commodity price responses to monetary policy surprises commodity prices are important both as a source of shocks and for the propagation of shocks originating elsewhere in the economy many vector autoregression var studies estimate a gradual response of commodity prices to monetary policy shocks exploiting information in high frequency financial market data and using the methods of rigobon and sack 2004 i find that a 10 basis point surprise change in interest rates causes commodity prices to fall immediately by about 0 5 this is about two thirds of the estimated response of the s p500 and about five times larger than the response in a var 12 months after the shock metals prices tend to respond more than agricultural commodities the point estimate for oil prices is similar to other commodities but is estimated imprecisely

multivariate count data regression models with individual panel data from an on site sample the purpose of this paper is to consider the problem of controlling for on site sampling in the context of a system or panel of demand equations specifically in the context of recreation demand we are concerned with the situation in which survey respondents are asked to provide information not only about the actual trips to a specific site observed behavior but also their anticipated trips either under current conditions or given price and quality changes a multivariate poisson log normal mpln model and a seemingly unrelated negative binomial sunb model are used to jointly model the observed and contingent behavior data and to correct for on site sampling

models for referendum data the structure of discrete choice models for contingent valuation abstract in 1979 bishop and heberlein introduced an appealing variant of the contingent valuation method which required only yes or no responses hanemann developed a utility theoretic interpretation of the yes no responses which has helped popularize the approach recently cameron has offered another interpretation also utility theoretic which she argues is more general than the hanemann random utility model this paper compares the deterministic models suggested by hanemann and cameron showing them to be dual to each other it shows that correct specification of either function must exclude endogenous variables such as quantity demanded it also demonstrates that using utility theoretic models allows one to compare travel cost models and contigent valuation models on the basis of their implied behavior not on the unobservable surplus or variation measure

willingness to pay for quality improvements comparative statics and interpretation of contingent valuation results this paper extends variation function theory by examining the effects of changes in prices quality and income on willingness to pay for quality change comparative static effects are found for both on site users and nonusers of the resource these results are used to interpret contingent valuation empirical models for example the substitution and complementary relationships between trips to natural resource sites can be identified this paper also suggests tests for comparison of contingent valuation with recreation demand models and other tests of validity

combining intended demand and yes no responses in the estimation of contingent valuation models abstract the contingent valuation method cvm has limitations arising from the lack of a direct link between estimated willingness to pay and consumer behavior regarding the use of the good being evaluated to estimate the total value of a resource under a capacity constraint information on intended use is introduced as an integral part of the cvm this combined approach allows use and non use values to be distinguished for a sample of users and non users the econometric specification is applied to estimate the benefits of reducing water pollution on beaches located near an important metropolitan area of south america

handling unobserved site characteristics in random utility models of recreation demand abstract this paper presents a new random utility model of recreation demand that addresses the unobserved characteristics of recreation sites most random utility recreation demand models implicitly assume that all relevant site characteristics are observed by the researcher or allow for the possibility of unobserved characteristics in a restrictive manner unlike traditional approaches the proposed model avoids the bias unobserved site characteristics can cause in welfare estimates and the travel cost parameter monte carlo simulations motivate the proposed model by showing that it provides more efficient parameter estimates in contrast existing methods yield less efficient estimates and biased standard errors that overstate precision an empirical application to recreational fishing in wisconsin illustrates the potential importance of this modeling innovation in this application controlling for unobserved characteristics is important for a range of model specifications

public goods as characteristics of non market commodities in benefit cost analysis it is useful to model public goods as the quality of privately consumed nonmarketed goods this strategy is often pursued in valuing environmental amenities the theoretical foundations of this model have not been fully developed in this paper comparative statics results are derived for quality changes of nonmarket goods the results reveal some common misconceptions about welfare measurement of quality changes conditions are presented for a quality induced change in the marshallian consumer surplus of the nonmarket good to approximate the true compensated welfare measure the conditions are equally necessary for obtaining exact welfare measures copyright 1993 by royal economic society

monetary policy surprises and the expectations hypothesis at the short end of the yield curve abstract we test the expectations hypothesis by analyzing changes in three month t bill rates tb3 after fomc meetings by estimating the revisions in expectations of future overnight rates we find a one to one relationship between changes in tb3 and path revisions

