Narrow search
Showing 1 - 10 of 1,857
Cover Image
Why Has U.S. Inflation Become Harder to Forecast?
Stock, James H. - 2010
Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting … inflation is a key job for economists at the Federal Reserve Board. This paper examines whether this job has become harder and …, to the extent that it has, what changes in the inflation process have made it so. The main finding is that the univariate …
Persistent link: https://www.econbiz.de/10012761277
Cover Image
On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market
Canova, Fabio - 2008
The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no...
Persistent link: https://www.econbiz.de/10012774551
Cover Image
Asymptotic Filtering Theory for Multivariate Arch Models
Nelson, Daniel B. - 2008
ARCH models are widely used to estimate conditional variances and covariances in financial time series models. How successfully can ARCH models carry out this estimation when they are misspecified? How can ARCH models be optimally constructed? Nelson and Foster (1994) employed continuous record...
Persistent link: https://www.econbiz.de/10012775003
Cover Image
Spillovers Across U.S. Financial Markets
Sack, Brian P. - 2003
Movements in the prices of different assets are likely to directly influence one another. This paper develops a model that identifies the contemporaneous interactions between asset prices in U.S. financial markets by relying on the heteroskedasticity in their movements. In particular, we...
Persistent link: https://www.econbiz.de/10012786621
Cover Image
A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
Chen, Fei - 2012
We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority...
Persistent link: https://www.econbiz.de/10013106661
Cover Image
On the Existence and Interpretation of the "Unit Root" in U.S. Gnp
DeLong, J. Bradford; Summers, Lawrence H. - 2021
We use the revised estimates of U.S. GNP constructed by Christina Romer (1989) to assess the time-series properties of U.S. output per capita over the past century. We reject at conventional significance levels the null that output is a random walk in favor of the alternative that output is a...
Persistent link: https://www.econbiz.de/10013224961
Cover Image
Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series
Stock, James H. - 2021
This paper provides asymptotic confidence intervals for the largest autoregressive root of a time series when this root is close to one. The intervals are readily constructed either graphically or using tables in the Appendix. When applied to the Nelson-Plosser (1982) data set, the main...
Persistent link: https://www.econbiz.de/10013233057
Cover Image
From the Valley to the Summit : The Quiet Revolution that Transformed Women'S Work
Goldin, Claudia - 2021
Meaningful discussions about women at the top' can take place today only because a quiet revolution occurred about thirty years ago. The transformation was startlingly rapid and was accomplished by the unwitting foot soldiers of an upheaval that transformed the workforce. It can be seen in a...
Persistent link: https://www.econbiz.de/10013236720
Cover Image
Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988
Stock, James H.; Watson, Mark W. - 2021
This paper catalogs the business cycle properties of 163 monthly U.S. economic time series over the three decades from 1959 through 1988. Two general sets of summary statistics are reported. The first set measures the comovement of each individual time series with a reference series representing...
Persistent link: https://www.econbiz.de/10013237567
Cover Image
Fortune or Virtue : Time-Variant Volatilities Versus Parameter Drifting in U.S. Data
Fernández-Villaverde, Jesús - 2010
performance of the U.S. economy during the 1990s was a result of good shocks; and 4) the response of monetary policy to inflation …
Persistent link: https://www.econbiz.de/10013144506