Pub Date : 1998-12-01Epub Date: 1999-06-02DOI: 10.1016/S0167-2231(99)00011-1
David B. Gordon , Eric M. Leeper, Tao Zha
U.S. velocity of base money exhibits three distinct trends since 1960. After rising steadily for 20 years, it flattens out in the 1980s and falls substantially in the 1990s. This paper explores whether the observed secular movements in velocity can be accounted for exclusively by endogenous responses to changing expectations about monetary and fiscal policy. We use a model that includes money, nominal bonds, and capital. The model maps policy expectations into portfolio decisions, making equilibrium velocity a function of expected future money-growth, tax rates, and government spending. When expectations are estimated using Bayesian updating, simulated velocity matches the trends in actual velocity surprisingly well.
{"title":"Trends in velocity and policy expectations","authors":"David B. Gordon , Eric M. Leeper, Tao Zha","doi":"10.1016/S0167-2231(99)00011-1","DOIUrl":"https://doi.org/10.1016/S0167-2231(99)00011-1","url":null,"abstract":"<div><p>U.S. velocity of base money exhibits three distinct trends since 1960. After rising steadily for 20 years, it flattens out in the 1980s and falls substantially in the 1990s. This paper explores whether the observed secular movements in velocity can be accounted for exclusively by endogenous responses to changing expectations about monetary and fiscal policy. We use a model that includes money, nominal bonds, and capital. The model maps policy expectations into portfolio decisions, making equilibrium velocity a function of expected future money-growth, tax rates, and government spending. When expectations are estimated using Bayesian updating, simulated velocity matches the trends in actual velocity surprisingly well.</p></div>","PeriodicalId":100218,"journal":{"name":"Carnegie-Rochester Conference Series on Public Policy","volume":"49 ","pages":"Pages 265-304"},"PeriodicalIF":0.0,"publicationDate":"1998-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/S0167-2231(99)00011-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91675263","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1998-12-01DOI: 10.1016/S0167-2231(99)00006-8
John Geweke
{"title":"Some experiments in constructing a hybrid model for macroeconomic analysis: A comment","authors":"John Geweke","doi":"10.1016/S0167-2231(99)00006-8","DOIUrl":"https://doi.org/10.1016/S0167-2231(99)00006-8","url":null,"abstract":"","PeriodicalId":100218,"journal":{"name":"Carnegie-Rochester Conference Series on Public Policy","volume":"64 1","pages":"143-147"},"PeriodicalIF":0.0,"publicationDate":"1998-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75674251","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1998-12-01Epub Date: 1999-06-02DOI: 10.1016/S0167-2231(99)00002-0
James D. Hamilton
This paper argues that the following ingredients are necessary in order to draw causal inference from historical correlations: explication of the real-world mechanism that is supposed to have produced a proposed structural relation; the existence of a natural experiment through which the data were generated; and extensive statistical corroboration of the econometric model. This research strategy is employed in an effort to identify the sources of disturbances to the supply and demand for Federal Reserve deposits. The effect of a shock in the supply of reserves on the federal funds rate depends on the marginal benefits banks perceive to holding excess reserves and the marginal costs of discount window borrowing. We find empirically that a temporary shock to the supply of reserves will only induce banks to borrow at the discount window if it occurs on settlement Wednesday or the last day of the quarter. The structural estimates presented here suggest that a $1 billion loss in reserves will raise the federal funds rate by 6.6 basis points if it occurs on settlement Wednesday or the last day of a quarter and by 2.6 basis points if it occurs on other days. A number of alternative sources of evidence are used to corroborate these structural estimates and to provide independent statistically significant confirmation that a reduction in the supply of reserves clearly raises the overnight interest rate.
{"title":"The supply and demand for Federal Reserve deposits","authors":"James D. Hamilton","doi":"10.1016/S0167-2231(99)00002-0","DOIUrl":"https://doi.org/10.1016/S0167-2231(99)00002-0","url":null,"abstract":"<div><p>This paper argues that the following ingredients are necessary in order to draw causal inference from historical correlations: explication of the real-world mechanism that is supposed to have produced a proposed structural relation; the existence of a natural experiment through which the data were generated; and extensive statistical corroboration of the econometric model. This research strategy is employed in an effort to identify the sources of disturbances to the supply and demand for Federal Reserve deposits. The effect of a shock in the supply of reserves on the federal funds rate depends on the marginal benefits banks perceive to holding excess reserves and the marginal costs of discount window borrowing. We find empirically that a temporary shock to the supply of reserves will only induce banks to borrow at the discount window if it occurs on settlement Wednesday or the last day of the quarter. The structural estimates presented here suggest that a $1 billion loss in reserves will raise the federal funds rate by 6.6 basis points if it occurs on settlement Wednesday or the last day of a quarter and by 2.6 basis points if it occurs on other days. A number of alternative sources of evidence are used to corroborate these structural estimates and to provide independent statistically significant confirmation that a reduction in the supply of reserves clearly raises the overnight interest rate.</p></div>","PeriodicalId":100218,"journal":{"name":"Carnegie-Rochester Conference Series on Public Policy","volume":"49 ","pages":"Pages 1-44"},"PeriodicalIF":0.0,"publicationDate":"1998-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/S0167-2231(99)00002-0","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137398878","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1998-12-01Epub Date: 2003-08-11DOI: 10.1016/S0167-2231(98)90031-8
