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Working Paper
Intertemporal substitution and the role of monetary policy: policy irrelevance once again
Recently Marini (1985) demonstrates that a policy rule with proportional feedback to the current money stock from disturbances dated t-2 or further in the past will be effective at stabilizing output in Barro's (1976) model. This paper questions the robustness and logical consistency of Marini's result. It demonstrates that Marini's claim is overturned when the length of private agents's horizons does not fall short of the length of the lags in the feedback rule, so that private agents correctly incorporate knowledge of the wealth they will receive from future transfers into their decision ...
Working Paper
Factor-adjustment costs at the industry level
An estimation of a dynamic cost function for the U.S. steel industry to investigate the cost of adjusting blue- and white-collar employment levels and to examine the importance of specification of the adjustment-cost function.
Working Paper
On the frequency of large stock returns: putting booms and busts into perspective
Numerous articles have investigated the distribution of share prices, and find that the yields are leptokurtic. There is still controversy about the amount of leptokurtosis, and hence about the most appropriate distribution to use in modeling returns. This controversy has proven hard to resole, as the alternatives are non-nested. We propose to employ extreme value theory focusing exclusively on the larger observations, in order to assess the leptokurtosis within a unified framework. This enables one to generate robust probabilities on large changes, which put the recent stock market swings ...
Journal Article
Understanding nominal GNP targeting