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作者：SOWELL, F
摘要：When modeling long-run behavior, fractional ARIMA models can give insights unobtainable with the nonfractional ARIMA models. As an application, the deterministic trend and unit root with drift models are nested in the fractional ARIMA model. This allows testing between the two models based on estimated parameter values. This test is applied to postwar US quarterly real GNP. The test concludes that GNP is consistent with both models. The estimated fractional parameter is significantly smaller t...
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作者：FUERST, TS
摘要：This paper develops a general equilibrium model of two traditional explanations of the monetary 'black box' linking money and real activity: the liquidity effect and the loanable funds effect. These effects are modeled with a monetary production economy in which central bank injections of cash are funnelled into the economy through the credit market. Since only borrowers have direct access to the newly injected cash, monetary injections cause nominal interest rates to fall. If firms are borrow...
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作者：WEST, KD
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作者：SHILLER, RJ; BELTRATTI, AE
作者单位：University of Turin
摘要：Real stock prices do not show the relation to long-term interest rates that a simple rational expectations present value model would imply. Real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by this vector autoregression model. In contrast, over the last century changes in real stock prices have shown little correlation with changes in inflation rates, and according to the present value model they should show little correlation. These...
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作者：BALL, L
摘要：This paper presents a model of monetary policy in which a rise in inflation raises uncertainty about future inflation. When actual and expected inflation are low, there is a consensus that the monetary authority will try to keep them low. When inflation is high, policymakers face a dilemma: they would like to disinflate, but fear the recession that would result. The public does not know the tastes of future policymakers, and thus does not know whether disinflation will occur.
