longevity risk subjective survival expectations and individual saving behavior abstract we provide evidence of individuals awareness of longevity risk the uncertainty about future survival probabilities based on subjective survival expectations elicited in the survey of health ageing and retirement in europe share and matching data on longevity risk from the human mortality database we find a positive relationship between the forecast dispersion in subjective survival estimates and longevity risk which indicates that individuals are to some extent aware of longevity risk our analysis of savings behavior shows that the dispersion in survival estimates is primarily explained by individuals disagreeing on the survival probability and not by their true awareness of the underlying uncertainty individuals do not save more on average when faced with longevity risk although theory suggests they should

optimal price and inventory adjustment in an open economy model of the business cycle this paper presents a macroeconomic model containing optimizing inventory holding firms that is consistent with a number of prominent empirical regularities concerning fluctuations in output exchange rates relative prices and money prices are sticky but they are not predetermined still our model is consistent with exchange rate overshooting in the sense of dornbusch typical sticky price models allow a divergence between current production and current demand but this divergence is never allowed to feed back into the model our optimal inventory adjustments reconcile divergences between current demand and production and the inventory stock movements provide expected future dynamics

unanticipated inflation and economic activity abstract this paper presents a new empirical test of the expectations adjusted supply fucntion obtaining the market s inflationary expectations from the market interest rate the results support the existence of a positive relationship between unanticipated inflation and the level of economic activity while anticipated inflation seems to have no effect

competing macro hypotheses in the united states a kalman filtering approach the empirical validity of alternative views about the short run determinants of real output growth in the united states is investigated a nested framework is used to test the macro rational expectations mre hypothesis directly against two competing hypotheses the neo keynesian view that anticipated and unanticpated monetary policy both matter and friedman s 1977 proposition that increased inflation uncertainty reduces real output at least temporarily the unobservable explanatory variables are obtained from time varying parameter models of inflation and money growth which generate forecast errors and their conditional variances consistent with rational expectations under a continuously chaning policy regime the empirical results strongly support friedman s view the mre hypothesis must be rejected since both anticipated and unanticipated monetary changes matter the results prove robust across different model specifications and estimation techniques

an examination of aggregate price uncertainty in four countries and someimplications for real output this stu dy constructs measures of aggregate price uncertainty for four countries canada west germany great britain and the united states and examines the relationship across countries and through time between the inflation rate inflation variability and measures of price uncertainty the results suggest that the higher and more variable inflation of the 1970s increased uncertainty about the aggregate price level in canada great britain and the united states but not west ge rmany and there was a significant negative output effect of aggregate price uncertainty for canada and the united kingdom but not for the united states or west germany copyright 1987 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

empirical measures of inflation uncertainty a cautionary note a direct ex ante measure of inflation uncertainty in the us is compared with a number of proxies used in empirical studies the direct estimate is the root mean subjective variance of the probability distributions for inflation reported by respondents to the asa nber survey the proxies include forecast standard deviations from arima arch and structural models of inflation these proxies are not significantly correlated with the direct measure nor with one another use of the proxies leads to incorrect inferences about the correlation between inflation and inflation uncertainty and between inflation uncertainty and the real interest rate

efficient market testing of the expectations adjusted supply function hypothesis for italy 1985 efficient market testing of the expectations adjusted supply function hypothesis for italy applied economics vol 17 no 6 pp 1065 1070

the impact of oil prices on bioenergy emissions and land use we evaluate how alternative future oil prices will influence the penetration of biofuels energy production greenhouse gas ghg emissions land use and other outcomes our analysis employs a global economy wide model and simulates alternative oil prices out to 2050 with and without a price on ghg emissions in one case considered based on estimates of available resources technological progress and energy demand the reference oil price rises to 124 by 2050 other cases separately consider constant reference oil prices of 50 75 and 100 which are targeted by adjusting the quantity of oil resources in our simulations higher oil prices lead to more biofuel production more land being used for bioenergy crops and fewer ghg emissions reducing oil resources to simulate higher oil prices has a strong income effect so decreased food demand under higher oil prices results in an increase in land allocated to natural forests we also find that introducing a carbon price reduces the differences in oil use and ghg emissions across oil price cases

price inertia money supply and price changes price stickiness is incorporated in the partial information localizedmarket framework of rational expectation models to show that the money stock has less than an equiproportionate effect on the aggregate price and that the unanticipated monetary policy component has differing impacts on prices at the market level the empirical analysis involves estimation of generated regressor models of money forecasting and price equations using the computationally intensive parametric bootstrap method developed most recently by smith and mcaleer the results are unfavourable to the hypothesis of a one to one relationship between current money stock and prices rather they lend distinct support to conclusions of a sluggish price adjustment model that money stock has less than equiproportionate effect on prices empirical results also show that the effects of unanticipated money growth on prices vary across markets

