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We study the convergence of European bond markets and the anchoring of inflation expectations in the euro area using high-frequency bond yield data for France, Germany, Italy, and Spain as well as smaller euro area countries and a control group comprising the UK, Denmark, and Sweden. We find...
Persistent link: https://www.econbiz.de/10011080421
The risk premium on equities and nominal and real long-term debt in the standard dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to empirical measures obtained from the data--an example of the equity and bond "premium puzzles."...
Persistent link: https://www.econbiz.de/10011004619
in both a simple analytic model, where news shocks overcome the ``dynamic inconsistencies" documented in Estrella and Fuhrer (2002), and in a model that incorporates many of the real rigidities common to DSGE models. The paper calls for more thoughtful modeling of how information about...
Persistent link: https://www.econbiz.de/10011080278
Using a dynamic factor model, we uncover four main empirical regularities on international comovements in a long-run panel of real and nominal variables. First, the contribution of world comovements to domestic output growth has decreased over the post-WWII period. The contribution of regional...
Persistent link: https://www.econbiz.de/10011080279
of reputation building converges to a level strictly between 0 and 1. However, the two limiting cases differ in the number of third party signals invoked.
Persistent link: https://www.econbiz.de/10011080280
linear hidden action preferences exhibiting a preference for late resolution of uncertainty. The costly contemplation model (Ergin and Sarver (2008a)), as well as a generalization of the Kreps and Porteus (1978) model that allows for preference for flexibility in the sense of DLR (2001) are also...
Persistent link: https://www.econbiz.de/10011080281
and search for a difference in the pattern of environmental quality when technological progress is taken to be endogenous by extending Brock and Taylor (2003). Brock and Taylor define pollution production and abatement explicitly by considering pollution as an output of both production and...
Persistent link: https://www.econbiz.de/10011080282
data support the model predictions.
Persistent link: https://www.econbiz.de/10011080283
Capacity addition and withdrawal decisions are among the most important strategic decisions made by firms in oligopolistic industries. In this paper, we develop and analyze a fully dynamic model of an oligopolistic industry with lumpy capacity and lumpy investment/disinvestment. We use our model...
Persistent link: https://www.econbiz.de/10011080284
rational expectations.
Persistent link: https://www.econbiz.de/10011080285