International Finance Discussion Papers

From Board of Governors of the Federal Reserve System (U.S.)
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953: Testing the expectations hypothesis when interest rates are near integrated

Meredith Beechey, Erik Hjalmarsson and Pär Österholm

952: Do fundamentals explain the international impact of U.S. interest rates? evidence at the firm level

John Ammer, Clara Vega and Jon Wongswan

951: Soft information in earnings announcements: news or noise?

Elizabeth Demers and Clara Vega

950: Assessing the potential for further foreign demand for U.S. assets: Has financing U.S. current account deficits made foreign investors overweight in U.S. securities?

Carol C. Bertaut

949: Expected consumption growth from cross-country surveys: implications for assessing international capital markets

Charles Engel and John Rogers

948: Exchange rates and fundamentals: a generalization

James Nason and John Rogers

947: Current account sustainability and relative reliability

Stephanie E. Curcuru, Charles Thomas and Francis Warnock

946: Emerging market business cycles with remittance fluctuations

C. Bora Durdu and Serdar Sayan

945: Escape from New York: the market impact of SEC Rule 12h-6

Nuno Fernandes, Ugur Lel and Darius P. Miller

944: The macroeconomic effect of external pressures on monetary policy

Davide Debortoli and Ricardo Nunes

943: Constructive data mining: modeling Argentine broad money demand

Neil Ericsson and Steven B. Kamin

942: The Asian financial crisis, uphill flow of capital, and global imbalances: evidence from a micro study

Brahima Coulibaly and Jonathan N. Millar

941: Optimal monetary policy with distinct core and headline inflation rates

Martin Bodenstein, Christopher Erceg and Luca Guerrieri

940: Friends or foes? The stock price impact of sovereign wealth fund investments and the price of keeping secrets

Jason Kotter and Ugur Lel

939: Foreign exposure to asset-backed securities of U.S. origin

Daniel Beltran, Laurie Pounder DeMarco and Charles Thomas

938: Political disagreement, lack of commitment and the level of debt

Davide Debortoli and Ricardo Nunes

937: Simple monetary rules under fiscal dominance

Michael Kumhof, Ricardo Nunes and Irina Yakadina

936: An anatomy of credit booms: evidence from macro aggregates and micro data

Enrique Mendoza and Marco Terrones

935: How long can the unsustainable U.S. current account deficit be sustained?

Carol C. Bertaut, Steven B. Kamin and Charles Thomas

934: Trade elasticity of substitution and equilibrium dynamics

Martin Bodenstein

933: Predicting global stock returns

Erik Hjalmarsson

932: Jackknifing stock return predictions

Benjamin Chiquoine and Erik Hjalmarsson

931: Housing, home production, and the equity and value premium puzzles

Morris Davis and Robert Martin

930: Why do U.S. cross-listings matter?

John Ammer, Sara B. Holland, David C. Smith and Francis Warnock

929: Competitive search equilibrium in a DSGE model

David Arseneau and Sanjay Chugh

928: Interpreting long-horizon estimates in predictive regressions

Erik Hjalmarsson

927: Emerging market business cycles revisited: learning about the trend

Emine Boz, Christian Daude and C. Bora Durdu

926: Predicting cycles in economic activity

Jane Haltmaier

925: Bank integration and financial constraints: evidence from U.S. firms

Ricardo Correa

924: A solution to the default risk-business cycle disconnect

Enrique G. Mandoza and Vivian Yue

923: Do differences in financial development explain the global pattern of current account imbalances?

Joseph Gruber and Steven B. Kamin

922: Cross-border bank acquisitions: Is there a performance effect?

Ricardo Correa

921: Cross-border returns differentials

Stephanie E. Curcuru, Tomas Dvorak and Francis Warnock

920: On the application of automatic differentiation to the likelihood function for dynamic general equilibrium models

Houtan Bastani and Luca Guerrieri

919: Optimal fiscal and monetary policy in customer markets

David Arseneau and Sanjay Chugh

918: International competition and inflation: a New Keynesian perspective

Luca Guerrieri, Christopher Gust and David Lopez-Salido

917: Measuring U.S. international relative prices: a WARP view of the world

Sean Fahle, Jaime R. Marquez and Charles Thomas

916: Loose commitment

Davide Debortoli and Ricardo Nunes

915: Testing for cointegration using the Johansen methodology when variables are near-integrated

Erik Hjalmarsson and Pär Österholm

914: The Stambaugh bias in panel predictive regressions

Erik Hjalmarsson

913: India's future: it's about jobs

Geoffrey N. Keim and Beth Anne Wilson

912: Sovereign CDS and bond pricing dynamics in emerging markets: does the cheapest-to-deliver option matter?

John Ammer and Fang Cai

911: Precautionary demand for foreign assets in sudden stop economies: an assessment of the new mercantilism

C. Bora Durdu, Enrique Mendoza and Marco Terrones

910: Monthly estimates of U.S. cross-border securities positions

Carol C. Bertaut and Ralph W. Tryon

909: Quantitative implications of indexed bonds in small open economies

C. Bora Durdu

908: External governance and debt agency costs of family firms

Andrew Ellul, Levent Guntay and Ugur Lel

907: A residual-based cointegration test for near unit root variables

Erik Hjalmarsson and Pär Österholm

906: The transmission of domestic shocks in the open economy

Christopher Erceg, Christopher Gust and David Lopez-Salido

905: Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets

Alain P. Chaboud, Benjamin Chiquoine, Erik Hjalmarsson and Mico Loretan

904: The role of China in Asia: engine, conduit, or steamroller?

Shaghil Ahmed, Brahima Coulibaly, Jane Haltmaier, Ross Knippenberg, Sylvain Leduc, Mario Marazzi and Beth Anne Wilson