Download or read book A Simple Approach to Robust Inference in a Cointegrating System written by Jonathan H. Wright and published by . This book was released on 1999 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Finance Discussion Papers written by and published by . This book was released on 1972 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Inference in Regression Models with Nearly Integrated Regressors written by Michael Jansson and published by . This book was released on 2004 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper proposes feasible testing procedures that attain these Gaussian power envelopes whether or not the innovations of the regression model are normally distributed.
Download or read book The Fed in Print written by and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Detecting Lack of Identification in GMM written by Jonathan H. Wright and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the standard linear instrumental variables regression model, it must be assumed that the instruments are correlated with the endogenous variables in order to ensure the consistency and asymptotic normality of the usual instrumental variables estimator. Indeed, if the instruments are only slightly correlated with the endogenous variables, the conventional Gaussian asymptotic theory may still provide a very poor approximation to the finite sample distribution of the usual instrumental variables estimator. Because of the crucial role of this identification condition, it is common to test for instrument relevance by a first-stage F-test. Identification issues also arise in the generalized method of moments model, of which the linear instrumental variables model is a special case. But I know of no means, in the existing literature, of testing for identification in this model. This paper proposes a test of the null of underidentification in the generalized method of moments model.
Download or read book Evaluating correlation Breakdowns During Periods of Market Volatility written by Mico Loretan and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market observers have noted that during periods of high market volatility, correlations between asset prices can differ substantially from those seen in quieter markets. For example, correlations among yield spreads were substantially higher during the fall of 1998 than in earlier or later periods. Such changes in correlations could reflect changes in the underlying distribution of returns or quot;contagionquot; across markets that is present only during periods of market turbulence. However, as noted by Boyer, Gibson and Loretan (1999), increases in the volatility of returns are generally accompanied by an increase in sampling correlations even when the true correlations are constant. We show that this result is not just of theoretical interest: When we consider quarterly measures of volatility and correlation for three pairs of asset returns, we find that the theoretical relationship can explain much of the movement in correlations over time. We then examine the implications of this link between measures of volatility and correlation for risk management, bank supervision, and monetary policy making.
Download or read book Distributions of Error Correction Tests for Cointegration written by Neil R. Ericsson and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Equivalence of Wage and Price Staggering in Monetary Business Cycle Models written by Rochelle Mary Edge and published by . This book was released on 2000 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chari, Kehoe, and McGratten's (1998) finding that a standard monetary business cycle model with staggered price setting is unable to generate sufficiently persistent real effects of monetary shocks has engendered a growing literature aimed at developing alternative mechanisms for producing greater persistence. The most popular approach at present in this literature appears to be one in which staggered wage contracts are used as either an alternative or a complement to a staggered price mechanism. This is informed by recent research by Andersen (1998) and Huang and Liu (1998) which finds that the staggered wage model, despite its superficial similarity to the staggered price setup, incorporates a very different microstructure that implies substantially more real persistence. This paper argues that these authors' findings rely heavily on the assumption that identical inputs are used by all firms, and demonstrates that, by assuming firm-specific factor inputs the staggered price model is as capable as the staggered wage model of generating persistent real responses to monetary shocks.
Download or read book Here Dollars Dollars written by Brian M. Doyle and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Constructive Data Mining written by Julia Campos and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors advocate a constructive approach to data mining. It assesses the benefits of constructive data mining by applying an algorithm to a dataset for Venezuelan consumers' expenditure.
Download or read book Monetary Policy Independence in the ERM written by Hali J. Edison and published by . This book was released on 2000 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S. Federal Reserve Board presents the full text of an article entitled "Monetary Policy Independence in the ERM: Was There Any?" by Hali J. Edison and Ronald MacDonald. The article discusses interest rate linkages for countries who participated in the exchange rate mechanism (ERM) of the European monetary system (EMS).
