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3,431
Testing for Common Trends
 Journal of the American Statistical Association
, 1988
"... Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) in a multiple time series with and without drift. Both tests involve the roots of the ordinary least squares coefficient matrix ..."
Abstract

Cited by 464 (7 self)
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firstorder autocorrelation matrix, where the correction is essentially a sum of the autocovariance matrices. Previous researchers have found that U.S. postwar interest rates, taken individually, appear to be integrated of order 1. In addition, the theory of the term structure implies that yields
A Simple Estimator of Cointegrating Vectors in Higher Order Cointegrated Systems
 ECONOMETRICA
, 1993
"... Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions. T ..."
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Cited by 524 (3 self)
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. These and previously proposed estimators of cointegrating vectors are used to study longrun U.S. money (Ml) demand. Ml demand is found to be stable over 19001989; the 95 % confidence intervals for the income elasticity and interest rate semielasticity are (.88,1.06) and (.13,.08), respectively. Estimates based
Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory
 Journal of Economics
, 2000
"... We estimate a forwardlooking monetary policy reaction function for the postwar United States economy, before and after Volcker’s appointment as Fed Chairman in 1979. Our results point to substantial differences in the estimated rule across periods. In particular, interest rate policy in the Volcker ..."
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Cited by 1266 (17 self)
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We estimate a forwardlooking monetary policy reaction function for the postwar United States economy, before and after Volcker’s appointment as Fed Chairman in 1979. Our results point to substantial differences in the estimated rule across periods. In particular, interest rate policy
Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a MarkovSwitching Model of Business Cycle
, 1999
"... We hope to be able to provide answers to the following questions: 1) Has there been a structural break in postwar U.S. real GDP growth toward more stabilization? 2) If so, when would it have been? 3) What's the nature of the structural break? For this purpose, we employ a Bayesian approach to d ..."
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Cited by 426 (15 self)
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We hope to be able to provide answers to the following questions: 1) Has there been a structural break in postwar U.S. real GDP growth toward more stabilization? 2) If so, when would it have been? 3) What's the nature of the structural break? For this purpose, we employ a Bayesian approach
The Determinants of Credit Spread Changes.
 Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
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Cited by 422 (2 self)
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spreads, with most of the remainder attributable to a single systematic factor. Similarly, Duffie and Singleton (1999) find that both creditrisk and liquidity factors are necessary to explain innovations in U.S. swap rates. However, when analyzing the residuals they are unable to find explanatory factors
Deciphering the liquidity and credit crunch 20072008
 Journal of Economic Perspectives
, 2009
"... T he financial market turmoil in 2007 and 2008 has led to the most severefinancial crisis since the Great Depression and threatens to have largerepercussions on the real economy. The bursting of the housing bubble forced banks to write down several hundred billion dollars in bad loans caused by mort ..."
Abstract

Cited by 375 (5 self)
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the plethora of market declines, liquidity dryups, defaults, and bailouts that occurred after the crisis broke in summer 2007. To understand these threads, it is useful to recall some key factors leading up to the housing bubble. The U.S. economy was experiencing a low interest rate environment, both because
Money, Real Interest Rates and Output: A Reinterpretation of Postwar U.S
 Data", Econometrica
, 1985
"... Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at ..."
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Cited by 21 (0 self)
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Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at
THE CHANGING BEHAVIOR OF THE TERM STRUCTURE OF POSTWAR U.S. INTEREST RATES ∗
, 2003
"... Using U.S. data from the long end of the maturity spectrum, this paper investigates how the predictive content of the longshort term spread for changes in the shortterm rate has changed substantially over the postwar period and how these changes are related to switches in the level and volatility ..."
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Cited by 1 (0 self)
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Using U.S. data from the long end of the maturity spectrum, this paper investigates how the predictive content of the longshort term spread for changes in the shortterm rate has changed substantially over the postwar period and how these changes are related to switches in the level
It’s Baaack! Japan’s Slump and the Return of the Liquidity Trap
 BPEA
, 1998
"... THE LIQUIDITY TRAPthat awkward condition in which monetary policy loses its grip because the nominal interest rate is essentially zero, in which the quantity of money becomes irrelevant because money and bonds are essentially perfect substitutesplayed a central role in the early years of macroecon ..."
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Cited by 344 (1 self)
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quite natural to assume that money was irrelevant at the margin. After all, at the end of the 1930s interest rates were hard up against the zero constraint; the average rate on U.S. Treasury bills during 1940 was 0.014 percent. Since then, however, the liquidity trap has steadily receded both as a
SWITCHING REGIMES IN THE TERM STRUCTURE OF INTEREST RATES DURING U.S. POSTWAR: A case for the
, 2003
"... Farmer (1991) suggests that in a model in which there are multiple rational expectations (RE) equilibria agents may find it useful to coordinate their expectations in a unique RE equilibrium which is immune to the Lucas Critique. In this paper, we evaluate Lucas proof (LP) equilibrium performance in ..."
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Cited by 1 (1 self)
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in the context of the term structure of interest rates model by using postwar US data. Estimation results show that LP equilibrium exhibits some important features of the data that are not reproduced by the fundamental equilibrium. For instance, the short rate behaves as a random walk in a regime characterized
Results 1  10
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3,431