the differential regional effects of monetary policy this paper examines whether monetary policy has similar effects across regions in the united states impulse response functions from an estimated structural vector autoregression reveal a core of regions new england mideast plains southeast and the far west that respond to monetary policy changes in ways that closely approximate the u s average response of the three noncore regions one great lakes is noticeably more sensitive to monetary policy changes and two southwest and rocky mountains are found to be much less sensitive a state level version of the model is estimated and used to provide evidence on the channels for monetary policy

world stock markets some random walk tests 1982 world stock markets some random walk tests applied economics vol 14 no 5 pp 515 531

borrowing from the imf the policy implications of recent empirical research abstract at a time when the future of the international monetary fund is being widely debated a number of relevant and important studies have been published which advance our knowledge of the factors which determine borrowing from the fund there has been little attempt however to put this recent empirical research into context or to extract from it appropriate policy conclusions while dissent remains over some issues there is an emerging consensus on others which provides a firm empirical foundation for policy formulation unfortunately the policy stance adopted by the g7 is in many ways at odds with much of the recent empirical research

a note on quarterly returns to investment in ordinary shares 1919 1970 two tests of market efficiency this note analyses the data of foldes and watson 1982a it gives some statistics to test for weak form efficiency fama 1976 for quarterly returns xt for a valueand equally weighted equity portfolio and for 2 per cent consols gross and net of tax all series show a very high degree of randomness which implies a high quality in index construction the second test has returns for shares and consols regressed on inflation for the whole period and for five sub periods to see if they account for inflation foldes and watson 1982b in an excellent and detailed paper have examined uk and us equity portfolio returns over 1926 1970 for normality stationarity seasonal variation autocorrelation and a variance curve the autocorrelation section uses spectral analysis integrated spectra and a firstorder autoregression for the united states to see if the series are random it used only one uk equity portfolio value weighted money terms gross of tax but the spectra of this and value weights real terms and equal weights money terms were similar spectral analysis is the least reliable method of testing for dependence in financial returns given the very small samples used here and the need for covariance stationarity for return data this is discussed in praetz 1979 with the very difficult problem of testing for a flat spectrum the time domain tests using serial correlations and a runs test are much more powerful and easier to understand table 1 comprises 12 quarterly serial correlation coefficients r l r 12 an omnibus test of them chi squared 24 124 r j 2 durbin watson dw statistic dw xt xt 1 2 x2 and z runs a standardized statistic of the number of runs minus its expectation over the standard deviation of runs it has value weighted and equally weighted equity portfolios and 24 per cent consols gross and net of tax for whole period a 1 per cent significance level is used because of the large sample however not one statistic is significant supporting a very high degree of randomness a quarterly seasonal pattern praetz 1975 would have large positive values at r 4 r 8 etc which is clearly not the case here weak form efficiency means that a market cannot be exploited systematically for economic profit which is supported by the very low values of the statistics in table 1 cooper 1982 has studied the uk and other countries for randomness but at daily weekly and monthly intervals so the quarterly data used here are for a much longer period of time the only other index with dividends added over a comparable period is the de zoete equity index which has much more dependence in its returns over time benjamin 1980 the stock returns and inflation are related to market efficiency in an efficient market all relevant public information such as inflation should be reflected in market prices this is the semi strong form of market efficiency

the distributional effects of imf programs a cross country analysis abstract this paper measures the effects of 58 international monetary fund programs during 1975 91 on gini coefficients and income of the poorest quintile these variables are traced over the two to five years following program initiation this research also presents a new technique to control for differences in countries initial economic circumstances the study finds evidence of a significant deterioration in income distribution and the incomes of the poor in fund program countries relative to their nonprogram counterparts when pre program external imbalance is severe in cases where prior external imbalance is not as great countries participating in fund programs actually show relative improvements in distributional indicators

regional heterogeneity and the refinancing channel of monetary policy we argue that the time varying regional distribution of housing equity influences the aggregate consequences of monetary policy through its effects on mortgage refinancing using detailed loan level data we show that regional differences in housing equity affect refinancing and spending responses to interest rate cuts but these effects vary over time with changes in the regional distribution of house price growth we build a heterogeneous household model of refinancing with mortgage borrowers and lenders and use it to explore the monetary policy implications arising from our regional evidence we find that the 2008 equity distribution made spending in depressed regions less responsive to interest rate cuts thus dampening aggregate stimulus and increasing regional consumption inequality whereas the opposite occurred in some earlier recessions taken together our results strongly suggest that monetary policy makers should track the regional distribution of equity over time

