#2000-022A "Exchange Rate Pass-Through in U. S. Manufacturing: Exchange Rate Index Choice and Asymmetry Issues"
by Cletus C. Coughlin, and Patricia S. Pollard


This paper explores two issues that have received limited attention in the exchange rate pass-through literature. First, are the pass-through estimates sensitive to the choice of the exchange rate index? Second, are pass-through estimates asymmetric with respect to the sign of exchange rate changes? More...

#2000-021A "The Role of a CAMEL Downgrade Model in Bank Surveillance"
by R. Alton Gilbert, Andrew P. Meyer, and Mark D. Vaughan


This article examines the potential contribution to bank supervision of a model designed to predict which banks will have their supervisory ratings downgraded in future periods. Bank supervisors rely on various tools of off-site surveillance to track the condition of banks under their jurisdiction between on-site examinations, including econometric models. More...

PUBLISHED: Published as " Can Feedback From the Jumbo CD Market Improve Off-Site Surveillance of Community Banks?" in Kaufman, ed., Prompt Corrective Action Ten Years Later, New York, JAI/Elsevier Press

#2000-020A "Do Depositors Care About Enforcement Actions?"
by R. Alton Gilbert, and Mark D. Vaughan
July 2000

Since 1990, federal bank supervisors have publicly announced formal enforcement actions. This change in regime provides a natural laboratory to test two propositions: (1) claims by economists that putting confidential supervisory information in the public domain will enhance market discipline and (2) claims by bank supervisors that releasing such data will spark runs. More...

PUBLISHED: Journal of Economics and Business, March/June 2001, 53(2/3), pp. 283-311

#2000-019A "New Economy: — New Policy Rules?"
by James Bullard, and Eric Schaling


The U.S. economy appears to have experienced a pronounced shift toward higher productivity over the last five years or so. We wish to understand the implications of such shifts for the structure of optimal monetary policy rules in simple dynamic economies. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, September/October 2001, 83(5), pp. 57-66

#2000-018C "The Temporal Pattern of Trading Rule Returns and Central Bank Intervention: Intervention Does Not Generate Technical"
by Christopher J. Neely

Revised January 2002

This paper characterizes the temporal pattern of trading rule returns and official intervention for Australian, German, Swiss and U.S. data to investigate whether intervention generates technical trading rule profits. High frequency data show that abnormally high trading rule returns precede German, Swiss and U.S. intervention, disproving the hypothesis that intervention generates inefficiencies from which technical rules profit. More...

PUBLISHED: Journal of International Economics, October 2002, 58(1), pp. 211-32

#2000-017C "NAFTA and the Geography of North American Trade"
by Howard J. Wall

Revised 2002

Debates over the desirability a preferential trading area (PTA) begin with the supposition that it will have two effects on the volume of trade: it will increase trade between PTA members, and decrease trade between members and non-members. This paper demonstrates, however, that at the regional level the effects of NAFTA have been much more complicated than what is normally supposed should happen. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, March 01, 2003, 85 (2), pp. 13-26

#2000-016A "Do Real Exchange Rates Have Autoregressive Unit Roots? A test under the Alternative of Long Memory and Breaks"
by Michael J. Dueker, and Apostolos Serletis
July 2000

In this paper, we estimate (by maximum likelihood) the parameters of univariate fractionally integrated real exchange rate time series models, and test for autoregressive unit roots on the alternative of a covariance stationary long-memory process. We use quarterly dollar-based real exchange rates (since 1957) for seventeen OECD countries, and that the finding of unit autoregressive roots does not go away even with this more sophisticated alternative. More...

#2000-015C "Aging, Myopia and the Pay-As-You-Go Public Pension Systems of the G7: A Bright Future?"
by Rowena A. Pecchenino, and Patricia S. Pollard
July 2000
Revised October 2003

The public pension systems of the G7 countries were established in an era when the number of contributors far outweighed the number of beneficiaries. Now, for each beneficiary there are fewer contributors, and this trend is projected to accelerate. More...

#2000-014F "Changing Technology Trends, Transition Dynamics and Growth Accounting"
by Michael R. Pakko
May 2000
Revised November 2005

The technology growth trends that underlie recent productivity patterns are investigated in a framework that incorporates investment-specific technological progress. Structural-break tests and regime-shifting models reveal the presence of a downward shift in TFP growth in the late 1960s and an upward shift in investment-specific technology growth in the mid-1980s. More...

PUBLISHED: Contributions to Macroeconomics, 2005, 5(1), Article 12

#2000-013A "Nominal Facts and The October 1979 Policy Change"
by William T. Gavin, and Finn E. Kydland
May 2000

Gavin and Kydland (1999) calculated the cyclical properties of money and prices for the periods before and after the October 1979 policy change. In this article, we extend that work by adding four more years of data and including a study of nominal interest rates and inflation. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, November/December 2000, 82(6), pp. 39-61