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Dueker, Michael

Overview
Works: 76 works in 162 publications in 1 language and 549 library holdings
Genres: History 
Roles: Author
Classifications: HB1, 338.082
Publication Timeline
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Publications about Michael Dueker
Publications by Michael Dueker
Most widely held works by Michael Dueker
Aggregate price shocks and financial instability : an historical analysis by Michael D Bordo( Book )
15 editions published in 2000 in English and held by 103 libraries worldwide
Abstract: This paper presents empirical evidence on the hypothesis that aggregate price disturbances cause or worsen financial instability. We construct two annual indexes of financial conditions for the United States covering 1790-1997, and estimate the effect of aggregate price shocks on each index using a dynamic ordered probit model. We find that price level shocks contributed to financial instability during 1790-1933, and that inflation rate shocks contributed to financial instability during 1980-97. Our research indicates that the size of the aggregate price shocks needed to substantially alter financial conditions depends on the institutional environment, but that a monetary policy focused on price stability would be conducive to financial stability
Aggregate price shocks and financial stability : the United Kingdom 1796-1999 by Michael D Bordo( Book )
15 editions published in 2001 in English and held by 80 libraries worldwide
Abstract: This paper investigates the impact historically of aggregate price shocks on financial stability in the United Kingdom. We construct an annual index of U.K. financial conditions for 1790-1999 and use a dynamic probit model to estimate the effect of aggregate price shocks on the index. We find that price level shocks contributed significantly to financial instability during 1820-1931, and that inflation rate shocks contributed to instability during 1972-99. Both the nature of aggregate price shocks and their impact depend on the existing monetary and financial regime, but price shocks historically have been a source of financial instability
Inflation, monetary policy and stock market conditions by Michael D Bordo( file )
7 editions published in 2008 in English and held by 39 libraries worldwide
This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We estimate a latent variable VAR to examine how macroeconomic and policy shocks affect the condition of the stock market. Further, we examine the contribution of various shocks to market conditions during particular episodes and find evidence that inflation and interest rate shocks had particularly strong impacts on market conditions in the postwar era. Disinflation shocks promoted market booms and inflation shocks contributed to busts. We conclude that central banks can contribute to financial market stability by minimizing unanticipated changes in inflation
The mechanics of a successful exchange rate peg : lessons for emerging markets by Michael Dueker( Book )
9 editions published in 2001 in English and No Linguistic Content and held by 31 libraries worldwide
This study seeks to determine if there were identifiable contrasts between the Austrian and Thai pegs that would have hinted at problems for Thailand prior to July 1997. The strategy is to first estimate a reaction function of a successful pegging country, i.e. Austria, to help identify salient features that made the Austrian peg credible. Next, the same model is applied to Thailand's monetary policy, an East Asian country that maintained one of the tightest pegs to the US dollar prior to its collapse. One lesson for pegging countries that emerges from the empirical results is that they ought to behave like assiduous inflation targeters even when there is no pressure on the exchange rate. A second lesson is that care is needed in choosing an anchor currency, because the major currencies experience wide swings against one another
Austria's hard currency policy : the mechanics of a successful exchange-rate peg by Michael Dueker( Book )
7 editions published in 2000 in English and held by 26 libraries worldwide
Stochastic capital depreciation and the comovement of hours and productivity by Michael Dueker( Book )
9 editions published in 2002 in English and held by 26 libraries worldwide
"An unresolved question concerning stochastic depreciation shocks is whether they have to be unrealistically large to have any useful role in a dynamic general equilibrium model economy, as Ambler and Paquet (1994) first suggested. We first consider implied depreciation rates from sectoral data from the Bureau of Economic Analysis. These depreciation rates vary across time solely due to compositional changes within each sector. Hence, they tend to understate the range of fluctuation that would hold if the economic shelf life of capital varied endogenously as in Cooley, Greenwood and Yorukoglu (1997). We find, however, that if depreciation rates follow a Markov switching process, a low variance of the depreciation rate can generate the low correlation between hours worked and productivity in a simple model economy. White noise and autoregressive depreciation shocks, in contrast, require a counterfactually large variance in the depreciation rate to reduce the hours-productivity correlation. We also illustrate the level effects implied by nonlinear decision rules in simulations of dynamic general equilibrium models that include Markov switching parameters. Linear decision rules, in contrast, imply certainty equivalence and ignore the aversion that agents have to the skewed shock distributions that characterize Markov switching"--Federal Reserve Bank of St. Louis web site