B.T. McCallum (Editor), C.I. Plosser (Editor)
{"title":"Introduction to the series","authors":"B.T. McCallum (Editor), C.I. Plosser (Editor)","doi":"10.1016/S0167-2231(98)90031-8","DOIUrl":"https://doi.org/10.1016/S0167-2231(98)90031-8","url":null,"abstract":"","PeriodicalId":100218,"journal":{"name":"Carnegie-Rochester Conference Series on Public Policy","volume":"49 ","pages":"Page vii"},"PeriodicalIF":0.0,"publicationDate":"1998-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/S0167-2231(98)90031-8","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"137398879","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1998-12-01DOI: 10.1016/S0167-2231(99)00012-3
Ellen R. McGrattan
{"title":"Trends in velocity and policy expectations: A comment","authors":"Ellen R. McGrattan","doi":"10.1016/S0167-2231(99)00012-3","DOIUrl":"https://doi.org/10.1016/S0167-2231(99)00012-3","url":null,"abstract":"","PeriodicalId":100218,"journal":{"name":"Carnegie-Rochester Conference Series on Public Policy","volume":"17 1","pages":"305-316"},"PeriodicalIF":0.0,"publicationDate":"1998-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86004549","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1998-12-01DOI: 10.1016/s0167-2231(99)00010-x
H. Uhlig
{"title":"The robustness of identified VAR conclusions about money","authors":"H. Uhlig","doi":"10.1016/s0167-2231(99)00010-x","DOIUrl":"https://doi.org/10.1016/s0167-2231(99)00010-x","url":null,"abstract":"","PeriodicalId":100218,"journal":{"name":"Carnegie-Rochester Conference Series on Public Policy","volume":"275 1","pages":"245-263"},"PeriodicalIF":0.0,"publicationDate":"1998-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76511727","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1998-12-01Epub Date: 1999-06-02DOI: 10.1016/S0167-2231(99)00006-8
John Geweke
{"title":"Some experiments in constructing a hybrid model for macroeconomic analysis: A comment","authors":"John Geweke","doi":"10.1016/S0167-2231(99)00006-8","DOIUrl":"https://doi.org/10.1016/S0167-2231(99)00006-8","url":null,"abstract":"","PeriodicalId":100218,"journal":{"name":"Carnegie-Rochester Conference Series on Public Policy","volume":"49 ","pages":"Pages 143-147"},"PeriodicalIF":0.0,"publicationDate":"1998-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/S0167-2231(99)00006-8","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91755022","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1998-12-01Epub Date: 1999-06-02DOI: 10.1016/S0167-2231(99)00004-4
Charles L. Evans, David A. Marshall
This paper explores how exogenous impulses to monetary policy affect the yield curve for nominally risk-free bonds. Three distinct identification strategies imply similar patterns: a contractionary policy shock induces a pronounced positive but short-lived response of short-term interest rates. The response declines monotonically with maturity; long-term rates are virtually unaffected. These responses are unambiguously liquidity effects rather than expected inflation effects. Monetary-policy shocks account for a relatively small fraction of the long-run variance of interest rates. We find that a limited participation model of monetary nonneutrality is broadly consistent with these empirical patterns.
{"title":"Monetary policy and the term structure of nominal interest rates: Evidence and theory","authors":"Charles L. Evans, David A. Marshall","doi":"10.1016/S0167-2231(99)00004-4","DOIUrl":"10.1016/S0167-2231(99)00004-4","url":null,"abstract":"<div><p>This paper explores how exogenous impulses to monetary policy affect the yield curve for nominally risk-free bonds. Three distinct identification strategies imply similar patterns: a contractionary policy shock induces a pronounced positive but short-lived response of short-term interest rates. The response declines monotonically with maturity; long-term rates are virtually unaffected. These responses are unambiguously liquidity effects rather than expected inflation effects. Monetary-policy shocks account for a relatively small fraction of the long-run variance of interest rates. We find that a limited participation model of monetary nonneutrality is broadly consistent with these empirical patterns.</p></div>","PeriodicalId":100218,"journal":{"name":"Carnegie-Rochester Conference Series on Public Policy","volume":"49 ","pages":"Pages 53-111"},"PeriodicalIF":0.0,"publicationDate":"1998-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/S0167-2231(99)00004-4","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89543728","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1998-12-01Epub Date: 1999-06-02DOI: 10.1016/S0167-2231(99)00008-1
Jordi Gali
{"title":"The liquidity effect and long-run neutrality","authors":"Jordi Gali","doi":"10.1016/S0167-2231(99)00008-1","DOIUrl":"https://doi.org/10.1016/S0167-2231(99)00008-1","url":null,"abstract":"","PeriodicalId":100218,"journal":{"name":"Carnegie-Rochester Conference Series on Public Policy","volume":"49 ","pages":"Pages 195-206"},"PeriodicalIF":0.0,"publicationDate":"1998-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/S0167-2231(99)00008-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91675265","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 1998-06-01DOI: 10.1016/S0167-2231(98)00021-9
M. Eichenbaum
{"title":"Costly capital reallocation and the effects of government spending: A comment","authors":"M. Eichenbaum","doi":"10.1016/S0167-2231(98)00021-9","DOIUrl":"https://doi.org/10.1016/S0167-2231(98)00021-9","url":null,"abstract":"","PeriodicalId":100218,"journal":{"name":"Carnegie-Rochester Conference Series on Public Policy","volume":"52 1","pages":"195-209"},"PeriodicalIF":0.0,"publicationDate":"1998-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85671134","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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