unanticipated monetary growth output and the price level in latin america an empirical investigation abstract this paper provides statistical evidence on the response of real output and the price level to movements in unanticipated monetary growth for 16 latin american countries in the context of barro s version of the rational expectations natural rate theory arima p d q modeling of the growth rate of m2 is employed for each country and the residuals of the selected model utilized to estimate the parameters of the real output and price level equations careful attention is devoted to the autocorrelation structure of the residuals of the real output and price level equations the empirical results suggest that generally unanticipated monetary growth has positive effects on real output and negative effects on the price level such patterns however do not exhibit an unambiguous symmetric response

source of monetary growth uncertainty and economic activity the time varying parameter model a large body of research suggests that uncertainty is an important factor affecting economic activity most earlier research however fails to consider the possibility that uncertainty may affect the value of new information and economic activity differently depending upon its source the author first examines the importance of these different sources for modeling u s monetary growth uncertainty he then empirically relates different sources of monetary growth uncertainty to economic activity measured by real gnp the results suggest that different sources of uncertainty have different impacts on economic activity the results tend to confirm predictions arising in the literature on irreversible investment and uncertainty copyright 1993 by mit press

the time varying parameter model for modeling changing conditional variance the case of the lucas hypothesis the main econometric issue in testing the lucas 1973 hypothesis in a time series context is estimation of the forecast error variance conditional on past information the conditional variance may vary through time as monetary policy evolves and agents are obliged to infer its present state under the assumption that a monetary policy regime is continuously changing a time varying parameter model is proposed for the monetary growth function based on kalman filtering estimation of recursive forecast errors and their conditional variances the lucas hypothesis is tested for the u s economy 1964 1 1985 4 using monetary growth as aggregate demand variable the lucas hypothesis is rejected in favor of friedman s 1977 hypothesis the conditional variance of monetary growth affects real output directly not through the coefficients on the forecast error term in the lucas type output equation

does anticipated aggregate demand policy matter further econometric results a heated debate has arisen over what modigliani has dubbed the macro rational expections mre hypothesis this hypothesis embodies two component hypotheses 1 rational expectations and 2 short run neutrality i e that anticipated changes in aggregate demand will have already been taken into account in economic agents behavior and will thus evoke no output or employment response together these component hypotheses imply that deterministic feedback policy rules will have no effect on business cycle fluctuations the irrelevance of these types of policy rules is inconsistent with much previous macro theorizing as well as with the views of policymakers it is thus an extremely controversial proposition which requires a wide range of empirical research this paper is a sequel to a previous paper by the author that paper developed a methodology for testing the mre hypothesis and found that anticipated money growth does matter to the business cycle this paper extends the analyses to cases where the rate of nominal gnp growth or the inflation rate rather than money growth is the aggregate demand variable the empirical results are also negative on the mre hypothesis and its corresponding policy ineffectiveness proposition this abstract was borrowed from another version of this item

the real effects of price variability in the federal republic of germany 1953 1977 abstract using a forty industry data set for the years 1953 1977 for the federal republic of germany evidence is presented on the real effects of price variability measuring price variability as the expenditure share weighted sum of squared deviations about the rate of inflation it is found that increased variability reduces real gdp hours of work and production employment while increasing the unemployment rate further it is found that unanticipated inflation has a positive influence on real variables for six different measures of unanticipated inflation the six inflation series do not support the natural rate hypothesis in that the effect of the expected inflation rate is not always insignificant

offshore commodity hedging under floating exchange rates exchange rate uncertainty can have significant effects on the optimal hedging behavior of offshore commodity traders in this paper the standard commodity hedging framework is extended first to incorporate exchange rate uncertainty and second to forward cover transactions in the foreign exchange market the implications of exchange rate movements and forward cover decisions for offshore commodity hedgers are illustrated using data relevant to hedging australian export wheat on the chicago board of trade

financial market efficiency the decomposition of anticipated versus unanticipated money growth and further tests of the relation between money and real output note probably the most controversial empirical findings in macroeconomics in the last decade stem from robert barro s investigations into the relative effects of unanticipated versus anticipated money growth on unemployment and real output these studies generally proceed by decomposing observed money growth into what is defined to be its anticipated and unanticipated components and then test the restriction that only the unanticipated money measure has important effects for unemployment and real output in black box reduced form real side equations that include determinants of the natural rates of unemployment and real output as additional explanatory variables l the results of these tests for the annual postwar u s data generally cannot reject the hypothesis that only unanticipated money growth is important for the determination of aggregate real activity 2 anticipated money growth is found to be neutral for unemployment and real output these results are important because they give empirical support to the assertion that the apparent nonneutrality of observed money growth does not provide any firm basis for the efficacy of a systematic countercyclical monetary policy it should be clear that a crucial problem in testing for the neutrality nonneutrality of anticipated unanticipated money growth lies in developing an appropriate decomposition of observed money growth into its anticipated and unanticipated parts small 13 mishkin 8 and weintraub 14 among others have

