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Permanent vs transitory components and economic fundamentals (replication data)
Any non-stationary series can be decomposed into permanent (or trend) and transitory (or cycle) components. Typically some atheoretic pre-filtering procedure is applied to... -
Why were changes in the federal funds rate smaller in the 1990s? (replication...
We identify two major changes in the dynamics of the federal funds rate in the 1990s. We model the desired rate in a two-regime setting, one when the Fed makes no change and the... -
An empirical application of stochastic volatility models (replication data)
This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the...
