Showing papers by "Federal Reserve System published in 1980"
610 citations
TL;DR: In this paper, a model of exchange rate determination that extends the Dornbusch-Frankel model to allow for large and sustained changes in real exchange rates was developed. But the model was not applied to the current account.
321 citations
TL;DR: It is shown how homogeneous autoregressive-moving average models may be mistakenly specified for series in which periodic properties are present.
Abstract: SUMMARY Some properties of a class of periodic models for characterizing seasonal time series are explored. The relationships between periodic models and multiple autoregressive-moving average models are developed and used to gain insight into the behaviour of periodic models. In particular it is shown how homogeneous autoregressive-moving average models may be mistakenly specified for series in which periodic properties are present. Consequences of such misspecification on forecasting and diagnostic checking are also derived.
214 citations
TL;DR: In this article, a linear regression model is proposed in which the coefficient vector is a weakly stationary multivariate stochastic process and the model provides a convinient representation of a general class of nonstationary processes.
193 citations
TL;DR: In this article, the qualitative dynamics of a discrete time version of a deterministic, continuous time, nonlinear macro model formulated by Haavelmo are fully characterized, and several implications for dynamic economic modelling are discussed.
178 citations
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TL;DR: In this article, the authors studied the optimal timing of real investment under the assumption that investment is irreversible and that new information about returns is arriving over time and showed that investment should be undertaken in this case only when the costs of deferring the project exceed the expected value of information gained by waiting.
Abstract: The optimal timing of real investment is studied under the assumptions that investment is irreversible and that new information about returns is arriving over time. Investment should be undertaken in this case only when the costs of deferring the project exceed the expected value of information gained by waiting. Uncertainty, because it increases the value of waiting for new information, retards the current rate of investment. The nature of investor's optimal reactions to events whose implications are resolved over time is a possible explanation of the instability of aggregate investment over the business cycle.
150 citations
TL;DR: This article developed a characterization of seasonal revisions in terms of stationary and non-stationary linear time series models, assuming that such models generate the series itself and the seasonal and seasonal components.
97 citations
86 citations
TL;DR: Offenbacher and Clements and Nguyen as discussed by the authors argued that the full competitive rate to demand deposits would seem to overstate substantially the non-monetary services of those deposits.
47 citations
TL;DR: In this article, the authors investigated the relationship between foreign direct investment and domestic employment opportunities within the context of a multinational firm which is involved in transferring technology from its domestic to its foreign operations.
35 citations
TL;DR: All global measures do conceal information, and the task of science is to find and devise aggregates which retain mostly essential information and discard mainly irrelevant information.
TL;DR: Signal-extraction methods based on autoregressive integrated moving average models, improvements in X–11, revisions in preliminary seasonal factors, regression and other model-based methods, robust methods, seasonal model identification, aggregation, interrelating seasonally adjusted series, and causal approaches to seasonal adjustment are summarized.
Abstract: In recent years there have been notable advances in the methodology for analyzing seasonal time series. This paper summarizes some recent research on seasonal adjustment problems and procedures. Included are signal-extraction methods based on autoregressive integrated moving average (ARIMA) models, improvements in X–11, revisions in preliminary seasonal factors, regression and other model-based methods, robust methods, seasonal model identification, aggregation, interrelating seasonally adjusted series, and causal approaches to seasonal adjustment.
TL;DR: The non-contradiction principle as mentioned in this paper demands that the restrictions imposed on the reduced form parameters should not contradict the identifying restrictions on the structure of the structure, and the non-Bayesian alternatives to the Swamy-Holmes solution are unsatisfactory when judge by this principle.
TL;DR: In this article, the authors analyzed 184 banking markets to determine whether net market entry over the period 1968-1974 (entry less exist) influenced rivalry (mobility and turnover among top five firms).
Abstract: Economic theory suggests that, ceteris paribus , new entry of firms will increase rivalry in a market. This study analyzes 184 banking markets to determine whether net market entry over the period 1968–1974 (entry less exist) influenced rivalry (mobility and turnover among top five firms). Results of a multivariate regression analysis indicate no relationship between entry and rivalry. Two possible explanations for this somewhat surprising finding are: (1) new entry into banking markets is typically on a relative small scale, and (2) if potential competition had been an effective factor prior to entry in some of the markets where net entry took place, the potential effect of new entry on rivalry may have been very small. This would tend to obscure a systematic relationship between net entry and rivalry.
