# Board of Governors of the Federal Reserve System (U.S.)

# Special Studies Papers

Postal: 20th Street and Constitution Avenue, NW, Washington, DC 20551

Web page: http://www.federalreserve.gov/

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Web page: http://www.federalreserve.gov/

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### 1987

**228 Gender differences in family effects on human capital and earnings: an empirical study of siblings***by*David Neumark**227 Employers' discriminatory behavior and the estimation of wage discrimination***by*David Neumark**226 Duration analysis of birth intervals and underlying fertility behavior***by*David Neumark**225 Finite sample properties of Theil's measure of multicollinearity effect***by*J. S. Mehta & P. A. V. B. Swamy**224 Deviations from random-walk behavior: tests based on the variance-time function***by*Francis X. Diebold**223 Does the business cycle have duration memory?***by*Francis X. Diebold & Glenn D. Rudebusch**222 Financial deregulation, the demand for money, and monetary policy in Australia***by*George S. Tavlas & P. A. V. B. Swamy**221 Asymmetric information, bank lending, and implicit contracts: a stylized model of continuing relationships***by*Steven A. Sharpe**219 The behavior of short-term interest rates in a rational banking model***by*Kenneth J. Kopecky**218 The use of prior information in forecast combination***by*Francis X. Diebold & Peter Pauly**217 Econometric modeling of the demands for the U.S. monetary aggregates: conventional and experimental approaches***by*Richard D. Porter & Paul A. Spindt & David E. Lindsey**216 The forecasting accuracy of auto assembly schedules***by*Spencer D. Krane & David L. Reifschneider**215 On the supply of the demand for money***by*Paul A. Spindt**214 The micromechanics of the federal funds market: implications for day- of- the-week effects in fund rate variability***by*Paul A. Spindt & J. Ronald Hoffmeister**213 Should fixed coefficients be reestimated every period***by*P. A. V. B. Swamy & Garry J. Schinasi**212 The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change***by*Garry J. Schinasi & P. A. V. B. Swamy**211 Further thoughts on testing for casuality with econometric models***by*P. A. V. B. Swamy & Peter von zur Muehlen**210 The FRB monthly forecasting model: its special features and simulation properties (PAPER NEVER PUBLISHED)***by*Carol Corrado & Jane Haltmaier & David L. Reifschneider**208 Minimum variance pooling of forecasts at different levels of aggregation***by*Jeffrey C. Fuhrer & Jane Haltmaier**206 Scoring the leading indicators***by*Francis X. Diebold & Glenn D. Rudebusch**203 Price rigidity in imperfectly competitive markets: a survey of theoretical approaches***by*Steven A. Sharpe

### 1986

**220 Induced innovation and productivity growth: an empirical analysis***by*Jane Haltmaier**209 Reducing uncertainty in current analysis and projections: the estimation of monthly GNP***by*Carol Corrado**205 The dynamics of exchange rate volatility: a multivariate latent factor ARCH model***by*Francis X. Diebold & Marc Nerlove**204 On the information content of consumer survey expectations***by*Jeffrey C. Fuhrer**202 Experience goods, customer loyalty, and sticky prices in a dynamic market***by*Steven A. Sharpe**201 Structural change and the combination of forecasts***by*Francis X. Diebold & Peter Pauly**200 Temporal aggregation of ARCH processes and the distribution of asset returns***by*Francis X. Diebold**199 Internal funds and the investment functions: exploring the theoretical justification of some empirical results***by*Guy V. G. Stevens**198 Calendar adjustment and time series***by*William P. Cleveland**197 Availability of data, sensitivity of calculation and possible improvements in data collection for the MSI, MT and MQ indexes***by*Arthur B. Kennickell & Garland B. DeMarco**196 Forecasting money demand with econometric models***by*P.A.V.B Swamy & A.B. Kennickell & P. von zur Muehlen**195 An evaluation of monetary indexes***by*David E. Lindsey & Paul Spindt**194 Model uncertainty, expectation formation and shock persistence***by*Jeffrey C. Fuhrer**193 A production smoothing model of aggregate inventory behavior with expectation errors generated by model uncertainty***by*Jeffrey C. Fuhrer**192 Information gathering and expectation formation under model uncertainty***by*Jeffrey C. Fuhrer

