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作者：EVANS, G; REICHLIN, L
作者单位：Columbia University; University of Edinburgh
摘要：The Beveridge-Nelson (BN) technique provides a forecast-based method of decomposing a variable, such as output, into trend and cycle when the variable is integrated of order one, I(1). This paper considers the multivariate generalization of the BN decomposition when the information set includes other I(1) and/or stationary variables. We show how the relative importance of the cyclical component depends on the size of the information set, and is necessarily higher with multivariate BN decomposi...
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作者：HARDOUVELIS, GA
摘要：According to the expectations hypothesis, when the spread between long and short rates widens, next quarter's long rate should rise. In the United States, however, long rates decline instead of rising. This anomaly is also present in Canada, the UK, Germany, and Japan (four of the additional six G7 countries). Nevertheless, in contrast to the US, where long rates appear to overreact to expected future developments, the anomalous short-run movement of long rates in these other G7 countries is c...
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作者：LUCAS, RE
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作者：GIOVANNINI, A
摘要：This paper explores empirically the fluctuations of money demand arising from financial markets. Fluctuations in financial markets' liquidity are reflected in interest rates and asset returns. The paper uses daily data on the Swiss franc and other currencies from January 1, 1980 until December 31, 1987, and is based on a priori knowledge on the timing of liquidity shocks. In the empirical analysis I ask whether at the time liquidity shocks occur 'abnormal' rates of return can be observed in th...
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作者：MCCALLUM, BT
作者单位：National Bureau of Economic Research
摘要：This paper argues that the uncovered interest parity (UIP) relationship is distinct from, and more important than, the unbiasedness of forward exchange rates as predictors of future spot rates. The standard finding that the slope estimate beta is roughly - 3 in regressions of DELTAs(t) on f(t-1) - s(t-1) implies rejection of unbiasedness but not necessarily UIP. The hypothesis that monetary authorities manage interest rates so as to smooth their movements, while also resisting changes in excha...
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作者：MCLAUGHLIN, KJ
作者单位：University of Rochester
摘要：How rigid are wages? To answer this question, I empirically investigate the nature of wage rigidity at the individual level. I find that wages in panel data vary considerably: real wage cuts are common, and nominal wage cuts are not rare. For most workers, the distribution of wage growth is not skewed away from wage cuts. The high frequency of small wage changes is inconsistent with menu cost models that censor small wage changes. The evidence supporting nominal wage rigidity is a small spike ...
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作者：EASTERLY, W
摘要：An endogenous growth model with fixed factors predicts that countries will stagnate if policies pass a threshold; initial income does not affect whether a country stagnates. For growing countries, the model has transitional dynamics where growth first accelerates and then decelerates as income rises. The data confirm these predictions: a probit equation predicts well whether countries stagnate as a function of policies but not of income, a truncated regression for growing countries shows a 'hu...
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作者：JONES, CI
摘要：This paper examines empirically the relationship between the relative price of capital and the rate of economic growth. In the results, machinery appears to be the most important component of capital: when the relative price of machinery and the relative price of nonmachinery are included in a Barro (1991) growth regression, a strong negative relationship between growth and the machinery price emerges while the nonmachinery price enters insignificantly. These results indicate that the tax trea...
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作者：LI, VE
摘要：This paper explores the implications of a search-based model of money for the linkage between steady state inventory accumulation, inflation, and welfare. Because individual traders in the search economy do not internalize the positive effects inventory accumulation and search effort have on the aggregate economy, they are too low relative to social efficiency. It is established that a tax on money balances can alleviate these externalities and improve aggregate welfare. It does so by (i) dire...
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作者：CAMPBELL, JY
摘要：This paper argues that a clear understanding of the stochastic growth model can best be achieved by working out an approximate analytical solution. The proposed solution method replaces the true budget constraints and Euler equations of economic agents with loglinear approximations. The model then becomes a system of loglinear expectational difference equations, which can be solved by the method of undetermined coefficients. The paper uses this technique to study shocks to technology and shock...
