Robustness and Pricing with Uncertain Growth Cagetti, Marco; Hansen, Lars Peter; Sargent, Thomas ...
The Review of financial studies,
01/2002, Letnik:
15, Številka:
2
Journal Article
Recenzirano
We study how decision-makers' concerns about robustness affect prices and quantities in a stochastic growth model. In the model economy, growth rates in technology are altered by infrequent large ...shocks and continuous small shocks. An investor observes movements in the technology level but cannot perfectly distinguish their sources. Instead the investor solves a signal extraction problem. We depart from most of the macro-economics and finance literature by presuming that the investor treats the specification of technology evolution as an approximation. To promote a decision rule that is robust to model misspecification, an investor acts as if a malevolent player threatens to perturb the actual data-generating process relative to his approximating model. We study how a concern about robustness alters asset prices. We show that the dynamic evolution of the risk-return trade-off is dominated by movements in the growth-state probabilities and that the evolution of the dividend-price ratio is driven primarily by the capital-technology ratio.
This paper presents a model that provides an explanation, based on regime switching in the real interest rate and learning, of why tests based on stock-adjustment models, Euler equations, or decision ...rules-which emphasize short-run fluctuations in inventories and the interest rate-are unlikely to uncover a negative relationship between inventories and the real interest rate. The model, however, predicts that inventories will respond to long-run movements, that is, to regime shifts in the real interest rate. Tests emphasizing cointegration techniques confirm this prediction and show a significant long-run relationship between inventories and the real interest rate.
The San Francisco Mime Troupe Readeris a long-overdue collection of some of the finest political satires created and produced by the Tony Award-winning company during the last forty years.It is also ...a history of the company that was the theater of the counterculture movement in the 1960s and that, against all odds, has managed to survive the often hostile economic climate for the arts in the United States. The plays selected are diverse, representing some of the Troupe's finest shows, and the book's illustrations capture some of the Troupe's most memorable moments.These hilarious, edgy, and imaginative scripts are accompanied by insightful commentary by theater historian and critic Susan Vaneta Mason, who has been following the Troupe for more than three decades. TheMime Troupe Readerwill engage and entertain a wide range of audiences, not only general readers but also those interested in the history of American social protest, the counterculture of the 1960s-particularly the San Francisco scene-and the evolution of contemporary political theater. It will also appeal to the legions of Troupe fans who return every year to see them stand up against another social or corporate Goliath.
Macro shocks and real stock prices Rapach, David E
Journal of economics and business,
2001, 2001-1-00, 20010101, Letnik:
53, Številka:
1
Journal Article
Recenzirano
This paper examines the effects of money supply, aggregate spending, and aggregate supply shocks on real US stock prices in a structural vector autoregression framework. The empirical results ...indicate that each macro shock has important effects on real stock prices. The real stock impulse responses to the various macro shocks conform to the standard present-value equity valuation model, and they shed considerable light on the well-known negative correlation between real stock returns and inflation.
Este artículo examina los determinantes del logro deportivo en los Juegos Panamericanos durante el periodo 1959-1999. La muestra considera un panel de países participantes, en el que la variable por ...explicar corresponde al número de medallas obtenidas. El modelo empírico planteado supone que el éxito deportivo depende de un conjunto de variables o recursos de los países, entre ellas el tamaño de la población, PIB, mortalidad infantil, porcentaje de población afroamericana y variables discretas que miden si el país en competencia actuaba como local o "vecino". Dado que el número de medallas obtenidas depende del esfuerzo y recursos de los otros países en competencia, la estimación econométrica incorpora en la matriz de varianza-covarianza dicha correlación de errores. Los resultados indican que si se controla por efectos no observables por país, las variables de población y PIB no parecen afectar el número de medallas ganadas en los Juegos Panamericanos. Este resultado sería congruente con la hipótesis de que más que el tamaño o riqueza del país, lo que determina el éxito deportivo de élite son los recursos que se invierten en desarrollar esta actividad. This paper examines the determinants of sporting success of different countries in the Pan-American Games during the 1959-1999 period. The data consists of a panel of participant countries, where the variable of interest corresponds to the number of medals obtained by each country in each of the Games. The empirical model assumes that international sporting success depends on the effort and resources devoted to this activity as well as resource endowment, including population size, GDP, infant mortality, the percentage of Afro-Americans in the population. A set of dummy variables identifying whether the country is a host of the competition or a neighbor country were also included. Since the number of medals a country wins will depend on the effort and resources of the other countries in competition, the econometric estimate must take into account the variance-covariance matrix of the correlation of errors among countries. The results show that population size and GDP are not significantly correlated with the number of medals obtained in Pan-American Games when unobservable effects are accounted for. These results would be consistent with the hypothesis that more than size or wealth of a country what really determine success in international sports competition is the investment made by countries in developing such activities.
This paper compares the geometric variant of the Gender-Related Development Index with that of the Human Development Index for Spanish provinces (EUROSTAT Nomenclature of Territorial Units for ...Statistics-3, NUTS-3) in 1959, 1981, and 1999. The main objective is to carry out an exploratory analysis of the relationship between these indices and two alternative indices of gender inequality--the Relative Status of Women and the Gender Inequality Index. An analysis of the relationship between these indices and economic growth at the provincial level is also conducted.
The growth rate of GDP stabilized around 1984, and improvements in production management have been cited as a possible cause. This article examines this rationale with two‐digit SIC manufacturing ...data. The empirical questions are whether there is evidence of structural change in industry output around 1984 and, if so, did output track demand more closely following the change? The results indicate that only two industries exhibited structural change in the 1982–86 period. There is evidence that output has tracked demand more closely in recent years, but this is because demand shocks have become less persistent. (JEL C15, D21, E22)
It has become popular to advocate tax reduction on the basis of promoting savings, investment and ultimately economic growth. The linkage between the variables is argued by various neoclassical ...growth models and is further suggested by recent studies which highlight the close association between domestic saving and investment rates. The close association may allow for polices which alter domestic saving levels in order to alter domestic investment levels. This interpretation, however, presumes an endogenous investment response. Equally likely, theoretically, is that the close association is maintained by movements in national savings. The present paper explicitly examines the endogeneity of the Australian saving and investment rates. The results highlight the exogeneity of investment. The results further suggest an endogenous response on the part of Australia's saving rate. The results may limit the potential benefits of these tax changes.
This study of women and gender in a Muslim society draws on archival and literary sources as well as the life stories of women of different generations to offer a unique ethnographic and historical ...account of the lives of urban women in contemporary Azerbaijan. Focussing on a group of professional women in Baku, it provides insight into the impact of the Soviet system on the position of Azeri women, their conceptions of femininity and the significant changes brought about by the post-Soviet transition to a market economy and growing western influence. Also explored are the ways in which local cultural expectations and Islamic beliefs were accommodated to different modernisation projects.
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