-
作者：LEWIS, KK
摘要：Empirical studies of the restrictions implied by the intertemporal capital asset pricing model across different asset markets have found conflicting evidence. This paper asks whether an auxiliary assumption implicit in these tests could be responsible for the pattern of rejections. This auxiliary assumption requires that covariances of returns with consumption move in constant proportion over time. The paper tests this condition empirically using data on foreign exchange, bonds, and equity ret...
-
作者：LEHMANN, BN
作者单位：National Bureau of Economic Research
-
作者：ASCHHEIM, J; TAVLAS, GS
作者单位：International Monetary Fund
-
作者：WALLACE, FH; BLANCO, H
-
作者：LUCAS, DJ
作者单位：Massachusetts Institute of Technology (MIT)
-
作者：COCHRANE, JH
-
作者：STEINDL, FG
-
作者：STOCK, JH
摘要：This paper provides asymptotic confidence intervals for the largest autoregressive root of a time series when this root is close to one. The intervals are readily constructed either graphically or using tables in the appendix. When applied to the Nelson-Plosser (1982) data set, the main conclusion is that the confidence intervals typically are wide. The conventional emphasis on testing for whether the largest root equals one fails to convey the substantial sampling variability associated with ...
-
作者：DELGADO, FA
摘要：This paper develops a model to explain price stickiness to nominal shocks. It is the first model to allow two-sided general shocks. In an international environment, a firm that sells in its domestic market and abroad faces a stochastic exchange rate and menu costs. We obtain significant stickiness with very small menu costs. With exchange rate variance of 10% p.a., the exchange rate can fluctuate 25% without the firm having to adjust prices. An optimal control problem is solved whereby the fir...
-
作者：BOHN, H