### 1985

**191 Empirical assessments of the efficient markets hypothesis: an operational-subjective analysis of the variance bounds approach***by*Frank Lad**190 A pair of papers: random coefficients ; Random coefficients ; Productivity analysis of the United States manufacturing using***by*P.A.V.B. Swamy & G.V.L. Narasimham & R.C. Reed**189 Revisions in the monetary services (Divisia) indexes of monetary aggregates***by*Helen T. Farr & Deborah Johnson**188 On a neglected measure of multicollinearity***by*P.A. V.B. Swamy & J.S. Mehta**164 On concurrent seasonal adjustment***by*David A. Pierce & Sandra K. McKenzie

### 1984

**207 Reducing uncertainty in short-term projections: linkage of monthly and quarterly models***by*Carol Corrado & Mark Greene**187 Estimating distributed lag relationships using near-minimax procedures***by*A.K. Kashyap & P.A.V.B. Swamy & J.S. Mehta & R.D. Porter**186 The Federal Reserve's new operating procedures: a post mortem***by*Paul A. Spindt & Vefa Tarhan**185 An examination of distributed lag model coefficients estimated with smoothness priors***by*S.S. Thurman & P.A.V.B. Swamy & J.S. Mehta**184 The transmission of data noise into policy noise in monetary control***by*Agustin Maravall & David A. Pierce**183 Discussion of "Local trend estimation and seasonal adjustment" by P. Kenny and J. Durbin, jointly with S.K. McKenzie***by*David A. Pierce**183 Four discussions***by*David A. Pierce**183 Comments on "Model checking in time series analysis" by P. Newbold***by*David A. Pierce**183 Discussion of "Measurement of linear dependence and feedback" by J. Geweke***by*David A. Pierce**183 Forecasting and seasonal adjustment: retrospect and prospect (panel discussion)***by*David A. Pierce**182 The foundations of econometrics: are there any?***by*P.A.V.B. Swamy & Roger K. Conway & Peter von zur Muehlen

### 1983

**181 Empirical comparisons of credit and monetary aggregates using vector autoregression methods***by*Edward K. Offenbacher & Richard D. Porter**180 On logical validity and econometric modelling: the case of money supply***by*P.A.V.B. Swamy & P. von zur Muehlen & P.A. Tinsley & H.T. Farr**179 Bank reserve adjustment process and the use of reserve carryover as a reserve management tool: a microeconometric approach***by*Paul A. Spindt & Vefa Tarhan**178 The impossibility of causality testing***by*Roger K. Conway & P.A.V.B. Swamy & John F. Yanagida**177 Money is what money does: a revealed production approach to monetary aggregation***by*Paul A. Spindt**176 Notes on the cost of capital***by*William Conrad**166 The Anderson-Rasche report: a review of the review***by*Helen T. Farr & Richard D. Porter

### 1982

**175 Reserve accounting regimes, bank behavior and monetary control: an empirical analysis***by*P.A. Spindt & V. Tarhan**174 Further results on Zellner's minimum expected loss (MELO) and full information maximum likelihood estimators for undersized samples***by*P.A.V.B. Swamy & J.S. Mehta**173 Convergence of the moments of the modified K-class estimators***by*P.A.V.B. Swamy & J.S. Mehta & N.S. Iyengar**172 Monetary policy and the information content of index bond prices***by*John F. Boschen**171 A multiplier model for controlling Divisia monetary aggregates***by*Paul A. Spindt**170 Fixed vs market-determined deposit rates: a new monetary framework***by*Michael G. Hadjimichalakis**169 A measure of the cost of money market volatility associated with money stock targeting***by*P.A. Tinsley & P. von zur Muehlen**169 The short-run volatility of money stock targeting***by*P.A. Tinsley & P. von zur Muehlen & G. Fries**169 Two papers on the volatility of money stock targeting***by*P.A. Tinsley & P. von zur Muehlen & G. Fries**168 A maximum probability approach to short-run policy***by*P. Tinsley & P. von zur Muehlen**167 An autopsy of a conventional macroeconomic relation: the case of money demand***by*P.A.V.B. Swamy & P.A. Tinsley & G.R. Moore**165 Detecting and estimating changing economic relationships: the case of discount window borrowings***by*D.H. Resler & J.R. Barth & P.A.V.B. Swamy & W.D. Davis

