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: It is shown that a relatively small number of trials in the inner step can yield accurate estimates, and how a fixed computational budget may be allocated to the inner and the outer step to minimize the mean square error of the resultant estimator is analyzed.
Abstract: Risk measurement for derivative portfolios almost invariably calls for nested simulation. In the outer step one draws realizations of all risk factors up to the horizon, and in the inner step one re-prices each instrument in the portfolio at the horizon conditional on the drawn risk factors. Practitioners may perceive the computational burden of such nested schemes to be unacceptable, and adopt a variety of second-best pricing techniques to avoid the inner simulation. In this paper, we question whether such short cuts are necessary. We show that a relatively small number of trials in the inner step can yield accurate estimates, and analyze how a fixed computational budget may be allocated to the inner and the outer step to minimize the mean square error of the resultant estimator. Finally, we introduce a jackknife procedure for bias reduction and a dynamic allocation scheme for improved efficiency.
123 citations
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TL;DR: In this paper, the impact of exchange rate devaluation on output in 27 countries was investigated and the authors found no evidence that devaluations are contractionary in the long run, and they also found that the effect of devaluation is stronger in developing countries than in industrialised countries.
Abstract: The simultaneous occurrence of devaluation and recession in Mexico in 1995, as well as in the East Asian economies more recently, appears to contradict the conventional view that devaluations are expansionary. Moreover, a sizeable theoretical and empirical literature also argues that, contrary to the predictions of textbook analysis, exchange rate devaluations may be contractionary rather than expansionary. However, prior statistical analyses of the effects of exchange rate devaluation on output have been subject to several limitations: (i) they have failed to distinguish adequately between short and long-run effects; (ii) they have not controlled for the full range of external shocks; and (iii) they have not considered whether the effects of devaluation might differ between different regions of the world. The purpose of this paper is to estimate the impact of devaluation on output for 27 countries while attempting to address these limitations in previous empirical analyses. We find no evidence that devaluations are contractionary in the long run. Additionally, controlling for sources of spurious correlation and reverse causality appears to mute the measured contractionary effect of devaluation in the short run, although this effect remains even after these controls are introduced. Finally, while the literature on contractionary devaluation has focused primarily on developing countries, we found no evidence that this effect is stronger in developing countries than in industrialised countries.
123 citations
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01 Jan 2003123 citations
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TL;DR: This paper found that the long-run effects of inflation on consumption, investment, and output are positive and that great ratios like the consumption and investment rates are not independent of inflation, which they interpret in terms of the Fisher effect.
123 citations
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TL;DR: In this article, the authors measure reputational losses by examining a firm's stock price reaction to the announcement of a major operational loss event, and they find that market values fall one-for-one with losses caused by external events, but fall by over twice the loss percentage in cases involving internal fraud.
Abstract: We measure reputational losses by examining a firm's stock price reaction to the announcement of a major operational loss event. If the firm's market value declines by more than the announced loss amount, this is interpreted as a reputational loss. We find that market values fall one-for-one with losses caused by external events, but fall by over twice the loss percentage in cases involving internal fraud. We find that for firms with weak shareholder rights, there is not a significant difference between internal fraud and non-internal fraud events on market returns; however, for firms with strong shareholder rights, while we do not find evidence that the market reacts more than one-to-one for non-internal fraud announcements, we find strong and robust evidence that the market does fall more than one-to-one for internal fraud announcements. These results are consistent with there being a reputational impact for losses due to internal fraud while externally-caused losses have no reputational impact.
123 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 |