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Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
Timmermann, Allan; Elliott, Graham; Komunjer, Ivana - Econometric Society - 2004
Survey data on expectations frequently find evidence that forecasts are biased, rejecting the joint hypothesis of rational expectations and symmetric loss. While the literature has attempted to explain this bias through forecasters' strategic behavior, we propose a simpler explanation based on...
Persistent link: https://www.econbiz.de/10005702628
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Do Heterogeneous Beliefs Matter for Asset Pricing?
Juergens, Jennifer; Anderson, Evan; Ghysels, Eric - Econometric Society - 2004
We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term)...
Persistent link: https://www.econbiz.de/10005342284
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A Nonlinear Model of the Business Cycle
Potter, Simon M.; Leamer, Edward E. - Econometric Society - 2004
The usual index of leading indicators has constant weights on its components and is therefore implicitly premised on the assumption that the dynamical properties of the economy remain the same over time and across phases of the business cycle. We explore the possibility that the business cycle...
Persistent link: https://www.econbiz.de/10005328932
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Earnings Growth and the Bull Market of the 1990s: Is There a Case for Rational Exuberance?
Nelson, Charles R.; Bae, Jinho - Econometric Society - 2004
This paper examines whether permanent earnings growth, crucial to stock valuation, increased during the last decade as suggested by proponents of the 'New Economy.' Using S\&P 500 earnings for 1951-2000, we do not find strong evidence of either a one-time structural break or gradual change....
Persistent link: https://www.econbiz.de/10005342317
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Learning the CAPM through Bubbles
Kedar-Levy, Haim - Econometric Society - 2004
Bubbles are generally considered the outcome of investor irrationality or informational asymmetry, both objectionable … prices make a lognormal price process that nests the classic CAPM with a potential for endogenous bubbles through learning … might burst to bubbles or decline to near-zero, “pink-sheet†valuations. When the technology shifts phase to generate …
Persistent link: https://www.econbiz.de/10005702759
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The Equity Premium and the Baby Boom
Brooks, Robin - Econometric Society - 2004
This paper explores the quantitative impact of the Baby Boom on stock and bond returns. It constructs a neoclassical growth model with overlapping generations, in which agents make a portfolio decision over risky capital and safe bonds in zero net supply. The model has exogenous technology and...
Persistent link: https://www.econbiz.de/10005328938
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Testing for a unit-root with a nonlinear Fourier function
Lee, Junsoo; Enders, Walter - Econometric Society - 2004
The paper develops a unit-root test that allows for an unknown number of structural breaks with unknown functional forms. The test is based on the fact that the behavior of such series can often be captured using a single frequency component of a Fourier approximation. Hence, instead of...
Persistent link: https://www.econbiz.de/10005063755
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The Japanese Economic Model: JEM
Teranishi, Yuki; Fujiwara, Ippei; Hara, Naoko - Econometric Society - 2004
In this paper, we set out the JEM (Japanese Economic Model), a large macroeconomic model of the Japanese Economy. Although the JEM is a theoretical model designed with a view to overcoming the Lucas (1976) critique of traditional large macroeconomic models, it can also be used for both...
Persistent link: https://www.econbiz.de/10005702717
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Advances in economics and econometrics: theory and applications ; Vol. 1
Kreps, David M. (ed.); Wallis, Kenneth Frank (ed.) - 1997
Persistent link: https://www.econbiz.de/10000618529
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Advances in economics and econometrics: theory and applications ; Vol. 2
Kreps, David M. (ed.); Wallis, Kenneth Frank (ed.) - 1997
Persistent link: https://www.econbiz.de/10000618530