-
作者：Campbell, B; Dufour, JM
作者单位：Concordia University - Canada
摘要：In this paper, finite-sample nonparametric tests of conditional independence and random walk are extended to allow for an unknown drift parameter. The tests proposed are based on simultaneous inference methods and remain exact in the presence of general forms of feedback, nonnormality and heteroskedasticity. Further, in two simulation studies we confirm that the nonparametric procedures are reliable, and find that they display power comparable or superior to that of conventional tests.
-
作者：Mandy, DM; Martins, C
作者单位：Oregon State University
-
作者：Carmichael, HL; MacLeod, WB
作者单位：Boston College; Universite de Montreal
摘要：Gift giving is a practice common to many societies. In an evolutionary model the social custom of giving gifts at the beginning of a relationship can lead to trust and cooperation. The evolutionary approach makes predictions about the character of the goods that can be used as gifts. For example, gift goods may have little use value even at low levels of consumption. Although the gifts themselves are useless, the institution is not.
-
作者：Gardeazabal, J; Regulez, A; Vazquez, J
摘要：In this paper we test the asset market approach or canonical model of exchange rates. We treat exchange rate fundamentals as unobservable. The empirical results do not reject the canonical model, and therefore the embedded rational expectations assumption, in sharp contrast with previous empirical evidence. We also find evidence of feedback from the exchange rate to fundamentals, which is normally omitted in the theoretical literature.
-
作者：Sakellaris, P
摘要：This paper develops a vintage model of capital accumulation to identify the structural linkage between shocks to input or output prices and a firm's stock-market value. The model accounts for a substantial part of the sample variation in excess returns, thus providing evidence for a systematic link between the stock-market valuation of firms and the economic factors that affect their profitability. The 1973-1974 oil shock is shown to have had a strong impact on excess returns; firms whose capi...
-
作者：Conlon, JR; Liu, CY
作者单位：National Taiwan University
摘要：We present a generalized (s,S) state-dependent pricing model in which menus are changed, not just in response to price misalignment, but also in response to factors such as changing product mix. Our model generates aggregate price inertia, and so reverses an important earlier result on neutrality in state-dependent pricing contexts in more general settings than previous modifications. It also provides a compromise between state-and time-dependent rules, gives a glimpse at the dynamic implicati...
-
作者：Bhattacharya, J; Guzman, MG; Huybens, E; Smith, BD
作者单位：University of Texas System; University of Texas Austin; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：We consider an otherwise conventional monetary growth model in which spatial separation and limited communication create a transactions role for currency, and stochastic relocation gives rise to financial intermediaries. In this framework we consider how changes in fiscal and monetary policy, and in reserve requirements, affect inflation, capital formation, and nominal interest rates. There is also considerable scope for multiple equilibria; we show how reserve requirements that never bind alo...
-
作者：Robson, AJ; Wooders, M
作者单位：University of Toronto
摘要：This paper presents an unconventional argument based on population growth to bolster marginal productivity theory. There is an economy with a single output produced from a number of differ:nt types of labor. Each type of labor is reproduced from that type itself and from the amount of the output devoted to it under some income distributional norm. Any norm which fails to induce convergence to maximal balanced growth is growth dominated, in that the population and income it induces can be overw...
-
作者：Motta, M; Thisse, JF; Cabrales, A
作者单位：Universite Catholique Louvain; Institut Polytechnique de Paris; Ecole des Ponts ParisTech
摘要：When two countries starting from different quality levels (reflecting different conditions on domestic market demands) open to trade, two possible equilibria arise. In the first, the quality leader maintains its position. In the second, leapfrogging occurs. However, the latter is possible only if the initial quality gap is not too wide. Further, when the risk dominance criterion is used, only the former equilibrium is selected. These results suggest that initial conditions (such as domestic ma...
-
作者：Betts, CM; Smith, BD
作者单位：Cornell University; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
摘要：We consider a model where spatial separation, limited communication, and stochastic relocation create a role for banks and country-specific currencies. The same factors also permit a deviation from the law of one price. We examine how monetary policies influence real and nominal rates of exchange and real and nominal rates of interest under both fixed and flexible exchange rate regimes. We also demonstrate that both regimes are characterized by an indeterminacy of both the real and the nominal...
