|
Aoki, Kosuke, Proudman, James, and Vlieghe, Gertjan (2002), “Houses as Collateral: Has the Link between House Prices and Consumption in the U.K. Changed?”, Federal Reserve Bank of New York Quarterly Review, 163–177. (2004), “House Prices, Consumption and Monetary Policy: A Financial Accelerator Approach”, Journal of Financial Intermediation, 13, 414–435. Apergis, Nicholas and Miller, Stephen (2006), “Consumption Asymmetry and the Stock Market: Empirical Evidence”, Economics Letters, 93, 337–342. Asea, Patrick and Blomberg, Brock (1998), “Lending Cycles”, Journal of Econometrics, 83(1(2)), 89–128. Atanasova, Christina (2003), “Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach”, Studies in Nonlinear Dynamics and Econometrics, 7(4). Azariadis, Costas and Smith, Bruce (1998), “Financial Intermediation and Regime Switching in Business Cycles”, American Economic Review, 88(3), 516–536. Balke, Nathan (2000), “Credit and Economic Activity: Credit Regimes and Nonlinear Propagation of Shocks”, Review of Economic and Statistics, 82, 344–349. Benigno, Gianluca (2004), “Real Exchange Rate Persistence and Monetary Policy Rules”, Journal of Monetary Economics, 51, 473–502. Benigno, Gianluca and Benigno, Pierpaolo (2008), “Exchange Rate Determination under Interest Rate Rules”, Journal of International Money and Finance, 27, 971–993. Benjamin, J., Chinloy, P., and Jud, G.D. (2004), “Real Estate Versus Financial Wealth in Consumption”, Journal of Real Estate Finance and Economics, 29, 341–354. Bernanke, Ben and Gertler, Mark (1989), “Agency Costs, Net Worth, and Business Fluctuations”, American Economic Review, 79, 14–31. Bernanke, Ben S., Gertler, Mark, and Gilchrist, Simon (1996), “The Financial Accelerator and the Flight to Quality”, Review of Economics and Statistics, 78, 1–15. (2000), The Financial Accelerator in a Quantitative Business Cycle Framework, J. Taylor and M. Woodford, eds., Handbook of Macroeconomics. Amsterdam: North- Holland. Bianchi, Francesco (2009), “Regime Switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics”, Working Paper, Princeton University. Bierens, Herman (1997), “Nonparametric Cointegration Analysis”, Journal of Economet- rics, 77, 379–404. Breunig, Robert, Najarian, Serinah, and Pagan, Adrian (2003), “Specification Testing of Markov Switching Models”, Oxford Bulletin of Economics and Statistics, 65, 703–725. Calvo, Guillermo (1983), “Staggered Prices in a Utility Maximizing Framework”, Journal of Monetary Economics, 12, 383–398. Calza, Alessandro, Monacelli, Tommaso, and Stracca, Livio (2009), “Housing Finance and Monetary Policy”, Mimeo. Calza, Alessandro and Sousa, Jo˜ao (2006), “Output and Inflation Responses to Credit Shocks: Are the Threshold Effects in the Euro Area?”, Studies in Nonlinear Dynamics and Econometrics, 10(2). Campbell, John and Cocco, Jo˜ao (2007), “How Do House Prices Affect Consumption? Evidence From Micro Data”, Journal of Monetary Economics, 54, 591–621. Campbell, John and Mankiw, Gregory (1989), “Consumption, Income, and Interest Rates: Reinterpretation the Time Series Evidence”, NBER macroeconomics annual. Caner, Mehmet and Hansen, Bruce (2004), “Instrumental Estimation of a Threshold Model”, Econometric Theory, 20, 813–843. Carroll, Christopher D. (2004), “Housing Wealth and Consumption Expenditure”, Working Paper, John Hopkins University. Carroll, Christopher D., Misuzu, Otsuka, and Slacalek, Jerka (2006), “How Large Is the Housing Wealth Effect? A New Approach”, Working Paper, Johns Hopkins University. Case, K.E., Quigley, J.M., and Shiller, Robert (2005), “Comparing Wealth Effects: The Stock Market versus the Housing Market”, Advances in Macroeconomics, 5(1). Chen, Shiu-Sheng (2007), “Does Monetary Policy Have Asymmetric Effects on Stock Returns?”, Journal of Money, Credit and Banking, 39, 667–688. Chen, Yu-Chin and Kulthanavit, Pisut (2008), “Adaptive Learning and Monetary Policy in an Open Economy: Lessons from Japan”, Pacific Economics Review, 13, 405–430. Cheung, Yin-Wong, Lai, Kon S., and Bergman, Mike (2004), “Dissecting the PPP puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustments”, Journal