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Research Notes–May 2004

Featuring research published in April 2004

Macroeconomics

Examining Contributions to Core Consumer Inflation Measures
Working Paper 2004-7
The authors calculate the contributions of major consumer expenditure categories to core inflation. This technique allows them to distinguish broad-based changes in inflation from changes due to relative price movements of a few components.

Along the New Keynesian Phillips Curve with Nominal and Real Rigidities
Working Paper 2004-9
Simulations in this paper indicate that a model combining labor market search and flexible prices better matches actual price movements than do models with nominal price rigidities.

Dollar Up Again in March
In March the average monthly value for the trade-weighted dollar index of 15 major currencies tracked by the Federal Reserve Bank of Atlanta rose 0.9 percent, its second consecutive monthly gain.

Finance

Mutual Funds: Temporary Problem or Permanent Morass?
Financial Markets Conference 2004
Paula Tkac
The author examines how current scandals and future regulatory changes in the mutual fund industry may affect investors.

Investment Banks, Scope, and Unavoidable Conflicts of Interest
Financial Markets Conference 2004
Eric Sirri
The author examines how policy makers might balance the efficiencies of integrated securities firms with the costs of their attendant conflicts of interest.

Searching for a New Center: U.S. Securities Markets in Transition
Financial Markets Conference 2004
Maureen O’Hara
The author seeks to examine the issues that are at odds with the traditional structure characterizing both market governance and market operation.

Winter Blues and Time Variation in the Price of Risk
Working Paper 2004-8
Seasonal affective disorder (SAD) is known to have an effect on stock market returns. In this paper the authors trace this impact to the price of risk, which rises with seasonal depression.

Staying the Course: Mutual Fund Investment Style Consistency and Performance Persistence
Financial Markets Conference 2004
Keith C. Brown
The author examines how a manager’s execution of the style decision might affect a mutual fund’s performance.

Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE
Financial Markets Conference 2004
Ekkehart Boehmer
The author examines pre-trade transparency, particularly how the NYSE’s introduction of OpenBook affects the trading strategies of investors and specialists, informational efficiency, and liquidity.

Which Types of Analyst Firms Make More Optimistic Forecasts?
Financial Markets Conference 2004
Paul M. Healy
The author examines how anaylsyts’ forecast optimism varies with the business activities used to fund research.

Economic Consequences of SEC Disclosure Regulation: Evidence from the OTCBB
Financial Markets Conference 2004
Christian Leuz
The author examines the economic consequences of a recent regulatory change mandating OTC Bulletin Board firms to comply with the reporting requirements under the 1934 Securities Exchange Act.