### 1981

**184 The Regulation Q phaseout: the effects on monetary aggregates, on interest rates, and on the economy***by*Michael G. Hadjimichalakis**163 Intervention analysis and seasonal adjustment of the monetary aggregates: the 1980 credit controls experience***by*David A. Pierce & William P. Cleveland**162 Modeling time series when calendar effects are present***by*W.P. Cleveland & M.R. Grupe**161 The phaseout of deposit-rate ceilings and the efficacy of monetary policy***by*Garry J. Schinasi**160 Price, wage and inventory dynamics of a non-Walrasian firm***by*Raghbendra Jha & Garry J. Schinasi**159 Price, inventory dynamics of a Phelps-Winter type firm***by*R. Jha & G. J. Schinasi**158 Empirical comparisons of Divisia and simple sum monetary aggregates***by*William A. Barnett & Paul A. Spindt & Edward K. Offenbacher**157 Two papers on money demand***by*Edward K. Offenbacher**157 Discussion of money demand papers at Washington University Workshop***by*Edward K. Offenbacher**157 A comparison of alternative estimators of a standard money demand equation***by*Edward K. Offenbacher**156 Estimating current trend and growth rates in seasonal time series***by*George E.P. Box & David A. Pierce**155 Reserves vs federal funds operating procedures: a general equilibrium analysis***by*Michael G. Hadjimichalakis**155 The effects of NOW accounts on monetary aggregates, interest rates and the economy: some theoretical and early empirical results***by*Michael G. Hadjimichalakis**155 Three essays on monetary control***by*Michael G. Hadjimichalakis**155 Monetary control: the role of the discount rate and other supplemental monetary instruments***by*Michael G. Hadjimichalakis**154 A generalized multicollinearity index for estimation***by*P.A.V.B. Swamy & J.S. Mehta & S.S. Thurman**153 Uncertainty in the money aggregates: sources, measurement and policy effects***by*David A. Pierce & Darrel W. Parke & William P. Cleveland & Agustin Maravall**150 Precision of monetary control and volatility of rates: a comparative analysis of the reserves and the federal funds operating targets***by*Michael G. Hadjimichalakis**147 Expectations of the "myopic perfect foresight" variety in monetary dynamics***by*Michael G. Hadjimichalakis

### 1980

**152 Errors in preliminary money stock data and monetary aggregate targeting***by*Agustin Maravall & David A. Pierce**151 Sources of error in economic time series***by*David A. Pierce**149 A theory of monetary exchange***by*Alfred L. Norman**146 The information content of Divisia monetary quantity indices***by*William A. Barnett & Paul A. Spindt**145 The Rose-Wicksell model: inside money, stability and stabilization policies***by*Michael G. Hadjimichalakis.**144 Disaggregated monetary asset demand systems: estimation and an application of the preference independence transformation***by*Edward K. Offenbacher**143 The rational expectations approach to economic modelling***by*P.A.V.B. Swamy & J.R. Barth & P.A. Tinsley**142 A non-Bayesian method of estimating distributed lag coefficients with smoothness priors***by*S.S. Thurman & P.A.V.B. Swamy**141 The velocity behavior and information content of Divisia monetary aggregates***by*W.A. Barnett & P.A. Spindt**140 Indicator and filter attributes of monetary aggregates: a nit-picking case for disaggregation***by*P.A. Tinsley & P.A. Spindt & M.E. Friar**139 The microfoundations of aggregate supply: wage, price, unemployment dynamics and the natural rate hypothesis***by*Garry J. Schinasi & Raghbendra Jha**138 The cost of adjustment and the microfoundations of the Kaldor nonlinear investment function***by*Garry J. Schinasi

### 1979

**137 Data revisions with moving average seasonal adjustment procedures***by*David A. Pierce**136 Ridge regression estimation of the Rotterdam model***by*P.A.V.B. Swamy & J.S. Mehta**135 Two papers on macroeconomic fluctuations***by*Garry J. Schinasi**135 A note on modelling downturns: a nonlinear model vs. simple linear autoregressive schemes***by*Garry J. Schinasi**135 A nonlinear dynamic model of short run fluctuations***by*Garry J. Schinasi**134 Target controllability***by*A.L. Norman & Woo S. Jung**134 Multiple relative maxima in optimal macroeconomic policy: an illustration***by*A.L. Norman & M.R. Norman & C.J. Palash**134 Three papers on control strategies for macroeconomic models***by*A. L. Norman & M. R. Norman & C. J. Palash & W. S. Jung**134 On the control of structural models***by*Alfred L. Norman**132 A fully nested system of monetary quantity and dual user cost aggregates***by*William A. Barnett**131 Monopolistic competition and sequential search***by*Peter von zur Muehlen**130 On the existence of moments of partially restricted reduced form coefficients***by*P.A.V.B. Swamy & J.S. Mehta**129 Seasonal adjustment of daily data with special reference to the U.S. money supply***by*David A. Pierce & Gerhard Fries**127 Estimation of implicit utility models***by*William A. Barnett & Kenneth J. Kopecky & Ryuzo Sato**126 A comparison of estimators for undersized samples***by*P.A.V.B. Swamy

