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Large sample properties of generalized method of moments estimators, (1982)

by Lars P Hansen
Venue:Econometrica
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Economic analysis of cross section and panel data

by Jeffrey M. Wooldridge
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Abstract - Cited by 3544 (18 self) - Add to MetaCart
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Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory

by Richard Clarida, Mark Gertler - Journal of Economics , 2000
"... We estimate a forward-looking monetary policy reaction function for the postwar United States economy, before and after Volcker’s appointment as Fed Chairman in 1979. Our results point to substantial differences in the estimated rule across periods. In particular, interest rate policy in the Volcker ..."
Abstract - Cited by 1266 (17 self) - Add to MetaCart
We estimate a forward-looking monetary policy reaction function for the postwar United States economy, before and after Volcker’s appointment as Fed Chairman in 1979. Our results point to substantial differences in the estimated rule across periods. In particular, interest rate policy in the Volcker-Greenspan period appears to have been much more sensitive to changes in expected in�ation than in the pre-Volcker period. We then compare some of the implications of the estimated rules for the equilibrium properties of in�ation and output, using a simple macroeconomic model, and show that the Volcker-Greenspan rule is stabilizing. I.
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...t 2 (1 2 r ) (rr* 2 (b 2 1)p * 1 b p t,k 1 g x t,q) 1 r (L) r t2 1} z t 5 0, which provide the basis for the estimation of the parameter vector (a ,b ,g ,r ), using the Generalized Method of Moments {=-=Hansen 1982-=-}, with an optimal weighting matrix that accounts for possible serial correlation in e t . 13 To the extent that the dimension of vector z t exceeds four—the number of parameters being estimated—(5) i...

Financial Intermediation and Growth: Causality and Causes

by Ross Levine, Norman Loayza, Thorsten Beck - JOURNAL OF MONETARY ECONOMICS , 2000
"... This paper evaluates (1) whether the exogenous component of financial intermediary development influences economic growth and (2) whether cross-country differences in legal and accounting systems (e.g., creditor rights, contract enforcement, and accounting standards) explain differences in the level ..."
Abstract - Cited by 819 (72 self) - Add to MetaCart
This paper evaluates (1) whether the exogenous component of financial intermediary development influences economic growth and (2) whether cross-country differences in legal and accounting systems (e.g., creditor rights, contract enforcement, and accounting standards) explain differences in the level of financial development. Using both traditional cross-section, instrumental variable procedures and recent dynamic panel techniques, we find that the exogenous components of financial intermediary development is positively associated with economic growth. Also, the data show that cross-country differences in legal and accounting systems help account for differences in financial development. Together, these findings suggest that legal and accounting reforms that strengthen creditor rights, contract enforcement, and accounting practices can boost financial development and accelerate economic growth.

Filtering via simulation : auxiliary particle filters.

by M K Pitt, N Shephard - J. Am. Stat. Assoc. , 1999
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Abstract - Cited by 776 (17 self) - Add to MetaCart
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Liquidity Risk and Expected Stock Returns

by Lubos Pastor, Robert F. Stambaugh , 2002
"... This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-sto ..."
Abstract - Cited by 629 (6 self) - Add to MetaCart
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. Over a 34-year period, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5 % annually, adjusted for exposures to the market return as well as size, value, and momentum factors.

Reopening the Convergence Debate: A new look at cross-country growth empirics

by Francesco Caselli, Gerardo Esquivel, Fernando Lefort - JOURNAL OF ECONOMIC GROWTH , 1996
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Abstract - Cited by 615 (0 self) - Add to MetaCart
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Bayesian Analysis of Stochastic Volatility Models

by Eric Jacquier, Nicholas G. Polson, Peter E. Rossi , 1994
"... this article is to develop new methods for inference and prediction in a simple class of stochastic volatility models in which logarithm of conditional volatility follows an autoregressive (AR) times series model. Unlike the autoregressive conditional heteroscedasticity (ARCH) and gener- alized ARCH ..."
Abstract - Cited by 601 (26 self) - Add to MetaCart
this article is to develop new methods for inference and prediction in a simple class of stochastic volatility models in which logarithm of conditional volatility follows an autoregressive (AR) times series model. Unlike the autoregressive conditional heteroscedasticity (ARCH) and gener- alized ARCH (GARCH) models [see Bollerslev, Chou, and Kroner (1992) for a survey of ARCH modeling], both the mean and log-volatility equations have separate error terms. The ease of evaluating the ARCH likelihood function and the ability of the ARCH specification to accommodate the timevarying volatility found in many economic time series has fostered an explosion in the use of ARCH models. On the other hand, the likelihood function for stochastic volatility models is difficult to evaluate, and hence these models have had limited empirical application

Specification Analysis of Affine Term Structure Models

by Qiang Dai, Kenneth J. Singleton - JOURNAL OF FINANCE , 2000
"... This paper explores the structural differences and relative goodness-of-fits of affine term structure models (ATSMs55). Within the family of ATSMs there is a tradeoff between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade-off is formalized by ou ..."
Abstract - Cited by 596 (36 self) - Add to MetaCart
This paper explores the structural differences and relative goodness-of-fits of affine term structure models (ATSMs55). Within the family of ATSMs there is a tradeoff between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade-off is formalized by our classification of N-factor affine family into N + 1 non-nested subfamilies of models. Specializing to three-factor ATSMs, our analysis suggests, based on theoretical considerations and empirical evidence, that some subfamilies of ATSMs are better suited than others to explaining historical interest rate behavior.

Stock Returns and the Term Structure

by John Y. Campbell, James Tobin - Journal of Financial Economics , 1987
"... (Article begins on next page) The Harvard community has made this article openly available. Please share how this access benefits you. Your story matters. ..."
Abstract - Cited by 570 (26 self) - Add to MetaCart
(Article begins on next page) The Harvard community has made this article openly available. Please share how this access benefits you. Your story matters.

Time Varying World Market Integration

by Geert Bekaert, Campbell R. Harvey - JOURNAL OF FINANCE , 1995
"... We propose a measure of capital market integration arising from a conditional regime-switching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a numb ..."
Abstract - Cited by 546 (40 self) - Add to MetaCart
We propose a measure of capital market integration arising from a conditional regime-switching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a number of emerging markets exhibit time-varying integration. Some markets appear more integrated than one might expect based on prior knowledge of investment restrictions. Other markets appear segmented even though foreigners have relatively free access to their capital markets. While there is a perception that world capital markets have become more integrated, our country-specific investigation suggests that this is not always the case.
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