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Dueker, Michael J.

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Works: 12 works in 15 publications in 1 language and 74 library holdings
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Publications about Michael J Dueker
Publications by Michael J Dueker
Most widely held works by Michael J Dueker
Discrete Policy Changes and Empirical Models of the Federal Funds Rate by Michael J Dueker( Computer File )
2 editions published in 2005 in No Linguistic Content and English and held by 16 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 by Michael J Dueker( Computer File )
2 editions published in 1998 in No Linguistic Content and English and held by 16 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
Sensitivity of Empirical Studies to Alternative Measures of the Monetary Base and Reserves by Michael J Dueker( Computer File )
2 editions published in 1998 in No Linguistic Content and 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
Discrete Monetary Policy Changes and Changing Inflation Targets in Estimated DSGE Models ( Computer 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
Do Inflation Targeters Outperform Non-Targeters? ( Computer File )
1 edition published in 2006 in English and held by 9 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
Do inflation targets redefine central bank inflation preferences? Results from an indicator model by Michael J Dueker( Article )
1 edition published in 1996 in English and held by 1 library worldwide
State-dependent threshold STAR models ( Computer File )
1 edition published in 2010 in English and held by 1 library worldwide
Thresholds for Prime Rate Changes and Tests for Symmetry by Michael J Dueker( file )
1 edition published in 2000 in No Linguistic Content and held by 0 libraries worldwide
The popular assertion -- that banks raise loan rates more readily than they lower them in opposite circumstances -- returns to the forefront during every period of declining market interest rates. Perhaps this assertion captures attention because since the 1980s, the ubiquity of credit card balances means that consumer loan rates affect more people than ever. In this article, the author presents specific tests for asymmetric behavior in bank loan rates. The results suggest that the bank prime lending rate, in particular, is slower to decrease than increase. The findings also suggest that one has to put the asymmetry in perspective. The prime rate does not remain far above where it would be in the absence of asymmetry. In addition, the asymmetry probably is the market's response to the rise in default and late payment probabilities that occurs during cyclical downturns in the economy
Strengthening the Case for the Yield Curve as a Predictor of United States Recessions by Michael J Dueker( file )
1 edition published in 1998 in No Linguistic Content and held by 0 libraries worldwide
This research considers why the yield curve slope ought to contain information about the future prospects of the economy. Two econometric models are examined that test the predictive power of the yield-curve slope relative to other recession predictors such as stock prices and the Commerce Department's index of leading indicators
Indicators of Monetary Policy by Michael J Dueker( file )
1 edition published in 1996 in No Linguistic Content and held by 0 libraries worldwide
These data and/or computer programs are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the INVESTIGATOR(S) if further information is desired
Monetary Policy Innovation Paradox in VARs A Discrete Explanation by Michael J Dueker( file )
1 edition published in 2002 in No Linguistic Content and held by 0 libraries worldwide
Monetary policy shocks derived from VARs often suggest that monetary policymakers regularly react to an unexpected increase that they induced in the federal funds rate with additional increases. This puzzling pattern can be called the "policy innovation paradox" because there is no obvious explanation for such a pattern. This article shows that the policy innovation paradox is most likely the artifact of failing to account for the discreteness of changes that policymakers make to the target federal funds rate. Misspecified VARs that fail to account for discrete target changes imply the policy innovation paradox, whereas a model that uses information from discrete policy changes does not
Regime-Dependent Recession Forecasts and the 2001 Recession by Michael J Dueker( file )
1 edition published in 2003 in No Linguistic Content and held by 0 libraries worldwide
Business recessions are notoriously hard to predict accurately, hence the quip that economists have predicted eight of the last five recessions. This article derives a six-month-ahead recession signal that reduces the number of false signals outside of recession, without impairing the ability to signal the recessions that occur. In terms of predicting the 1990-1991 and 2001 recessions out of sample, the new recession signal, like other signals, largely misses the 1990-1991 recession with its six-month-ahead forecasts. In contrast, a recession onset in April or May 2001 was predicted six months ahead of the 2001 recession, which is close to the actual turning point of March 2001
 
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English (7)
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