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A model for the federal funds rate target

JD Hamilton… - 2000 - nber.org
This paper is a statistical analysis of the manner in which the Federal Reserve determines
the level of the Federal funds rate target, one of the most publicized and anticipated
economic indicators in the financial world. The analysis presents two econometric ...
Cited by 172 - Related articles - Library Search - BL Direct - All 15 versions

Improved testing and specification of smooth transition regression models

[PDF] from uc3m.es
A Escribano… - Nonlinear Time Series Analysis of Economic and …, 1999 - Springer
... Alvaro Escribano Universidad Carlos III de Madrid Oscar Jorda University ofCalifornia. Davis
1. Introduction ... Page 2. 290 ALVARO ESCRIBANO AND OSCAR JORDA (1986) discuss the
possibility of using likelihood ratio test statistics for testing linearity against SETAR models. ...
Cited by 89 - Related articles - Get it from MIT Libraries - All 12 versions

Estimation and inference of impulse responses by local projections

O Jorda - American economic review, 2005 - JSTOR
This paper introduces methods to compute impulse responses without specification and
estimation of the underlying multivariate dynamic system. The central idea consists in
estimating local projections at each period of interest rather than extrapolating into ...
Cited by 79 - Related articles - Get it from MIT Libraries - All 13 versions

The response of Term rates to Fed announcements

[PDF] from narotama.ac.id
S Demiralp… - Journal of Money, Credit and Banking, 2004 - JSTOR
In February 4, 1994 the Federal Reserve began the practice of announcing changes in the
targeted level for the federal funds rate immediately after such decisions were made. This
paper investigates to what extent the policy of" the announcement" affected a key ...
Cited by 74 - Related articles - Get it from MIT Libraries - BL Direct - All 12 versions

The announcement effect: evidence from open market desk data

[PDF] from ucdavis.edu
S Demiralp… - 2001 - papers.ssrn.com
Abstract: This paper investigates the ability of the Federal Reserve to manipulate the
overnight rate without open market operations (which Demiralp and Jorda (2000) term the
announcement effect), using high-frequency, open-market-desk data. Using similar data, ...
Cited by 58 - Related articles - All 31 versions

Measuring systematic monetary policy

[PDF] from duke.edu
K Hoover… - 2000 - papers.ssrn.com
Page 1. Measuring Systematic Monetary Policy Kevin D. Hoover and Oscar Jordá
Department of Economics University of California One Shield Avenue Davis, California
95616-8578 USA 22 November 2000 Hoover: Tel. (530 ...
Cited by 37 - Related articles - BL Direct - All 29 versions

Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models

[PDF] from uc3m.es
Full text - MIT Libraries
A Escribano… - Spanish Economic Review, 2001 - Springer
Page 1. Span. Econ. Rev. 3, 193–209 (2001) c Springer-Verlag 2001 Testing
nonlinearity: Decision rules for selecting between logistic and exponential STAR
models ´Alvaro Escribano1, Oscar Jordá2 1 Department of Economics ...
Cited by 31 - Related articles - All 12 versions

The carry trade and fundamentals: Nothing to fear but FEER itself

[PDF] from ucdavis.edu
Ò Jordà… - 2009 - nber.org
Page 1. NBER WORKING PAPER SERIES THE CARRY TRADE AND
FUNDAMENTALS: NOTHING TO FEAR BUT FEER ITSELF Òscar Jordà Alan M. Taylor
Working Paper 15518 http://www.nber.org/papers/w15518 NATIONAL ...
Cited by 29 - Related articles - Library Search - All 16 versions

The response of term rates to monetary policy uncertainty

[PDF] from ucdavis.edu
Full text - MIT Libraries
O Jorda… - Review of Economic Dynamics, 2003 - Elsevier
This paper shows that greater uncertainty about monetary policy can lead to a decline in
nominal interest rates. In the context of a limited participation model, monetary policy
uncertainty is modeled as a mean preserving spread in the distribution for the money ...
Cited by 23 - Related articles - All 14 versions

[CITATION] Do monetary aggregates help forecast inflation?

