Smoothly mixing regressions

This paper extends the conventional Bayesian mixture of normals model by permitting state probabilities to depend on observed covariates. The dependence is captured by a simple multinomial probit model. A conventional and rapidly mixing MCMC algorithm provides access to the posterior distribution at modest computational cost. This model is competitive with existing econometric models, as documented in the paper's illustrations. The first illustration studies quantiles of the distribution of earnings of men conditional on age and education, and shows that smoothly mixing regressions are an attractive alternative to nonBayesian quantile regression. The second illustration models serial dependence in the S&P 500 return, and shows that the model compares favorably with ARCH models using out of sample likelihood criteria.     

淘宝胜出eBay易趣之谜

在中国 C2C 市场上,易趣成立最早,1999—2002年间取得了飞速发展,然而2003年淘宝成立后,逐步鲸吞蚕食了易趣的市场份额;2006年淘宝的市场份额达到了70%。本文拟针对这一现象,从淘宝在艰难的环境中生存之术,到相持阶段的以攻为守,到后来发动大反攻这样一个阶段为线索,分析淘宝如何在竞争中开始极其弱势而后来居上的原因。     

Weak Identification of Forward‐looking Models in Monetary Economics*

Recently, single‐equation estimation by the generalized method of moments (GMM) has become popular in the monetary economics literature, for estimating forward‐looking models with rational expectations. We discuss a method for analysing the empirical identification of such models that exploits their dynamic structure and the assumption of rational expectations. This allows us to judge the reliability of the resulting GMM estimation and inference and reveals the potential sources of weak identification. With reference to the New Keynesian Phillips curve of Galí and Gertler [Journal of Monetary Economics (1999) Vol. 44, 195] and the forward‐looking Taylor rules of Clarida, Galí and Gertler [Quarterly Journal of Economics (2000) Vol. 115, 147], we demonstrate that the usual ‘weak instruments’ problem can arise naturally, when the predictable variation in inflation is small relative to unpredictable future shocks (news). Hence, we conclude that those models are less reliably estimated over periods when inflation has been under effective policy control.     

Return and Maturity Relationships for Treasury Auctions: Evidence from Turkey

The relationship between the interest rate and the maturity of newly issued bonds provides information on the debt dynamics of an economy as well as on the sustainability of its debt. Such information is crucial especially for countries that have debt‐rollover concerns due to financial stress and/or macroeconomic instability. This study investigates the relationship between treasury auction maturity, which also dictates the debt maturity, and auction interest rates. When the Turkish treasury auction data from 1988 to 2004 are analysed, a reciprocal linkage between auction interest rates and maturities can be observed, especially for the 1995–2000 period, when there were chronic high inflation, high political uncertainty, high public deficits and unsuccessful attempts at stabilisation. This suggests that under an adverse shock, the Treasury decreases the auction maturity in order not to increase interest rates too much. A change in this reciprocal relationship is also reported for the post‐2001 era, which is characterised by decreasing inflation, higher political stability, lower public deficits and successful stabilisation attempts.     

Modeling Cyclical Asymmetries in GDP: International Evidence

This paper models asymmetric behavior in GDP growth in the USA, Germany, France, and Japan. It develops smooth transition autoregressive models and interprets nonlinear dynamics in terms of cyclical asymmetries. A procedure for defining data-based, qualitative cyclical regimes from the estimated models is proposed, and generalized impulse response functions are computed to assess to what extent the response to a shock changes over different phases of the cycle.     

Real exchange rate behavior

Using random simulations with artificial data with identical sample characteristics to the long-sample exchange rate data employed by Lothian and Taylor (Lothian, J.R. and Taylor, M.P. (1996). The recent float from the perspective of the past two centuries. Journal of Political Economy 104, 488–509.), we show that standard unit-root tests have extremely low power over sample sizes corresponding to the recent float. The probability of rejecting the null hypothesis when it is false is extremely low with 20 years or even 50 years of data and only reaches an acceptable level over much longer spans.     

OPTIMAL GROWTH IN A TWO‐SECTOR RSS MODEL WITHOUT DISCOUNTING: A GEOMETRIC INVESTIGATION*

This essay reports results on optimal growth in a two‐sector model with fixed coefficients, irreversible investment and no discounting. Under normalization, the model can be represented by two real numbers, but despite its deceptive simplicity, it admits rich transition dynamics and apparent pathologies that seem to have been missed in earlier work. From a methodological point of view, and in the light of recent work of Nishimura and Yano, this essay can also be seen as a further rehabilitation of geometric methods as an engine of analysis.     

Bailey's Measure of the Welfare Costs of Inflation as a General-Equilibrium Measure

Lucas (2000) has shown that Bailey's formula for the welfare costs of inflation can be regarded as an approximation to the general-equilibrium measures that emerge from the Sidrauski and the shopping-time models. In this paper we show that Bailey's measure can be exactly obtained in the Sidrauski general-equilibrium framework under the assumption of quasilinear preferences. The result, based on whether or not wealth effects are incorporated into the analysis, is also helpful in clarifying why Lucas' measure derived from the Sidrauski model turns out to be an upper bound to Bailey's. Two examples are used to illustrate the main conclusions.     

水泥标准稠度用水量的影响因素

水泥标准稠度用水量的高低对混凝土的性能影响很大。本文分析了影响水泥标准稠度用水量的系列因素,认为熟料中的矿物C3A含量是主要因素,其含量越高,配制成的水泥标准稠度用水量就越高。熟料的烧成质量、水泥比表面积、水泥中混合材的种类及掺量、石膏的品位等因素也对水泥标准稠度用水量有一定影响。水泥标准稠度用水量越低,配制的混凝土性能越好。     

A Semiparametric Analysis of the Term Structure of the US Interest Rates*

The short end of the US$ term structure of interest rates is analysed allowing for the possibility of fractional integration and cointegration. This approach permits mean‐reverting dynamics for the data and the existence of a common long run stochastic trend to be maintained simultaneously. We estimate the model for the period 1963–2006 and find it compatible with this structure. The restriction that the data are I(1) and the errors are I(0) is rejected, mainly because the latter still display long memory. This result is consistent with a model of monetary policy in which the Central Bank operates affecting contracts with short term maturity, and the impulses are transmitted to contracts with longer maturities and then to the final goals. However, the transmission of the impulses along the term structure cannot be modelled using the Expectations Hypothesis.