Showing 1 - 10 of 68
Persistent link: https://www.econbiz.de/10005527923
This paper presents and assesses a procedure to generate recursive measures of aggregate total wealth and portfolio return. The procedure is more flexible and yields more realistic measures, compared to the classical replacement cost and present value methods.
Persistent link: https://www.econbiz.de/10005491259
In the recent SVAR literature, the liquidity effect has been studied by imposing a variety of identifying restrictions required under the assumption that the SVAR fundamental disturbances are homoscedastic. Using typical SVAR processes, we first show that this assumption is not supported by the...
Persistent link: https://www.econbiz.de/10005408006
Résumé : L’hypothèse de déficits jumeaux stipule qu’il existe une relation positive entre les déficits extérieur et budgétaire engendrée suite aux changements de dépenses publiques ou de taxes. La validité de cette hypothèse implique que les problèmes liés aux solvabilités du...
Persistent link: https://www.econbiz.de/10010991349
Measuring the effects of discretionary fiscal policy is both difficult and controversial, as some explicit or implicit identifying assumptions need to be made to isolate exogenous and unanticipated changes in taxes and government spending. Studies based on structural vector autoregressions...
Persistent link: https://www.econbiz.de/10011051893
This paper gauges the strength of precautionary saving motives by estimating the coefficient of prudence from the U.K. Family Expenditure Survey data set (a time series of cross-sections). The instrumental variables estimates reveal that greater uncertainty systematically leads to larger current...
Persistent link: https://www.econbiz.de/10004990156
Persistent link: https://www.econbiz.de/10005020944
Several authors argue that international real business cycle (IRBC) models with incomplete financial markets offer a good explanation of the ranking of cross-country correlations. Unfortunately, this conclusion is suspect, because it is commonly based on an analysis of the near steady state...
Persistent link: https://www.econbiz.de/10005651474
In the recent SVAR literature, the liquidity effect has been studied by imposing a variety of identifying restrictions required under the assumption that the SVAR fundamental disturbances are homoscedastic. Using typical SVAR processes, we first show that this assumption is not supported by the...
Persistent link: https://www.econbiz.de/10005572478
This paper investigates the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state- and time-non separable preferences are subject to taste shocks. The model nests state- and time-separable preferences with and without taste shocks...
Persistent link: https://www.econbiz.de/10005572482