ISSN:0883-7252    

DOI:10.1002/jae.3950090502

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

摘要:

AbstractThe aim of this paper is to evaluate the capacity of RBC models to mimic the French business cycle. We are thus led to investigate the three following assumptions on the labour market: (1) the non‐time separability of leisure, (2) the indivisibility of labour and (3) the imperfect information on labour market and time‐varying effort. Using the General Method of Moments, we estimate the structural parameters and we test (1) the model's hypothesis using a set of overidentifying restrictions and (2) the model's implications, i.e. its ability to reproduce the cyclical features of the French econ

ISSN:0883-7252    

DOI:10.1002/jae.3950090503

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

摘要:

AbstractThis paper compares sample fluctuations of the US business cycle with those predicted by a class of equilibrium monetary business cycle models. The predictions of the models are generated using the longrun neutrality restrictions implicit in the models. By imposing these restrictions on sample data, tests of the ability of the models to replicate the dynamics of the US business cycle are constructed. Although the predictions of the models for real side variables are rejected, there is evidence that the nominal side predictions of the models are not rejected.

ISSN:0883-7252    

DOI:10.1002/jae.3950090504

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

摘要:

AbstractA model is developed that attempts to explain the historical size of the US equity premium by distinguishing between gross and net returns accruing to agents. The model derived by Mehra and Prescott (1985) is augmented with a bid–ask spread, calibrated and simulated. Equity premia in the order of 3–4% are generated for plausible values of the transactions parameters. This contrasts with Mehra and Prescott, who find a maximum equity premium of 0.4% while the historic equity premium has been about 6.2%. Estimates of the bid–ask spread are obtained using GMM and tests of the overidentifying restrictions are not rejected for several lists of instrumental vari

ISSN:0883-7252    

DOI:10.1002/jae.3950090505

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

摘要:

AbstractThe aim of this paper is to analyse the implications of the theory of irreversible investment under uncertainty for investment in oil fields on the United Kingdom Continental Shelf (UKCS). We consider the problem of an operator who owns a licence to develop and extract oil from a field of known capacity. An intertemporal optimization model in discrete time is developed to derive decision rules for the timing of the irreversible development investment and for the optimal rate of extraction. Model simulation is then used to describe the properties of the numerical solutions. The predictions of the theory on the determinants of the irreversible investment decision are then examined using statistical duration analysis. Data on the length of the time period between discovery and development are available for individual fields on the UKCS. We measure the duration of the irreversible investment gestation lag for each field and test the model by assessing the significance of the theoretical variables in explaining the significance of such a lag. Both our theoretical model and our empirical results suggest the importance of a nonlinear interaction of the level of oil prices and the volatility of oil prices in determining the development lag. The simulation of our theoretical model shows a nonlinear impact of oil price volatility on the trigger level of oil prices. Our empirical results suggest that the effect of price volatility is a function of the expected price level, with increased price volatility having a positive impact on the duration of investment appraisal when expected prices are low and a negative impact when they are high.

ISSN:0883-7252    

DOI:10.1002/jae.3950090506

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

摘要:

AbstractThis paper tests the well‐known real business cycle model of Kydland and Prescott (1988), using spectral methods for linear filters. Model spectra, coherencies, phase shifts, and correlations are tested against US post‐war data using both asymptotic and small‐sample distributions. Compared with the model, the data have shorter business cycles, smaller co‐movements of different macro variables, and less of a leading role for

ISSN:0883-7252    

DOI:10.1002/jae.3950090507

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

摘要:

AbstractThis paper describes a Monte Carlo procedure to assess the performance of calibrated dynamic general equilibrium models. The procedure formalizes the choice of parameters and the evaluation of the model and provides an efficient way to conduct a sensitivity analysis for perturbations of the parameters within a reasonable range. As an illustration the methodology is applied to two problems: the equity premium puzzle and how much of the variance of actual US output is explained by a real business cycle model.

ISSN:0883-7252    

DOI:10.1002/jae.3950090508

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

摘要:

AbstractIn this paper we demonstrate a new way of testing the linear quadratic adjustment cost (LQAC) model under rational expectations. We illustrate how the parameter restrictions arising from this model can be formally specified and we use these restrictions to extent the technique of Campbell and Shiller (1987) to a wider class of models based on present value relations. Potentially the demand for labour is an area in which the LQAC model can find applicability in practice and subsequently we analyse sectoral labour demand in Danish manufacturing. We find, however, that for our data set the quadratic adjustment cost model under rational expectations can be rejected.

ISSN:0883-7252    

DOI:10.1002/jae.3950090509

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950090510

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY

ISSN:0883-7252    

DOI:10.1002/jae.3950090511

出版商:Wiley Subscription Services, Inc., A Wiley Company    

年代:1994

数据来源: WILEY