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Firm-Specific Information and the Efficiency of Investment

Chari, Anusha - 2006

We use a new firm-level dataset to examine the efficiency of investment in emerging economies. In the three-year period following stock market liberalizations, the growth rate of the typical firm's capital stock exceeds its pre-liberalization mean by an average of 5.4 percentage points....

Persistent link: https://www.econbiz.de/10012466482

Evolving Reputation for Commitment : The Rise, Fall and Stabilization of US Inflation

King, Robert G.; Lu, Yang - National Bureau of Economic Research - 2022

A parsimonious model of shifting policy regimes can simultaneously capture expected and actual US inflation during 1969-2005. Our model features a forward-looking New Keynesian Phillips curve and purposeful policymakers that can or cannot commit. Private sector learning about policymaker type...

Persistent link: https://www.econbiz.de/10013477255

Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022

We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …

Persistent link: https://www.econbiz.de/10013210100

Has US Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data

Boivin, Jean - 2005

coefficients. The estimation is based on real-time data and accounts for the presence of heteroskedasticity in the policy shock …-sample estimation. In contrast to Orphanides (2002, 2003), I find that the Fed's response to the real-time forecast of inflation was …

Persistent link: https://www.econbiz.de/10012467369

Monetary Policy in Japan, Germany and the United States : Does One Size Fit All?

Chinn, Menzie D. - 1997

We study the post-war evidence for Japan to see if the same specification for both the economy and the monetary policy rule is useful for understanding Japan's economy and monetary policy. A recurrent theme in the literature on Japanese monetary policy is that there are significant differences...

Persistent link: https://www.econbiz.de/10012472722

The Constrained Asset Share Estimation (CASE) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market

Engel, Charles - 1993

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …

Persistent link: https://www.econbiz.de/10012474666

The Stabilization of the U.S. Economy Evidence From the Stock Market

Shapiro, Matthew D. - 1988

Until recently, economists widely believed that economic activity had become less variable in the United States following the end of World War II. Challenging this belief, new research suggests that key historical time series are spuriously volatile, a finding that is highly controversial. Data...

Persistent link: https://www.econbiz.de/10012476419

The Long and Variable Lags of Monetary Policy : Evidence from Disaggregated Price Indices

Aruoba, S. Borağan; Drechsel, Thomas - National Bureau of Economic Research - 2024

We study how monetary policy affects subcomponents of the Personal Consumption Expenditures Price Index (PCEPI) using local projections. Following a monetary policy contraction, the response of aggregate PCEPI turns significantly negative after over three years. There are stark differences in...

Persistent link: https://www.econbiz.de/10014576652

Equity Yields

van Binsbergen, Jules H. - 2011

decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit …

Persistent link: https://www.econbiz.de/10012461242

Monetary Policy and Real Borrowing Costs at the Zero Lower Bound

Gilchrist, Simon - 2014

in Treasury yields to comparable-maturity private yields …

Persistent link: https://www.econbiz.de/10012458571

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