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27 Oct 1980TL;DR: In this article, a platen adapted to receive a batch printout sheet from a high speed counting and sorting machine, actuating means for imparting a step in movement to the platen, and operating means operable upon certain header cards being fed into the header card feeding compartment for advancing the platter and the batch print out sheet one step to position the next line of print in alignment for view by the operator.
Abstract: This machine includes a header card receiving compartment and a plurality of bill receiving compartments and is adapted to reconcile the notes rejected by a high speed counting and sorting machine. The machine includes reconciling means comprising a platen adapted to receive a batch printout sheet from the high speed counting and sorting machine, actuating means for imparting a step in movement to the platen, and operating means operable upon certain header cards being fed into the header card feeding compartment for advancing the platen and the batch printout sheet one step to position the next line of print in alignment for view by the operator.
TL;DR: In this article, it is shown that under reasonable assumptions in a finite market, Nash competitive behavior is not consistent with price dispersion in equilibrium, and that a price distribution can arise as a mapping from the distribution over search costs among consumers.
TL;DR: In this article, the authors used Bayesian estimators of structural coefficients to form the partially restricted reduced form estimators, which are simple in form and possess finite sampling moments and risk.
TL;DR: In this article, the authors derived the optimal employment rule for a sticky nominal wage contract and examined the properties of this rule under different assumptions about the utility functions of workers and entrepreneurs.
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TL;DR: In this article, an alternative model for aggregation of subjective expectations is proposed, and conditions for identification of the model are more stringent than indicated in earlier literature: if a rational expectations conjecture is simply imposed on a model, conditions for identifying the model were more stringent.
Abstract: In the two decades since Muth (1961) advanced the concept of rational expectations, explorations of this conjecture have permeated all major areas of economic inquiry: This paper suggests that conventional formulations of the rational expectations postulate violate the axiomatic basis of modem statistical theory by confounding ‘objective’ and ‘subjective’ notions of probability. It is logically impossible to test the rationality of subjective expectations by comparison with observable frequencies. If a rational expectations conjecture is simply imposed on a model, conditions for identification of the model are more stringent than indicated in earlier literature. An alternative model for aggregation of subjective expectations is proposed.
TL;DR: In this article, the authors examined shifts in the relative importance of public and private institutions in the residential mortgage markets during the past decade, within the context of Hunt Commission recommendations, and the implications of rapid inflation for the growth of these markets, also are considered.
Abstract: A number of important changes have been made to the mortgage finance system since the Hunt Commission filed its report, and the economic environment has been altered substantially. This paper examines shifts in the relative importance of public and private institutions in the residential mortgage markets during the past decade, within the context of Hunt Commission recommendations. Changes in the cyclical sensitivity of mortgage and housing activity, and the implications of rapid inflation for the growth of these markets, also are considered.
TL;DR: In this article, the Interim Committee of the International Monetary Fund met in Hamburg without making significant progress on the proposal for a substitution account, and the main initiatives toward restructuring the international monetary system thus was postponed if not indefinitely suspended.
Abstract: Recently the Interim Committee of the International Monetary Fund met in Hamburg without making significant progress on the proposal for a substitution account. One of the main initiatives toward restructuring the international monetary system thus was postponed if not indefinitely suspended. What problem was the substitution account designed to solve? Can it be solved without the substitution account?
TL;DR: Theil's input independence transformation is applied to consumer demand for components of newly defined M-3 to interpret an empirical formulation of the basic functions of money as mentioned in this paper, which results largely consist with conventional a priori notions, especially regarding importance of liquidity.
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TL;DR: After rising by more than 13 percent in 1979, the growth rate of the Consumer Price Index (CPI) has further increased in the first months of 1980 as discussed by the authors, reaching a peak of more than 14 percent in 1980.
Abstract: After rising by more than 13 percent in 1979, the growth rate of the Consumer Price Index has further increased in the first months of 1980.
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TL;DR: The German hyperinflation of 1923 is a classic example of what can happen when the monetary authorities let themselves be guided by false and misleading theories as discussed by the authors, and it can be seen as an example of a classic case of the phenomenon.
Abstract: The German hyperinflation of 1923 is a classic example of what can happen when the monetary authorities let themselves be guided by false and misleading theories.
TL;DR: In this paper, the authors show that the stability properties of Christ's model are closely related to the specification of the exogenous fiscal variables, and they explore the implications of models in which alternative policy goals are specified as exogenous.