measuring the liquidity effect this paper measures the effect on the federal funds rate of an open market operation the paper deals with simultaneous equations bias by developing a proxy for the errors the federal reserve makes in forecasting the extent to which treasury operations will add or drain reserves available to private banks these errors induce fluctuations in bank reserves which have measurable consequences for the federal funds rate the paper estimates that a reduction in nonborrowed reserves of 30 million if sustained for an entire fourteen day reserve maintenance period will cause the federal funds rate to rise by ten basis points copyright 1997 by american economic association

improving willingness to pay estimates for quality improvements through joint estimation with quality perceptions willingness to pay for quality change may depend on heterogeneous perceived quality levels contingent valuation studies should include measures of quality perceptions as covariates in the willingness to pay model in order to avoid omitted variable bias variation in quality perceptions across respondents leads to a potential endogeneity of quality perceptions i address the potential for endogeneity bias using an instrumental variables approach in which a measure of quality perceptions is included as a determinant of willingness to pay and is simultaneously determined by various exogenous factors the willingness to pay model is estimated jointly with quality perceptions allowing for correlation of the error terms using data on willingness to pay for water quality improvements in the neuse river in north carolina i reject exogeneity of perceived quality correcting for endogeneity improves the measurement of willingness to pay by differentiating willingness to pay among respondents with heterogeneous quality perceptions

revealing preferences for leisure time from stated preference data when consumer choice is constrained by time as well as money willingness to pay can be defined with respect to either numeraire the two measures can be related formally within a utility consistent model of choice subject to two constraints furthermore when information is collected on both the respondent s marginal value of time can be identified a system of willingness to pay time and money and the marginal value of leisure time is estimated jointly in an application to california whalewatching and whale stock enhancement the empirical approach can be applied with only minor additions to survey techniques for nonmarket valuation

estimating the demand for a new technology bt cotton and insecticide policies this article examines the potential demand for bt cotton in the southeast from information gathered in the first year of commercialization we combine revealed preference rp data on adoption of bt cotton varieties with stated preference sp data on willingness to adopt to estimate demand using a double bounded maximum likelihood procedure using estimated demand equations we simulate the costs of reducing conventional insecticide applications through subsidization of bt cotton results indicate that reducing cotton insecticide applications by 40 in the southeast would require a 21 acre subsidy with total annual program costs between 53 million and 60 million

combining contingent valuation and travel cost data for the valuation of non market goods the travel cost method tcm has long been used to infer the economic value of nonmarket resources and public goods more recently contingent valuation cvm survey methods have gained popularity for eliciting these values here cvm survey responses are combined with tcm data on actual market behavior to estimate jointly both the parameters of the underlying utility function and its corresponding ordinary demand function this is a prototypical empirical example of a new modeling strategy variants of which should prove useful in many applications especially where reliance on a single valuation method is undesirable

policy evaluation with combined actual and contingent response data the city of marietta georgia experimentally switched from flat fee financing to volume based pricing for its trash services in january 1994 both before and during the experiment detailed data on individuals observed responses to the actual introduction and contingent behavioral responses to a hypothetical introduction of volume based pricing were collected this study applies these data and investigates the methodology of collecting contingent behavior data and their use in policy analysis in particular this study empirically evaluates the effect of experience with the policy on responses to contingent behavior questions and tests for potential bias in the contingent behavior data

an intertemporal model of industrial exit a finite horizon model of industrial exit is developed after an initial lag most exits are by young firms the duration of the lag is positively related to sunk entry costs but not due to the fallacy of sunk costs the conception of entry differs from previous research as a result not all entrants are identical and firm size affects the rate of learning on average larger new firms last longer entrepreneurs in declining firms act more lazily as the firm declines a number of empirical observations about declining firms are organized by the model

choice and temporal welfare impacts incorporating history into discrete choice models abstract static cross sectional discrete choice models are often employed to calculate welfare measures in environmental valuation these measures will be biased if the underlying preference function includes temporally related attributes and lagged dependent variables nevertheless static models continue to dominate the literature in this paper we provide an approach to estimating discrete choice models that includes consideration of prior behavior and past attribute perceptions and allows for testing consistency with random utility maximization in a time series context we apply this model to the case of recreational fishing site choice and participation comparing our time series approach to static versions we find that the time series model provides a richer behavioral characterization of site choice we also find significant differences between cross section and time series welfare measures the time series model raises several concerns about the specification of the policy impact and the subsequent welfare measurement that are not apparent in the static case

