wage employment contracts this paper studies the efficient agreements about the dependence of workers earnings on employment when the employment level is controlled by firms the firms superior information about profitability conditions is responsible for this form of contract governance under plausible assumptions such agreements will cause employment to diverge from efficiency as a byproduct of their attempt to mitigate risk it is shown that if leisure is a normal good and firms are risk neutral employment is always above the efficient level such a one period implicit contracting model cannot therefore be used to explain unemployment as a rational byproduct of risk sharing between workers and a risk neutral firm under conditions of asymmetric information

the structure of multi period employment contracts with incomplete insurance markets this paper examines the structure of multi period employment contracts in an economy with identical workers when only incomplete insurance is provided against job related contingencies the incompleteness of insurance markets stems from an asymmetry of information between the worker and the insurer in this situation the employment contract will provide implicit insurance by paying workers less than their marginal product during some periods and more during others the paper explores how the characteristics of such contracts are altered by increases in uncertainty worker risk aversion hiring costs and the amount of specific and general training provided a sequel to this paper examines the efficiency properties of such contracts this abstract was borrowed from another version of this item

wage profiles and imperfect capital markets a positive analysis this paper examines the structure of long term employment contracts when labor is mobile and risk averse employers are unable to monitor workers outside job offers workers cannot borrow against future income and workers productivity is increasing in the length of service with the long term employer workers are then liquidity constrained and the contract trades off consumption smoothing against efficiency in turnover in contrast to previous papers which have examined this problem this paper provides a continuous time formulation that permits a detailed characterization of the properties of the wage profile

unit root tests and the statistical pitfalls of seasonal adjustment the case of u s postwar real gross national product unit root tests applied to the postwar seasonally adjusted quarterly gross national product series strongly support the null hypothesis of the presence of a unit root in the data generating process evidence reported here with seasonally unadjusted data is far less conclusive it is explained why seasonal adjustment procedures may alter the outcome of conventional tests

a life cycle consumption model with liquidity constraints theory and empirical results a structural consumption model incorporating endogenous liquidity constraints is fit to a cross section of 798 u s families liquidity constrained families are estimated to constitute 19 4 percent of the population sampled a group that accounts for 16 7 percent of consumption in the population sampled in sample simulations of the model suggest that a temporary tax has three to four times more impact on aggregate consumption than it would if liquidity constraints were not in effect copyright 1987 by the econometric society

a method to select between periodic cointegration and seasonal cointegration the seasonal and the periodic cointegration models are non nested models that can explain complex patterns in univariate seasonal time series this paper proposes a simple model selection method which is based on an application of the usual test procedures for cointegration to the annual series per season

agent compensation and the limits of bonding agents in positions of trust may engage in malfeasance which is difficult to detect this paper develops a model in which employers seek to control malfeasance by paying wages contingent on imperfect monitoring and agents may be required to pay entry fees or post bonds we conclude that entry fees which exceed agents assets are ineffective in controlling malfeasance as a result conditions exist in which it is optimal to pay agents more than their opportunity cost such conditions lead to an excess supply of applicants and allow employers to engage in discrimination at zero cost to themselves

seasonality and habit persistence in a life cycle model of consumption summary the allocation of non durable consumers expenditure over the four quarters of the year reflects choices made by consumers implying a utility function exhibiting seasonality incorporating such a function the life cycle model fails to explain fully the observed dynamics in uk seasonally unadjusted data seasonal habit persistence effects are introduced and found to be significant although this generalized model stands up well to testing in a univariate context it fails to exclude a predictive role for lagged income changes seasonality is inherent in many economic time series but it is rarely considered to be an issue of interest in econometric model building rather than explicitly investigating the economics underlying seasonal variation modellers typically try to remove its effects either by using seasonally adjusted data or by including seasonal intercept dummies in their equations the former practice is criticized by wallis 1974 who shows that it may distort the relationship between variab le the latter assumes that the function simply shifts up or down with the season however except for degrees of freedom considerations there seems to be no a priori reason why the same parameters or functional form should apply at different times of the year indeed gersovitz and mackinnon 1978 argue that realistic utility cost or production functions result in models in which seasonal influences cannot be separated out in a simple fashion in the present study seasonality is treated as one of the features to be explained within the economic model thus in the particular application to non durable consumers expenditure it is argued that the allocation of expenditure over the year reflects seasonal tastes and hence seasonality in the underlying utility function the implications of this are explicitly investigated the framework for our analysis is the influential paper by hall 1978 who derives a randomwalk model for real non durable consumers expenditure when rational expectations are combined with a life cycle theory of consumption hall does not investigate seasonality at all and employs seasonally adjusted values in his empirical analysis although subsequent us authors have examined many aspects of this theory the type of data used has rarely been

