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1983 Working Papers

  • WP 83-04 | Forecasting the Money Supply in Time Series Models

    Michael Bagshaw William Gavin


    In this paper, time series techniques are used to forecast quarterly money supply levels. Results indicate that a bivariate model including an interest rate and M-1 predicts M-1 better than the univariate model using M-1 only and as well as a 5-variable model which adds prices, output, and credit. The paper also presents evidence on the issue of using seasonally adjusted data in forecasting with time series models. The implications of these results apply to a11 econometric modeling. Results support the hypothesis that using seasonally adjusted data can lead to spurious correlation in multivariate models. Read More

  • WP 83-03 | Extension of Granger Causality in Multivariate Time Series Models

    Michael Bagshaw


    This paper proposes an extension of Granger causality when more than two variables are used in a multivariate time series model, and it is necessary to consider more than one-period-ahead forecasts. Read More

  • WP 83-02 | Holding Company Organizational Form and Efficiency

    Gary Whalen


    Researchers generally have assumed that the impact of multibank holding company (MBHC) affiliation on subsidiary bank efficiency would not vary across holding company groups. Several writers have argued that this view is incorrect and may explain the mixed and inconclusive findings on affiliation-related efficiencies reported in many empirical studies. In particular, Fraas has suggested that differences in MBHC organizational centralization may cause' differences in subsidiary bank performance and that the failure to control forstructural variation may bias estimates of affiliate- independent bank efficiency differentials toward insignificance. This study explores the impact of MBHC organizational centralization on subsidiary bank efficiency, using survey data on holding company structure and a profit-function approach. The evidence suggests that differences in MBHC structure do result in differences in affiliate efficiency. Read More

  • WP 83-01 | Non-Nested Specification Tests and the Intermediate Target for Monetary Policy

    Mitsuru Toida William Gavin


    This paper deals with the problem of choosing an intermediate target for monetary policy. The proposed alternative targets are related to economic activity in non-nested models. The choice among the various alternatives is reduced to a series of tests among non-nested models. The test statistics are constructed by creating an artificial nest in an exponentially weighted combination of the null and the alternative hypotheses. Of the monetary aggregates examined in this paper, M-1 was unambiguously the aggregate most closely related to economic activity for the period 1961 through 1980. Read More