non stationarities in macro economic time series further evidence and implications two sources of non stationarities in the mean of macro economic time series are investigated the empirical evidence for several countries clearly implies that differencing is to be preferred to the assumption of a deterministic linear time trend this result is somewhat weaker with respect to the analogous choice between seasonal differencing and seasonal dummy variables it is recommended that the time series properties of the variables considered in empirical work be carefully checked because the estimated relationships may heavily depend on the chosen detrending procedure les non stationarites dans ies chroniques macro economiques resultats supplmentaires et implications l auteur examine deux sources de non stationarite dans la mnoyenne des chroniques macroeconomiques les resultats d analyses de donnees pour plusieurs pays montrent clairement qu on doit preferer l usage d un processus de differences finies a l emploi d une tendance lineaire deterministe ce resultat est un peu moins robuste pour ce qui est du choix analogue entre l utilisation de differences saisonnieres par rapport a

monetary policy and inflation uncertainty in the united states and germany friedman s 16 proposition that increased inflation uncertainty may adversely affect real economic variables has received much attention over the last decade the theoretical arguments for such real effects are compelling however the empirical evidence on their presence and magnitude in different countries is mixed most results for the postwar u s economy strongly support the proposition 28 25 26 19 24 7 whereas it is generally rejected for the german economy 23 17 8 2 while a direct comparison of the u s and german results is difficult due to a lack of uniform sample periods data definitions estimation techniques and or measures of inflation uncertainty the evidence to date nevertheless suggests that the role of inflation uncertainty differs sharply between the two countries the question then arises what factor s can explain the difference one popular explanation is that the monetary authorities in the united states and germany respond quite differently to accelerating inflation 3 so that the behavior of uncertainty differs across countries 4 the u s federal reserve is often criticized for switching frequently between the primary policy goals of price stability and full employment possibly due to political pressures 21 30 since inflation is primarily a monetary phenomenon in the long run it is likely that such stop and go policies increase the uncertainty about future steady state inflation which in turn can adversely affect real output growth by reducing overall economic efficiency the german bundesbank on the other hand is reputed for its staunch and credible commitment to price stability which often takes precedence over other policy goals a more consistent and predictable

the cost of natural capital consumption accounting for a sustainable world economy abstract the system for integrated environmental and economic accounting seea has been criticized in this journal for ignoring the benefits of ecosystem services for human well being this paper argues that extended national accounts should not attempt measuring economic welfare rather they could and should assess the environmental sustainability of economic activity as the cost of natural capital consumption the global application of seea concepts and methods demonstrates the feasibility of international green accounting for the world economy sustainability costs run to about 3 trillion us or 6 of world gdp large variations at national and regional levels suggest that conventional economic indicators may significantly overstate economic progress in some parts of the world data gaps and lack of data comparability affect these first estimates national and international statistical services should be more aggressive in greening the national accounts more prudent and more sustainable economic policies might be the result

monetary variability and real output abstract utilizing engel s econometrica 1982 50 987 1008 autoregressive conditional heteroskedasticity arch model to consistently parameterize the conditional variance of money growth i find an inverse relationship between monetary variability and real output this provides some additional evidence in favor of friedman s journal of political economy 1977 85 451 472 famous conjecture

on central bank independence and the stability of policy targets it is argued that impediments to the establishment of an independent central bank arise in the presence of unstable policy targets changing policy targets may occur with an officemotivated policymaker this differs from politico economic models where targets change depending on the partisanship of the politicians in office in the model the principal faces a tradeoff between the credibility benefits of an independent central bank and the flexibility to pursue shifts in his policy targets allowed by a regime of policy discretion an empirical section addresses the issue of the correlation between central bank independence and the stability of policy targets

the expectation hypothesis of the term structure of very short term rates statistical tests and economic value this paper re examines the validity of the expectation hypothesis eh of the term structure of us repo rates ranging in maturity from overnight to three months we extend the work of longstaff 2000a in two directions i we implement statistical tests designed to increase test power in this context ii more importantly we assess the economic value of departures from the eh based on criteria of profitability and economic significance in the context of a simple trading strategy the eh is rejected throughout the term structure examined on the basis of the statistical tests however the results of our economic analysis are favorable to the eh suggesting that the statistical rejections of the eh in the repo market are economically insignificant

