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This paper seeks to systematically review the main criticisms of the ORANI model by developing a graphical version of a two-sector (exportables and nonexportables) miniature ORANI model. This model shows that ORANI results occur because while supply curves in both sectors have similar slopes. the slopes of the demand curves are polar opposites. Furthermore this model shows that results will tend to be more sensitive to variations in supply rather than demand parameters. Experiments using the ORANI model itself verified these findings. These results indicate that some form of sensitivity analysis with respect to assigned parameter values should form an integral part of any ORANI experiment. 相似文献
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We document a highly significant, strongly nonlinear dependence of stock and bond returns on past equity market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that exploits variation in the cross‐section of returns. The nonlinearities are mirror images for stocks and bonds, revealing flight‐to‐safety: expected returns increase for stocks when volatility increases from moderate to high levels while they decline for Treasuries. These findings provide support for dynamic asset pricing theories in which the price of risk is a nonlinear function of market volatility. 相似文献
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ADRIAN T. H. KUAH 《R&D Management》2009,39(3):305-306
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