#2001-015B "The Use and Abuse of 'Real-Time' Data in Economic Forecasting"
by Evan F. Koenig, Sheila Dolmas, and Jeremy M. Piger
October 2001

We distinguish between three different strategies for estimating forecasting equations with real-time data and argue that the most popular approach should generally be avoided. The point is illustrated with a model that uses current-quarter monthly industrial production, employment, and retail sales data to predict real GDP growth. More...

PUBLISHED: Review of Economics and Statistics, August 2003, 85(3), pp. 618-28

#2001-014A "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations"
by Chang-Jin Kim, and Jeremy M. Piger
October 2001

This paper investigates the nature of U.S. business cycle asymmetry using a dynamic factor model of output, investment, and consumption. We identify a common stochastic trend and common transitory component by embedding the permanent income hypothesis within a simple growth model. More...

PUBLISHED: Journal of Monetary Economics, September 2002, 49(6), pp. 1189-1211

#2001-013A "Markov Regime Switching and Unit Root Tests"
by Charles R. Nelson, Eric Zivot, and Jeremy M. Piger
October 2001

We investigate the power and size performance of unit root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching trend. More...

PUBLISHED: Journal of Business and Economic Statistics, October 2001, 19(4), pp. 404-15

#2001-012B "Dynamic Forecasting of Qualitative Variables: A Qual VAR Model of U.S. Recessions"
by Michael J. Dueker
September 2001
Revised September 2003

This article presents a new Qual VAR model for incorporating information from qualitative and/or discrete variables in vector autoregressions. With a Qual VAR, it is possible to create dynamic forecasts of the qualitative variable using standard VAR projections. Previous forecasting methods for qualitative variables, in contrast, only produce static forecasts. More...

PUBLISHED: Journal of Business and Economic Statistics, January 2005, 23(1), pp. 96-104

#2001-011A "The Value of Inside and Outside Money: Expanded Version"
by James Bullard, and Bruce D. Smith
September 2001

We study dynamic economies in which agents may have incentives to hold both privately-issued (a.k.a. inside) and publicly-issued (a.k.a. outside) circulating liabilities as part of an equilibrium. Our analysis emphasizes spatial separation and limited communication as frictions that motivate monetary exchange. More...

#2001-010E "Inflation Persistence and Flexible Prices"
by Robert Dittmar, William T. Gavin, and Finn E. Kydland
September 2001
Revised April 2004

If the central bank follows an interest rate rule, then inflation is likely to be persistence, even when prices are fully flexible. Any shock, whether persistent or not, may lead to inflation persistence. More...

PUBLISHED: International Economic Review, February 2005, 46(1), pp. 245-61

#2001-009B "Predicting Exchange Rate Volatility: Genetic Programming vs. GARCH and Risk Metrics™"
by Christopher J. Neely, and Paul A. Weller

Revised September 2001

This article investigates the use of genetic programming to forecast out-of-sample daily volatility in the foreign exchange market. Forecasting performance is evaluated relative to GARCH(1,1) and RiskMetrics models for two currencies, DEM and JPY. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, May/June 2002, 84(3), pp. 43-54

#2001-008A "The Remarkable Stability of Monetary Base Velocity in the United States,1919-1999"
by Richard G. Anderson, and Robert H. Rasche
August 2001

This analysis examines the long-run demand for the adjusted monetary base in the United States, 1919-1999. When the "price" of the base is measured by the inverse of the yield on long-term, high-quality corporate bonds and an appropriate functional form is selected, the quantity of base money demanded is found to be a stable function "...of a small number of variables." More...

#2001-007B "The British Beveridge Curve: A Tale of Ten Regions"
by Howard J. Wall, and Gylfi Zoega

Revised March 2002

Recent work has suggested the possibility that the Beveridge curve can shift over the business cycle. This is in contrast with a large body of literature claiming that Beveridge curves have shifted due to structural changes alone. More...

PUBLISHED: Oxford Bulletin of Economics and Statistics, July 2002, 64(3), pp. 257-76

#2001-006A "Trade Policy Opinions at the State Level"
by Cletus C. Coughlin
July 2001

Despite economists' nearly universal support for free trade policies, the general public has serious reservations about free trade. To understand this opposition, one must understand the preferences of individuals as they relate to the policy choices of policymakers. Ideally, one would like to know how these preferences differ across regions because legislators who represent their constituents in the U.S. Congress cast the actual votes on trade policies. More...