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Galeotti, Marzio; Maccini, Louis J.; Schiantarelli, Fabio - 2002

-logarithmic form and derive an estimable system of Euler equations for inventories and employment with implied cross …

Persistent link: https://www.econbiz.de/10010293442

Humphreys, Brad R.; Maccini, Louis J.; Schuh, Scott - 2000

) inventories by adding joint determination of input inventories which largely have been ignored Empirically input inventories are … more important than output inventories especially in business cycle fluctuations Maximum likelihood estimation of the …

Persistent link: https://www.econbiz.de/10010293497

The interest rate, learning, and inventory investment

Maccini, Louis J.; Schaller, Huntley; Moore, Bartholomew - 2004

Economic theory predicts a negative relationship between inventories and the real interest rate, but previous empirical … inventories and the interest rate ?are unlikely to uncover a relationship. Our analysis suggests that inventories will not respond … predictions and show a highly significant long-run relationship between inventories and the interest rate, with an elasticity of …

Persistent link: https://www.econbiz.de/10010333073

The Microeconomics of Macroeconomic Asymmetries : Sectoral Driving Forces and Firm Level Characteristics

Korenok, Oleg; Mizrach, Bruce; Radchenko, Stanislav - 2004

There is now considerable evidence that business cycle variation in output and employment in the U.S. differs in expansions and contractions. We present nonparametric evidence that asymmetries are strongest in durable goods manufacturing. In a Markov switching framework, we find two leading...

Persistent link: https://www.econbiz.de/10010263225

Credit risk and disaster risk

Gourio, François - 2012

Credit spreads are large, volatile and countercyclical, and recent empirical work suggests that risk premia, not expected credit losses, are responsible for these features. Building on the idea that corporate debt, while safe in ordinary recessions, is exposed to economic depressions, this paper...

Persistent link: https://www.econbiz.de/10010292117

Great moderations and US interest rates: Unconditional evidence

Nason, James M.; Smith, Gregor W. - 2008

The Great Moderation refers to the fall in U.S. output growth volatility in the mid-1980s. At the same time, the United States experienced a moderation in inflation and lower average inflation. Using annual data since 1890, we find that an earlier 1946 moderation in output and consumption growth...

Persistent link: https://www.econbiz.de/10010292243

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011

Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...

Persistent link: https://www.econbiz.de/10010307494

Bubbles and Leverage: A simple and unified approach

Barsky, Robert; Bogusz, Theodore - 2013

In this paper, we lay out a simple framework that captures much of what the theoretical literature has to say about the role of credit in systemically important asset booms and busts. In addition, we suggest ways in which to incorporate physical investment in the bubble asset as well as monetary...

Persistent link: https://www.econbiz.de/10010352177

Cash-in-the-market pricing in a model with money and over-the-counter financial markets

Mattesini, Fabrizio; Nosal, Ed - 2013

Entrepreneurs need cash to finance their real investments. Since cash is costly to hold, entrepreneurs will underinvest. If entrepreneurs can access financial markets prior to learning about an investment opportunity, they can sell some of their less liquid assets for cash and, as a result,...

Persistent link: https://www.econbiz.de/10010352181

Too good to be true? Fallacies in evaluating risk factor models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017

This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...

Persistent link: https://www.econbiz.de/10012030261