共查询到20条相似文献,搜索用时 46 毫秒
1.
Santiago Budría 《Atlantic Economic Journal》2008,36(3):261-274
This paper explores asset returns in a production economy with habit forming households. We show that a model with capital
adjustment costs and relative habits is consistent with salient financial facts, such as the equity premium, the market price
of risk, and the riskfree interest rate. These predictions are not at odds with good business cycle predictions. In the model,
economy investment is strongly procyclical and more volatile than output, which in turn is more volatile than consumption.
Moreover, consumption growth is positively autocorrelated and negatively (positively) correlated with future (past) stock
returns.
相似文献
Santiago BudríaEmail: |
2.
Non-traded Goods,Technical Progress and Wages 总被引:2,自引:0,他引:2
We use a general equilibrium model of trade to show that technical improvement may indeed cause a fall in the wages of unskilled
workers. Under some modest conditions, the wages of skilled workers may go down too.
相似文献
Reza OladiEmail: |
3.
Panel regressions are used to analyze various measures of state higher education expenditures for 45 states over a time period
from 1986 through 2005. Results of panel stationarity tests indicate that each expenditures series contains a unit root. This
finding is consistent with the incremental theory of public expenditures and implies that time series of these variables should
be differenced if used as dependent variables in regression models. Regression results indicate that changes in state higher
education expenditures are significantly procyclical. State higher education spending appears to fully adjust to population
growth and over-adjust to CPI inflation. Larger state governments are associated with significantly larger annual adjustments
to per capita real state higher education expenditures. No significant evidence is found that state Medicaid or elementary
education expenditures crowd out higher education spending.
相似文献
Gary L. ShelleyEmail: |
4.
The average funding status for eleven southern state pension plans used by teachers as of 2005 is 86%, which translates into
over a $40 billion shortfall. Employing Monte Carlo simulation, this study projects the expected future funding status along
with confidence intervals for each of these states over the next 10 years. Projections suggest the average underfunding will
remain virtually the same based on current state pension contributions and asset allocations. However, if underlying pension
asset returns fail to meet expectations due to high funding risk, the average underfunding could fall to 73%, a shortfall
of over $150 billion.
相似文献
William J. Trainor Jr.Email: |
5.
This paper investigates how innovations in income taxes and government expenditures originating in the US affect the US economy,
and how these effects are transmitted to the Canadian economy. Using a semi-structural VAR model and data for both countries
for the 1961:1–2004:3 period, we find that fiscal policy innovations originating in the US are transmitted to the Canadian
economy by international trade and capital flows through interest rate and exchange rate channels. Unanticipated shocks to
US government expenditures have beggar thy neighbor effects on Canada. US output increases and Canadian output decreases in response to a positive shock to US government expenditures.
In response to an unanticipated increase in US income taxes, US output declines while US and Canadian real interest rates
rise. The response of Canadian output, however, is not significantly different from zero.
相似文献
Faik Koray (Corresponding author)Email: |
6.
Michael Bleaney 《Open Economies Review》2008,19(2):135-146
The puzzle that real exchange rates are less volatile in open economies is an important challenge to exchange rate theory.
Adjustment of domestic prices to nominal exchange rate movements can account for only a small proportion of this effect. Real
and nominal shocks display no obvious correlation with openness. It is shown here that real effective exchange rates are more
strongly mean-reverting in more open economies, even after controlling for exchange rate regime effects. This is predicted
by the theory of current account sustainability, because of its emphasis on ratios to GDP rather than to trade flows.
相似文献
Michael BleaneyEmail: |
7.
This paper contributes to the ongoing debate on the causes of international co-movements of macroeconomic variables. In particular,
existing real business cycle models predict cross-country consumption correlations to be higher than in the actual data, cross-country
output correlations to be lower than in the actual data, and cross-country consumption correlations to be relatively higher
than the output correlations. We show that cross-country correlations of consumption, investment, employment and output predicted
by a standard international real business cycle model are highly sensitive to the share of capital goods in total trade. Our
calibrated model shows that when capital goods account for a share of total traded goods greater than 50%, the apparent discrepancy
between the data and the simulations is resolved.
相似文献
Thomas P. BarbieroEmail: |
8.
Maria Rosa Borges 《Atlantic Economic Journal》2008,36(1):15-30
This paper examines the ex-dividend day behavior of stock prices in the Lisbon Stock Market over the period 1990–1998, extending
on international evidence and discussing the adequacy of competing theories, considering the Portuguese institutional environment.
