Time Series Concepts for Conditional Distributions*

The paper asks the question – as time series analysis moves from consideration of conditional mean values and variances to unconditional distributions, do some of the familiar concepts devised for the first two moments continue to be helpful in the more general area? Most seem to generalize fairly easy, such as the concepts of breaks, seasonality, trends and regime switching. Forecasting is more difficult, as forecasts become distributions, as do forecast errors. Persistence can be defined and also common factors by using the idea of a copula. Aggregation is more difficult but causality and controllability can be defined. The study of the time series of quantiles becomes more relevant.     

A uniqueness proof for monetary steady state

The framework in Lagos and Wright (2005) [20] combining decentralized and centralized markets is used extensively in monetary economics. Much is known about that model, but there is a loose end: only under special assumptions about bargaining power or decentralized market preferences has it been shown that the monetary steady state is unique. For general decentralized market utility and bargaining, I prove uniqueness for generic parameters with fiat money, and for all parameters with commodity money. As a corollary, I get monotone comparative statics.     

Forecasting interest rates with shifting endpoints

We consider forecasting the term structure of interest rates with the assumption that factors driving the yield curve are stationary around a slowly time‐varying mean or ‘shifting endpoint’. The shifting endpoints are captured using either (i) time series methods (exponential smoothing) or (ii) long‐range survey forecasts of either interest rates or inflation and output growth, or (iii) exponentially smoothed realizations of these macro variables. Allowing for shifting endpoints in yield curve factors provides substantial and significant gains in out‐of‐sample predictive accuracy, relative to stationary and random walk benchmarks. Forecast improvements are largest for long‐maturity interest rates and for long‐horizon forecasts. Copyright © 2013 John Wiley & Sons, Ltd.     

Strategic profiles and performance: An empirical test of select key propositions

Competing theories on internal orientation versus external orientation are examined. The relevant theories are amalgamated and condensed into a number of competing propositions that are empirically tested. The findings suggest that the internally oriented businesses as well as the externally oriented businesses underperform the efficient, marketing oriented businesses.     

A simple search model of money with heterogeneous agents and partial acceptability

Summary. Simple search models have equilibria where some agents accept money and others do not. We argue such equilibria should not be taken seriously. This is unfortunate if one wants a model with partial acceptability. We introduce heterogeneous agents and show partial acceptability arises naturally and robustly. There can be multiple equilibria with different degrees of acceptability. Given the type of heterogeneity we allow, the model is simple: equilibria reduce to fixed points in [0,1]. We show that with other forms of heterogeneity equilibria are fixed points in set space, and there is no method to reduce this to a problem in R¹.Received: 4 September 2002, Revised: 23 September 2002JEL Classification Numbers: C78, E40.A. Shevchenko, R. Wright: We thank seminar participants at the Federal Reserve Bank of Cleveland, Indiana University, Purdue University, University of Toronto, the 2002 Midwest Macroeconomics Conference at Vanderbilt University, and the 2001 Conference on Economic Dynamics at the University of Essex. The National Science Foundation and the Federal Reserve Bank of Cleveland provided financial support. Braz Ministerio de Camargo and Gabriel Camera provided some helpful suggestions. Correspondence to: R. Wright     

Developing a process for the relative valuation of R&D programmes

This paper addresses the issue of R&D programme prioritisation within a manufacturing company in the aerospace industry, in the context of an overall framework for technology management. A review of approaches to R&D project selection leads into a recent case, which describes how the company developed a practical methodology. The benefits of the process and the relevance of the academic contribution are discussed, leading to a practical checklist for in-company development of a prioritisation process.     

Risk and Capital Structure in the Regulated Firm

This paper studies the role of capital structure in a regulated firm. We show that it affects the prices set by the regulator, the expected price being lower the higher the proportion of debt finance. However, when debt is increased beyond a certain level, the benefit of lower expected prices is offset by their increased variability. We also study the socially preferred capital structure. This is such that consumers carry some risk, in the form of higher prices in adverse economic conditions.     

A comparative study of the contents of personnel and human resource management textbooks

The paper reports the results of a contents analysis performed on fifty personnel and HRM texts. It suggests that there is a common set of person-nel/HRM tasks across cultures. Within this common set there are differences in the priority accorded to particular tasks. British HRM texts give priority to organizational theory, American HRM texts prioritize corporate strategy, while personnel texts prioritize industrial relations and collective bargaining. The conclusion considers as possible explanations the divergence in the systems of industrial relations of the two countries and the markets towards which the texts are oriented. It argues that a more likely explanation derives from the differential cultural values which inform managerial research in Britain and America.