G Hale… - FRBSF Economic Letter, 2007 - ideas.repec.org
If you experience problems downloading a file, check if you have the proper application to view
it first. Information about this may be contained in the File-Format links below. In case of further
problems read the IDEAS help page. Note that these files are not on the IDEAS site. ...
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Simultaneous confidence regions for impulse responses

[PDF] from nber.org
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Ò Jordà - The Review of Economics and Statistics, 2009 - MIT Press
Page 1. SIMULTANEOUS CONFIDENCE REGIONS FOR IMPULSE RESPONSES
O` scar Jorda`* Abstract—Inference about an impulse response is a multiple testing
problem with serially correlated coefficient estimates. This ...
Cited by 17 - Related articles - All 6 versions

The transmission of monetary policy via announcement effects

S Demiralp… - UC Davis Working Paper No. 99-06, 1999 - papers.ssrn.com
Abstract: The traditional view of the monetary transmission mechanism rests on the premise
that the Federal Reserve (Fed) has full control over overnight rates via open market
operations. By contrast, this paper tries to establish empirically the Fed's ability to ...
Cited by 16 - Related articles

Path forecast evaluation

[PDF] from eui.eu
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Ò Jordà… - Journal of Applied Econometrics, 2010 - Wiley Online Library
Skip to Main Content. ...
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Financial crises, credit booms, and external imbalances: 140 years of lessons

O Jorda, M Schularick… - IMF Economic Review, 2011 - palgrave-journals.com
Abstract Do external imbalances increase the risk of financial crises? This paper studies the
experience of 14 developed countries over 140 years (1870–2008). It exploits the long-run
data set in a number of different ways. First, the paper applies new statistical tools to ...
Cited by 12 - Related articles - Get it from MIT Libraries - All 5 versions

Random-time aggregation in partial adjustment models

[PDF] from ucdavis.edu
O Jorda - Journal of Business & Economic Statistics, 1999 - JSTOR
How is econometric analysis (of partial adjustment models) affected by the fact that, although
data collection is done at regular, fixed intervals of time, economic decisions are made at
random intervals of time? This article addresses this question by modeling the economic ...
Cited by 10 - Related articles - Get it from MIT Libraries - BL Direct - All 18 versions

The Pavlovian response of term rates to Fed announcements

S Demiralp… - Finance and Economics Discussion Series, 2001 - ideas.repec.org
... James D. Hamilton & Oscar Jorda, 2000. "A Model for the Federal Funds Rate Target," NBER
Working Papers 7847, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions: James D. Hamilton & Oscar Jorda, . ... Kevin D. Hoover & Oscar Jorda, . ...
Cited by 10 - Related articles - Cached - Library Search - BL Direct - All 7 versions

Testing nonlinearity: decision rules for selecting between logistic and exponential star models

[PDF] from uc3m.es
Á Escribano Sáez… - Nº.: UC3M Working Papers. …, 1994 - e-archivo.uc3m.es
This paper analyzes Lagrange Multiplier (LM) type tests of STR and STAR type nonlinearity,
as well as their use to specify the model to be estimated. Building from work by Luukkonen,
Saikkonen and Tedisvirta (Biometrika, 1988) and Terasvirta (JASA, 1994), we propose the ...
Cited by 8 - Related articles - Library Search - All 8 versions

Evaluating the Classification of Economic Activity into Recessions and Expansions

Full text - MIT Libraries
TJ Berge… - American Economic Journal: …, 2011 - ingentaconnect.com
Page 1. 246 American Economic Journal: Macroeconomics 3 (April 2011): 246–277
http://www.aeaweb.org/articles.php?doi=10.1257/mac.3.2.246 The Business Cycle
Dating Committee (BCDC) of the National Bureau of Economic ...
Cited by 10 - Related articles - All 5 versions

Financial crises, credit booms, and external imbalances: 140 years of lessons

[PDF] from fu-berlin.de
Ò Jordà, M Schularick… - 2010 - nber.org
Page 1. NBER WORKING PAPER SERIES FINANCIAL CRISES, CREDIT BOOMS, AND
EXTERNAL IMBALANCES: 140 YEARS OF LESSONS Òscar Jordà Moritz Schularick Alan
M. Taylor Working Paper 16567 http://www.nber.org/papers/w16567 ...
Cited by 7 - Related articles - Library Search - All 12 versions