### 1978

**133 The measurement of money demand***by*P.A. Tinsley & Bonnie Garrett & M.E. Friar**128 A survey of recent developments in seasonal adjustment***by*David A. Pierce**125 Applications of the Kalman filter to revisions in monthly retail sales estimates***by*William Conrad & Carol Corrado**124 A random coefficient approach to seasonal adjustment of economic time series***by*A. Havenner & P.A.V.B. Swamy**123 Unemployment spells and unemployment experience***by*George A. Akerlof & Brian G. M. Main**122 Irving Fisher on his head II: the consequences of the timing of payments for the demand for money***by*George A. Akerlof & Ross D. Milbourne**121 The liquidity structure adjustment decision of large money center banks***by*Paul Spindt & Vefa Tarhan**120 Seasonally adjusted rates of growth versus rates of growth of seasonally adjusted levels: some implications for monetary control***by*Agustin Maravall**119 Short-run forecasting and seasonal adjustment of demand deposits via sectoral disaggregation by types of holders***by*Agustin Maravall**118 A theory of social custom, of which unemployment may be one consequence***by*George A. Akerlof**117 The sensitivity of monetarist conclusions to monetarist assumptions: constant lag versus constant target-threshold monitoring***by*George A. Akerlof & Ross D. Milbourne**116 A theory of involuntary unemployment***by*George Akerlof**115 A theory of competitive equilibrium in stock market economies***by*Sanford Grossman & Oliver Hart**114 Further results on the informational efficiency of competitive stock markets***by*Sanford Grossman**113 The public good is a public good: a theory of corporations***by*Sanford Grossman & Oliver Hart**112 Signal extraction error in nonstationary time series***by*David A. Pierce**111 On estimating the fundamental dynamic equations of structural econometric models***by*David A. Pierce & John M. Mason**110 Indexing the U.S. economy: simulation results with the MPS model***by*Mark J. Flannery & Lewis Johnson**109 Pollak and Wachter on the household production function approach***by*William A. Barnett**108 On filtering auxiliary information in short-run monetary policy***by*John H. Kalchbrenner & Peter A. Tinsley & James Berry & Bonnie Garrett**107 Seasonal adjustment when both deterministic and stochastic seasonality are present***by*David A. Pierce**106 Rational expectations and multiple equilibria: love, faith, money and underemployment***by*Steven C. Salop**105 Coefficient uncertainty and policy aggressiveness: an empirical assessment***by*Roger Craine & Arthur Havenner**104 The implications of removing the demand deposit rate prohibition for monetary control and the conduct of monetary policy***by*David E. Lindsey**103 Determining the monetary instrument: a diagrammatic exposition***by*Stephen F. LeRoy & David E. Lindsey

### 1977

**102 Customer relationships and terms of loans: evidence from a pilot survey***by*Donald D. Hester**101 Optimal monetary policy with uncertainty***by*Roger Craine & Arthur Havenner**100 The optimal monetary instrument: an empirical assessment***by*Roger Craine & Arthur Havenner**99 Dynamic portfolio behavior and market clearing by weekly reporting banks***by*Donald Hester**98 Optimal bands in short-run monetary policy***by*Peter von zur Muehlen**97 Some partial equilibrium of tax reform on corporate policy***by*Peter von zur Muehlen**96 Legal reserve requirements: an instrument of monetary control?***by*Daniel E. Laufenberg**95 A framework for analyzing monopolistically competitive price dispersion***by*Steven C. Salop & Joseph E. Stiglitz**94 Bargains and ripoffs: a model of monopolistically competitive price dispersion***by*Steven C. Salop & Joseph E. Stiglitz**93 R2 measures for time series***by*David A. Pierce**92 On modeling unobserved components with time series***by*Agustin Maravall**91 The use of undersized samples in the estimation of simultaneous equation systems: another look at the theory of estimation***by*P. A. V. B. Swamy**90 The natural rate of unemployment and the reserve army of the unemployed***by*Steven C. Salop**89 Monopolistic competition reconstituted; or, circular fashions in economic thought***by*Steven C. Salop**88 A note on minimum average risk estimators for coefficients in linear models***by*P. A. V. B. Swamy & J. S. Mehta**87 Causality in temporal systems: characterizations and a survey***by*David A. Pierce & Larry D. Haugh

