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A learning hypothesis of the term structure of interest rates
Romhányi, Balázs - EconWPA - 2005
Recent empirical results about the US term structure are difficult to reconcile with the classical hypothesis of rational expectations even if time-varying but stationary term premia are allowed for. A hypothesis of rational learning about the conditional variance of the log pricing kernel is...
Persistent link: https://www.econbiz.de/10005412568
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Entrepreneurial Innovation
Rigotti, Luca; Ryan, Matthew; Vaithianathan, Rhema - EconWPA - 2001
This paper constructs an equilibrium model of entrepreneurial innovation where individuals differ in their attitude toward uncertainty. Unlike previous models of innovation, the firm-formation process is endogenous. An entrepreneur, who owns residual profits, utilizes an uncertain technology and...
Persistent link: https://www.econbiz.de/10005556737
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Editorial Policy and Editorial, to appear at the front of the first issue of the new Cambridge University Press journal, Macroeconomic Dynamics.
Barnett, William A. - EconWPA - 1997
This statement outlines the objectives and policies of the new journal, Macroeconomic Dynamics, which is dedicated to the advancement of macroeconomics as a science. This Editorial is to appear at the front of the first issue of that journal and is copyright by Cambridge University Press.
Persistent link: https://www.econbiz.de/10005126416
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Uncertainty and Risk in Financial Markets
Rigotti, Luca; Chris Shannon=20 - EconWPA - 2002
This paper considers a general equilibrium model in which the=20 distinction between un-certainty and risk is formalized by assuming agents= =20 have incomplete preferences over state-contingent consumption bundles, as=20 in Bewley (1986). Without completeness, individual decision making...
Persistent link: https://www.econbiz.de/10005118598
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Expectation Traps and Monetary Policy
Albanesi, Stefania; Chari, V. V.; Christiano, Lawrence J. - EconWPA - 2002
We describe a class of monetary economies that generate persistent episodes of high and low inflation. In this class of …
Persistent link: https://www.econbiz.de/10005561262
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Money Velocity with Interest Rate Stochastic Volatility and Exact Aggregation
Barnett, William A.; Xu, Haiyang - EconWPA - 1998
The determinants of money velocity are explored under various assumptions on interest rate uncertainty in a monetary general equilibrium model. It is found that the appearance of velocity function instability can be produced by overlooking interest rate stochastic volatility. In addition, when...
Persistent link: https://www.econbiz.de/10005561293
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U.S. Domestic Money, Inflation and Output
Aksoy, Yunus; Piskorski, Tomasz - EconWPA - 2004
and inflation, as outlined in the classical study by M. Friedman and Schwartz, mostly disappeared since the early 1980s … information about future movements of US real output and inflation. Statistical evidence here provided thus suggests that the …
Persistent link: https://www.econbiz.de/10005126378
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Fractional Reserve Banking as Economic Parasitism: A Scientific, Mathematical & Historical Expose, Critique, and Manifesto
Nuri, Vladimir Z. - EconWPA - 2002
. Some implications of the equation are outlined, derived, and proved. The phenomena of counterfeiting, inflation and …, the proceeds of inflation are not actually spendable by the state. Also possible are forms of ``economic warfare'' based …
Persistent link: https://www.econbiz.de/10005126382
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Imperfect Information Leads to Complete Markets if Dividends are Diffusions
Riedel, Frank - EconWPA - 1998
A pure exchange economy with a financial market is studied where aggregate dividends are modeled as a diffusion. The dynamics of the diffusion are allowed to depend on factors which are unobservable to the agents and have to be estimated. With perfect information, the asset market would be...
Persistent link: https://www.econbiz.de/10005561557
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Systems Theory of Macroeconomics, Introduction to
Perison, A.G. - EconWPA - 2001
inflation, has remained unexplained in terms of its mathematical origins. Keynes had attempted to relate inflation to a … mechanism of "sticky wages and prices". Hitherto, such theories of inflation have remained unproven and disputable. Recently …, during the so-called "New Economy" era, characterized by a spread of electronic transactions and Internet commerce, inflation …
Persistent link: https://www.econbiz.de/10005412616