Fixing Swiss potholes : the importance of improvements by Michael Dueker( Book )
8 editions published between 2001 and 2002 in English and held by 25 libraries worldwide
Sensitivity of Empirical Studies to Alternative Measures of the Monetary Base and Reserves ( file )
1 edition published in 1998 in English and held by 16 libraries worldwide
These data apply both the old and revised measures (see MEASURING THE ADJUSTED MONETARY BASE IN AN ERA OF FINANCIAL CHANGE [ICPSR 1169]) in empirical models to examine whether the revisions cause the conclusions to change
Mechanics of a Successful Exchange-Rate Peg Lessons for Emerging Markets ( file )
1 edition published in 2001 in English and held by 16 libraries worldwide
To the surprise of many market watchers, Thailand's exchange rate peg to the dollar collapsed in July 1997, leading to similar rounds of currency devaluations in other East Asian countries. This study seeks to determine whether there were identifiable contrasts in implementation between Thailand's peg and a perennially successful peg -- Austria's peg to the Deutsche mark -- that would have hinted at problems for Thailand prior to July 1997. The comparison suggests that Thailand was not sufficiently vigilant about keeping its inflation rate low in the early 1990s. By 1995, Thailand faced a situation in which a tight monetary policy involving high domestic interest rates would not always have created disinflationary pressure, as high interest rates also tended to attract greater capital inflow to Thailand. In this environment, Thailand's monetary policy became erratic and failed to maintain the exchange rate peg
Discrete Policy Changes and Empirical Models of the Federal Funds Rate ( file )
1 edition published in 2005 in English and held by 15 libraries worldwide
Empirical models of the federal funds rate almost uniformly use the quarterly or monthly average of the daily rates. One empirical question about the federal funds rate concerns the extent to which monetary policymakers smooth this interest rate. Under the hypothesis of rate smoothing, policymakers set the interest rate this period equal to a weighted average of the rate inherited from the previous quarter and the rate implied by current economic conditions, such as the Taylor rule rate. Perhaps surprisingly, however, little attention has been given to measuring the interest rate inherited from the previous quarter. Previous tests for interest rate smoothing have assumed that the quarterly or monthly average from the previous period is the inherited rate. The authors of this study, in contrast, suggest that the end-of-quarter level of the target federal funds rate is the inherited rate, and empirical tests support this proposition. The authors show that this alternative view of the rate inherited from the past affects empirical results concerning interest rate smoothing, even in relatively rich models that include regime switching.... Cf.: http://dx.doi.org/10.3886/ICPSR01310
Are Federal Funds Rate Changes Consistent with Price Stability? Results From an Indicator Model ( file )
1 edition published in 1998 in English and held by 15 libraries worldwide
The purpose of the article is to explain changes in the federal funds rate and the outcome of an implicit policy of inflation targeting
Discrete Monetary Policy Changes and Changing Inflation Targets in Estimated DSGE Models ( file )
1 edition published in 2005 in English and held by 15 libraries worldwide
Many estimated macroeconomic models assume interest rate smoothing in the monetary policy equation. In practice, monetary policymakers adjust a target level for the federal funds rate by discrete increments. One often-neglected consequence of using a quarterly average of the daily federal funds rate in empirical work is that any change in the target federal funds rate will affect the quarterly average in the current quarter and the subsequent quarter. Despite this clear source of predictable change in the quarterly average of the federal funds rate, the vast bulk of the literature that estimates policy rules ignores information concerning the timing and magnitude of discrete changes to the target federal funds rate. Consequently, policy equations that include interest rate smoothing inadvertently make the strong and unnecessary assumption that the starting point for interest rate smoothing is last quarter's average level of the federal funds rate. The authors consider, within an estimated general equilibrium model, whether policymakers put weight on the end-of-quarter target level of the federal funds rate when choosing a point at which to smooth the interest rate.... Cf.: http://dx.doi.org/10.3886/ICPSR01320