what experimental protocol influence disparities between actual and hypothetical stated values preferences elicited in hypothetical settings have recently come underscrutiny causing estimates from the contingent valuation method to bechallenged due to perceived hypothetical bias given that the receivedliterature derives value estimates using heterogeneous experimentaltechniques understanding the effects of important design parameters onthe magnitude of hypothetical bias is invaluable in this paper we addressthis issue statistically by using a meta analysis to examine data from 29experimental studies our empirical findings suggest that on averagesubjects overstate their preferences by a factor of about 3 in hypotheticalsettings and that the degree of over revelation is influenced by thedistinction between willingness to pay and willingness to accept publicversus private goods and several elicitation methods

specification tests for mixed demand systems with an emphasis on combining contingent valuation and revealed data abstract in a world characterized by r unrationed goods i e market goods and n r rationed goods such as most environmental goods necessary and sufficient conditions for the existence of an underlying rational preference structure are derived based on a system of mixed demand functions with complete information with incomplete information the case of a partial demand system is addressed and a test for separability is proposed the implications for testing rationality in a world characterized by combined rp and sp individual data are examined for data consistency testable conditions are derived

construct validity of averting cost measures of environmental benefits construct validity is concerned with the consistency of empirical measures with theoretical relationships this paper reviews and extends the theoretical relationship between averting costs and willingness to pay measures of these two theoretical constructs with empirical averting costs savings and contingent valuation from one population are used to establish construct validity of the averting cost technique used empirical results indicate that the contingent valuation and averting costs measures have a low correlation although low correlation is consistent with the construct validity of averting costs measures these results indicate that inferences from averting cost measures are quite limited

communication by central bank committee members different strategies same effectiveness the paper assesses the communication strategies of the federal reserve the bank of england and the european central bank and their effectiveness we find that the effectiveness of communication is not independent from the decision making process the paper shows that the federal reserve has been pursuing a highly individualistic communication strategy amid a collegial approach to decision making while the bank of england is using a collegial communication strategy and highly individualistic decision making the european central bank ecb has chosen a collegial approach both in its communication and in its decision making assessing these strategies we find that predictability of policy decisions and the responsiveness of financial markets to communication are equally good for the federal reserve and the ecb this suggests that there may not be a single best approach to designing a central bank communication strategy

the effect of changes in the federal funds rate target on market interest rates in the 1970s abstract this paper examines the influence of monetary policy on interest rates by estimating the effect of changes in the federal funds rate target the federal reserve s policy instrument on market interest rates in the 1970s we find that changes in the target caused large movements in short term rates and smaller but significant movements in intermediate and long term rates we hypothesize that the similarity of the reactions of three six and twelve month rates to changes in the target offers a possible explanation for the lack of support for the expectations theory from studies that have tested the theory using these rates

augmenting travel cost models with contingent behavior data this paper proposes contingent behavior survey questions as a valuable supplement to observed data in travel cost models of non market demand for recreational resources a set of observed and contingent behavior results for each survey respondent allows the researcher to control for individual heterogeneity by taking advantage of panel data methods when exploring the nature of respondent demands the contingent scenarios also provide opportunities to a test for differences between observed and contingent preferences and or b assess likely demands under conditionsbeyond the domain of observed variation in costs or resource attributes most importantly contingent scenarios allow the researcher to imposeexogenously varying travel costs exogenous imposition of travel costs together with panel methods reduces the omitted variables bias that plagues observed data travel cost models of recreational demand using a convenience sample of data for illustrative purposes we show how to estimate the demand for recreational angling by combining observed and contingent behavior data we begin with simple naive pooled poisson models and progress to more theoretically appropriate fixed effects panel poisson specifications

valuing the benefits of coastal water quality improvements using contingent and real behaviour recent moves in the european union have beenmade towards a toughening of legislation onbathing water quality this has focussedpolicy makers thoughts on the welfare benefitsresulting from such improvements especiallygiven their cost our paper uses a combinedstated and revealed preference approach tovalue coastal water quality improvements focussing on an area of scotland which hasconsistently failed to meet standards under thebathing waters directive we combine data onreal behaviour with data on contingentbehaviour using a random effects negativebinomial panel model this allows us to predictboth the change in participation trips shouldwater quality be improved and the welfareincrease per trip our model includes allowancefor the existence of substitute sites and forchanges in recreational behaviour during abeach visit

