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Author : Jonathan N. Millar
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.E/5 ( download)
Download or read book Gestation Lags and the Relationship Between Investment and Q in Regressions written by Jonathan N. Millar and published by . This book was released on 2005 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jonathan Millar
Publisher :
ISBN 13 :
Total Pages : 92 pages
Book Rating : 4.E/5 ( download)
Download or read book Gestation Lags for Capital, Cash Flows, and Tobins's Q written by Jonathan Millar and published by . This book was released on 2005 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Investment models typically assume that capital becomes productive almost immediately after purchase and that there is no lead time needed to plan. In the case, marginal q is usually sufficient for investment. This paper develops a model of aggregate investment where competitive firms face no adjustment costs other than building and planning delays. In this context, both Tobin's Q and cash flow can be noisy indicators of investment because some shocks fail to outlast the combined gestation lag. The paper demonstrates some empirical facts that challenge prevailing theories of investment but are consistent with gestation requirements. Regressions using aggregate data suggest that it takes at least four quarters for investment to respond to technology shocks and as many as eight additional quarters before productive capacity is affected. Estimates from structural VARs show that only permanent shocks affect investment, but that cash flow and Q react to both permanent and transitory shocks"--Abstract.
Author : Athanasios Orphanides
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.E/5 ( download)
Download or read book Robust Monetary Policy with Imperfect Knowledge written by Athanasios Orphanides and published by . This book was released on 2007 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the performance and robustness properties of monetary policy rules in an estimated macroeconomic model in which the economy undergoes structural change andwhere private agents and the central bank possess imperfect knowledge about the true structure of the economy. Policymakers follow an interest rate rule aiming to maintain price stability and to minimize fluctuations of unemployment around its natural rate but areuncertain about the economy's natural rates of interest and unemployment and how private agents form expectations. In particular, we consider two models of expectations formation :rational expectations and learning. We show that in this environment the ability to stabilize the real side of the economy is significantly reduced relative to an economy under rational expectations with perfect knowledge. Furthermore, policies that would be optimal under perfect knowledge can perform very poorly if knowledge is imperfect. Efficient policies that take account of private learning and misperceptions of natural rates call for greater policy inertia, a more aggressive response to inflation, and a smaller response to the perceived unemployment gap than would be optimal if everyone had perfect knowledge of the economy. We show that such policies are quite robust to potential misspecification of private sector learning and the magnitude of variation in natural rates.
Author : Athanasios Orphanides
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.E/5 ( download)
Download or read book Taylor Rules written by Athanasios Orphanides and published by . This book was released on 2007 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeremy Nalewaik
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.E/5 ( download)
Download or read book Incorporating Vintage Differences and Forecasts Into Markov Switching Models written by Jeremy Nalewaik and published by . This book was released on 2007 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pär Österholm
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.E/5 ( download)
Download or read book Incorporating Judgement in Fan Charts written by Pär Österholm and published by . This book was released on 2006 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Within a decision-making group, such as the monetary-policy committee of a central bank, group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling each agent's judgement as one scenario in a macroeconomic model. Each judgement set has a specific dynamic impact on the system, and accordingly, a particular predictive density - or fan chart - associated with it. A weighted linear combination of the predictive densities yields a final predictive density that correctly reflects the uncertainty perceived by the agents generating the forecast. In a model-based environment, this framework allows judgement to be incorporated into fan charts in a formalised manner.
Author : Missaka Warusawitharana
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.E/5 ( download)
Download or read book Corporate Asset Purchases and Sales written by Missaka Warusawitharana and published by . This book was released on 2007 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Todd E. Clark
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.E/5 ( download)
Download or read book Combining Forecasts from Nested Models written by Todd E. Clark and published by . This book was released on 2007 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the common finding that linear autoregressive models forecast better than models that incorporate additional information, this paper presents analytical, Monte Carlo, and empirical evidence on the effectiveness of combining forecasts from nested models. In our analytics, the unrestricted model is true, but as the sample size grows, the DGP converges to the restricted model. This approach captures the practical reality that the predictive content of variables of interest is often low. We derive MSE-minimizing weights for combining the restricted and unrestricted forecasts. In the Monte Carlo and empirical analysis, we compare the effectiveness of our combination approach against related alternatives, such as Bayesian estimation.
Author : David Edward Lebow
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.E/5 ( download)
Download or read book Inflation Measurement written by David Edward Lebow and published by . This book was released on 2006 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jonathan N. Millar
Publisher : Ann Arbor, Mich. : University Microfilms International
ISBN 13 :
Total Pages : 342 pages
Book Rating : 4.3/5 (91 download)
Download or read book Three Papers on Capital Gestation Lags and Their Effects on Investment and the Value of Capital written by Jonathan N. Millar and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 2005 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Geert Bekaert
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.3/5 (121 download)
Download or read book Risk, Uncertainty and Asset Prices written by Geert Bekaert and published by . This book was released on 2006 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily driven by risk, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns.
Author : John M. Roberts
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.E/5 ( download)
Download or read book Using Structural Shocks to Identify Models of Investment written by John M. Roberts and published by . This book was released on 2005 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yueh-Yun C. O'Brien
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.E/5 ( download)
Download or read book Measurement of Monetary Aggregates Across Countries written by Yueh-Yun C. O'Brien and published by . This book was released on 2007 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Franklin Allen
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.E/5 ( download)
Download or read book Credit Market Competition and Capital Regulation written by Franklin Allen and published by . This book was released on 2006 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William C. Whitesell
Publisher :
ISBN 13 :
Total Pages : 54 pages
Book Rating : 4.E/5 ( download)
Download or read book Monetary Policy Implementation Without Averaging Or Rate Corridors written by William C. Whitesell and published by . This book was released on 2006 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Byron F. Lutz
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.3/5 (121 download)
Download or read book Post Brown Vs. the Board of Education written by Byron F. Lutz and published by . This book was released on 2005 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Glenn Follette
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.E/5 ( download)
Download or read book The Sustainability of Health Spending Growth written by Glenn Follette and published by . This book was released on 2005 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