When credit bites back: leverage, business cycles, and crises

[PDF] from nyu.edu
Ò Jordà, MHP Schularick… - 2011 - nber.org
Page 1. NBER WORKING PAPER SERIES WHEN CREDIT BITES BACK: LEVERAGE,
BUSINESS CYCLES, AND CRISES Òscar Jordà Moritz HP. Schularick Alan M. Taylor
Working Paper 17621 http://www.nber.org/papers/w17621 ...
Cited by 10 - Related articles - All 15 versions

[PDF] Future recession risks

[PDF] from thehardtrade.com
TJ Berge… - FRBSF Economic Letter, 2010 - thehardtrade.com
Page 1. FRBSF ECONOMIC LETTER 2010-24 August 9, 2010 Future Recession Risks
BY TRAVIS J. BERGE AND ÒSCAR JORDÀ An unstable economic environment has
rekindled talk of a double-dip recession. The Conference ...
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[PDF] Diagnosing recessions

[PDF] from frb.org
Ò Jordà - FRBSF Economic Letter, 2010 - sf.frb.org
Page 1. FRBSF ECONOMIC LETTER 2010-05 February 16, 2010 Diagnosing
Recessions BY ÒSCAR JORDÀ The beginnings and ends of recessions are officially
dated about 12 months after the fact. A common rule of thumb ...
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The Harrod-Balassa-Samuelson hypothesis: real exchange rates and their long-run equilibrium

[PDF] from ucdavis.edu
Y Chong, Ò Jordà… - 2010 - nber.org
Page 1. NBER WORKING PAPER SERIES THE HARROD-BALASSA-SAMUELSON HYPOTHESIS:
REAL EXCHANGE RATES AND THEIR LONG-RUN EQUILIBRIUM Yanping Chong Òscar Jordà
Alan M. Taylor Working Paper 15868 http://www.nber.org/papers/w15868 ...
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Performance evaluation of zero net-investment strategies

[PDF] from virginia.edu
Ò Jordà… - 2011 - nber.org
Page 1. NBER WORKING PAPER SERIES PERFORMANCE EVALUATION OF ZERO
NET-INVESTMENT STRATEGIES Òscar Jordà Alan M. Taylor Working Paper 17150
http://www.nber.org/papers/w17150 NATIONAL BUREAU ...
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[PDF] Market-making behavior in futures markets

[PDF] from illinois.edu
D Liu, J Williams… - 2002 - farmdoc.illinois.edu
This paper examines voluntary market-making behavior, namely scalping, in futures
markets. Specifically, this paper studies what factors determine scalpers' entry and exit, and
how scalping affects market liquidity and price volatility. The data used for the analysis are ...
Cited by 3 - Related articles - Library Search - All 12 versions

[CITATION] Forthcoming.“The Announcement Effect: Evidence from Open Market Desk Data.”

S Demiralp… - Federal Reserve Bank of New York Economic Policy …
Cited by 2 - Related articles - Get it from MIT Libraries

A model for the federal funds rate target

O Jorda… - Working Papers, 1999 - ideas.repec.org
This paper is a statistical analysis of the manner in which the Federal Reserve determines
the level of the Federal funds rate target, one of the most publicized and anticipated
economic indicators in the financial world. The analysis presents two econometric ...
Cited by 3 - Related articles - Cached - Get it from MIT Libraries - All 5 versions

[PDF] An Efficient Impulse Response Matching Estimator for Rational Expectations Models

[PDF] from ucdavis.edu
Ò Jordà… - 2005 - econ.ucdavis.edu
Page 1. An Efficient Impulse Response Matching Estimator for Rational Expectations Models
by Òscar Jordà UC Davis Sharon Kozicki Federal Reserve Bank of Kansas City Page 2. An
Efficient Impulse Response Matching Estimator for Rational Expectations Models ...
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Monetary Policy Coordination: A New Empirical Approach

P Bergin… - 2001 - papers.ssrn.com
Abstract: This paper examines the degree of monetary policy coordination between major
industrialized countries from a completely new perspective. The analysis uses a new data
set on central bank issued interest rate targets for 14 OECD countries. The methodology ...
Cited by 2 - Related articles - All 7 versions

[CITATION] VPath Forecast Evaluationu, UC Davis, Department of Economics

O Jordà… - 2007 - Working Paper, Sep07
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[BOOK] Empirical simultaneous confidence regions for path-forecasts