a comparison of welfare estimates from four models for linking seasonal recreational trips to multinomial logit models of site choice we compare four methods of linking a site choice random utility model to a seasonal trip model the four approaches are those proposed by morey et al 1993 am j agric econom 75 578 592 hausman et al 1995 j public econom 56 1 30 parsons and kealy 1995 j environ econom management29 357 367 and feather et al 1995 j environ econom management29 214 227 we estimate the alternative models using a common data set and calculate a change in welfare for two policy scenarios across the models we find that there is little practical difference between the approaches of morey et al and hausman et al they are nearly the same mathematically and the welfare estimates in our empirical example are quite close the approaches of parsons and kealy and feather et al generated welfare estimates that were substantially different from the previous two approaches as well as from each other they also generated results that reveal the inconsistencies between their site choice and season trip models

combining revealed and stated preference data to estimate the nonmarket value of ecological services an assessment of the state of the science this paper reviews the marketing transportation and environmental economics literature on the joint estimation of revealed preference rp and stated preference sp data the rp and sp approaches are first described with a focus on the strengths and weaknesses of each recognizing these strengths and weaknesses the potential gains from combining data are described a classification system for combined data that emphasizes the type of data combination and the econometric models used is proposed a methodological review of the literature is pursued based on this classification system examples from the environmental economics literature are highlighted a discussion of the advantages and disadvantages of each type of jointly estimated model is then presented suggestions for future research in particular opportunities for application of these models to environmental quality valuation are presented

the two stage hedonic wage approach a methodology for the valuation of environmental amenities abstract this paper extends the hedonic wage model to a two stage model in which willingness to pay may be estimated for specific amenities in concert with supply relationships which may be estimated independent of the hedonic model these willingness to pay functions allow for the computation of the value of changes in the level of the amenity the technique has several important advantages over other valuation techniques including less stringent data requirements and fewer econometric problems such as intractable identification problems and truncation biases the model is applied to freshwater fishing and benefits associated with changes in fishing quality are estimated both generically and through specific water quality improvements

announcements and the effectiveness of monetary policy a view from the us prime rate abstract until 1994 the us prime rate was said to be sticky because of its irresponsiveness to short term interest rates after the fed started the practice of announcing its intended funds rate in 1994 however the prime rate has come to react immediately to shifts in the target rate this paper attempts to explain how the fed s policy announcements changed the behavior of the prime rate by using a simple menu cost model it shows that an increase in the expected duration of funds rate targets was essential to the improvement in the target rate pass through

perceptions versus objective measures of environmental quality in combined revealed and stated preference models of environmental valuation abstract this study examines perceptions and objective attribute measures in discrete choice models of recreation site choice behavior these forms of attribute measurement are examined in individual and combined revealed preference stated preference models our results suggest that the model based on perceptions slightly outperforms the models based on objective attribute measures however issues such as the definition of the choice set and the measurement of welfare present significant challenges when using perceptions data

time is money improved valuation of time and transportation costs the proper valuation of time isimportant for estimating the demand for severaleconomic goods this paper explores the propervaluation of time when estimating recreationaldemand where time costs represent asubstantial portion of the purchase price toestimate demand this paper uses a travel costframework to analyze actual behavior revealedpreference data and hypothetical behavior stated preference data which is induced byhypothetical increases in access fees traveltime and travel distance by comparing theresponses to these three contingencies theanalysis adjusts and improves the valuation oftime costs as evidence of this improvement this analysis demonstrates a great increase inthe consistency between the revealed and stateddata similarly this paper improves thevaluation of transportation related costs

imputing a continuous income variable from grouped and missing income observations abstract most cross sectional data sets collect income in a discrete number of categories that is in grouped form to simplify the respondent s task and to encourage a response in spite of such grouped data collection many respondents refuse to provide information on income this paper develops a method to impute a continuous and reliable value for income from grouped and missing income data

pre entrepreneurial income cash flow growth and survival of startup businesses model and tests on u k data a target income human capital model of startup survival and growth is derived and tested the objective of the entrepreneur is to produce an independent source of income for him herself to replace income from previous employment target income is a function of pre entrepreneurial income and human capital represented by age the model predicts that higher pre income entrepreneurs and more mature individuals will grow faster to achieve these targets and that growth is an ambiguous function of size it also predicts that these same individuals and businesses that start larger will be more likely to survive the key results of the empirical analysis are that a businesses run by proprietors with higher pre entrepreneurial incomes do indeed grow faster than other startups but have no greater survival prospects and b businesses run by mature proprietors possess greater longevity we conclude that business income targets in practice constitute a significant motivation for startup growth and that the human capital represented by age plays no additional role however proprietor age rather than pre income determines survival despite the fact that pre income and age are positively correlated both with each other and with growth