of International Economics, 64, 135–150. Clarida, Richard, Gal′ı, Jordi, and Gertler, Mark (1998), “Monetary Policy Rules in Pratice: Some International Evidence”, European Economic Review, 42, 1033–1037. (2000), “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory”, Quarterly Journal of Economics, 115(1), 147–180. Clarida, Richard and Waldman, Daniel (2007), “Is Bad News About Inflation Good News for the Exchange Rate?”, NBER Working Paper, No. 13010. Cordoba, Juan Carlos and Marla, Ripoll (2004), “Collateral Constraints in Monetary Economy”, Journal of European Economic Association, 2(6), 1172–1205. Cover, James (1992), “Asymmetric Effects of Positive and Negative Money-Supply Shocks”, Quarterly Journal of Economics, 107(4), 1261–1282. Craine, Roger (2002), “Exchange Rate Regime Credibility, the Agency Cost of Capital and Devaluation”, Journal of Economic Dynamics and Control, 26, 1431–1456. Davidson, J.E.H., Hendry, D.F., Srba, F., and Yeo, S. (1978), “Econometric Modelling of the Aggregate Time-Series Relationship Between Consumer’s Expenditure and Income in the United Kingdom”, Economic Journal, 88, 661–692. Davig, Troy and Doh, Taeyoung (2008), “Monetary Policy Regime Shifts and Inflation Persistence”, Federal Reserve Bank of Kansas City Economics Review, 08-16. Davig, Troy and Leeper, Eric (2007), “Generalizing Taylor Principle”, American Eco- nomic Review, 97, 607–635. de Andrade, Joaquim Pinto and Divino, J′ose Angelo (2005), “Monetary Policy of the Bank of Japan–Inflation Target versus Exchange Rate Target”, Japan and the World Economy, 17, 189–208. De Long, Bradford J. and Summers, Lawrence H. (1988), “How Does Macroeconomic Policy Matter?”, Brookings Papers on Economic Activity, 2, 433–480. Deaton, Angus (1991), “Saving and Liquidity Constraints”, Econometrica, 59, 1121–1248. Debelle, Guy (2004), “Household Debt and the Macroeconomy”, BIS Quarterly Review, 51–64. Donihue, Michael and Avramenko, Andriy (2007), “Decomposing Consumer Wealth Effects: Evidence on the Role of Real Estate Assets Following the Wealth Cycle of 1990- 2002”, The B.E. Journal of Macroeconomics, 7, 1–31. Edison, Hal′ı, Luangaram, Pongsak, and Miller, Marcus (2000), “Asset Bubbles, Leverage and “Lifeboats”: Elements of East Asian Crisis”, Economic Journal, 110, 309–334. Engel, Charles, Mark, Nelson C., and West, Kenneth (2007), “Exchange Rates Models Are Not as Bad as You Think”, NBER Macroeconomics annual. Engel, Charles and West, Kenneth (2006), “Taylor Rules and the Deutschmark-Dollar Real Exchange Rate”, Journal of Money, Credit and Banking, 38, 1177–1194. Fern′andez-Corugedo, Emilio and Muellbauer, John (2003), “Consumer Credit Conditions in the U.K.”, Working Paper, Bank of England Discussion Paper. Fern′andez-Villaverde, Jes′us and Krueger, Dirk (2006), “Life-Cycle Consumption, Debt Constraints and Durable Goods”, Working Paper, University of Pennsylvania. Fisher, Irving (1933), “The Debt-Deflation Theory of Great Depressions”, Econometrica, 1(4), 337–357. Flavin, Marjorie (1981), “The Adjustment of Consumption to Changing Future Expectations about Future Income”, Journal of Political Economy, 89, 974–1091. Flood, Robert P. and Jeanne, Olivier (2005), “An Interest Rate Defense of a Fixed Ex- change Rate?”, Journal of International Economics, 66, 471–484. Gal′ı, Jordi and Monacelli, Tommaso (2005), “Monetary Policy and Real Exchange Rate Volatility in a Small Open Economy”, Review of Economic Studies, 72, 707–734. Garcia, Ren′e and Schaller, Huntley (2002), “Are the Effects of Monetary Policy Asymmetric?”, Economic Inquiry, 40, 102–119. Gertler, Mark and Gilchrist, Simon (1994), “Monetary Policy, Business Cycles and the Behavior of Small Manufacturing Firms”, Quarterly Journal of Economics, 109, 309– 340. Ghysels, E., Lee, H.S., and Siklos, P. (1993), “On the (Mis)specification of Seasonality and Its Consequence: An Empirical Investigation with U.S. Data”, Empirical Economics, 18, 747–764. Hall, Robert (1978), “Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence”, Journal of Political Economy, 86(6), 971–987. Hansen, Bruce (1996), “Inference When a Nuisance Parameter is Not Identified under the Null Hypothesis”, Econometrica, 64, 413–430. Hurst, Erik and Stafford, Frank (2004), “Home is Where the Equity is: Mortgage Refinancing and Household Consumption”, Journal of Money, Credit and Banking, 36(6), 985–1014. Hylleberg, S., Engel, R.F., Granger, C.W.J., and Yoo, B.S. (1990), “Seasonal Integration and Cointegration”, Journal of Econometrics, 44, 215–238. Iacoviello, Matteo (2004), “Consumption, House Prices and Collateral Constraints: a Structural Econometric Analysis”, Journal of Housing Economics, 13, 305–321. (2005), “House Prices, Borrowing Constraints and Monetary Policy in the Business Cycle”, American Economic Review, 95, 739–764. (2007), “The Credit Channel of Monetary Policy: Evidence from the Housing Market”, Journal of Macroeconomics, 30, 69–96. Iacoviello, Matteo and Minneti, Raoul (2003), “Financial Liberalization and the Sensitivity of House Prices to Monetary Polcy: Theory and Evidence”, The Manchester School, 71(1), 20–34. Iacoviello, Matteo and Neri, Stefano (2008), “Housing Market Spillovers: Evidence from an Estimated DSGE Model”, Working Paper, Boston College. Jappelli, Tullio and Pagano, Marco (1989), “Consumption and Capital Market Imperfections: An International Comparison”, American Economic Review, 79(5), 1088–1105. Ji, Inyeob Phillip and Kim, Jae H. (2009), “Real Interest Rate in the Pacific-Basin Region”, International Review of Economics and Finance, Forthcoming. Johansen, Søren (1991), “Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Models”, Econometrica, 59, 1551–1580. Johansen, Søren and Schaumberg, Ernst (1999), “Seasonal Integration and Cointegration”, Journal of Econometrics, 88, 301–339. Karras, Georgios (1996), “Are the Output Effects of Monetary Policy Asymmetric? Evidence from a Sample of European countries”, Oxford Buelletin of Economics and Statis- tics, 58(2), 267–278. Keeton,William (1999), “Does Faster Loan Growth Lead to Higher Loan Losses?”, Federal Reserve Bank of Kansas Quarterly Review, 2, 57–75. Kim, Chang-Jin (2004), “Markov-Switching Models with Endogenous Explanatory Variables”, Journal of Econometrics, 122, 127–136. Kim, Jaechii, Ronald A., Ratti, and Ni, Shawn (1998), “Monetary Policy and Asymmetric Response in Default Risk”, Economics Letters, 60(1), 83–90. Kiyotaki, Nobuhiro and Moore, John (1997), “Credit Cycles”, Journal of Political Econ- omy, 105(2), 211–248. Kocherlakota, Narayana (2000), “Creating Business Cycles Through Credit Constraints”, Federal Reserve Bank of Minneapolis Quarterly Review, 24, 2–10. Koop, Gary, Pesaran, Hasheem, and Potter, Simon (1996), “Impulse Response Analysis in Nonlinear Multivariate Models”, Journal of Econometrics, 74, 119–148. Lee, H.S. and Siklos, P. (1995), “A Note on the Maximum Likelihood (Seasonal) Cointegration Tests”, Economics Letters, 49, 137–145. Leeper, Eric and Zha, Tao (2003), “Modest Policy Inverventions”, Journal of Monetary Economics, 50, 1673–1700. Leitemo, Kai and S‥oderstr‥om, Ulf (2005), “Simple Monetary Policy Rules and Exchange Rates Uncertainty”, Journal of International Money and Finance, 24, 481–507. Leung, Ka-Yui and Tse, Chung-Yi (2002), “Increasing Wealth and Increasing Instability: The Role of Collateral”, Review of International Economics, 10(1), 45–52. Liu, Zheng, Waggoner, Daniel, and Tao, Zha (2009a), “Asymmetric Expectation Effects of Regime Shifts in Monetary Policy”, Review of Economic Dynamics, 12, 284–303. (2009b), “Has the Federal Reserve’s Inflation Target Changed?”, Mimeo. Lown, C., Morgan, D., and Rohatgi, S. (2000), “Listening to Loan Officers: The Impact of Commercial Credit Standards on Lending and Output”, Federal Reserve Bank of New York Quarterly Review, 6(2), 1–16. Luangaram, Pongsak and Miller, Marcus (2004), “Asset Price Bubble and Financial Forbearance: The Role of Margin Requirement”, Working paper, University of Warwick. Lubik, Thomas and Schorfheide, Frank (2004), “Testing for Indeterminacy: An Application to U.S. Monetary Policy”, American Economic Review, 94, 190–217. (2007), “Do Central Bank