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Determinants of Long-Term Growth : A Bayesian Averaging of Classical Estimates (BACE) Approach

Doppelhofer, Gernot - 2000

This paper examines the robustness of explanatory variables in cross-country economic growth regressions. It employs a novel approach, Bayesian Averaging of Classical Estimates (BACE), which constructs estimates as a weighted average of OLS estimates for every possible combination of included...

Persistent link: https://www.econbiz.de/10012471000

Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market

Elliott, Graham - 1995

This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...

Persistent link: https://www.econbiz.de/10012473491

Consumption Risk and International Asset Returns : Some Empirical Evidence

Cumby, Robert E. - 1987

The paper examines if real stock returns in four countries are consistent with consumption-based models of international asset pricing. The paper finds that ex-ante real stock returns exhibit statistically significant fluctuations over time and that these fluctuations cannot be explained by...

Persistent link: https://www.econbiz.de/10012476685

Short-run and Long-run Expectations of the Yen/Dollar Exchange Rate

Ito, Takatoshi - 1993

The survey data on the yen/dollar exchange rate, collected twice a month for eight years from 1985 to 1993, shows the following features. First, the expected exchange rate changes in the short horizon (one month) are of the band-wagon type while the expected changes in the long horizon (three to...

Persistent link: https://www.econbiz.de/10012474397

Shining a Light on Purchasing Power Parities

Pinkovskiy, Maxim - 2018

study of PPP-adjusted estimates of GDP around the world between 1992 and 2010. First, we find that while market exchange … optimal. Using data from the Penn World Tables, we find that, indeed, it is optimal to only use the latest price data, and …

Persistent link: https://www.econbiz.de/10012453295

Random Walk or A Run : Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability

Hashimoto, Yuko - 2008

Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a "run" -- continuous increases or decreases in deal prices for the past several ticks -- does have some predictable information on the direction of the next price movement. Deal...

Persistent link: https://www.econbiz.de/10012464487

Social Security and Democracy

Mulligan, Casey B. - 2002

Many political economic theories use and emphasize the process of voting in their explanation of the growth of Social Security, government spending, and other public policies. But is there an empirical connection between democracy and Social Security program size or design? Using some new...

Persistent link: https://www.econbiz.de/10012469756

The World Distribution of Income (estimated from Individual Country Distributions)

Sala-i-Martin, Xavier - 2002

We estimate the world distribution of income by integrating individual income distributions for 125 countries between … hosted 11% of the world's poor in 1960. It hosted 66% of them in 1998. We estimate nine indexes of income inequality implied … by our world distribution of income. All of them show substantial reductions in global income inequality during the 1980s …

Persistent link: https://www.econbiz.de/10012469781

Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets

Ito, Takatoshi - 2012

Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign exchange markets, but it typically last only a few seconds....

Persistent link: https://www.econbiz.de/10012460119

Newer Need Not be Better : Evaluating the Penn World Tables and the World Development Indicators Using Nighttime Lights

Pinkovskiy, Maxim - 2016

Penn World Tables and of the World Development Indicators better estimate true income per capita. We find that revisions of …-price series in both PWT 8.0 and PWT 8.1, the two most recent vintages of the PWT. We additionally find that the World Development … Indicators are as good, and often better, measures of unobserved true income as are any recent vintages of the Penn World Tables …

Persistent link: https://www.econbiz.de/10012456459