#2000-004C "A Note On The Expectations Hypothesis At The Founding Of The Fed"
by Clemens J.M. Kool, and Daniel L. Thornton
February 2000
Revised November 2003

One of the most influential tests of the expectations hypothesis is Mankiw and Miron (1986), who found that the spread between the long-term and short-term rates provided predictive power for the short-term rate before the Fed's founding but not after. They suggested that the failure of the expectations hypothesis after the Fed's founding was due to the Fed's practice of smoothing short-term interest rates. More...

PUBLISHED: Journal of Banking and Finance, December 2004, 28(12), pp. 3055-68

#1986-001B "Stock Prices, Inflation and Real Activity: A Test of the Fama Hypothesis, 1920-84"
by R. W. Hafer, and Clemens J.M. Kool


No abstract provided More...

#1985-001A "Comparing Multi-State Kalman Filter and ARIMA Forecasts: An Application to the Money Multiplier"
by R. W. Hafer, Scott E. Hein, and Clemens J.M. Kool


This paper derives one-month ahead forecasts of the money (M I) multiplier using the Multi-State Kalman Filter and Box-Jenkins ARIMA methods. A comparison of the forecasts far the period 1980-82 reveals that the Multi-State Kalman Filter procedure was generally superior to the ARIMA procedure In terms of most summary statistics. The superiority is traced to the turbulent period of 1980-81. More...