the effect of imf programs on economic growth abstract using a bivariate dynamic version of the heckman selection model we estimate the effect of participation in international monetary fund imf programs on economic growth we find evidence that governments enter into agreements with the imf under the pressures of a foreign reserves crisis but they also bring in the fund to shield themselves from the political costs of adjustment policies program participation lowers growth rates for as long as countries remain under a program once countries leave the program they grow faster than if they had remained but not faster than they would have without participation

the effects of monetary policy shocks on inequality abstract this paper provides new evidence of the effect of conventional monetary policy shocks on income inequality we construct a measure of unanticipated changes in policy rates changes in short term interest rates that are orthogonal to unexpected changes in growth and inflation news for a panel of 32 advanced and emerging market countries over the period 1990 2013 our main finding is that contractionary monetary policy shocks increase income inequality on average the effect is asymmetric tightening of policy raises inequality more than easing lowers it and depends on the state of the business cycle we find some evidence that the effect increases with the share of labor income and is mitigated by redistribution policies finally while an unexpected increase in policy rates increases inequality changes in policy rates driven by an increase in growth and inflation are associated with lower inequality

the regional effects of monetary policy a survey of the empirical literature this survey provides an updated review of the empirical literature on the regional effects of monetary policy in economic activity by means of undertaking a threefold perspective first the main methodological dimensions of this literature are examined while pinpointing those modelling or methodological traits that constitute a source of diverging estimates and thereby produce inconclusive evidence secondly the estimates yielded by the literature are summarized by carrying out a cross study analysis of the results for each monetary union by drawing on empirical regularities that are robust across studies the conclusiveness of the results is assessed while those monetary unions for which conclusive evidence is still lacking are also identified lastly the sources of regional heterogeneity identified by these studies are reviewed in order to shed some light on the linkage between monetary policy and territorial heterogeneity as a result of this threefold perspective this survey delivers overall structured conclusions and updated policy relevant lessons moreover various research gaps and emerging topics in the literature are also identified

mortgages and monetary policy mortgages are long term nominal loans under incomplete asset markets monetary policy is shown to affect housing investment and the economy through the cost of new mortgage borrowing and the value of payments on outstanding debt these channels distinct from traditional transmission of monetary policy are evaluated within a general equilibrium model persistent monetary policy shocks resembling the level factor in the nominal yield curve have larger effects than transitory shocks manifesting themselves as long short spread the transmission is stronger under adjustable than fixed rate mortgages higher persistent inflation benefits homeowners under frms but hurts them under arms

the effects of imf programs in the third world debate and evidence from latin america abstract this article reviews the debate about the effects of imf sponsored stabilization programs in the third world after examining recent studies by fund economists results of a new study on a latin american country set are presented in this research imf programs are associated with insignificant changes in the current account significant improvements in the overall balance of payments increases in inflation mixed effects on growth and a strong and consistent pattern of reduction in labor share of income the latter result is incorporated into a distribution oriented critique of fund policy

economic determinants of imf financial arrangements abstract we analyze factors that lead to imf approval of financial arrangements we account for both economic variables that induce a country to seek an imf arrangement demand side factors and macroeconomic policy commitments that the imf considers when deciding whether to approve it supply side factors using a pooled sample of annual observations for 91 developing countries over 1973 1991 we obtain maximum likelihood bivariate and univariate probit estimates of the approval of an imf arrangement for a given country in a given year a number of demand side and supply side variables are statistically significant determinants of the approval of an imf arrangement

