Showing 101 - 110 of 160
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...
Persistent link: https://www.econbiz.de/10005611952
This paper gauges the international integration hypothesis, i.e. risk-adjusted anticipated returns are identical, even when financial instruments are traded in different countries. This hypothesis is verified by testing the equality between domestic and foreign risk prices induced by a...
Persistent link: https://www.econbiz.de/10005611957
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...
Persistent link: https://www.econbiz.de/10005561364
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/10005561766
In contrast to earlier work, we study the relation between the current account and interest rate differentials. To do so, we document the relation for international data. We then interpret this relation from a two-country, dynamic, general equilibrium environment. We finally confront the...
Persistent link: https://www.econbiz.de/10005784552
This letter presents and assesses a procedure to generate recursive measures of aggregate total wealth and portfolio return. Conceptually, the procedure is more flexible than the classical replacement cost and present value methods. Empirically, the procedure yields recursive measures that...
Persistent link: https://www.econbiz.de/10005784557
We propose an empirical procedure, which exploits the conditional heteroscedasticity of fundamental disturbances, to test the targeting and orthogonality restrictions imposed in the recent VAR literature to identify monetary policy shocks. Based on U.S. monthly data for the post-1982 period, we...
Persistent link: https://www.econbiz.de/10005784558
This paper gauges the international integration hypothesis, i.e. risk-adjusted anticipated returns are identical, even when financial instruments are traded in different countries. Under time-varying conditional volatility, this hypothesis can be tested by verifying the equality between domestic...
Persistent link: https://www.econbiz.de/10005784562
For post-1975 Canadian data, we document the joint behavior of output, the current account, and the interest differential at the business cycle frequency. We also interpret the joint behavior using a simple small open economy model. Our simple model assumes that agents have access to world...
Persistent link: https://www.econbiz.de/10005795972
This paper documents the relative importance of global and country-specific shocks for international business cycles. For this purpose, we rely on a symmetric two-country, dynamic, general-equilibrium model with costly, incomplete, international financial markets. We also relate exogenous...
Persistent link: https://www.econbiz.de/10005795973