We find that on the ex-day stock prices fall by less than the dividend, which is in line with the findings of several studies
based on US and non-US data. The main contributions of this paper are: (1) the rejection of a tax explanation for the stock
price drop, because it is inconsistent with the Portuguese tax regime; (2) considering the very small stock price tick and
the fact that dividends are always integer multiples of tick size, the discreteness hypothesis of Bali and Hite (Journal of
Financial Economics 47(2):127–159, 1998) is also ruled out as a possible explanation for ex-day price movements. We find no
evidence of tax related clientele effects. We propose that ex-day price behavior may be an anomaly, reflecting a less than
efficient market with low liquidity levels, price stickiness, and insipid arbitrage trading.
相似文献
Maria Rosa BorgesEmail: |
9.
We examine the relation between a firm’s campaign contributions and lobbying expenditures and its Tobin’s q. We follow other studies that use q to measure the value of the firm’s intangible capital (e.g., the value of advertising, R&D, or environmental performance).
Researchers have found a positive and significant relation between intangible assets and q. If political capital exists, it is an intangible asset. However, we find little relation between q and political contributions, suggesting that campaign contributions may not have long term effects on political markets.
This is consistent with the view that contributions are done by firms as a response to a short term opportunity not as a way
of building long-term political capital.
相似文献
Christopher PopeEmail: |
10.
In this paper we provide a characterization of international consumption risk sharing among a sample of OECD countries based
on panel cointegration and error-correction techniques. Our results indicate that around 30% of idiosyncratic consumption
risks are shared in the short run. In the long run, however, only about 10% of idiosyncratic consumption risks are shared
internationally. In addition, we find that countries characterized by relatively high foreign asset and liability positions
are less exposed to shocks. Moreover, the time it takes until idiosyncratic shocks exert their full impact on consumption
crucially depends on the foreign asset and liability position.
相似文献
Johann Scharler (Corresponding author)Email: |
11.
Policy coordination in East Asia and across the Pacific 总被引:1,自引:1,他引:0
In this paper, we construct a macro-econometric model that describes the economic activity in the Asia-Pacific area and provide
quantitative insights into the recent policy debates on monetary and currency coordination among the East Asian economies.
The model includes a wide variety of monetary and currency policy rules that the East Asian economies adopt and allows for
one country's policymaking to have substantial effects on foreign countries. We apply the model to three current policy issues:
(1) the desirability of currency basket pegs in East Asia, (2) the anticipated effects of China's currency policy reform,
and (3) the non-negativity constraint on Japanese nominal interest rates. The simulation analyses show the external economy
effects of policy rules quantitatively and suggest the difficulty of monetary and currency policy coordination among the East
Asian economies.
相似文献
Koichiro Kamada (Corresponding author)Email: |
Izumi TakagawaEmail: |
12.
Ida Ferrara 《Atlantic Economic Journal》2008,36(2):211-232
This paper is concerned with the waste stock externality associated with production decisions when garbage collection services
are financed by means of user charges and illegal disposal is a viable option to firms. As waste accumulates over time, providing
disutility not only to present generations but also to future generations by negatively affecting environmental quality, the
private and social production choices are compared in the context of a dynamic (intertemporal) model. The inclusion of the
dynamics of the waste stock, which translates into a function describing how the deterioration of environmental quality over
time is linked to waste production as well as disposal mix (recycling, curbside disposal, and illegal disposal), enables the
design of dynamic Pareto-efficient incentive mechanisms for optimal waste production and management.
相似文献
Ida FerraraEmail: |
13.
Kenneth Rogoff 《Review of World Economics》2009,145(1):1-12
Forecasting nominal exchange rates remains a remarkably difficult task, despite the proliferation of new floating currencies,
the maturation of the floating rate period, the deepening of financial markets, and the development of more sophisticated
econometric tests that make use of today’s more powerful computing possibilities. Despite these advances, the basic results
of Meese and Rogoff in the 1980s stand up remarkably well—it is still extremely difficult to forecast exchange rates. To the
extent that there is any forecasting power, the most promising models are those based on purchasing power parity or the current
account, although it must be noted that these mainly predict the real exchange rate, rather than the nominal exchange rate.
Thus, some of the adjustment takes place in prices. Finally, it should be noted that panel methods help in exchange rate forecasting,
albeit mainly by allowing better estimation of nonstructural factors such as shift parameters.
相似文献
Kenneth RogoffEmail: |
14.
