Institution
Federal Reserve System
Other•Washington D.C., District of Columbia, United States•
About: Federal Reserve System is a other organization based out in Washington D.C., District of Columbia, United States. It is known for research contribution in the topics: Monetary policy & Inflation. The organization has 2373 authors who have published 10301 publications receiving 511979 citations.
Topics: Monetary policy, Inflation, Interest rate, Market liquidity, Debt
Papers published on a yearly basis
Papers
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TL;DR: In this paper, the authors provide cumulative distribution functions, densities, and finite sample critical values for the single-equation error correction statistic for testing cointegration, and provide a convenient way for calculating finite-sample critical values at standard levels; and a computer program can be used to calculate both critical values and p-values.
Abstract: This paper provides cumulative distribution functions, densities, and finite sample critical values for the single-equation error correction statistic for testing cointegration. Graphs and response surfaces summarize extensive Monte Carlo simulations and highlight simple dependencies of the statistic's quantiles on the number of variables in the error correction model, the choice of deterministic components, and the estimation sample size. The response surfaces provide a convenient way for calculating finite sample critical values at standard levels; and a computer program, freely available over the Internet, can be used to calculate both critical values and p-values. Three empirical examples illustrate these tools.
219 citations
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TL;DR: The theory of reduction is reviewed, the approach of general-to-specific modeling is summarized, and the econometrics of model selection are discussed, noting that general- to- specific modeling is the practical embodiment of reduction.
Abstract: This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an initially general model that adequately characterizes the empirical evidence within his or her theoretical framework. Central aspects of this approach include the theory of reduction, dynamic specification, model selection procedures, model selection criteria, model comparison, encompassing, computer automation, and empirical implementation. This paper thus reviews the theory of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty-seven articles key to the development of general-to-specific modeling.
219 citations
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TL;DR: The pure sorting model implied by job-search theory has been investigated empirically in this paper, showing that the pure sorting process can be explained by sampling from length-biased populations.
Abstract: I. An introduction to sampling from length-biased populations, 39.—II. The pure sorting model implied by job-search theory, 44.—III. Empirical estimation of the pure sorting model, 48.—IV. Determining the underlying process—a possible experiment, 53.—Appendix, 56.
218 citations
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218 citations
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TL;DR: In this paper, the authors propose an efficient alternative that combines information-theoretic arguments with economic incentives to produce more realistic interbank networks that preserve important characteristics of the original interbank market.
Abstract: The network pattern of financial linkages is important in many areas of banking and finance. Yet, bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. This paper proposes an efficient alternative that combines information-theoretic arguments with economic incentives to produce more realistic interbank networks that preserve important characteristics of the original interbank market. The method loads the most probable links with the largest exposures consistent with the total lending and borrowing of each bank, yielding networks with minimum density. When used in a stress-testing context, the minimum-density solution overestimates contagion, whereas maximum entropy underestimates it. Using the two benchmarks side-by-side defines a useful range that bounds the cost of contagion in the true interbank network when counterparty exposures are unknown.
218 citations
Authors
Showing all 2412 results
Name | H-index | Papers | Citations |
---|---|---|---|
Ross Levine | 122 | 398 | 108067 |
Francis X. Diebold | 110 | 368 | 74723 |
Kenneth Rogoff | 107 | 390 | 75971 |
Allen N. Berger | 106 | 382 | 65596 |
Frederic S. Mishkin | 100 | 372 | 34898 |
Thomas J. Sargent | 96 | 370 | 39224 |
Ben S. Bernanke | 96 | 446 | 76378 |
Stijn Claessens | 96 | 462 | 42743 |
Andrew K. Rose | 88 | 374 | 42605 |
Martin Eichenbaum | 87 | 234 | 37611 |
Lawrence J. Christiano | 85 | 253 | 37734 |
Jie Yang | 78 | 532 | 20004 |
James P. Smith | 78 | 372 | 23013 |
Glenn D. Rudebusch | 73 | 226 | 22035 |
Edward C. Prescott | 72 | 235 | 55508 |