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作者：Richards, AJ
摘要：This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds evidence for the predictability of relative returns and the existence of a 'winner-loser' effect across 16...
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作者：Bohn, H
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作者：BOSCHEN, JF; MILLS, LO
作者单位：Federal National Mortgage Association (Fannie Mae)
摘要：We present tests of long-run monetary neutrality using an empirical framework that allows for the effects of real shocks on the long-run behavior of both output and monetary aggregates. Our findings support long-run monetary neutrality as a feature of the post World War II U.S, economy. We further find that permanent innovations in labor supply, as measured by working-age population, are a principal factor in the long-run movements in U.S, output and monetary aggregates.
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作者：Ni, S
摘要：This paper estimates substitutability of government purchases for private consumption using an optimal consumption model. The utility function features several types of nonseparabilities. The paper finds that GMM estimates are affected by the specification of nonseparability between private consumption and government purchases, by the restriction of time-separability, and by the measurement of real interest rates.
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作者：Ball, L
摘要：This paper presents a model of dynamically consistent monetary policy that explains changes in inflation over time. In the model - as in the postwar United States - adverse supply shocks trigger increases in inflation. High inflation persists until a tough policy-maker causes a recession to disinflate. The paper also proposes an approach to selecting a unique equilibrium in infinite-horizon models of monetary policy.
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作者：BENASSY, JP
摘要：This article presents an explicitly computable business cycle model with optimizing agents in an economy with money and wage contracts. We start from the well-known Long-Plosser-McCallum real business cycle model and extend it in two directions: First, money is introduced, still maintaining the market clearing assumption. Secondly, this monetary model is studied under the assumption of predetermined wages. An explicit solution is given in both cases. It appears that the combination of money an...
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作者：Ravn, MO; Sola, M
作者单位：Aarhus University; University of London; Birkbeck University London; University of London; London Business School
摘要：We investigate empirically the stability of the correlation between output growth and inflation using a technique that allows for changes in regime. We look at recent quarterly data for the G4 and at historical data for the U.S. and U.K. We find evidence of changes both in means and variances in both sources of data. In the quarterly data we find that the covariance between output growth and inflation is typically negative. In the historical data we find, as suggested in previous studies, that...
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作者：Houston, JF; James, C
作者单位：State University System of Florida; University of Florida
摘要：This paper examines whether executive compensation in banking is structured to promote risk taking. We find that, on average, bank CEOs receive less cash compensation, are less likely to participate in a stock option plan, hold fewer stock options, and receive a smaller percentage of their total compensation in the form of options and stock than do CEOs in other industries. Cross-sectional differences in the structure of compensation contracts within banking are also examined. We find a positi...
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作者：GLAESER, EL; SCHEINKMAN, JA; SHLEIFER, A
作者单位：National Bureau of Economic Research; University of Chicago
摘要：We examine the relationship between urban characteristics in 1960 and urban growth between 1960 and 1990. Income and population growth move together, and both types of growth are (1) positively related to initial schooling, (2) negatively related to initial unemployment, and (3) negatively related to the initial share of employment in manufacturing. Racial composition and segregation are uncorrelated with urban growth across all cities, but in cities with large nonwhite communities segregation...
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作者：SCHLAGENHAUF, DE; WRASE, JM
作者单位：Brigham Young University
摘要：This paper analyzes the ability of an open-economy version of Lucas's (1990) liquidity model to account for properties of international data. The focus is on the model's ability to account for exchange rate dynamics and measured effects of monetary policy shocks on exchange rates, interest rates, and real activities across countries. The model generates a prediction that a positive domestic monetary innovation is associated with nominal and real currency depreciations. However, the model's pre...