real interest rates anticipated inflation and unanticipated money a multi country study a bstractin this paper we examine real interest rate behavior in canada west germany the united states and the united kingdom using a model that yields a semi reduced form equation linking the real interest rate to monetary growth shocks anticipated inflation and expected inflation variance the estimator used in our analysis accommodates regressors from other regressions ensuring that accurate inferences are obtained in all countries we find that increases in anticipated inflation initially dampen real interest rates in addition a significant and negative relationship between unanticipated money shocks and real interest across all countries is discovered inflation variance typically exhibits little explanatory power

some evidence on policy makers motives macroeconomic preferences and output inflation trade offs this paper presents the results of an empirical study of the relationship between macroeconomic performance and policy makers preferences for real output growth and inflation based on quarterly data from 16 countries the empirical results indicate that a lower priority to inflation and a higher real output growth target lead to higher inflation and a less favourable real output inflation trade off without affecting real output growth

price level uncertainty indexation and employment uncertainty about future price level is one of the most common features of today s economies yet research on the relationship between unemployment and price changes focused on the level of those changes in his recent nobel lecture on inflation and unemployment milton friedman suggested that an increased variability of actual or anticipated inflation may raise the natural level of unemployment 6 466 observing the tendency of inflation that is high on the average to be highly variable friedman suggested the relationship between unemployment and inflation uncertainty as a possibly explanation for the recently observed positive slope of the philips curve as possible remedies to the detrimental effect of inflation uncertainty friedman suggested a stabilization of the inflation rate through e g a stable monetary expansion and the institution of price indexing the purpose of this paper is to point at a possible relationship between price level uncertainty and the real sector of the economy it is shown that under plausible assumptions about individuals preferences and attitude toward risk an increase in price level uncertainty may bring about a decrease in the level of employment and possibly an increase in unemployment as suggested by friedman these results are also supported by empirical evidence

the effects of monetary policy news and surprises there is substantial agreement in the monetary policy literature over the effects of exogenous monetary policy shocks the shocks that are investigated however almost exclusively represent unanticipated changes in policy which surprise the private sector and which are typically found to have a delayed and sluggish effect on output in this paper we estimate a new keynesian model that incorporates news about future policies to try to disentangle the anticipated and unanticipated components of policy shocks the paper shows that the conventional estimates confound two distinct effects on output an effect due to unanticipated or surprise shocks which is smaller and more short lived than the response usually obtained in the literature and a large delayed and persistent effect due to anticipated policy shocks or news news shocks play a larger role in influencing the business cycle than unanticipated policy shocks although the overall fraction of economic fluctuations that can be attributed to monetary policy remains limited

the output inflation relationship abstract this paper shows how the optimal pricing and production policy of a multiperiod profit maximizing firm under demand and output disturbances leads in the aggregate to a positive relationship between production and price deviations from the expected level as depicted by the lucas type supply function the pricing and production decisions are made simultaneously by market agents who base their decisions on the same rational expectations before the disturbances are realized here although the planned production is not affected by the price deviations there is still a contemporaneous positive relationship between them where both production and prices reflect the firm s adjustment to unexpected levels of inventory we show that this positive relationship prevails even when the production decisions are made ex ante based only on expectations before the realization of the random shocks a closed form linear approximation for the supply function is derived which captures the effect of both systematic and unsystematic economic disturbances finally we present an empirical test which supports our assertion that our inventory adjustment mechanism contributes to the creation of the positive relationship between production and price deviations

short term interest rates as predictors of inflation on testing the hypothesis that the real rate of interest is constant in an innovative and provocative paper in this review eugene fama presents evidence which appears to be consistent with the joint hypothesis that the real rate of interest ignoring taxes is a constant and that the market for u s treasury bills is efficient in the sense of embodying rational expectations those findings are strikingly at variance with a long list of previous studies which seemed to support the view that the real rate of interest varies over time and can be related to economic variables such as real output monetary policy and so forth 2 the methodologies which lead to these contradictory conclusions are quite different previous studies had followed the lead of irving fisher by relating nominal interest rates to distributed lags on past rates of inflation 3 these distributed lags are generally interpreted as approximations to the market s expected rate of inflation and thus any remaining variation is attributed to variation in the real rate 4 fama s methodology on the other hand draws on the fact that the difference between the market interest rate and the subsequently observed rate of inflation the ex post real interest rate consists by definition of the ex ante real interest rate plus a pure forecasting error 5 the hypothesis of market efficiency implies that these forecasting errors must be serially random thus observing ex post real rates is equivalent to observing ex ante real rates with random measurement error these errors of course confound the problem of identifying variation in the ex ante real rate in this paper we will argue that the relative magnitude of these measurement errors is such that the tests carried out by fama were not powerful enough to reject the joint hypothesis that the ex ante real rate is a constant and expectations are rational more powerful tests which are presented in this paper using the same data do lead to rejection of that hypothesis of course rejection