[PDF] from eui.eu
Ò Jordà, M Knüppel, M Marcellino… - 2010 - papers.ssrn.com
Page 1. DISCUSSION PAPER SERIES ABCD www.cepr.org Available online at:
www.cepr.org/pubs/dps/DP7797.asp www.ssrn.com/xxx/xxx/xxx No. 7797 EMPIRICAL
SIMULTANEOUS CONFIDENCE REGIONS FOR PATH-FORECASTS ...
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[CITATION] Women's Labor Market Outcomes 8/00 Regulating Executive Pay: Using the Tax Code to 8/00 Influence CEO Compensation Industry-University …

OJB Weight - A Framework for
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[PDF] Future recession risks: an update

[PDF] from relooney.info
Full text - MIT Libraries
TJ Berge… - FRBSF Economic Letter, 2011 - relooney.info
Page 1. FRBSF ECONOMIC LETTER 2011-35 November 14, 2011 Future Recession
Risks: An Update BY TRAVIS J. BERGE, EARLY ELIAS, AND ÒSCAR JORDÀ In
2010, statistical experiments based on components of the ...
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Projection Minimum Distance: An Estimator for Dynamic Macroeconomic Models

[PDF] from econstor.eu
O Jorda… - 2006 - papers.ssrn.com
Abstract: This paper introduces an estimator for dynamic macroeconomic models where
possibly the dynamics and the variables described therein are incomplete representations of
a larger, unknown macroeconomic system. We call this estimator projection minimum ...
Cited by 1 - Related articles - All 8 versions

Can monetary policy influence long-term interest rates?

Ó Jordá - FRBSF Economic Letter, 2005 - ideas.repec.org
... Author Info. Òscar Jordà. Registered author(s): Oscar Jorda. Abstract. This Economic
Letter argues that the Fed exercises significant influence on long-term rates. The
key to reconciling this position with the empirical evidence ...
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Joint Inference and Counterfactual Experimentation for Impulse Response Functions by Local Projections

O Jorda - Working Papers, 2007 - papers.ssrn.com
Abstract: This paper provides three measures of the uncertainty associated to an impulse
response path:(1) conditional confidence bands which isolate the uncertainty of individual
response coefficients given the temporal path experienced up to that point;(2) response ...
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Currency Carry Trades

[PDF] from virginia.edu
TJ Berge, Ò Jordà… - 2010 - nber.org
Page 1. NBER WORKING PAPER SERIES CURRENCY CARRY TRADES Travis
J. Berge Òscar Jordà Alan M. Taylor Working Paper 16491 http://www.nber.org/papers/
w16491 NATIONAL BUREAU OF ECONOMIC RESEARCH ...
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Testing nonlinearity: decision rules for selecting between logistic and exponential star models

[PDF] from uc3m.es
Á Escribano… - Nº.: UC3M Working Papers. Statistics and …, 1994 - orff.uc3m.es
... December 1994 Calle Madrid, 126 28903 Getafe (Spain) Fax (341) 624-9849 TESTING
NONLINEARITY: DECISION RULES FOR SELECTING BETWEEN LOGISTIC AND
EXPONENTIAL STAR MODELS Alvaro Escribano and Oscar Jorda e Abstract _ ...

DP7009 Path Forecast Evaluation

Ò Jordà… - 2008 - cepr.org
DP7009 Path Forecast Evaluation. Author(s ...
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[PDF] Economic Time

[PDF] from ucdavis.edu
O Jordá - econ.ucdavis.edu
Page 1. 1 Economic Time By Oscar Jordá Introduction Economics is a tricky science.
We have to investigate the underpinnings of economic behavior without the luxury
of controlled experimentation, building upon axioms based ...
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DP8678 When Credit Bites Back: Leverage, Business Cycles, and Crises

Ò Jordà, M Schularick… - 2011 - cepr.org
DP8678 When Credit Bites Back: Leverage, Business Cycles, and Crises. ...
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DP7568 The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself

Ò Jordà… - 2009 - cepr.org
DP7568 The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself. Author(s ...
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Measuring Systematic Monetary Policy

O Jorda… - Working Papers - ideas.repec.org
The 1970s and early 1980s witnessed two main approaches to the analysis of monetary
policy. The first is the early new classical approach of Lucas, based on the assumptions of
rational expectations and market clearing. The second is the a theoretical econometrics of ...
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Measuring monetary policy interdependence

[PDF] from econstor.eu
Ò Jordà… - 2002 - econstor.eu
... Measuring Monetary Policy Interdependence Oscar Jorda University of California, Davis Paul
Bergin University of California, Davis January 01, 2001 Paper # 06-9 This paper measures the
degree of monetary policy interdependence between major industrialized countries from ...