stabilization the political economy of overkill abstract this paper considers whether national and international aspects of the imf s stabilization programmes during the 1970s and early 1980s have resulted in a process of overkill or in other words a process of economic retrenchment which went much further than was strictly necessary in terms of what could have been regarded as reasonable objectives in the international context the author describes how the attack on inflation has become an end in itself at the expense of other stated objectives of the imf thus creating a distortion of its priorities the paper discusses errors of diagnosis which have led to this disorientation and explains why deflationary policies should not be regarded as a panacea the paper then considers the nead for equity and efficiency in the distribution of the political and economic costs of adjustment the next section of this paper discusses the assumptions underlying the imf s treatment of fund members and to what extent even handedness in the application of stabilization measures may result in inequality of burden sharing among borrowers problems related to monetarist theories and the consequent policies are examined followed by a consideration of the dangers involved in devising straightforward performance criteria in the form of precise monetary targets that can readily be monitored by the imf this means of evaluating the national adjustment policies success is seen to be unsatisfactory viz the frequency of stand by arrangement breakdowns and mistakes in forecasting the paper concludes that the concept of unilateral adjustment is not an acceptable basis for imf supervision of the international monetary system in addition care should be taken to avoid overkill in determining the degree and character of adjustment needed in stabilization programmes one possible solution to the extra burden imposed on the ldcs might be a liberalization of the compensatory financing facility with the objective of applying the same kind of regime to imports as to exports

imf lending programs participation and impact abstract participation in imf programs has been an option that more and more developing countries have exercised in recent years in this paper a detailed analysis of such participation over the period 1976 1986 provides a number of insights into the motivations for and the macroeconomic effects of such participation participation is driven by a combination of past performance present external influences and sluggish adjustment of developing countries the ability to predict which countries will participate in the imf program is quite good with nearly 90 percent of variation in such choices accounted for by the explanatory variables employed increased participation has as contemporaneous effects a reduction in economic growth and domestic investment and an improvement in the current account lagged effects of increased participation on economic growth and domestic investment are positive and in most estimates quantitatively greater than the contemporaneous effects there is also evidence of significantly lower public investment an increased budget surplus and real depreciation of the exchange rate with increased participation results for domestic credit creation and government current expenditure although they have a sign consistent with more austere policy cannot be shown to be significantly different from those not participating

regional effects of monetary policy in the u s an empirical re assessment abstract this paper provides an empirical re assessment of the regional effects of monetary policy in the u s we use the narrative series of romer and romer 2004 as a measure of monetary policy shocks and impulse response functions estimated directly from a single equation spatial model we find that monetary policy tightening leads to a persistent decrease in regional real personal income and employment with asymmetric effects across regions that are magnified by spatial spillovers the magnitude of the effects depends on the period under analysis and on the direction of the monetary policy shock we also provide evidence of the existence of the interest rate and the housing market channels although there is weak support for the presence of the credit channels at the regional level

structural adjustment policies income distribution and poverty a review of the jamaican experience abstract although jamaica has had structural adjustment and standby loans from the world bank and the international monetary fund imf since 1977 the implementation of typical structural adjustment policies such as trade and financial liberalization privatization and labor market reform has for the most part occurred only since 1989 during 1989 1993 when the jamaican economy underwent the most drastic liberalization policies inequality and poverty declined although there were sharp jumps in both inequality and poverty in 1991 when financial liberalization occurred the overall decline in poverty is attributed to the strong performance of domestic agriculture and the increased inflow of remittances and seems unlikely to be sustained

measuring the diffusion of housing prices across space and over time how fast and how long and to what magnitude does a change in housing prices in one region affect its neighbors in this paper i apply a time series technique for measuring impulse response functions from local projections to a spatial autoregressive model of housing prices for a dynamic panel of california counties the data reveal that the diffusion of regional housing prices across space lasts up to two and half years this result and the econometric techniques employed should be of interest not only to housing and regional economists but to a variety of applied econometricians as well copyright 2009 john wiley sons ltd

the effect of imf programs on labor abstract previous studies find that imf programs have negative effects on income distribution the international monetary fund and latin america economic stabilization and class conflict westview press boulder 1987a world dev 15 1987b 365 world dev 28 2000 1031 no study however has used parametric methods to control for nonrandom selection using a dynamic version of the heckman selection model i study the effect of imf programs on the labor share of income from manufacturing my conclusions are supported by 2 095 observations of 110 countries during 1961 93

same but different testing monetary policy shock measures abstract in this study we determine the reliability and exogeneity of four popular monetary policy shock measures namely the narrative series of romer and romer 2004 the high frequency series of barakchian and crowe 2013 the high frequency series of gertler and karadi 2015 and the hybrid series of miranda agrippino and ricco 2018b to this end we employ the proxy svar model and different empirical diagnostic tools to determine the shock measures information content we find that the measure of miranda agrippino and ricco 2018b combining the insights from the narrative approach and high frequency identification outperforms the other three series