This is a short note, showing how money demand estimation works very well in levels or long (4 year) differences, but not when you first-difference the data. There is a nice lesson on how to extend diffusion models to jumps too. I used bandpass filters to isolate the runs and confirmed this prediction. This paper sits halfway between the random walk in gnp jpe and permanent and transitory components qje. Warning, its incomplete, not well written, and will be revised many times.
Consistent with beckers model of household specialization, shocks to male relative stature reduce marriage and fertility. Craig burnside, martin eichenbaum, isaac kleshchelski and sergio rebelo. My essays are here, other essays may be on other authors webpages Buy now Make or buy research paper Cambridge
This structure will be very poorly captured by standard nonparametric procedures such as newey-west, since youre unlikely to put in enough lags to capture the long-run component, and also poorly captured by parametric procedures like fitting an ar(1). Present values change by more than inflation, and long term bonds soak up a lot of fiscal shocks, smoothing inflation forward. It has nothing to do with the production-based papers that came later in the journal of finance and jpe. In the models, the fed reacts to inflation by setting interest rates in a way that ends up increasing future inflation. A great paper, but a first-order condition is not an explanation.
This is the text of my presentation at the concluding panel of the conference, fiscal policy under fiscal imbalance, hosted by the becker-friedman institute and federal reserve bank of chicago Make or buy research paper Cambridge Buy now
What are the var or return-forecast-regression implications of a state-space model? What state-space model does a var imply? I start optimistic. Comments on robin greenwood and dimitri vayanos paper for the igm. I abandoned the project because its too easy there are no probabilities in firm decisions with this standard technology, so its very easy to get contingent claims prices that differ from probabilities. The yield curve has not become more downward sloping on average, as it should if inflation risks have decreased. The benefits of endowment destruction depend sensitively on how you discretize the model.
The article shows how private markets can solve this problem. Everything you wanted to know, but didnt have time to read, about equity premium, consumption-based models, investment-based models, general equilibrium in asset pricing, labor income and idiosyncratic risk Buy Make or buy research paper Cambridge at a discount
The version includes a time-varying interest rate, which also generates yield spreads that forecast bond returns. At the bound inability to produce safe assets in one country spills over to output gaps at another one. Typically, we think expected returns move slowly over time. We had a run, so get rid of run-prone liabilities. But it puts a lot of irrationality deeply at the heart of monetary economics.
Presented at the chicago fed conference on asset price bubbles, april 2002. The china shock learning from labor market adjustment to large changes in trade male earnings, marriageable men, and nonmarital fertility evidence from the fracking boom the effects of computers and acquired skills on earnings, employment and college enrollment evidence from a field experiment and california ui earnings records national bureau of economic research, 1050 massachusetts ave Buy Online Make or buy research paper Cambridge
I show how we needdiscount rates to understand the cyclical variation of inflation, and how monetary policy is quite strong in the fiscal theory, by the ability to controlnominal interest rates and thus expected inflation. Talk given at the minneapolis federal reserves ending too bigto fail symposium, may 16 2016. In turn this generates time-varying pricedividend ratio that forecasts stock returns, does not forecast dividends, and so forth. But short-order arma models are fit to match one-step ahead forecasts, and can do a poor job of capturing long-term forecastability. I think the subsequent permanent and transitory components answers the substantive question better, but the warning about using long-term implications of short-term models remains worthwhile today Buy Make or buy research paper Cambridge Online at a discount
Have lars hansen discover a really interesting mistake in technical appendix c of your job market paper. If anything, risk premia in long-term bonds are increasing. I alsodecompose recession related shocks, monetary and fiscal policy shocks, and the value of debt. Includes some new thoughts on what a monetary policy shock is. Inflation is determined as the unique initial value that doesnt set off accelerating inflation.
It didnt, but now i, and i hope you, know how to do all the discrete-time tricks in continuous-time models. Summary of background (statistics, regression, time series, matrices, maximization) and a concise treatment of some of the standard topics (bond notation and expectations hypothesis, bond pricing) lecture notes for phd time series course Make or buy research paper Cambridge For Sale
The financial crisis is mainly about too big to fail expectations. This turned in to the paper by the same name above. The techical appendix has algebra for determinacy regions and solutions of the three-equation new-keynesian model, as well as other issues. But the health market is dysfuctional, and needs to be fixed as well. An essay summarizing the threat of inflation from large debt and deficits.
This is a review essay of the transition from unpredictable returns and capm to predictable returns and multifactor models. Warning, its incomplete, not well written, and will be revised many times. We exploit the gender-specific components of large-scale labor demand shocks stemming from rising international manufacturing competition to test how shifts in the relative economic stature of young men versus young women affected marriage, fertility and childrens living circumstances during 1990-2014 For Sale Make or buy research paper Cambridge
Its expected return must rise so that people are willing to hold it despite its now larger share. Talk given at the minneapolis federal reserves ending too bigto fail symposium, may 16 2016. But there is no trade credit, and banks do not make working capital loans to purchase inputs. Comments given at nber monetary economics program meeting, ny. They predict mild inflation, little output variation, and negative multipliers during the liquidity trap.
This situation means that residuals have a slow-moving ar(1) plus an unforecastable component, which is the same thing as an arma(1,1). But short-order arma models are fit to match one-step ahead forecasts, and can do a poor job of capturing long-term forecastability Sale Make or buy research paper Cambridge