Showing 1 - 10 of 202
We construct a cross-section of stock prices and their corresponding present values of future cash flows. A regression of present value on the initial stock price should have a slope coefficient equal to 1.0. For short horizons, this is a cross-section version of checking the random walk model...
Persistent link: https://www.econbiz.de/10013056159
Persistent link: https://www.econbiz.de/10003840145
Persistent link: https://www.econbiz.de/10010463750
Persistent link: https://www.econbiz.de/10008823662
Standard models of intertemporal utility maximization assume that agents discount future utility flows at a constant rate — exponential discounting. Euler equations estimated over different time horizons should have equal discount rates. They do not. Rising term yield premia imply discount...
Persistent link: https://www.econbiz.de/10014212256
Persistent link: https://www.econbiz.de/10014428183
Persistent link: https://www.econbiz.de/10003840142
We estimate a monetary policy rule for the US allowing for possible frequency dependence - i.e., allowing the central bank to respond differently to more persistent innovations than to more transitory innovations, in both the unemployment rate and the inflation rate. Our estimation method uses...
Persistent link: https://www.econbiz.de/10014198568
Persistent link: https://www.econbiz.de/10013465538
It is widely-known that different methods of detrending data yield different business cycle features. The choice of the detrending method, however, is usually arbitrarily made. This paper aims at revealing potential pitfalls of different detrending methods for the estimation of a standard...
Persistent link: https://www.econbiz.de/10012953636