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Fads, Martingales, and Market Efficiency
Lehmann, Bruce N. - 1988
Much of the theoretical basis for current monetary and financial theory rests on the economic efficiency of financial …
Persistent link: https://www.econbiz.de/10012476533
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Some Simple Bitcoin Economics
Schilling, Linda - 2018
How do Bitcoin prices evolve? What are the consequences for monetary policy? We answer these questions in a novel, yet simple endowment economy. There are two types of money, both useful for transactions: Bitcoins and Dollars. A central bank keeps the real value of Dollars constant, while...
Persistent link: https://www.econbiz.de/10012453232
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Project Appraisal and Foreign Exchange Constraints : A Simple Exposition
Blitzer, Charles R. - 1987
In an earlier paper, we showed that the value of shadow prices depends on how the government contemplates re- equilibrating the economy to the perturbation associated with any project, except in the extreme case where the government has chosen all policy instruments optimally. Only under...
Persistent link: https://www.econbiz.de/10012476904
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Optimal Policy Projections
Svensson, Lars O. - 2005
We outline a method to provide advice on optimal monetary policy while taking policymakers' judgment into account. The method constructs Optimal Policy Projections (OPPs) by extracting the judgment terms that allow a model, such as the Federal Reserve Board's FRB/US model, to reproduce a...
Persistent link: https://www.econbiz.de/10012467290
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A Note on Variance Decomposition with Local Projections
Gorodnichenko, Yuriy - 2017
We propose and study properties of several estimators of variance decomposition in the local-projections framework. We find for empirically relevant sample sizes that, after being bias corrected with bootstrap, our estimators perform well in simulations. We also illustrate the workings of our...
Persistent link: https://www.econbiz.de/10012453716
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Analyzing the Spectrum of Asset Returns : Jump and Volatility Components in High Frequency Data
Aït-Sahalia, Yacine - 2010
finer characteristics of these components such as the degree of activity of the jumps. We extend the existing theory to …
Persistent link: https://www.econbiz.de/10012462842
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A Martingale Representation for Matching Estimators
Abadie, Alberto - 2009
article establishes a martingale representation for matching estimators. This representation allows the use of martingale … the theory, we derive the asymptotic distribution of a matching estimator when matching is carried out without replacement …
Persistent link: https://www.econbiz.de/10012463891
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Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
Clark, Todd E. - 2005
a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no …
Persistent link: https://www.econbiz.de/10012467602
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Spectral Based Testing of the Martingale Hypothesis
Durlauf, Steven N. - 1992
This paper proposes a method of testing whether a time series is a martingale. The procedure develops an asymptotic … theory for the shape of the spectral distribution function of the first differences. Under the null hypothesis, this shape … against particular alternatives. Application of the test to stock prices finds some evidence against the random walk theory …
Persistent link: https://www.econbiz.de/10012474938
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The Social Cost of Labor, and Project Evaluation : A General Approach
Stiglitz, Joseph E. - 1983
This paper develops a general methodology for analyzing shadow wage (and other shadow prices). Our approach is to identify those reduced form relationships describing the economy which are central to the determination of the shadow wage, and use these to obtain simple formulae for the shadow...
Persistent link: https://www.econbiz.de/10012477868