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  • Artikel  (29)
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  • Cambridge University Press
  • Periodicals Archive Online (PAO)
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  • 1
    Digitale Medien
    Digitale Medien
    Finnish GNP-series 1954/I–1990/IV: Small shock persistance or trend stationarity? Some evidence with variance ratio estimates (1995)
    Springer
    Empirical economics 20 (1995), S. 333-349 
    Details
    ISSN: 1435-8921
    Schlagwort(e): C22 ; C14 ; E32
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract The “shock persistance” of Finnish adjusted quarterly real GNP series in logarithms from 1954/QI to 1990/QIV is analyzed using variance ratio estimators. The results indicate that the random walk component of the series is not big. The small sample properties of variance ratio estimators are studied using empirical distribution derived from simulations. The persistence measures calculated via the ARIMA modelling of the lnGNPt series are biased upwards. The sampling properties show that the simple random walk model is not an alternative model for the lnGNP. A trend stationary alternative, an AR(2) process, gives almost the same “shock persistence” measures as the assumed unit root processes.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01205443
    Standort Signatur Erwartet Verfügbarkeit
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    Artikel (Nationallizenzen)
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  • 2
    Digitale Medien
    Digitale Medien
    Modelling nonlinearity in U.S. Gross national product 1889–1987 (1995)
    Springer
    Empirical economics 20 (1995), S. 577-597 
    Details
    ISSN: 1435-8921
    Schlagwort(e): Linearity testing ; nonlinear time series ; smooth transition autoregressive model ; structural change ; univariate time series ; C22 ; E32 ; E37
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper considers modelling the annual logarithmed per capita gross national product of the United States in 1889–1987. Some authors have suggested that the parameters of the process generating the data have changed over time but formal parameter constancy tests do not support this argument. The series turns out to be nonlinear and can be adequately characterized by an exponential smooth transition autoregressive model. For comparison, a detrended series is also considered, found nonlinear and modelled using a logistic smooth transition autoregressive model. The behaviour of the estimated models is discussed, and it is seen that nonlinearity is needed to describe the response of the process to exceptionally large exogenous shocks. The properties of the models are further investigated by forecasting several years ahead, and the forecasts are compared with those from other linear and nonlinear models.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01206058
    Standort Signatur Erwartet Verfügbarkeit
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    Artikel (Nationallizenzen)
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  • 3
    Digitale Medien
    Digitale Medien
    Cointegration, common features, and persistence in U.S. farm output (1996)
    Springer
    Empirical economics 21 (1996), S. 459-473 
    Details
    ISSN: 1435-8921
    Schlagwort(e): C32 ; E32 ; Q11
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper determines the persistence of shocks to U.S. farm output at the sectoral and sub-sectoral level using a disaggregated vector autoregression framework. The persistence is measured under models that impose short-run common feature and long-run cointegration restrictions. The sub-sectoral outputs are found to have a relatively high degree of comovement in the short-run and a relatively low degree of comovement in the long-run. The common feature and cointegration restrictions are found to improve the precision of persistence and cross-persistence estimates. Subsectoral persistence shows considerable variation; persistence in Poultry & Eggs sub-sector is nearly three times the persistence in the Fruits & Nuts sub-sector. Two sub-sectors that share long-run common trends, Food Grains and Feed, Hay & Forage, also have significant cross-persistence, implying technological spillovers.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01179867
    Standort Signatur Erwartet Verfügbarkeit
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    Artikel (Nationallizenzen)
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  • 4
    Digitale Medien
    Digitale Medien
    Inequality and the business cycle: A consumption viewpoint (1999)
    Springer
    Empirical economics 24 (1999), S. 173-180 
    Details
    ISSN: 1435-8921
    Schlagwort(e): Key words: Inequality ; consumption ; inflation ; unemployment ; JEL classifications: D31 ; D12 ; E32
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract. Using Consumer Expenditure Survey data, we obtain summary measures of the distributions of income and consumption for each quarter between 1980 and 1994. We find that the trends in the distribution of income and consumption and the response of these trends to changes in inflation and unemployment were similar during this period. We find that unemployment does not significantly affect the inequality measures and that inflation has a progressive effect, i.e., that a decrease in inflation is associated with an increase in inequality. Finally, we find that the relationship between inequality and macroeconomic variables during the 1990s may be similar to the relationship that existed prior to 1980.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s001810050050
    Standort Signatur Erwartet Verfügbarkeit
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    Artikel (Nationallizenzen)
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  • 5
    Digitale Medien
    Digitale Medien
    System estimates of potential output and the NAIRU (1999)
    Springer
    Empirical economics 24 (1999), S. 373-388 
    Details
    ISSN: 1435-8921
    Schlagwort(e): Key words: Kalman filter ; NAIRU ; Okun's law ; Phillips curve ; potential output ; structural time-series models ; unobserved-components models ; JEL classification: C32 ; E32
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract. This paper proposes a new approach for estimating potential output and the NAIRU. The methodology models these key unobservable economic variables as latent stochastic trends within a trivariate system of observables comprising information on unemployment, GDP, and inflation. Identification is achieved through the use of a standard version of Okun's law and a Phillips curve. The performance of the procedure is investigated using Swedish quarterly data covering the time period 1970:1–1996:3.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s001810050061
    Standort Signatur Erwartet Verfügbarkeit
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  • 6
    Digitale Medien
    Digitale Medien
    Detrending methods and stylized facts of business cycles in Norway – an international comparison (2000)
    Springer
    Empirical economics 25 (2000), S. 369-392 
    Details
    ISSN: 1435-8921
    Schlagwort(e): Key words: Unit roots ; trend-cycle estimation ; stylized facts ; real business cycles ; JEL classifications: C20 ; E32
