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Showing papers in "Journal of Monetary Economics in 1984"


Journal ArticleDOI
TL;DR: In this paper, the authors find that most of the variation in forward rates is variation in premium, and the premium and expected future spot rate components of forward rates are negatively correlated, and they conclude that the forward market is not efficient or rational.

2,217 citations


Journal ArticleDOI
TL;DR: In this paper, the authors used a univariate time series model to forecast the 8-and 14-month inflation rate, and showed that one-month interest rates show little bias and track ex-post 8- and 14month inflation rates better than the survey forecasts.

378 citations


Journal ArticleDOI
TL;DR: In this paper, the authors examined the multi-product nature of the banking firm using the translog cost function, and found that the cost function is characterized by economies of scope, contrary to conventional wisdom, natural monopoly, scale economies and product-specific decreasing costs.

238 citations


Journal ArticleDOI
TL;DR: The authors developed a theoretical framework of analyzing preliminary announcements of economic data and then applied this framework to the money stock and found that preliminary announcements are best characterized as measured with classical errors-in-variables.

207 citations


Journal ArticleDOI
TL;DR: In this paper, it was shown that on days when the Fed announces a money supply greater than had been expected, interest rates rise, and the dollar appreciates, not depreciates.

199 citations


Journal ArticleDOI
TL;DR: In this article, U.S. and Canadian data were used to detect evidence of portfolio balance effect in exchange rate risk premium, and the existence of such an effect was shown to be necessary and sufficient for sterilized intervention to be a genuinely independent tool of monetary policy.

191 citations


Journal ArticleDOI
TL;DR: In this paper, a new explanation of bank behavior during the Free Banking Era, 1837-1863, was proposed and tested using a new and detailed data set developed from state auditor reports, and the falling asset price explanation of free bank failures explains far more failures than does the wildcatting hypothesis.

147 citations


Journal ArticleDOI
TL;DR: In this paper, the authors examined the reactions of spot and expected future exchange rates, foreign interest rates, and long-run domestic forward interest rates to weekly Federal Reserve announcements of M-l, both before and after October 1979.

123 citations


Journal ArticleDOI
TL;DR: In this article, the authors developed an "adverse selection" model of banking in which this rationale is correct and argued that instability in the banking system can arise despite the presence of a "lender of last resort" and despite the absence of any need for "deposit insurance".

122 citations


Journal ArticleDOI
TL;DR: In this article, a number of recent studies have attempted to test propositions concerning long-run economic relationships by means of frequency-domain time-series techniques that concentrate attention on low-frequency comovements of variables.

108 citations


Journal ArticleDOI
TL;DR: In this article, a dynamic rational expectations equilibrium model of inventories of finished goods and employment of labor is proposed, which is based on the view that the primary role of inventory is to act as a buffer stock in the face of fluctuating demand.

Journal ArticleDOI
TL;DR: In this paper, the authors show how the latter result can be derived from a standard monetary-growth model of the Sidrauski-Brock type, which enables a relatively simple interpretation of the apparent paradox, and show that tightening of monetary policy over a specified time interval, in conjunction with a constant deficit, leads to an increase in the rate of inflation not only beyond this interval but even from the outset.

Journal ArticleDOI
TL;DR: In this article, the authors argue that the demand for national currencies depends on existing payment arrangements for imports and exports, and that exchange rate movements depend on these arrangement, as well as various macroeconomic aggregates, like saving and investment.

Journal ArticleDOI
TL;DR: In this article, it has been argued that unanticipated changes in nominal money supply should affect the real demand for money, and empirical results which appear to support this hypothesis have been presented.

Journal ArticleDOI
TL;DR: This article examined the small sample properties of three testing strategies used to analyze the rationality, monetary neutrality and market efficiency hypotheses, and highlighted the extensive bias incurred by drawing inferences from simple unadjusted "two-step" estimates.