the feasibility costs and environmental implications of large scale biomass energy abstract what are the feasibility costs and environmental implications of large scale bioenegry we investigate this question by developing a detailed representation of bioenergy in a global economy wide model we develop a scenario with a global carbon dioxide price applied to all anthropogenic emissions except those from land use change that rises from 25 per metric ton in 2015 to 99 in 2050 this creates market conditions favorable to biomass energy resulting in global non traditional bioenergy production of 150 exajoules ej in 2050 by comparison in 2010 global energy production was primarily from coal 138 ej oil 171 ej and gas 106 ej with this policy 2050 emissions are 42 less in our base policy case than our reference case although extending the scope of the carbon price to include emissions from land use change would reduce 2050 emissions by 52 relative to the same baseline our results from various policy scenarios show that lignocellulosic lc ethanol may become the major form of bioenergy if its production costs fall by amounts predicted in a recent survey and ethanol blending constraints disappear by 2030 however if its costs remain higher than expected or the ethanol blend wall continues to bind bioelectricity and bioheat may prevail higher lc ethanol costs may also result in the expanded production of first generation biofuels ethanol from sugarcane and corn so that they remain in the fuel mix through 2050 deforestation occurs if emissions from land use change are not priced although the availability of biomass residues and improvements in crop yields and conversion efficiencies mitigate pressure on land markets as regions are linked via international agricultural markets irrespective of the location of bioenergy production natural forest decreases are largest in regions with the lowest barriers to deforestation in 2050 the combination of carbon price and bioenergy production increases food prices by 3 2 5 2 with bioenergy accounting for 1 3 3 5

sectoral changing patterns of china s green gdp considering climate change an investigation based on the economic input output life cycle assessment model abstract the rapid growth of energy intensive and high emission industries has underpinned china s economic boom over the past few decades since her economic development entered the new normal phase in 2013 china has faced the challenge of mitigating greenhouse gas ghg emissions while achieving medium high economic growth transforming the economic development pattern and restructuring the economy is a principal solution and one important prerequisite is discerning great sectoral disparities of ghg emissions and corresponding environmental costs because the diversity of characteristics among different sectors causes the pollutants that are discharged to vary hence this paper aims to assess the environmental costs of china s total and sectoral ghg emissions based on the system of environmental and economic accounts and using the economic input output life cycle assessment model this study calculates the green gdp and green output value of 27 sectors to reflect the environmental costs of ghg emissions in china during 1991 2016 the findings are as follows 1 while china s direct ghg emissions increased from 3 040 60 million tons of carbon dioxide equivalent mtco2eq to 10 641 10 mtco2eq during 1991 2014 declining trends were observed in the total and 16 sectors direct ghg emissions in the subsequent two years 2 although the ratios of direct ghg emissions to total ghg emissions in most sectors decreased total ghg emissions in eight sectors rose first and then fell and in 15 sectors continued to rise 3 china s green gdp grew from 2 003 88 billion chinese yuan to 26 245 25 billion chinese yuan during 1991 2016 and the difference between china s gdp and green gdp decreased from 2 73 to 1 02 and 4 differences between the output value and green output value decreased in over 20 sectors finally some policy implications are given from the perspective of some key sectors of the manufacturing industry agricultural sector and transport storage and post sector

national accounts and environmental resources in the paper optimal growth theory is used to derive the appropriate definition of the net national product concept when there are environmental resources and environmental damage to take into account the basic conclusions are that conventional defined np should be corrected by deducting environmental damage and adding the value of the net change of all resources

the efficiency of the public intervention on the environment evidence based on non parametric and parametric approaches abstract this paper evaluates the efficiency of the allocation of public resources aimed at complying with the european environmental directives a full and partial frontier data envelopment analysis dea is applied to a panel of decision making units i e a set of regions with a specific focus on the air water and biodiversity sectors the malmquist productivity index allows one to analyse regional productivity change while a post dea based upon simar wilson approach allows one to explore the factors that affect the performance overall a specific group of regions outperform for air water intervention while the reverse outcome is obtained for biodiversity the findings also show a rather low technological change especially for biodiversity the post dea indicates that an increase in the tourism and agricultural activity exerts a negative impact on the air water public efficiency while has a positive influence on biodiversity higher education in technical subjects also increases performance

nonmarket benefits of nature what should be counted in green gdp abstract green gross domestic product green gdp is meant to account for nature s value on an equal footing with the market economy several problems bedevil green gdp however one is that nature does not come prepackaged in units like cars houses and bread even worse green gdp requires measurement of the benefits arising from public goods provided by nature for which there are no market indicators of value so what should green gdp count that is the subject of this paper ecological and economic theories are used to describe what should be counted and what should not if green gdp is to account for the nonmarket benefits of nature