[CITATION] The econometrics of irregularly spaced time-series data in macroeconomic research

O Jorda - 1997 - University of California, San Diego
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The Classification of Economic Activity into Expansions and Recessions

T Berge… - Working Papers, 2011 - ideas.repec.org
The Business Cycle Dating Committee (BCDC) of the National Bureau of Economic
Research provides a historical chronology of business cycle turning points. This paper
investigates three central aspects about this chronology:(1) How skillful is the BCDC in ...
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Empirical Simultaneous Confidence Regions for Path-Forecasts

[PDF] from econstor.eu
M Knüppel, Ò Jordà… - 2010 - econstor.eu
Page 1. econstor www.econstor.eu Der Open-Access-Publikationsserver der ZBW –
Leibniz-Informationszentrum Wirtschaft The Open Access Publication Server of the ZBW –
Leibniz Information Centre for Economics Nutzungsbedingungen ...

The Pavlovian Response of Term Rates to Fed Announcements.

O Jorda… - Feedback, 1842 - papers.ssrn.com
Abstract: The traditional view of the monetary transmission mechanism rests on the premise
that the Federal Reserve (Fed) controls the level of the Federal funds rate via open market
operations and the liquidity effect. By contrast, this paper argues that the Fed also ...
Related articles - All 7 versions

[PDF] Credit: A Starring Role in the Downturn

[PDF] from frbsf.org
Full text - MIT Libraries
Ò JORDÀ - FRBSF Economic Letter, 2012 - frbsf.org
Page 1. FRBSF ECONOMIC LETTER 2012-12 April 16, 2012 Credit: A Starring
Role in the Downturn BY ÒSCAR JORDÀ Credit is a perennial understudy in models
of the economy. But it became the protagonist in the Great ...
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[PDF] Fluctuations in Exchange Rates and the Carry Trade

[PDF] from ucdavis.edu
K Chung… - econ.ucdavis.edu
Page 1. Page 2. 1 Fluctuations in Exchange Rates and the Carry Trade Kyuil Chung* Òscar Jordà**
The views expressed herein are those of the authors and do not necessarily reflect the official
views of the Bank of Korea. When reporting or citing it, the authors' name should ...
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[HTML] A century of financial development in three acts

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Ò Jordà - FRBSF Economic Letter, 2011 - frbsf.org
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The Response of Term Rates to Monetary Policy Uncertainty

K Salyer… - Working Papers - ideas.repec.org
This paper shows that greater uncertainty about monetary policy can lead to a decline in
nominal interest rates. In the context of a limited participation model, monetary policy
uncertainty is modeled as a mean-preserving spread in the distribution for the money ...
Cached - Get it from MIT Libraries - All 6 versions

Book Review: New Introduction to Multiple Time Series Analysis

Full text - MIT Libraries
O Jorda - Econometric Reviews, 2009 - Taylor & Francis
Helmut Lütkepohl's New Introduction of Multiple Time Series Analysis is destined to become
a classic that will sit, dog-eared and profusely highlighted, on the shelves of many
practitioners and students of time series analysis. While very few advanced graduate-level ...
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DP7902 The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium

Y Chong, Ò Jordà… - 2010 - cepr.org
DP7902 The Harrod-Balassa-Samuelson Hypothesis: Real
Exchange Rates and their Long-Run Equilibrium. ...
Cached - All 3 versions

Monetary Policy Coordination: A New Empirical Approach

O Jorda… - Working Papers - ideas.repec.org
This paper examines the degree of monetary policy coordination between major
industrialized countries from a completely new perspective. The analysis uses a new data
set on central bank issued interest rate targets for 14 OECD countries. The methodology ...
Cached - Get it from MIT Libraries - All 6 versions