Download or read book The Declining Volatility of U S Employment written by Maria Veronica Cacdac Warnock and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper attempts to add to the understanding of changes in the magnitude of business cycle fluctuations by examining disaggregated employment data. Specifically, we use a stochastic variance approach on monthly employment data for the 1946-1996 period to highlight two stylized facts of aggregate U.S. employment - greater volatility in recessions than expansions and reduced volatility since the early 1980s. These patterns are not, however, apparent in each sector of the economy. Asymmetric volatility is only evident in manufacturing and trade; other sectors, such as construction or the narrowly defined services sector, are just as likely to exhibit high volatility in expansions. A general reduction in volatility is evident only in goods-producing sectors; some industries in the broad service-producing sector have become more volatile over time. Our results highlight the close relationship between aggregate and manufacturing volatility, and suggest that to understand why the U.S. business cycle has become more muted, researchers should strive to understand the forces at work that are reducing volatility in the manufacturing sector.
Download or read book The Effect of Markups on the Exchange Rate Exposure of Stock Returns written by George Allayannis and published by . This book was released on 2000 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how to properly specify and test for factors that affect the exchange-rate exposure of stock returns. We develop a theoretical model, which explicitly identifies three channels of exposure. An industry's exposure increases (1) by greater competitiveness in the market where its final output is sold, (2) the interaction of greater compeitiveness in its export market and a larger share of exports in production and, (3) the interaction of less competitiveness in its imported input market and the smaller the share of imports in production. Using a sample of 82 U.S. manufacturing industries at the 4-digit SIC level, classified in 18 2-digit industry groups, between 1979 and 1995, we estimate exchange-rate exposure as suggested by our model. We find that 4 out of 18 industry groups are significantly exposed to exchange-rate movements through at least one channel of exposure. On average, a 1 percent appreciation of the dollar decreases the return of the average industry by 0.13 percent. Consistent with our model's predictions, as an industry's markups fall (rise), its exchange-rate exposure increases (decreases).
Download or read book Modeling the IMF s Statistical Discrepancy in the Global Current Account written by Jaime Márquez and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper offers a framework for judging when the discrepancy embodied in current-account forecasts is large. The first step in implementing this framework involves developing an econometric model explaining the components of the aggregate discrepancy, estimating the associated parameters, and generating the aggregate discrepancy's conditional expectation. The second step is to compare this model-based forecast with the discrepancy embodied in countries' current-account forecasts. If the gap in discrepancies is below a critical value, then the discrepancy embodied in the countries' current-account forecasts is not large. Otherwise, the discrepancy is large and calls for a careful re-examination of the associated current-account forecasts.
Download or read book Time to build Time to plan Habit persistence and the Liquidity Effect written by Rochelle Mary Edge and published by . This book was released on 2000 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: The general inability of sticky-price monetary business cycle models to generate liquidity effects has been noted in the recent literature by authors such as Christiano (1991), Christiano and Eichenbaum (1992a, 1995), King and Watson (1996), and Bernanke and Mihov (1998b). This paper develops a sticky-price monetary business cycle model that is capable of generating an empirically plausible liquidity effect. Time-to-build and time-to-plan in investment together with habit-persistence in consumption are the features of the model that allow it to produce this result.
Download or read book The Expectations Trap Hypothesis written by Lawrence J. Christiano and published by . This book was released on 2000 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore a hypothesis about the take-off in inflation that occurred in the early 1970s. According to the expectations trap hypothesis, the Fed was pushed into producing the high inflation out of a fear of violating the public's inflation expectations. We compare this hypothesis with the Phillips curve hypothesis, according to which the Fed produced the high inflation as an unfortunate by-product of a conscious decision to jump-start a weak economy. Which hypothesis is more plausible has important implications for what needs to be done to prevent other inflation flare-ups.
Download or read book How Consistent are Credit Ratings written by John Ammer and published by . This book was released on 2000 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than for U.S. industrial firms. Sectoral differences in recovery rates do not offset the higher default rates. By contrast, we do not find significant differences in default rates between U.S. and foreign firms.
