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A fundamental distinction can be drawn between real and nominal macroeconomic shocks. The aim of this paper is to identify and measure these two types of shocks and to estimate the response of output growth and inflation to them. A vector autoregression methodology that incorporates long-run...
Persistent link: https://www.econbiz.de/10005682289
Rational expectations models in which the forecast horizon is not equal to the sampling interval may result in serially correlated errors. Valid inference requires adjustment to the variance-covariance matrix. This paper outlines SEREM (Statistical Estimation of Rational Expectations Models)--a...
Persistent link: https://www.econbiz.de/10005682350
This paper investigates the use of alternative measures of dividend yields to predict US aggregate stock returns. Following <link rid="b30">Miller and Modigliani</link> ["Journal of Business" (1961), Vol. 34, pp. 411-433] we construct a cashflow yield that includes both dividend and non-dividend cashflows to...
Persistent link: https://www.econbiz.de/10005186815