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...

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...

We present and assess a procedure to evaluate dynamic, stochastic, general equilibrium macroeconomic models when agents in the economy use an information set superior to that used by researchers. <P> Cette étude présente et documente une procédure d'évaluation de modèles macroéconomiques...</p>

This paper gauges the strenght 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). Most instrumental variables estimates reveal that larger uncertainty leads to smaller current saving, and...

In this paper, we test whether labor-hoarding environments with basic and augmented laws of motion provide an adequate explanation for observed business cycle dynamics. The basic law of motion assumes that the information set used by economic agents to forecast future forcing variables includes...

This paper gauges the causal relationship between external and budget deficits by using Blanchard's overlapping generations model. This model sests the twin deficits hypothesis (i.e. there is a positive relationship between the deficits) and the Ricardian equivalence hypothesis (i.e. there is no...

This paper gauges consumption and portfolio shares for aggregate assets (i.e. financial, tangible, and human assets) and disaggregated assets (i.e. deposits, stocks, and reserves for life insurance and pensions), rather than traditional underlying pricing implications for stocks. Hence, our...

The permanent income hypothesis under certainty equivalence implies that optimal consumption is more volatile than labour income, when labour income is positively autocorrelated in first differences. Empirically, certainty equivalence is rejected because observed consumption is excessively...

The permanent income hypothesis under certainty equivalence yields a martingale consumption process. Empirically, this hypothesis is rejected because consumption is excessively sensitive to anticipated income. One approach to account for excess sensitivity is to relax certainty equivalence by...

We perform an empirical evaluation of the role of capacity utilization in business cycle fluctuations. We first document the relation between capacity utilization and business cycle fluctuations in historical data and then verify whether these empirical features can be explained by a dynamic...