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract. This paper analyses the stylized facts of business cycles in Norway, by comparing different detrending methods. As the choice of the appropriate data transformation depends on the nature of the underlying dynamic properties of the time series, a set of unit root tests are first applied to the data. The detrended data are analysed, both in the time domain and the frequency domain. The evidence suggests that whereas some variables (e.g. consumption and investment) behave consistently procyclically with GDP, for other variables (e.g. real wage and prices), the business cycle properties vary considerably with the detrending methods used. The results are evaluated from a real business cycle perspective, but overall, there is little evidence to support a (supply driven) real business cycle. Symmetries in business cycles are finally analysed by comparing the business cycles in Norway and selected countries.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s001810000023
    Standort Signatur Erwartet Verfügbarkeit
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    Artikel (Nationallizenzen)
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  • 7
    Digitale Medien
    Digitale Medien
    What color are commodity prices? A fractal analysis (2000)
    Springer
    Empirical economics 25 (2000), S. 563-580 
    Details
    ISSN: 1435-8921
    Schlagwort(e): Key words: Fractal Analysis ; Long-Memory and Persistence ; Commodity Price Colors ; JEL Classification: C22 ; E31 ; E32
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract. Commodity price behavior holds much interest not only because these markets are affected by waves of speculative activity similar to security markets but more so that these commodities are linked to industries which purchase them and developing country producers which supply them. Commodity spot and future prices have thus been studied extensively. This research extends this work by employing recent fractal approaches to evaluate how the apparent random movements associated with short term behavior can also persist when examining long run behavior. We thus test for the presence of a persistent and finite variance component (i.e. long memory stationary process) as opposed to an infinite variance component (i.e. short memory nonstationary process) in a selected group of international commodity price series. Both fractal and persistent dependence hypotheses and test statistics have been employed. Estimates made of the power law exponent and of the nonintegral or fractional exponent suggest generating processes which are closer to black noise than to white, pink or brown noise.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s001810000033
    Standort Signatur Erwartet Verfügbarkeit
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    Artikel (Nationallizenzen)
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  • 8
    Digitale Medien
    Digitale Medien
    Uninsured idiosyncratic risk, liquidity constraints and aggregate fluctuations (1997)
    Springer
    Economic theory 10 (1997), S. 463-482 
    Details
    ISSN: 1432-0479
    Schlagwort(e): JEL Classification Numbers: D58 ; E21 ; E32 ; E44.
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Summary. I study the role played by uninsured idiosyncratic risk and liquidity constraints in the propagation of aggregate fluctuations. To this purpose, I compare the aggregate fluctuations of two model economies that differ in their insurance technologies only. In one of these model economies liquidity constrained households vary their holdings of a nominally denominated asset in order to buffer an uninsured idiosyncratic shock to their individual production opportunities. In the other economy every idiosyncratic component of risk can be costlessly insured. I find that the limited insurance technology implies fluctuations in output that are 20% larger, fluctuations in hours relative to output that are 9% larger, fluctuations in consumption relative to output that are 18% smaller, and a correlation of hours and productivity that is 15% smaller than those that obtain under the full insurance technology.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s001990050167
    Standort Signatur Erwartet Verfügbarkeit
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  • 9
    Digitale Medien
    Digitale Medien
    On optimal cycles in dynamic programming models with convex return function (1999)
    Springer
    Economic theory 13 (1999), S. 309-327 
    Details
    ISSN: 1432-0479
    Schlagwort(e): Keywords and phrases: Dynamic programming ; Optimal cycles ; Bifurcations. ; JEL Classification Numbers: C61 ; E32 ; Q20.
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Summary. In this paper we study the behavior of optimal paths in dynamic programming models with a strictly convex return function. Such a model has been investigated in Dawid and Kopel (1997) who assume that the growth of a renewable resource is governed by a piecewise linear function. We prove that in their model the optimal cycles undergo the following qualitative changes or bifurcations: a cycle of period n“bifurcates” into a cycle of period n+1 for increasing elasticity of the return function. We also show that under the assumption of a concave differentiable growth function the qualitative properties of the optimal policy remain valid: oscillating behavior is optimal. Furthermore, we demonstrate numerically that the period of a cyclic optimal path increases if the convexity of the return function (measured by the elasticity) increases.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s001990050256
    Standort Signatur Erwartet Verfügbarkeit
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    Artikel (Nationallizenzen)
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  • 10
    Digitale Medien
    Digitale Medien
    Endogenous fertility and growth in a model with old age support (1999)
    Springer
    Economic theory 13 (1999), S. 393-416 
    Details
    ISSN: 1432-0479
    Schlagwort(e): Keywords and Phrases: Endogenous fertility ; Old age support ; Growth. ; JEL Classification Numbers: E13 ; E20 ; E32 ; O41.
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Summary. This paper examines the interrelationship between capital accumulation, fertility, and growth by introducing an endogenous fertility decision into Diamond's (1965) neoclassical growth model. Under the assumptions that children provide old age support and that individuals incur a variable time cost of raising children, it investigates the potential for cyclical fluctuations in the capital-labor ratio and fertility, as well as for development trap phenomena to be observed. It is shown that when capital and labor are highly substitutable in production, there is a unique steady state equilibrium, and either damped or undamped oscillations in fertility and the capital-labor ratio may occur. However, when the elasticity of substitution between capital and labor is less than one, two steady state equilibria may exist; one with a high capital-labor ratio and a high rate of population growth, and the other with a lower capital-labor ratio as well as a lower population growth rate. The former is a saddle, while the latter may be either a source or a sink. In the latter case development traps are possible.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s001990050261
    Standort Signatur Erwartet Verfügbarkeit
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    Artikel (Nationallizenzen)
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