do we need ecosystem accounts the internationally adopted system of environmental economic accounting measures the interaction between the economy and the natural environment its central framework accounts for the depletion of natural resources but omits environmental degradation notably from pollution a recent companion volume on experimental ecosystem accounting addresses ecosystem degradation but excludes the depletion of natural assets its physical accounts notably on land cover and use could support the management and conservation of ecosystems policies of sustainable economic performance and growth require however integrative information on both depletion and degradation at national and sectoral levels integrated environmental and economic accounts can provide this information without the detour of ecosystem accounting

fisher phillips friedman and the measured impact of inflation on interest a reply the purpose of this paper is to demonstrate that empirical findings which persistently appear to contradict the fisher hypothesis that the nominal rate of interest should rise by the full amount of an increase in anticipated inflation are due basically to a failure to control for changes in the real rate of interest that are associated with changes in anticipated inflation we are guided in our search for proper specification of a fisher equation by a simple general equilibrium model which is employed to derive the impact of a change in anticipated inflation upon nominal interest given the requirement that commodity money and labor markets remain in equilibrium in effect we depart from the empirical tradition which has grown up around testing of the fisher hypothesis that takes the real interest rate to be independent of anticipated inflation and argues that for anticipated inflation properly measured the data ought to support the fisher hypothesis 1

econometric issues in macroeconomic models with generated regressors the paper critically reviews the literature on the econometric issues raised by the use of generated regressors gr in empirical models the economic rationale for the use of gr is considered with examples being drawn from several macroeconomic examples including new classical macroeconomic ncm models which postulate monetary neutrality various estimation methods are discussed for models which include surprise or unexpected terms and the strengths and weaknesses of each approach are investigated drawing upon the work of mcaleer and mckenzie 1991 situations where the typically inefficient two step estimation 2se method will be efficient are highlighted problems of model misspecification and measurement errors are also investigated an empirical section highlights some of the dangers of using uncorrected 2se estimation results through a careful consideration of many recent attempts to test the ncm monetary neutrality hypothesis copyright 1993 by blackwell publishers ltd

empirical evidence on nominal wage and price flexibility this paper tests a necessary condition for the neutrality of money in a framework that imposes only weak restrictions on the money supply process it extends bernanke s 1986 work by weakening the set of just identifying restrictions and by providing a statistical test of the overidentifying restrictions instead of specifying a structural model to identify primitive shocks i deduce the impact effects of structural money shocks under the neutrality hypothesis and then test whether the system maintains neutrality as it propagates these impact effects the tests reject neutrality for both the m1 and the monetary base

comparing the point predictions and subjective probability distributions of professional forecasters we use data from the survey of professional forecasters spf to compare point predictions of gross domestic product gdp growth and inflation with the subjective probability distributions held by forecasters we find that most spf point predictions are quite close to the central tendencies of forecasters subjective distributions tend to be asymmetric with spf forecasters tending to report point predictions that give a more favorable view of the economy than do their subjective means medians modes

the relationship between energy resource depletion climate change health resources and the environmental kuznets curve evidence from the panel of selected developed countries abstract the objective of the study is to examine the relationship between energy resource depletion climate change health resources and the environmental kuznets curve ekc under the financial constraint environment in the panel of selected developed countries over the period of 2000 2013 the study employed panel generalized method of moments gmm estimate for robust inferences the results confirmed the existence of ekc hypothesis in the energy resource depletion model i e inverted u shaped relationship between energy resource depletion and gdp per capita in the selected developed countries the results of climate change model confirmed the u shaped relationship of perfluorocarbons pfc gas emission and particulate matter 2 5 micrometers pm 2 5 emissions with the per capita income the health resource model confirmed the existence of inverted u shaped relationship of infant deaths and health expenditures per capita with the per capita income while there is a u shaped relationship between incidence of tuberculosis tb and gdp per capita the other results indicate that carbon dioxide co 2 emissions increase sulfur hexafluoride sf 6 emissions and health expenditures fossil fuel energy consumption increases pfc gas emissions and pm 2 5 emissions energy demand increases pm 2 5 emissions and health expenditures and financial dummy d 2008 affected energy resource depletion pm 2 5 emissions greenhouse gas ghg emissions index infant deaths and health expenditures per capita

does anticipated monetary policy matter an econometric investigation a heated debate has arisen over the policy ineffectiveness proposition associate with the work of lucas sargent and wallace it postulates that anticipated aggregate demand policy will have no effect on business cycle fluctuations so that one deterministic feedback policy rule is as good as any other from the point of view of stabilizing the economy this paper develops a methodology for empirically analyzing rational expectations models displaying this neutrality result and then applies it to the important question of whether anticipated monetary policy matters to the business cycle