### 1976

**86 A weekly money market model***by*Helen T. Farr & Steven M. Roberts & Thomas D. Thompson**85 Estimation of the permanent and transitory component of an economic variable with an application to M1***by*Agustin Maravall**84 Recursive subaggregation and a generalized hypocycloidal demand model***by*William A. Barnett**83 Optimal control of a macroeconomic model with estimated coefficients***by*Roger Craine & Arthur M. Havenner**82 The restrictiveness of the Rotterdam model: a recalcitrant myth***by*William A. Barnett**81 Anticipating a price freeze or how not to get caught with your prices down***by*Peter von zur Muehlen**80 Self-selection and turnover in the labor market***by*Joanne Salop & Steven C. Salop**79 Public goods, taxation, and the distribution of income over time***by*Winston C. Bush & Robert J. Mackay**78 Linear prediction and estimation methods for regression models with stationary stochastic coefficients***by*P. A. V. B. Swamy & Peter A. Tinsley**77 On the rationality of discontinuous monetary policy***by*Peter von zur Muehlen**76 On the use of optimal control in the design of monetary policy***by*John H. Kalchbrenner & Peter A. Tinsley**75 The noisy monopolist: imperfect information, price dispersion and price discrimination***by*Steven C. Salop**74 Information and monopolistic competition***by*Steven C. Salop**73 Consumer behavior and quantity constraints: some implications for monetary theory***by*Robert J. Mackay & Warren E. Weber

### 1975

**75 Observability, measurement error, and the optimal use of information for monetary policy***by*Stephen F. LeRoy & Roger N. Waud**71 The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model***by*J. S. Mehta & P. A. V. B. Swamy**70 Further evidence on the relative efficiencies of Zellner's seemingly unrelated regressions estimator***by*J. S. Mehta & P. A. V. B. Swamy**69 Relative efficiencies of a competitor of Hoerl and Kennard's ridge regression estimator***by*P. A. V. B. Swamy & J. S. Mehta & Peter Rappoport**68 Minimum average risk estimators for coefficients in linear models***by*P. A. V. B. Swamy & J. S. Mehta**67 Information lags and the interest rate as a proximate monetary policy target***by*Roger N. Waud**66 Efficient use of current information in short-run monetary control***by*Stephen F. LeRoy**65 Multiple time series containing unobserved components***by*Richard D. Porter**64 On Keynesian dynamics***by*Lewis Johnson**63 MINNIE: a small version of the MIT-PENN-SSRC econometric model***by*Douglas Battenberg & Jared J. Enzler & Arthur M. Havenner**62 Consistent estimation of higher order adjustment and expectations models: estimation of rational lags by initial condition parameterization***by*Arthur M. Havenner**61 A re-examination of Keynesian monetary and fiscal orthodoxy in a two- sector Keynesian paradigm***by*Robert J. Mackay & Roger N. Waud**60 Random sets and the space of confidence procedures***by*William A. Barnett**59 On proximate exploitation of intermediate information in macroeconomic forecasting***by*Peter A. Tinsley**58 Lagged versus contemporaneous reserve accounting and short-run fluctuations in deposits***by*Daniel E. Laufenberg**57 Asymmetric policymaker utility functions and optimal policy under uncertainty***by*Roger N. Waud**56 The structural shift in the demand for money***by*Myron B. Slovin & Marie Elizabeth Sushka**55 Relationships--and the lack thereof--between economic time series, with special reference to money, reserve, and interest rates***by*David A. Pierce**54 Money supply control: reserves as the instrument under lagged accounting***by*David A. Pierce**53 Labor supply and the allocation of consumption expenditure***by*William A. Barnett

### 1974

**52 The full-employment equivalent price of leisure***by*William A. Barnett**51 Household consumption allocation and labor supply***by*William A. Barnett**50 Maximum likelihood estimation of nonlinear systems of equations***by*William A. Barnett**49 Inflationary expectations and momentary equilibrium***by*Lewis Johnson**48 On Nerff solutions of macroeconomic tracking problems***by*Peter A. Tinsley & R.Craine & Arthur M. Havenner**47 Linear models and linear filters in the analysis of seasonal variation***by*David A. Pierce & Richard D. Porter**46 Uncertainty, restrictions on capital adjustment, and investment***by*Roger Craine**45 Note on: "The upward bias in the consumer price index due to substitution"***by*John Paulus