Showing 1 - 10 of 19
In the data, prices change both temporarily and permanently. Standard Calvo models focus on permanent price changes and … them as permanent. We provide a menu cost model that includes motives for both types of price changes. Since this model … accounts for the main regularities of price changes, its predictions for the real effects of monetary policy shocks are useful …
Persistent link: https://www.econbiz.de/10005526370
An examination of the behavior of stock returns around quarterly earnings announcement dates finds a seasonal pattern: small firms show large positive abnormal returns and a sizable increase in the variability of returns around these dates. Only part of the large abnormal returns can be...
Persistent link: https://www.econbiz.de/10005498476
This paper provides an exact Bayesian framework for analyzing the arbitrage pricing theory (APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions for functions of interest in the factor model. In particular, we propose a measure of the APT pricing deviations...
Persistent link: https://www.econbiz.de/10005498525
The conventional wisdom is that monetary shocks interact with sticky goods prices to generate the observed volatility … and persistence in real exchange rates. We investigate this conventional wisdom in a quantitative model with sticky prices …. We find that with preferences as in the real business cycle literature, irrespective of the length of price stickiness …
Persistent link: https://www.econbiz.de/10005498563
In this paper, I characterize equilibria for a sticky-price model in which Federal Reserve policy is an interest … smoother than that predicted by non-sticky price models. …
Persistent link: https://www.econbiz.de/10005427776
In the data, a large fraction of price changes are temporary. We provide a simple menu cost model which explicitly … includes a motive for temporary price changes. We show that this simple model can account for the main regularities concerning … temporary and permanent price changes. We use the model as a benchmark to evaluate existing shortcuts that do not explicitly …
Persistent link: https://www.econbiz.de/10005427801
change and miss the cyclical variation in tariff rates that results from the impact of changing prices on the real value of … specific duties. These price effects are quantitatively important during the 1900 to 1940 period. For example, the Fordney …
Persistent link: https://www.econbiz.de/10005372786
covariances: the covariance of the marginal rate of substitution (MRS) with the equity price and the covariance of the MRS with … monetary transfer evolve according to a VAR. The equity price is a geometric distributed lead of log–normally distributed … random variables; an algorithm to express the price as an explicit function of the state variables is described. …
Persistent link: https://www.econbiz.de/10005372834
This paper studies the outcome of fully insured random selections among multiple competitive equilibria. This defines an iterative procedure of reallocation which is Pareto improving at each step. The process converges to a unique Pareto optimal allocation in finitely many steps. The key...
Persistent link: https://www.econbiz.de/10005372838
Policymakers concerned about rapid swings in commodity prices seek economic guidance about causal factors and future … trends, but standard models—based on Harold Hotelling’s classic 1931 theory—are unable to explain actual data on price … theory that may improve explanations of commodity price changes and provide better policy advice. …
Persistent link: https://www.econbiz.de/10011127928