Journal ArticleDOI
TL;DR: In this article, a model of long-term contracts is developed in which the choice of the negotiation pattern is endogenized and the degree of persistence and the level of variation in aggregate output and employment, measures which are commonly used in comparing the merits of synchronized versus staggered regimes, are shown to be inappropriate criteria upon which to judge the optimality of the negotiating pattern.

Journal ArticleDOI
TL;DR: In this paper, the authors demonstrate empirically that unit banking restrictions in the United States impose statistically and economically significant deadweight social costs, and that existing unit banks could price their output above marginal social cost, earning excess profits and imposing allocational inefficiencies.

Journal ArticleDOI
TL;DR: In this paper, a general equilibrium example is introduced which does indeed exhibit the same "excess sensitivity" reported in the literature, for precisely this reason, for which a fully specified general equilibrium model is introduced.

Journal ArticleDOI
TL;DR: In this paper, the authors provide an interpretation and some extensions of Lucas and Stokey's results on optimal fiscal policy, which relies heavily on the concept of government cash-flow, which is related but not equal to the budget surplus.

Journal ArticleDOI
TL;DR: This paper examined the dissents of Federal Open Market Committee members regarding the domestic monetary policy directive and found that, on balance, governors appointed by Democratic U.S. presidents dissented significantly on the easier side, while presidents appointed by Republican U. S. presidents were more conservative.

Journal ArticleDOI
TL;DR: This paper presented a model of a multi-sector economy in which each sector is characterized by a different type of wage or price stickness, and showed that demand shocks pose no serious problems for stabilization policy, while supply shocks may force the policymaker to choose between stability in one sector and stability in another.

Journal ArticleDOI
TL;DR: In this article, the authors examined the structure of expectations of the weekly money supply announcement in the late 1970s and found that both strong regressive influences and adaptive learning characterize the data.

Journal ArticleDOI
TL;DR: In this article, the authors developed a model of firm behavior in which both price and output decisions and investment decisions are made, and the model permits an analysis of the dynamics of inventory and capital accumulation on prices and output behavior.

Journal ArticleDOI
TL;DR: In this article, capital market data is used to assess changes in both systematic and non-systematic risk of a portfolio of bank stocks at the time of deposit rate deregulation, leading to the conclusion that bank solvency risk will not be increased by the deregulation of interest rates on deposits.

Journal ArticleDOI
TL;DR: In this article, a dynamic disequilibrium simultaneous-equation econometric model for France and West Germany is set up, estimated and simulated to consider the ways in which disequ equilibrium in the money markets is eliminated.

Journal ArticleDOI
Philip L. Brock1
TL;DR: In this article, the authors model two channels that allow central banks to increase inflation tax revenue by opening the economy and impose prior import deposits to broaden the monetary base in order to use the inflation tax on imports as an alternative to tariff revenue.

Journal ArticleDOI
TL;DR: In this paper, a look at some alternative institutional settings was taken and it was shown that there is an inherent redistribution mechanism in some of them that will influence the world allocation of consumption, and that the description of the international adjustment mechanism under fixed exchange rates given by the monetary approach to the balance-of-payments is valid only under quite restrictive assumptions.

Journal ArticleDOI
TL;DR: In this article, the authors examined the effect of non-borrowed reserve-oriented operating procedures on the prediction and short-run control of the money stock and found that neither a total reserve nor a monetary base operating target would have enhanced the precision of short-term monetary control relative to a non-bank reserve operating target.

Journal ArticleDOI
TL;DR: In this paper, the authors developed a channel through which increases in anticipated real interest rates can be "expansionary" for current aggregate labor demand and current output supply by introducing a user cost of capital utilization which confronts the firm with the intertemporal problem of the optimal choices of capital utilisation and depreciation.

Journal ArticleDOI
TL;DR: This paper showed that the choice of monetary policy regime will affect the variability of output when private agents, in forming their supply decisions, take into account the authority's selection of a policy rule.