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作者：Fiorentini, G; Sentana, E
作者单位：Universitat d'Alacant
摘要：We study the process for the conditional mean of vector linear processes, which nest many models of interest. We also consider the joint process for a variable and its mean conditional on a multivariate information set. We compare the persistence of shocks to stationary variables and their means using impulse response functions. An empirical application suggests that U.S. real stock returns are close to white noise, while expected returns follow an AR(1) with high autocorrelation. We also find...
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作者：Chuang, YC
作者单位：National Chengchi University
摘要：In contrast with other trade and growth theories in previous literature, I present a growth theory of trade-induced learning: Other things being equal, two conditions are essential for trade-induced learning. First, both exports and imports are equally important sources and are mutually reinforced in intensifying the learning process. Moreover, the nature or characteristics of these traded goods also influence the effect of learning. Second, trade openness is a prerequisite but not a sufficien...
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作者：Diebold, FX; Gunther, TA; Tay, AS
作者单位：University of Pennsylvania; National Bureau of Economic Research; National University of Singapore
摘要：Density forecasting is increasingly more important and commonplace, for example in financial risk management, yet little attention has been given to the evaluation of density forecasts. We develop a simple and operational framework for density forecast evaluation. We illustrate the framework with a detailed application to density forecasting of asset returns in environments with time-varying volatility. Finally, we discuss several extensions.
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作者：Grinols, EL; Turnovsky, SJ
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Washington; University of Washington Seattle
摘要：The effects of open-market operations and long-versus short-bond financing on risk in financial markets in a stochastically growing economy are studied. An increase in short bonds, resulting from exchanging long bonds, increases the riskiness of long bonds and raises their real rate of return. An open-market purchase of either long or short bonds raises the price of long bonds and lowers their risk and real return. However, debt policy adjustments that affect the real return to long bonds do n...
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作者：Sattinger, M
作者单位：State University of New York (SUNY) System; University at Albany, SUNY
摘要：This paper develops the theory of statistical discrimination in the form of unequal employment criteria and interviews. Workers differ by imperfectly observed 'quit rate.' Profit maximization leads firms to set stricter employment criteria or interview fewer workers from the group with a greater proportion of high-quit-rate workers. The theory can explain unemployment differences between groups and the total exclusion of a group from a labor market. Although statistical discrimination constitu...
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作者：Xie, DY
作者单位：Hong Kong University of Science & Technology
摘要：This paper constructs a growth model with the feature that the range of differentiated consumption goods and the range of specialized producer durables are both endogenously determined. I show that this feature allows the domestic investment rate to be closely associated with the domestic saving rate even when international financial markets are integrated. I also argue that this feature is important in explaining the observed cross-country diversity in growth performance and saving behavior.
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作者：Coles, MG; Smith, E
作者单位：University of Essex
摘要：This paper models trading patterns when marketplaces exist and goods are differentiated. When first visiting the market, a buyer samples a stock of goods. If fortunate, the buyer finds a match, purchases one of these goods and then exits. If not, the buyer can now only match with the now of new goods. In a steady state, the stock of unmatched traders on one side of the market is trying to match with the now of new traders on the other side. This behaviour is shown to describe matching patterns...
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作者：Higgins, M
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper addresses the relationship between age distribution, national savings and the current account balance. The results point to substantial demographic effects, with increases in both the youth and old-age dependency ratios associated with lower savings rates. They also point to differential effects on savings and investment, and thus to a role for demography in determining the current account balance. The estimated demographic effect on the current account balance exceeds six per cent ...
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作者：Christoffersen, PF
作者单位：McGill University
摘要：A complete theory for evaluating interval forecasts has not been worked out to date. Most of the literature implicitly assumes homoskedastic errors even when this is clearly violated, and proceed by merely testing for correct unconditional coverage. Consequently, I set out to build a consistent framework for conditional interval forecast evaluation, which is crucial when higher-order moment dynamics are present. The new methodology is demonstrated in an application to the exchange rate forecas...
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作者：Burdett, K; Mortensen, DT
作者单位：University of Essex; Northwestern University
摘要：The unique equilibrium solution ts a game in which a continuum of individual employers choose permanent wage offers and a continuum of workers search by sequentially sampling from the set of offers is characterized. Wage dispersion is a robust outcome provided that workers search while employed as well as when unemployed. The unique nondegenerate equilibrium distribution of wage offers is constructed for three cases: (i) identical workers and employers, (ii) identical employers and an atomless...
