Suppose we have observations ranging over t=0,1,…T on real net investment, {I_{n,t}}₀^{T}, and on real gross investment, {I_{g,t}}₀^{T}. We derive a method of calculating the depreciation rate for each of the periods {δ_{t}}₁^{T}, and estimating `the' implied net capital stock...

We develop an RBC model of the stock market with heterogenous firms. Shares value rests on the rent extracted from proprietary technology. Closed form solutions are provided for the value of each firm and for their aggregate, and for each share's beta, under weak assumptions on the shock...

We model the real exchange rates between the US and 18 OECD countries by an innovative dynamic process called integral correction mechanism, and allow a real exchange rate equilibrium determined by Harrod-Balassa-Samuelson effects. The Harrod-Balassa-Samuelson effect works through a direct...

We provide new evidence in favor of the expectation hypothesis (EH) as a long-run theory of the term structure of interest rates. Using nonparametric techniques, we show that the results of conventional tests that reject the EH are affected by the presence of extreme observations -- only a...