a computational model of banks optimal reserve management policy abstract this paper uses numerical methods to model the demand for excess reserves by a representative bank in a framework that includes many realistic features of the current reserve market structure in the united states in particular the model incorporates a 14 day maintenance period and an accurate representation of carryover provisions we use the model to evaluate the effect of various changes to the operating environment increased uncertainty modified penalties and changes to policy paying interest on reserves

monetary policy surprises and interest rates evidence from the fed funds futures market abstract this paper estimates the impact of monetary policy actions on bill note and bond yields using data from the futures market for federal funds to separate changes in the target funds rate into anticipated and unanticipated components interest rates response to anticipated target rate changes is small while their response to unanticipated changes is large and highly significant these responses are generally consistent with the expectations hypothesis of the term structure surprise target rate changes have little effect on expectations of future actions however which helps to explain the lack of empirical support for the expectations hypothesis at the short end of the yield curve

testing for the cartel in opec non cooperative collusion or just non cooperative this paper extends the framework of green and porter 1984 and porter 1983a to encompass the case of a cartel opec faced by a competitive fringe non opec oil producers estimation of a simultaneous equation switching regression model allows us to examine which market structure better characterizes the world oil market during the 1974 2004 period and to test whether switches between collusive and non cooperative behaviour occurred the null hypothesis that no switch occurred is rejected in favour of the alternative that both cooperative and non cooperative behaviour was observed we find that although there were periods in which oil prices were measurably higher owing to collusion among opec members overall opec has not been effective in systematically raising prices above cournot competition levels our results suggest that on average over the period of study opec s behaviour is best described as cournot competition in the face of a competitive fringe constituted by non opec producers

the response of term rates to fed announcements 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 ingredient in the monetary transmission mechanism the term structure of nominally risk free treasury securities we find that term rates react much more in unison during announcement days than at any other time moreover the practice of circumscribing almost all changes in the federal funds rate target to federal open market committee fomc meeting dates regiments the formation of market expectations in the overnight rate and the price discovery process of term rates thus facilitating the fed s goal of controlling long term rates

structural benefit transfer an example using vsl estimates abstract this paper describes and illustrates a method for benefits transfer referred to as preference calibration or structural benefits transfer this approach requires selection of a preference model capable of describing individual choices over a set of market and associated non market goods to maximize utility when facing budget constraints once the structure is selected the next step involves defining the analytical expressions for the tradeoffs being represented by the set of available benefit measures these algebraic relationships are used with the benefit estimates from the literature to calibrate the parameters of the model the calibrated model then offers the basis for defining the new tradeoffs required for the policy analysis i e for transferring benefits a new application is used to illustrate the structural benefits transfer logic it involves the benefits for mortality risk reductions measured with labor market compensation a worker would accept to be willing to work with added risk the measure is usually labeled the value of a statistical life vsl our application indicates that we should not have expected differences in these measures for the economic value of risk reductions with age the calibrated estimates were not greatly different for combinations of risk levels labor supply choices wages and non wage income for older adults thus simple adjustments relying on value per discounted life year remaining seem questionable

environmental quality preference and benefit estimation in multinomial probit models a simulation approach simulated maximum likelihood is used to estimate a random parameter multinomial probit model of destination choice for recreational fishing trips formulated to accommodate varying tastes and varying perceptions of environmental quality across individuals the restricted likelihood ratio test strongly rejects the independent probit model which is similar to the independent logit model in both the parameter and benefit estimates furthermore both the krinsky robb and bootstrapping procedures suggest that the benefit standard deviation of an environmental policy is found to be markedly lower higher when heterogeneous preferences are taken into account

consistency in mixed demand systems contingent valuation and travel cost data in contrast to previous literature we propose a consistency test that does not impose any particular common functional form for the preference structure underlying the travel cost tc and contingent valuation cv models we derive testable consistency conditions between tc and cv data in the context of mixed demand systems when valuing changes in environmental quality these conditions are a subset of the rationality conditions the proposed consistency tests are implemented combining tc and cv data the empirical results show that it is possible to combine stated tc and cv but not revealed tc and cv data

