Showing 41 - 50 of 1,047
The term structure of the stock market risk, defined as the per period conditional variance of cumulative returns, is measured in the strategic asset allocation literature (e.g. Campbell and Viceira (2002), (2005)) via multi-step ahead predictions from a VAR model of the joint process for...
Persistent link: https://www.econbiz.de/10008671450
The empirical VAR literature on the monetary transmission mechanism in closed economies has been successful in providing evidence with which theoretical models of the monetary transmission mechanism are now confronted. The empirical VAR literature on the monetary transmission mechanism in open...
Persistent link: https://www.econbiz.de/10005116723
This paper evaluates VAR models designed to analyze the monetary policy transmission mechanism in the United States by considering three issues: specification, identification, and the effect of the omission of the long-term interest rate. Specification analysis suggest that only VAR models...
Persistent link: https://www.econbiz.de/10005116725
The currently available empirical evidence shows remarkable differences between various estimates of the effects on U.S output of an exogenous shift in Federal tax liabilities. Shocks identified via the narrative method, imply a multiplier of about three over . an horizon of three years. Tax...
Persistent link: https://www.econbiz.de/10008463049
This paper documents the existence of a slowly evolving trend in the dividendprice ratio, dpt , determined by a demographic variable, MY : the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The...
Persistent link: https://www.econbiz.de/10008463050
The The standard Real Business Cycle literature mainly focuses on Walrasian models designed to fit the US institutional framework. Differences between the US and Europe, mostly evident in the labor market, suggest that a purely Walrasian model may be inappropriate to study European business...
Persistent link: https://www.econbiz.de/10004970725
How can laboratory experiments help us understand banking crises, including the usefulness of various policy responses? After giving a concise introduction to the field of experimental economics more generally, I attempt to provide answers. I discuss methodological issues and survey relevant...
Persistent link: https://www.econbiz.de/10011099730
Motivated by dynamic asset pricing, we extend the dual pairs?theory of Dieudonné(1942) and Mackey (1945) to pairs of modules over a Dedekind complete f-algebra with multiplicative unit. The main tools are: a Hahn-Banach Theorem for modules of this kind; a topology on the f-algebra that has the...
Persistent link: https://www.econbiz.de/10011103324
The hot hand fallacy has long been considered a massive and widespread cognitive illusion with important economic consequences. While the canonical domain of the fallacy is basketball, which continues to provide its strongest and most readily generalizable supporting evidence, the fallacy has...
Persistent link: https://www.econbiz.de/10011103325
A common explanation for African current underdevelopment is the extractive character of institutions established during the colonial period. Yet, since colonial extraction is hard to quantify, its precise mecha- nisms and magnitude are still unclear. In this paper, I tackle these issues by...
Persistent link: https://www.econbiz.de/10011103326