a contribution to event study methodology with an application to the dutch stock market abstract this paper proposes an extended market model for event studies based on daily stock returns for actual data the assumptions of the simple market model are violated the return distribution is not normal and neither the variance of the error term nor the risk parameter beta are constant our model incorporates the generalized autoregressive conditional heteroskedasticity garch model with t distributed errors and a time dependent beta we test for anomalies by adding dummy variables in the regression equation our model is fairly general and could be used in a wide variety of event study situations we illustrate the model by an analysis of the weekend and the option expiration effect we use return data from the dutch stock market the weekend effect on stock returns is significant but no expiration effect could be detected

a new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions the us economy experienced major regulatory changes in the banking and finance industry with the passage of five major acts over the period 1980 to 1991 this has generated an extensive literature investigating the effects of these changes on the us banking industry in particular this body of research has examined the share market reaction to regulatory changes as well as their impact on the risk return market value and profitability of banking industry stocks generally it has been found that the regulatory changes have had a substantial impact although the effect has not been uniform across all depository institutions this paper extends this literature by analysing the stability of a sample of eighteen us banking industry stock betas across five periods a pre regulatory change period a monetary experiment period a deregulation period a reregulation period and a post regulatory change period based on an analysis of weekly returns we find that the level of bank risk has increased further we also find a tendency towards greater beta instability in both the monetary experiment and deregulation samples the degree of beta instability is lowest in the pre regulatory change and post regulatory change samples overall the monetary experiment and regulatory change coincided with an increased tendency towards beta instability we also compare our results to a randomly selected control sample of non banks and find some more general effects of regulatory change on individual stock betas

buffer stock money interpreting short run dynamics using long run restrictions time series techniques are used to assess the quantitative importance of buffer stock money the short run response of real money holdings to nominal money supply shocks the empirical model a vector autoregression of real and nominal money balances captures general dynamic properties of the time series but requires theoretical restrictions for sensible interpretation the authors just identify the system by imposing a long run neutrality restriction nominal money shocks have no permanent effects on real money they find that buffer stock effects play an important role in the evolution of real m1 in the short run the evidence for m2 is less conclusive copyright 1994 by ohio state university press

self enforcing contracts shirking and life cycle incentives he labor market is a rich and complicated place when a worker takes a job he expects to earn a wage but will also care about rates of wage growth fringe benefits levels of risk retirement practices pensions promotion and layoff rules seniority rights and grievance procedures in return the worker must give up some time but he is also asked to upgrade his skills train other workers provide effort and ideas and defer to authority in questions of how his time is spent great changes are occurring in the way labor market institutions such as these are modelled central to the new approach is the concept of a self enforcing implicit contract this is the latest in a series of variations on the ideas of azariadis 1975 baily 1974 and gordon 1974 and is one of the more exciting new developments in the theory of labor markets this essay will outline this approach and evaluate some of its accomplishments the ideas will be presented in the context of an incentive model that is of some independent interest the model was introduced by becker and stigler 1974 and was extended by lazear 1979 to account for wage growth and mandatory retirement in these papers the workers retire at a fixed age lending the name life cycle incentives to the approach more recently shapiro and stiglitz 1984 have used a version without a fixed retirement date to account for unemployment this version is often called the shirking model these models have generated some controversy but much of it can be resolved when the models are presented in the framework of self enforcing contracts in fact this simple incentive model can do even more it can provide a rationale for competitive hierarchies where firms place their workers in competition with