Respond to Exchange Rate? A Structural Investigation”, Journal of Monetary Economics, 54, 1069–1087. Lucas, Robert Jr. (1976), “Econometric Policy Evaluation: A Critique”, Carnegie- Rochester Conferece Series on Public Policy, 1, 104–130. Ludvigson, Sydney (2001), “A Model of Time Varying Liquidity Constraints”, Review of Economics and Statistics, 242–256. Luengo-Prado, Mar′ıa Jos′e (2006), “Durables, Nondurables, Down Payments and Consumption Excess”, Journal of Monetary Economics, 53, 1509–1539. Mankiw, Gregory (1982), “Hall’s Consumption Hypothesis and Durable Goods”, Journal of Monetary Economics, 10, 417–425. Mark, Nelson C. (2009), “Changing Monetary Policy Rules, Learning, and Real Exchange Rates Dynamics”, Journal of Money, Credit and Banking, forthcoming. McCallum, Benoit (2004), “On the Relationship Between Determinate and MSV Solutions in Linear RE Models”, NBER Technical Working Paper, No. 297. Miles, D. (1994), Housing, Financial Markets and the Wider Economy, New York and Chichester, John Wiley and Sons. Mishkin, Frederic S. (2007), “Housing and the Monetary Transmission Mechanism”, Board of Governonrs of Federal Revenue System Staff Working Papers No. 2007-40. Molodtsova, Tanya, Nikolsko-Rzhevskyy, Alex, and Papell, David (2008), “Taylor Rules with Real-Time Data: A Tale of Two Countries and One Exchange Rate”, Journal of Monetary Economics, 55(Supplement 1), s63–s79. Molodtsova, Tanya and Papell, David (2009), “Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals”, Journal of International Economics, 77(2), 167– 180. Monacelli, Tommaso (2009), “New Keynesian Models, Durable Goods and Collateral Constraints”, Journal of Monetary Economics, 56(2), 242–254. Muellbauer, John (2008), “Housing, Credit and Consumer Expenditure”, Federal Reserve Bank of Kansas City, Proceedings. Ng, Serena and Perron, Pierre (2001), “LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power”, Econometrica, 69(6), 1519–1554. Oliner, Stephen D. and Rudebusch, Glenn D. (2003), “Is There a Broad Credit Channel for Monetary Policy?”, Federal Reserve Bank of San Francisco Economics Review, 3–13. Peersman, Gert and Smets, Frank (2001), “Are the Effects of Monetary policy in the Euro Area Greater in Recessions than in Booms?”, ECB Working Paper No. 52. Perez, Stephen (2001), “Looking Back at Forward Looking Monetary Policy ”, Journal of Economics and Business, 53(5), 509–521. Phang, Sock-Yong (2004), “House Prices and Aggregate Consumption: Do They Move Together? Evidence from Sigapore”, Journal of Housing Economics, 13, 101–119. Rabault, Guillaume (2002), “When Do Borrowing Constraints Bind? Some New Results On the Income Fluctuation Problem.”, Journal of Economic Dynamics a26(2), 217–245. Rogoff, Kenneth (1996), “The Purchasing Power Parity Puzzle”, Journal of Economic Literatures, 34, 647–668. Sarno, Lucio, Valente, Giorgio, and Wohar, Mark E. (2007), “Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes”, Economic Inquiry, 42, 179–193. Shea, John (1995), “Myopia, Liquidity Constraints and Aggregate Consumption: A Simple Test”, Journal of Money, Credit and Banking, 27, 798–805. Shen, Chung-Hwa and Huang, Tai-Hsin (2002), “Seasonal Cointegration and Crossequation Restrictions on a Forward-Looking Buffer Stock Model of Money Demand”, Journal of Econometrics, 111, 11–46. Shirvani, H. and Wilbratte, B. (2000), “Does Consumption Respond More Strongly to Stock Market Declines than to Increases?”, International Economic Journal, 14, 41–49. Weinberg, John (1995), “Cycles in Lending Standards?”, Federal Reserve Bank of Rich- mond Quarterly Review, 81(3), 1–18. Weise, Charles (1999), “The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach”, Journal of Money, Credit and Banking, 31, 85–108. Wilcox, James (1985), “A Model of the Building Society Sectors”, Working Paper, Bank of England Discussion Paper. Woodford, Michael (2000), “Monetary Policy in a World Without Money”, International Finance, 3, 229–260. Zeldes, Stephen P. (1989), “Consumption and Liquidity Constraints: An Empirical Investigation”, Journal of Political Economy, 97, 305–346.nd Control,
|