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Preferred Risk Habitat of Individual Investors

Dorn, Daniel; Huberman, Gur - C.E.P.R. Discussion Papers - 2007

commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio …The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … consistent with the predictions of the hypothesis: the portfolios contain highly similar stocks in terms of volatility, when …

Persistent link: https://www.econbiz.de/10005067451

Noise Trading and Exchange Rate Regimes

Jeanne, Olivier; Rose, Andrew K - C.E.P.R. Discussion Papers - 1999

both create and share the risk associated with exchange rate volatility. In such circumstances, monetary policy can be used … of noise traders alters the composition of the market and generates excess exchange rate volatility, since noise traders … to lower exchange rate volatility without altering macroeconomic fundamentals. …

Persistent link: https://www.econbiz.de/10005666966

Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2002

Forecasting models for output are presented to throw light on monetary transmission. Recent research finds multistep forecasting superior to recursive forecasting from a VAR model when structural breaks are present; there are important political and policy regime breaks in South Africa. The...

Persistent link: https://www.econbiz.de/10005067408

Income Persistence and Macro-Policy Feedbacks in the United States

Muellbauer, John - C.E.P.R. Discussion Papers - 1997

This paper analyses and forecasts annual time series of aggregate real income per head in the United States. The approach integrates elements from recent univariate time-series analyses with multi-equation macromodels in which policy feedback rules have been endogenized. The main conclusions are...

Persistent link: https://www.econbiz.de/10005661731

Instability of the Velocity of Money: A New Approach Based on the Evolutionary Spectrum

Artis, Michael J; Bladen-Hovell, Robin; Nachane, Dilip M - C.E.P.R. Discussion Papers - 1992

Money demand instability has been the subject of considerable attention in the recent literature. This paper examines the stability of velocity series for the United States and for five European countries (France, Germany, Italy, the Netherlands and the United Kingdom). A distribution-free test...

Persistent link: https://www.econbiz.de/10005666582

Evaluating The Persistence And Structuralist Theories Of Unemployment

Coakley, Jerry; Fuertes, Ana María; Zoega, Gylfi - C.E.P.R. Discussion Papers - 2000

This paper uses a threshold autoregressive (TAR) framework to assess the relative importance of structural breaks and asymmetric persistence in accounting for the post-war unemployment experience. In comparing unemployment patterns across time periods and countries, we take the US as a...

Persistent link: https://www.econbiz.de/10005788887

Forecasting Time Series Subject to Multiple Structural Breaks

Pesaran, M Hashem; Pettenuzzo, Davide; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

This Paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking account of the size and duration of past breaks (if...

Persistent link: https://www.econbiz.de/10005791366

Granger Causality of the Inflation-Growth Mirror in Accession Countries

Gillman, Max; Nakov, Anton - C.E.P.R. Discussion Papers - 2005

The Paper presents a model in which the exogenous money supply causes changes in the inflation rate and the output growth rate. While inflation and growth rate changes occur simultaneously, the inflation acts as a tax on the return to human capital and in this sense induces the growth rate...

Persistent link: https://www.econbiz.de/10005791637

Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks

Pesaran, M Hashem; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

This Paper develops a theoretical framework for the analysis of small sample properties of forecasts from general autoregressive models under structural breaks. Finite-sample results for the mean-squared forecast error of one-step-ahead forecasts are derived, both conditionally and...

Persistent link: https://www.econbiz.de/10005123678

Identifying the Monetary Transmission Mechanism Using Structural Breaks

Beyer, Andreas; Farmer, Roger E A - C.E.P.R. Discussion Papers - 2003

We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. We provide an application...

Persistent link: https://www.econbiz.de/10005124223