indexation and the effect of inflation uncertainty on real gnp this article examines the combined effects of inflation uncertainty and indexation on the growth rate of real gross national product gn p the evidence suggests that greater indexation partially reduces t he adverse effect of inflation uncertainty on real gnp growth over time it also indicates that in contrast to earlier findings regarding th e effect of inflation uncertainty on employment the overall effect of inflation uncertainty on real gnp growth may be permanent a preliminary assessment of whether the discrepancy is the result of in flation uncertainty permanently affecting the growth rate of the capi tal stock is inconclusive copyright 1988 by the university of chicago

information costs learning process and the effectiveness of monetary policy the lucas cukierman model is modified to allow for agents imperfect knowledge of the key money supply parameter and to make the extent of information acquisition by agents endogenous a bayesian framework is used and the effectiveness of monetary policy during the learning process is also examined

the cost of climate policy in the united states abstract we re evaluate prospects for us economic growth and the likely costs of advanced technologies given recent developments and then apply the mit emissions prediction and policy analysis eppa model to evaluate three core ghg policy scenarios for the us that cap emissions at different levels the three policy scenarios involve allowance allocations that through 2050 are 1 constant at present emissions levels 2 linearly reduced to 50 below present 3 linearly reduce emissions to 80 below present the cumulative allowance allocations over the horizon of the policy are 287 203 and 167 gt of co 2 equivalent respectively we compare the results to previous analysis of these same policy scenarios to evaluate how the changed growth and technology prospects affect the results we focus on 203 and 167 gt scenarios because current proposals envision deep cuts in emissions from present the 167 gt scenario is closest to proposals currently being considered by congress and supported by the us administration however we do not attempt to model specific details of actual proposals we test results to alternative assumptions about program coverage and banking behavior measured in terms of changes in economic welfare the economic cost of 203 and 167 gt cases is in the range of 2 to 3 by 2050 with co 2 prices between 48 and 67 in 2015 rising to between 190 and 266 by 2050 implementation details matter when an idealized economy wide cap and trade is replaced by coverage omitting some sectors or if the credibility of long term target is weak limiting banking behavior prices and welfare costs change substantially

interest rate variability and economic performance some international evidence using data for short term and long term interest rates across a major group of industrial countries his paper studies the impact of interest rate variability on the cyclical behaviour of real output and the price level in these countries theory predicts that the increased variability of the interest rate stemming from a rise in the level of uncertainty has a negaive impact on he ouput demanded and supplied and in turn an ambiguous impact on the price level the empirical evidence is generally consistent with this prediction next the investigation attempts to shed some light on major sources of uncertainty underlying the interest rate variability focus in on he variability of monetary growth the exchange rate and the energy price some evidence on he relative contribution of these sources of uncertainty of the variability of the interest rate and in turn to the cyclical behaviour of real output and the price level across countries is provided

land requirements feedstock haul distance and expected profit response to land use restrictions for switchgrass production abstract energy crop production has been proposed for land of poor quality to avoid competition with food production and negative indirect land use consequences the objective of this study was to determine the land area requirements biomass transportation distance and expected profit consequences of restricting switchgrass biomass production for use as biofuel feedstock to marginal land relative to unrestricted land use the usa soils capability classification system was used to differentiate between high quality land and land of marginal quality fifty years of historical weather data were used in combination with a biophysical simulation model to estimate switchgrass biomass yield distributions for land of different quality for counties in the case study region a mathematical programming model was designed and solved to determine the economic consequences for the levels of biofuel price considered 0 50 0 75 and 1 00 l and a 262 5 m l year biorefinery modeled restricting land use to marginally productive capability class iv soils increases the quantity of land optimally leased by 42 to 52 increases biomass trucking total transportation distance by 115 to 116 and reduces the expected net returns by 11 to 15 m year compared to when land use is unrestricted in the absence of government restrictions for profit companies are not likely to limit energy crop production to land of marginal quality

woody biomass energy potential in 2050 abstract from a biophysical perspective woody biomass resources are large enough to cover a substantial share of the world s primary energy consumption in 2050 however these resources have alternative uses and their accessibility is limited which tends to decrease their competitiveness with respect to other forms of energy hence the key question of woody biomass use for energy is not the amount of resources but rather their price in this study we consider the question from the perspective of energy wood supply curves which display the available amount of woody biomass for large scale energy production at various hypothetical energy wood prices these curves are estimated by the global biosphere management model globiom which is a global partial equilibrium model of forest and agricultural sectors the global energy wood supply is estimated to be 0 23 gm 3 year 0 165 ej year when energy wood prices vary in a range of 0 30 gj 0 216 m 3 if we add household fuelwood to energy wood then woody biomass could satisfy 2 18 of world primary energy consumption in 2050 if primary forests are excluded from wood supply then the potential decreases up to 25

