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Fontenla, Matias - Econometric Society - 2004

standard Diamond-Dybvig agent in the sense that they are uncertain about their liquidity needs at the time they deposit their … endowments in banks. Foreign agents, on the other hand, know their liquidity preference at the time they are born. This paper …-term capital flows in, a moral hazard problem emerges, where foreigners exploit the bank's service of liquidity provision at the …

Persistent link: https://www.econbiz.de/10005328911

Banks, Liquidity Crises and Economic Growth

Gaytan, Alejandro; Ranciere, Romain - Econometric Society - 2004

in a liquid storage technology or in a partially illiquid Cobb Douglas technology. By pooling liquidity risk, banks play …How do the liquidity functions of banks affect investment and growth at different stages of economic development? How … issues using an overlapping generations growth model where agents, who experience idiosyncratic liquidity shocks, can invest …

Persistent link: https://www.econbiz.de/10005702659

Unpredictability and the Foundations of Economic Forecasting

Hendry, David F. - Econometric Society - 2004

We revisit the concept of unpredictability to explore its implications for forecasting strategies in a non-stationary world subject to structural breaks, where model and mechanism differ. Six aspects of the role of unpredictability are distinguished, compounding the four additional mistakes most...

Persistent link: https://www.econbiz.de/10005063638

Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices

Ooms, Marius; Carnero, M. Angeles; Koopman, Siem Jan - Econometric Society - 2004

In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...

Persistent link: https://www.econbiz.de/10005063668

Optimal Rules under Adjustment Cost and Infrequent Information

Garcia, Rene; Bonomo, Marco - Econometric Society - 2004

A large number of microeconomic decision variables such as investments, prices, inventories or employment are characterized by intermittent large adjustments. The behavior of those variables has been often modeled as following state-dependent rules. The optimality of such state-dependent rules...

Persistent link: https://www.econbiz.de/10005699605

Level-n Bounded Rationality on a Level Playing Field of Sequential Games

Haruvy, Ernan; Stahl, Dale - Econometric Society - 2004

We report experimental results using a multi-task for simple two-player, two- stage extensive-form games. It is suggested that by creating the perception of a "level playing field" the participants are relieved of responsibility for others since competition on a level playing field is presumed...

Persistent link: https://www.econbiz.de/10005699669

Estimating Structural Change in Linear Simultaneous Equations

Weihong, Huang; Yang, Zhang - Econometric Society - 2004

Tests and estimation for changes in the coefficients of linear regression models, particularly the analysis of covariance and the Chow tests, are well known to econometricians and are widely used. This paper demonstrates that analogous estimation can also be constructed in simultaneous equation...

Persistent link: https://www.econbiz.de/10005702525

Comparing Empirical Models of the Euro Economy

Wallis, Kenneth F. - Econometric Society - 2004

This article presents a comparative analysis of four macroeconometric models whose proprietors participated in a model comparison conference focused on the new euro area economy. One model, the Area-Wide Model recently developed at the European Central Bank, treats the whole area as a single...

Persistent link: https://www.econbiz.de/10005702540

Inside and Outside Bounds: Threshold Estimates of the Phillips Curve

Olivei, Giovanni P.; Barnes, Michelle L. - Econometric Society - 2004

There have been several instances over the past 40 years when large movements in the unemployment rate have elicited little response in the inflation rate. Such instances, while casting doubt on the tradeoff implied by the linear Phillips curve, are also associated with large inflation...

Persistent link: https://www.econbiz.de/10005702566

Mean Reversion of Real Exchange Rates and Purchasing Power Parity in Turkey

ALBA, Joseph D.; PARK, Donghyun - Econometric Society - 2004

The important concept of purchasing power parity (PPP) has a number of practical implications. Our central objective is to examine the stationarity of Turkeyâ€™s real exchange rates to test for the empirical validity of PPP. Our results from conventional univariate unit root tests fail to...

Persistent link: https://www.econbiz.de/10005702700