achieve the Pareto superior rational expectations equilibrium of the model.
90 citations
Authors
Showing all 214 results
Name | H-index | Papers | Citations |
---|---|---|---|
William Easterly | 93 | 253 | 49657 |
David K. Levine | 66 | 358 | 22455 |
Lucio Sarno | 65 | 218 | 17418 |
Paul W. Wilson | 53 | 147 | 18562 |
Christopher J. Neely | 47 | 201 | 8438 |
Edward Nelson | 46 | 143 | 7819 |
David C. Wheelock | 40 | 173 | 6125 |
Michele Boldrin | 40 | 154 | 8365 |
Massimo Guidolin | 36 | 230 | 5640 |
Daniel L. Thornton | 36 | 230 | 5064 |
Jeremy M. Piger | 34 | 98 | 5997 |
Howard J. Wall | 34 | 136 | 4488 |
Michael T. Owyang | 34 | 204 | 3890 |
Christopher Otrok | 34 | 98 | 7601 |
Ping Wang | 33 | 241 | 4263 |