European business cycles new indices and analysis of their synchronicity by Michael Dueker( Book )
5 editions published in 1999 in English and held by 10 libraries worldwide
"This article presents a new type of business cycle index that allows for cycle-to-cycle comparisons of the depth of recessions within a country, cross-country comparisons of business cycle correlation and simple aggregation to arrive at a measure of a European business cycle. The paper examines probit-type specifications of binary recession/expansion variables in a Gibbs-sampling framework, wherein it is possible to incorporate time-series features to the model, such as serial correlation, heteroscedasticity and regime switching. The data-augmentation implied by Gibbs sampling generates posterior distributions for a latent coincident business cycle index and extracts information from indicator variables, such as output, income, sales, and employment. Sub-sample correlations between an aggregated "Europe" index and the national business cycle indices from France, Germany, Italy are consistent with the claim that the European economies are becoming more harmonized over time, but there is no guarantee that this pattern will hold in the future."--FRB of St. Louis web site
Do Inflation Targeters Outperform Non-Targeters? ( file )
1 edition published in 2006 in English and held by 10 libraries worldwide
Ten years of empirical studies of inflation targeting have not uncovered clear evidence that monetary policy that incorporates formal targets imparts better inflation performance. The authors survey the literature and find that the "no difference" verdict concerning inflation targeting has been robust to a wide range of countries and methods of analysis, starting with a study by Dueker and Fischer (1996a). The authors present updated Markov-switching estimates from the original Dueker and Fisher (1996a) article and show that their early conclusions about inflation targeting among early adopters have not been overturned with an additional decade of data. These findings to date do not rule out the possibility, however, that formal inflation targets could prove pivotal if the global environment of disinflation were to reverse course
Maximum-likelihood estimation of fractional cointegration with an application to the short end of the yield curve by Michael Dueker( Book )
3 editions published between 1994 and 1997 in English and held by 6 libraries worldwide
Can Markov switching models predict excess foreign exchange returns? by Michael Dueker( Book )
4 editions published between 2001 and 2002 in English and held by 6 libraries worldwide
"This paper merges the literature on high-frequency technical trading rules with the literature on Markov switching at low frequencies to develop economically useful trading rules. The Markov switching models produce out-of-sample excess returns that exceed those of standard technical trading rules and are fairly stable over time. The model's intrinsic density forecast enables a value-at-risk adjustment to minimize the periods of poor performance. The Markov rules' high excess returns contrast with their mixed performance on statistical tests of forecast accuracy. The investigation fails to identify a clear macroeconomic source for the apparently exploitable trends, although it does highlight the importance of conditioning trading rules on higher moments of the exchange rate distribution"--Federal Reserve Bank of St. Louis web site
Product cycles, innovation and relative wages in european countries by Alison Butler( Book )
2 editions published in 1994 in English and held by 6 libraries worldwide
Multivariate contemporaneous threshold autoregressive models ( Computer File )
3 editions published between 2007 and 2010 in English and held by 4 libraries worldwide
"In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. The model is a multivariate generalization of the contemporaneous threshold autoregressive model introduced by Dueker et al. (2007). A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. The stability and distributional properties of the proposed model are investigated. The C-MSTAR model is also used to examine the relationship between US stock prices and interest rates"--Federal Reserve Bank of St. Louis web site
Forecasting qualitative variables with vector autoregressions a Qual VAR of U.S. recessions by Michael Dueker( Book )
2 editions published in 2001 in English and held by 4 libraries worldwide
A monetary policy feedback rule in Korea's fast-growing economy by Michael Dueker( Book )
2 editions published in 1998 in English and held by 4 libraries worldwide
 
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Alternative Names
Dueker, M.
Dueker, Michael J.
Dueker, Michael John
Languages
English (96)
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