[HTML] Two-quarter rule not very good Figure 1 The Chicago Fed National Activity Index

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Ò Jordà - FRBSF Economic Letter, 2010 - sf.frb.org
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[PDF] Path Forecasting

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Ò Jordà… - 2007 - econ.ucdavis.edu
Page 1. Path Forecasting Òscar Jordà and Massimiliano Marcellino Department of Economics,
UC Davis ojorda@ucdavis.edu and Università Bocconi, IGIER and CEPR massimiliano.marcellino
@unibocconi.it April 2007 Preliminary and Incomplete - Comments Welcome* ...
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[PDF] Expectations, Learning, and the Effects of Systematic Monetary Policy

[PDF] from ucdavis.edu
KD Hoover… - econ.ucdavis.edu
Page 1. 2/26/2003 Expectations, Learning and Systematic Monetary Policy 1
Expectations, Learning, and the Effects of Systematic Monetary Policy by Kevin D.
Hoover and Òscar Jordà Abstract An important article by Cochrane ...
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[PDF] Discusssion of Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates

[PDF] from ucdavis.edu
Ò Jordà - 2011 - economics.ucdavis.edu
Page 1. Discusssion of Anchoring Countercyclical Capital Buffers: The Role of Credit
Aggregates Òscar Jordà∗ University of California, Davis May 20, 2011 1. Introduction A tree's
risk of catching fire is usually small, except when the forest is ablaze. ...
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[PDF] Variable capital rules in a risky world

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Full text - MIT Libraries
Ò Jordà - FRBSF Economic Letter, 2011 - frbsf.org
Page 1. FRBSF ECONOMIC LETTER 2011-27 August 29, 2011 Variable Capital
Rules in a Risky World BY ÒSCAR JORDÀ The recent financial crisis showed that
a financial institution's equity may be sufficient to absorb losses ...
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[CITATION] Carry Trade

O Jorda - 2010 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update
your bookmarks. Carry Trade. Oscar Jorda (). ...
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[PDF] Section: Evidence of Financial Globalization and Crisis Title: Carry Trade

[PDF] from ucdavis.edu
Ò Jordà - 2010 - economics.ucdavis.edu
Page 1. Working Paper Series Carry Trade Oscar Jorda UC Davis November 08, 2010
Paper # 10-18 To appear in the Encyclopedia of Financial Globalization Department of
Economics One Shields Avenue Davis, CA 95616 (530)752-0741 ...
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[HTML] Updating the recession odds based on the leading indicators index

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Full text - MIT Libraries
TJ Berge… - FRBSF Economic Letter, 2011 - frbsf.org
Why should anyone care about dating expansions and recessions? When millions of
workers are unable to find a job during a period of expansion, it seems little more than an
academic exercise. It would be more compelling to quantify the odds that the rate of GDP ...
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[HTML] Credit and the boom

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Ò Jordà - FRBSF Economic Letter, 2012 - frbsf.org
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DP7797 Empirical Simultaneous Confidence Regions for Path-Forecasts

Ò Jordà, M Knüppel… - 2010 - cepr.org
DP7797 Empirical Simultaneous Confidence Regions for Path-Forecasts. ...
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[PDF] Non-Institutional Market Making Behavior: The Dalian Futures Exchange

[PDF] from ucdavis.edu
O Jorda, H Liu… - Working Papers, 2002 - econ.ucdavis.edu
Abstract This paper contains three useful contributions:(1) it collects a new data-set of
electronic transaction data on soybean futures from the Dalian Futures Exchange in China
that records, not only the usual elements of each transaction (such as price and size) but ...
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ESTIMATION AND INFERENCE BY THE METHOD OF PROJECTION MINIMUM DISTANCE: AN APPLICATION TO THE NEW KEYNESIAN HYBRID PHILLIPS CURVE …

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Ò Jordà… - International Economic Review, 2011 - Wiley Online Library
Skip to Main Content. ...
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The Announcement Effect: Evidence from Open Market Desk Data

O Jorda, S Demiralp, H Liu… - Working Papers - ideas.repec.org
This paper investigates the ability of the Federal Reserve to manipulate the overnight rate
without open market operations (which Demiralp and Jorda (2000) term the announcement
effect), using high-frequency, open-market-desk data. Using similar data, Hamilton (1997) ...
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