forecasting rational expectations and the phillips curve an empirical investigation abstract the rational expectations version of the phillips curve is empirically evaluated for switzerland using a wide variety of specifications it turns out that the results are highly sensitive to measurement of both the natural rate and expectations of nominal variables no reliable phillips curve seems to exist in addition information on the relative quality of different forecasting schemes is obtained for a number of important macroeconomic variables

unanticipated money growth and unemployment post sample forecasts in the late 1970s robert j barro published what has since become a popular model of business fluctuations barro s 3 findings provide evidence advocating the short run neutrality of money under rational expectations forging an important empirical link to the theoretical studies of lucas 19 20 and sargent and wallace 33 the original barro unemployment model has received additional support from further statistical testing 5 6 15 despite criticisms and modifications some of which are considered in barro s 6 updated model these equations have inspired numerous empirical studies analyzing unanticipated effects of macroeconomic variables this paper examines post sample forecasts of barro s original 3 and revised 6 unemployment equations for the 1974 84 period mayer 23 24 harvey 13 179 80 and lovell 18 among many contend that the ability to successfully forecast outside of the sample period is an important criterion for evaluating model robustness this view is also reflected in a substantial body of studies including 10 25 26 29 39 which investigate the post sample predictive performance of macroeconomic models one year ahead forecasts indicate that the barro 3 6 equations accurately predict unemployment for the 1974 79 period during 1980 84 however the predictive performance of both models sharply deteriorates augmenting the barro models with interest rate volatility in accordance with the findings of evans 11 and tatom 38 considerably improves the overall forecasting ability this modification also rectifies the 1980s structural instability of the barro unemployment equations furthermore the basic conclusions of the seminal barro work are retained with this augmented model the results reveal that increases in interest rate volatility exert significantly adverse effects upon unemployment corroborating with the findings of evans 11 and tatom 38 still interest rate volatility could be overlooked in previous estimations of the barro or other models of business fluctuations due to the variable s relative constancy prior to 1979

anticipated money inflation uncertainity and real economic activity this paper critically examines a number of maintained hypotheses that are necessarily being tested along with the basic notion derived from the rational expectations re formulation of lucas 1972 19 73 that only unanticipated money matters the trend stationary representation of secular real output of lucas and others is replaced by a difference stationary representation found by nelson and plosser 1980 to be consistent with u s historical data the impact of inflation uncertainty on real activity is considered attention is paid to possible mis measurement of agents ex ante anticipated money growth it is found that three alternative measures of anticipated money growth produce a stable impact on growth of output and employment contemporaneous and lagged values of unanticipated money growth have no significant additional explanatory power in the presence of any one of the three measures of anticipated money growth beyond this it is impossible to reject the hypothesis that the initial positive real impact of anticipated money is not temporary inflation uncertainty is found to act as a significant depressant of real economic activity in the presence of all tested combinations of anticipated and unanticipated money growth this abstract was borrowed from another version of this item

real business cycles and the lucas paradigm when the lucas paradigm is generalized to include real effects the effects of real factors and monetary factors on the business cycle are always interrelated furthermore in such models monetary factors can affect the long run behavior of real output contrary to the commonly held view that they cannot real business cycle models and lucas type models are different paradigms but not in the sense of real versus monetary rather interrelationships between real and monetary factors are intrinsic to the lucas paradigm whereas the real business cycle literature implies a dichotomy between real and monetary factors

demand driven innovation and spatial competition over time the demand pull hypothesis regarding the process underlying innovation emphasizes a top down approach the initiation of an innovation is seen as coming from the firm s marketing or production people and the response as coming from the research staff the problem may be posed by members of the firm that deal directly with its customers or are involved with the manufacture of its products and a solution is provided by the research staff the alternative technology push hypothesis emphasizes a bottom up approach and has the research staff playing the active role of determining the nature of the innovation with the marketing and production staff playing a passive role it seems that neither hypothesis alone can account for the direction of innovative activity it is the interaction of technological opportunity and economic opportunity that is of ultimate importance moreover technological opportunity is judged to be responsible for the long run evolution of products while economic opportunity appears to account for more of the short run developments kamien and schwartz 1982

inflation uncertainty and real economic activity an alternative approach a bstracct increased uncertainty about inflation is shown to encourage inflation hedging which in turn reduces the macroeconomic costs of that uncertainty portfolio theory and empirical evidence support the contention that only the portion of inflation volatility that cannot be hedged has real economic effects additional empinrcal results suggest that i increased inflation volatility in the early seventies was eventually followed by portfolio reallocations that allowed for greatly improved inflation hedging and ii the deletenrous effect of inflation uncertainty on real economic activity shown in previouis studies is significantly smaller after 1975