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Recent empirical work documents a decline in the U.S. equity premium and a decline in the standard deviation of real output growth. We investigate the link between aggregate risk and the asset returns in a dynamic production based asset-pricing model. When calibrated to match asset return...
Persistent link: https://www.econbiz.de/10012706234
The volatility of the U.S. economy since the mid-1980s is much lower than it was during the prior 20-year period. The proximate causes of the increased stability and their relative importance remain unsettled, but the sharpness of the volatility decline and its timing has led authors such as...
Persistent link: https://www.econbiz.de/10012706288
Using survey-based measures of future U.S. economic activity from the Livingston Survey and the Survey of Professional Forecasters, we study how changes in expectations and their interaction with monetary policy contribute to fluctuations in macroeconomic aggregates. We find that changes in...
Persistent link: https://www.econbiz.de/10011010021
We use a structural dynamic stochastic general equilibrium model to investigate how initial data releases of key macroeconomic aggregates are related to final revised versions and how identified aggregate shocks influence data revisions. The analysis sheds light on how well preliminary data...
Persistent link: https://www.econbiz.de/10010930293
The various regions of the United States, although linked, respond differently to changing economic circumstances. Traditional approaches to understanding these different reactions have relied on the assumption that long-run trends in regional income or employment are constant. Recently, many...
Persistent link: https://www.econbiz.de/10005361423
Certain events have raised concern about the risks associated with derivatives trading--witness Orange County, California or Procter & Gamble, both of which lost large sums of money using derivatives. However, the popular discussion often loses track of the benefits derivatives hold for firms,...
Persistent link: https://www.econbiz.de/10005361459
An equilibrium model is used to assess the quantitative importance of monetary policy for the post-1984 decline in U.S. inflation and output volatility. The principal finding is that monetary policy played a substantial role in reducing inflation volatility, but a small role in reducing real...
Persistent link: https://www.econbiz.de/10005085599
This paper investigates the empirical performance of a cash-in-advance model of money demand in which the income velocity of money may be nonstationary. Generalized method of moments is used to estimate parameters from first-order conditions but, unlike much of the existing empirical work on...
Persistent link: https://www.econbiz.de/10005263596
Persistent link: https://www.econbiz.de/10007358007
Persistent link: https://www.econbiz.de/10010839772