day to day monetary policy and the volatility of the federal funds rate we propose a model of the interbank money market with an explicit role for central bank intervention and periodic reserve requirements and study the interaction of profit maximizing banks with a central bank targeting interest rates at high frequency the model yields predictions on biweekly patterns of the federal funds rate s volatility and on its response to changes in target rates and in intervention procedures such as those implemented by the fed in 1994 theoretical results are consistent with empirical patterns of interest rate volatility in the u s market for federal funds

using angler characteristics and attitudinal data to identify environmental preference classes a latent class model a latent class model of environmental preference groups is developed and estimated with only the answers to a set of attitudinal questions economists do not typically use this type of data in estimation group membership is latent unobserved the intent is to identify and characterize heterogeneity in the preferences for environmental amenities in terms of a small number of preference groups the application is to preferences over the fishing characteristics of green bay anglers answered a number of attitudinal questions including the importance of boat fees species catch rates and fish consumption advisories on site choice the results suggest that green bay anglers separate into a small number of distinct classes with varying preferences and willingness to pay for a pcb free green bay the probability that an angler belongs to each class is estimated as function of observable characteristics of the individual estimation is with the expectation maximization e m algorithm a technique new to environmental economics that can be used to do maximum likelihood estimation with incomplete information as explained a latent class model estimated with attitudinal data can be melded with a latent class choice model

combining revealed and stated data to examine housing decisions using discrete choice analysis abstract this paper uses stated preference and revealed preference data separately and jointly to examine individuals housing choices in particular it combines an established revealed preference approach discrete choice analysis of actual housing purchases and a relatively new stated preference approach choice based conjoint analysis of hypothetical housing purchases to provide us with a better understanding of the factors driving housing decisions these methods are appropriately combined since they reflect the same decision process households select the dwelling that provides the best combination of attributes from the feasible set of alternatives in total this paper analyzes three data sets only actual housing purchases only hypothetical housing purchases and both types of purchases combined analysis finds that actual and hypothetical housing purchases are similar decision processes with respect to some attributes yet are dissimilar with respect to other attributes nevertheless combining the two types of data improves identification of both categories of attributes journal of economic literature classification number r21

the effect of common sources of regression error on benefit estimates discussions of the sources of error in recreation demand analysis are common in the existing literature the most traditional line of thought e g gum and martin considers the error component in predicting the individual s recreation behavior to arise from unmeasured socioeconomic factors others e g hanemann attribute at least some of this error to fundamental randomness in human behavior applied statisticians e g hiett and worrall on the other hand suggest that recall of annual number of recreational trips i e the quantity demanded is subject to substantial error still others e g brown et al have argued that recall of explanatory variables such as travel expenses contains error despite the discussion of potential error sources there is no work which relates the sources of error in the demand relationship with benefit measurement 1 of practical importance in recreational demand estimation is whether error assumptions have an influence on welfare measures since it is for public policy decision purposes that recreational demand estimation is usually undertaken will the estimated consumer surplus derived from demand analysis be independent of the assumed source of the error in the regression the purpose of this paper is to explore how the assumptions about sources of error influence estimates of recreation benefits a discussion of the various sources of error in de

willingness to pay for quality improvements should revealed and stated preference data be combined abstract in this article we propose theoretically consistent welfare measurement of use and nonuse values for an improvement in environmental quality with revealed and stated preference data an analytical model based on the comparative static analysis of the variation function that describes the relationship between recreation demand and dichotomous choice contingent valuation models is estimated our results show that revealed and stated data should not be combined under the same assumed preference structure unless the two decisions imply the same change in behavior induced by the quality change in addition our results indicate scope effects in willingness to pay measures estimated with stated preference data

monetary policy predictability in the euro area an international comparison we evaluate the ability of market participants to anticipate monetary policy decisions in 14 countries first by looking at both the magnitude and volatility of changes in the money market rates we show that the days of policy meetings are special days for financial markets second we find that the predictability of federal reserve fed bank of england and european central bank ecb is fully comparable finally an econometric analysis of the ability of market participants to incorporate in the current short term interest rates the expected policy changes shows that in the euro area and in other countries policy decisions are anticipated well in advance

an information based model of industrial exit abstract this paper develops an information based approach to firm closures it is argued that non bankrupt exit firms will be older than firms forced out by creditors support for this and other hypotheses comes from u k survey data

