-
作者：DONALDSON, RG
摘要：We use weekly data (1867-1933) to investigate the sources of banking and financial panics. We find that, while a panic's exact starting date is unpredictable, one can identify environments conducive to panics; a lack of liquidity in financial markets seems to be a key source. Results also reveal the effectiveness of the Aldrich-Vreeland Act in elastizing the money supply and shortening the panic of 1914 and suggest that the panic of 1933 may have been caused by a speculative attack on the gold...
-
作者：KIM, IM; LOUNGANI, P
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago
摘要：This paper modifies Hansen's (1985) analysis of a real business cycle model with indivisible labor by explicitly including energy as a productive input and modelling the relative price of energy as an exogenous random process. One goal is to determine the extent to which the introduction of energy price shocks reduces the reliance of the real business cycle model on unobserved technology shocks. The other goal, following Christiano and Eichenbaum (1991), is to compare the correlation between r...
-
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...
-
作者：WEST, KD
