3期

最新文章

• Comovements in national stock market returns: Evidence of predictability, but not cointegration AI翻译
  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...
• An empirical analysis on the substitutability between private consumption and government purchases AI翻译
  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.
• Stylized facts and regime changes: Are prices procyclical? AI翻译
  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...
• LIQUIDITY AND REAL ACTIVITY IN A SIMPLE OPEN-ECONOMY MODEL AI翻译
  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...
• The great wars, the great crash, and steady state growth: Some new evidence about an old stylized fact AI翻译
  作者：BenDavid, D; Papell, DH
  作者单位：University of Houston System; University of Houston; Tel Aviv University; Centre for Economic Policy Research - UK
  摘要：The 'stylized fact' that growth rates remain constant over the long run was a fundamental feature of postwar growth theory. Using recently developed tests for structural change in univariate time series, we determine whether, and when, a break in growth rates exists for 16 countries. We find that most countries exhibited fairly steady growth for a period lasting several decades, terminated by a significant, and sudden, drop in GDP levels. Following the break, per capita output in most countrie...
• TRADE CREDIT IN A MONETARY ECONOMY AI翻译
  作者：NORRBIN, SC; REFFETT, KL
  作者单位：Arizona State University; Arizona State University-Tempe
  摘要：This paper examines the importance of financial and technological stochastic trends in the context of a stochastic, dynamic, general equilibrium monetary economy with multiple means of payment. In contrast to earlier empirical work, we find support for both a long-run substitution condition between money, trade credit, and interest rates as well as a long-run transactions demand for alternative payments media consistent with real business cycle frameworks.
• New index of coincident indicators: A multivariate Markov switching factor model approach AI翻译
  作者：Kim, MJ; Yoo, JS
  作者单位：University of Alabama System; University of Alabama Tuscaloosa
  摘要：This paper extends the univariate Markov switching unobserved component model to the multivariate Markov switching factor model of coincident economic indicators. An approximate ML method is developed to estimate the model. The extracted Markov switching factor may be interpreted as the coincident index and is comparable to the Stock-Watson index which differs only by the Markov switching component. Using four constituent series of the DOC coincident index for the period January 1960 to June 1...
• THE IDENTIFICATION OF MONETARY-POLICY DISTURBANCES - EXPLAINING THE LIQUIDITY PUZZLE AI翻译
  作者：STRONGIN, S
  摘要：This paper examines recent work on the identification of monetary policy disturbances. Its main finding is that the empirical anomalies found in the literature reflect a failure to properly address the Federal Reserve's policy of accommodating reserve demand shocks. A new method of identifying monetary policy using nonborrowed reserves is proposed. Using this specification - policy has a strong persistent liquidity effect regardless of subsample - policy Granger-causes output even in the prese...
• BOUNDED RATIONALITY IN MACROECONOMICS - A REVIEW-ESSAY AI翻译
  作者：HONKAPOHJA, S
  摘要：This essay provides a discussion of the recent literature on learning behavior and macroeconomics while reviewing the recent important book Bounded Rationality in Macroeconomics by Thomas J. Sargent (Clarendon Press, Oxford, 1993).
• Commodity money under private information AI翻译
  作者：Li, YT
  摘要：Private information is introduced into the Kiyotaki-Wright model of commodity money in terms of qualitative uncertainty concerning the good which would be the unique medium of exchange under complete information. Producers are allowed to produce high- or low-quality versions of that good, and people may not always recognize its quality. It is shown that commodities that suffer from qualitative uncertainty may still be used as the medium of exchange when the private information problem is not t...