random coefficient models for stated preference surveys abstract this paper combines the use of random coefficient discrete choice models that allow for correlated errors in the form of unobserved preference heterogeneity with an investigation of the reliability and usefulness of rankings data for the data we examine we find significant unobserved preference heterogeneity in the rankings which violates the underlying assumptions of the rank ordered logit model further directly modeling unobserved preference heterogeneity results in significant improvement in the precision of the parameter estimates and in estimated willingness to pay wtp the reliability and usefulness of rankings data should be re examined with econometric models not subject to the independence of irrelevant alternatives iia

a long run non linear approach to the fisher effect we argue that the empirical failure of the fisher effect found in the literature may be due to the existence of non linearities in the long run relationship between interest rates and inflation we present evidence that for the u s during the 1960 2004 period the fisher relation presents important non linearities we model the long run non linear relationship and find that an estr model for the pre volcker era and an lstr model for the post volcker era are able to control for non linearities and constitute long run co integration vectors monte carlo evidence produces support for the hypothesis that non linearities may also be responsible for the less than proportional coefficients of inflation usually found in the linear specifications

a difficulty with the travel cost method instead of observable prices of recreational visits travel cost method tcm re searchers are obliged to substitute researcher assigned visitation cost estimates i argue that visitation costs are inherently subjective but are ordinally measurable so long as the cost in creases with distance travelled it follows that traditional tcm yields only ordinally measur able welfare estimates the household produc tion function formulation of tcm resolves this problem only by imposing severe and un testable analytical restrictions tcm cannot serve as a stand alone technique for estimating recreation benefits rather it must be calibrated using information generated with fundamentally different methods jel q26

open mouth operations abstract this paper explains how central bank statements rather than open market operations can be used to implement monetary policy in the extreme policy instruments can be held constant and yet interest rates will evolve along the path desired by the central bank we show how the recent implementation of monetary policy in new zealand works in this way using announcement data from new zealand we find that open mouth operations lead to large changes in interest rates across all maturities and these changes cannot be explained by open market operations implications are drawn for monetary policy in other jurisdictions

identifying monetary policy shocks with changes in open market operations abstract in this paper we reexamine the effects of monetary policy shocks by exploiting the information contained in open market operations a sticky price model is developed where money is the counterpart of securities deposited at the central bank the model s solution reveals that a rise in central bank holdings of open market securities can be interpreted as a monetary expansion estimates of vector autoregressions for us data are further provided showing that reactions to an unanticipated rise in open market securities are consistent with common priors about a monetary expansion i e a decline in the federal funds rate a rise in output and inertia in price responses compared to federal funds rate shocks prices do not exhibit a puzzling behavior and a larger fraction of the gdp forecast error variance can be attributed to open market shocks however the explanatory power of the latter has decreased since federal funds rate targets have been announced

monetary policy announcements and market interest rates response evidence from china abstract this paper examines the daily responses of market interest rates to three monetary policy announcements in china using the event study approach i find that the interest rate responses to announced changes in the regulated retail interest rate and the required reserve ratio are positive and significant at all maturities of interest rates but smaller at the long end of the yield curve by contrast market interest rates barely respond to the qualitative mpc announcements about the monetary policy stance these findings are robust to alternative econometric methods that correct for potential bias arising from violations of the identification assumption these findings suggest that the pbc should formulate its policy communication in a quantitative way

validation of stated preferences for public goods a comparison of contingent valuation survey response and voting behaviour this study reports the results from an in person comparison of contingent valuation cv survey response and subsequent voting behaviour on comparable propositions to increase public spending for landscape protection a substantial proportion of cv responses were not consistent with self reported actual voting decisions suggesting an upward bias of stated willingness to pay item non response and protest zero bids were more frequently given by those rejecting than those approving the actual proposition self reported actual decisions yielded a more consistent explanatory pattern than did hypothetical choices the official aggregate voting records show that these results cannot be explained simply by errors in self reported votes we conclude that referenda provide a valuable opportunity to test stated preference methods for public goods particularly public goods with significant passive use values however an important requirement is that the stated choices to be compared with the referendum decisions unlike in previous studies come from independent contingent valuation surveys

what matters when the impact of ecb communication on financial market expectations this article analyses financial markets reaction to european central bank s ecb communication we apply a novel indicator that quantifies the contents of the ecb s introductory statements and allows disentangling ecb statements on prices the real and the monetary sector we provide evidence that it matters what issue the ecb is speaking about especially the ecb s statements on price developments represent important news to financial markets it also matters when the ecb affects markets communication drives maturities above 4 months