Structural breaks and the twin deficits hypothesis 总被引:1,自引:0,他引:1
Alberto Bagnai 《International Economics and Economic Policy》2006,3(2):137-155
Recent theoretical and empirical analyses of the relation between the current account and the government budget balance suggest that the “twin deficits” relation is subject to structural changes. Most previous empirical analyses impose the change point without resorting to econometric testing. In this paper we utilize time series data to evaluate the impact of structural breaks on the long- and short-run relation between current account, government balance and investment in 22 OECD countries. We found that when allowing for the possible existence of structural breaks of unknown date, the data reveal more clearly the long-run relation between the current account and its determinants. Moreover, the empirical results show that the degree of financial integration is generally increasing in most OECD countries, including the leading non-EU economies. This contrasts some recent evidence on the persistence of the so-called Feldstein–Horioka puzzle.
相似文献
Alberto BagnaiEmail: Fax: +39-068081100 |
15.
Juha Tervala 《International Economics and Economic Policy》2008,5(3):255-268
This paper analyses the welfare effects of fiscal policy in a small open economy, where private and government consumption
are substitutes in terms of private utility. The main findings are as follows: fiscal policy raises output, bringing it closer
to its efficient level, but is not welfare-improving even though government spending directly affects private utility. The
main reason for this is that the introduction of useful government spending implies a larger crowding-out effect on private
consumption, when compared with the ‘pure waste’ case. Utility decreases since one unit of government consumption yields less
utility than one unit of private consumption. In any case, the marginal rate of substitution between private and government
consumption is a key parameter in governing the welfare effects of fiscal policy.
相似文献
Juha TervalaEmail: |
16.
Martyn Andrews Lutz Bellmann Thorsten Schank Richard Upward 《Review of World Economics》2009,145(2):293-317
We provide the first estimates of the effect of foreign ownership on wages in Germany, controlling for the observed and unobserved
characteristics of workers and plants. We also test whether the wage gains from joining a foreign-owned firm are subsequently
lost when leaving that firm, and we examine whether wage gains vary across the sample. We find large selection effects in
terms of worker and plant components of wages. Once the selection effect is taken into account, the takeover effect is small
and in some cases insignificantly different from zero.
相似文献
Richard UpwardEmail: |
17.
Charles A. E. Goodhart 《Atlantic Economic Journal》2007,35(1):1-21
Whilst there are many sizeable benefits from currency union, the main disadvantage is often the difficulty of adjusting to
an asymmetric shock. Such adjustment is easier when the separate countries (regions) in such a union have flexible labour
markets, and when there is a federal fiscal system to ease the adjustment process. The euro-zone has neither. We show that
the trends in relative unit labour costs have in several recent cases been worsening relative competitiveness, thereby putting
the euro-zone under greater centrifugal pressure. Nevertheless the costs of ‘exit’ are so high that it would only probably
occur as a consequence of political mis-calculation.
相似文献
Charles A. E. GoodhartEmail: |
18.
Suryadipta Roy 《Atlantic Economic Journal》2007,35(3):303-314
Using data from the National Survey on Drug Use and Health, evidence of income inferiority in illegal drug consumption is
presented. This is done by estimation of binary choice probit models with endogenous regressors. The endogeneity of income
with regard to drug consumption is considered and the more efficient three-stage least squares procedures have been implemented.
In general, the results indicate that accounting for endogeneity improves results on income inferiority with regard to drug
consumption. An implication of this study is that some form of income distribution policies towards the poor might be more
effective in controlling substance abuse. It also points out the regressive nature of the government’s substance abuse program.
相似文献
Suryadipta RoyEmail: |
19.
Maxim L. Pinkovskiy 《Atlantic Economic Journal》2009,37(1):99-112
We propose a model of stochastic choice in which the error term is derived from a maximizing framework in which it is costly
for agents to make decisions optimally. We argue that the model has testable implications, and is closely related to other
models used in the literature on choice under risk. We test this model over experimental data, replicate some conclusions
of the existing literature, and show our model to perform well against models in the field in current use.
相似文献
Maxim L. PinkovskiyEmail: |
20.
Sowing the seeds for the subprime crisis: does global liquidity matter for housing and other asset prices? 总被引:1,自引:0,他引:1
Ansgar Belke Walter Orth Ralph SetzerJr. 《International Economics and Economic Policy》2008,5(4):403-424
We assess the relationship between global liquidity and two important classes of asset prices on a global scale. For this
purpose, we estimate a variety of VAR models for the global economy using aggregated data which represent the major OECD countries.
According to the impulse responses obtained a positive shock to global liquidity raises the global house price index and later
on via commodity prices also the global GDP deflator to the same extent. Hence, we conclude that there are subsequent spill-over
effects from house prices to the overall price level. However, we are not able to find any empirical evidence in favor of
the hypothesis that stock prices significantly react to changes in global liquidity.
相似文献
Ralph Setzer Jr.Email: |