seasonal fluctuations and the life cycle permanent income model of consumption this paper examines a new possible explanation for the recent rejections of the life cycle permanent income model of consumption the treatment of seasonal fluctuations the paper shows that when the seasonal fluctuations in consumption purchases are included in an analysis of the life cycle permanent income model there is no evidence in the aggregate data against the model the estimates of the parameters of agents utility functions obtained with seasonally unadjusted data are plausible and the unadjusted data do not reject the overidentifying restrictions on the model

foreign direct investment with unemployment and endogenous taxes and tariffs it is well known that high tariffs can induce foreign direct investment or tariff jumping this paper analyzes tariff jumping in the context of a host government which can set specific tariffs and taxes subject to the credibility constraint that the chosen levels be optimal once capital is irreversibly in place the foreign multinational is assumed to choose its location and level of investment strategically taking into account the induced tax and tariff levels in the presence of unemployment the optimal tariff exceeds the optimal tax for any given level of capital investment leading to foreign direct investment

tourism demand modelling and forecasting a review of recent research abstract this paper reviews the published studies on tourism demand modelling and forecasting since 2000 one of the key findings of this review is that the methods used in analysing and forecasting the demand for tourism have been more diverse than those identified by other review articles in addition to the most popular time series and econometric models a number of new techniques have emerged in the literature however as far as the forecasting accuracy is concerned the study shows that there is no single model that consistently outperforms other models in all situations furthermore this study identifies some new research directions which include improving the forecasting accuracy through forecast combination integrating both qualitative and quantitative forecasting approaches tourism cycles and seasonality analysis events impact assessment and risk forecasting

a note on the temporal variability of canadian financial services stock returns abstract we show that financial services stock returns in canada are covariance nonstationary with respect to any benchmark variable and vary negatively with interest rate levels we find that the conditional correlation between financial services stock returns and the market returns varies directly and monotonically with market volatility this result is robust to monetary regime shifts and other sources of high volatility these findings combined with those of kane and unal 1988 for the u s cast considerable doubt on the constant coefficient two index model and its variants to provide reliable estimates of usual risk measures

unemployment long term employment relations and productivity growth using an effort regulation type of efficiency wage model it is demonstrated that a firm may respond to slackening labor markets by acting to increase the intensity with which workers work the magnitude of this work intensity effect depends on the structure of employment relations where long term employment relations are prevalent the effect of labor market slack on work intensity may be diminished these propositions are tested empirically by estimating the effects unemployment and long term employment have on productivity growth in two digit manufacturing industries copyright 1987 by mit press

an empirical investigation of the possibility of stochastic systematic risk in the market model in most empirical work on the market model the parameters of that model are estimated by ordinary least squares effectively assuming that the systematic risk of an asset or portfolio is constant through time however a plausible alternative hypothesis would allow the systematic risk of the stock of a company to vary through time such variation may arise through the influence of either microeconomic factors such as operational changes in the company or changes in the business environment peculiar to the company or macroeconomic factors such as the rate of inflation general business conditions and expectations about relevant future events a detailed discussion of these points is provided by rosenberg and guy 1976a 1976b support for the hypothesis that systematic risk varies through time is provided in the studies by jacob 1971 blume 1975 and fabozzi and francis 1978 in this paper we allow the possibility that systematic risk of an asset is stochastic in principle an attempt to model this stochastic behavior could be made through allowing systematic risk to follow a member of the general arima class of models of box and jenkins 1970 ideally the available data would be employed to suggest a specific model from this general class however this approach has to face very serious we discuss the market model in which the possibility is allowed that beta is stochastic and obeys a first order autoregressive process following a brief discussion of methodological issues in the estimation and testing of such models results are reported on an empirical study of a large sample of monthly returns of common stock we find strong evidence indicating stochastic systematic risk but relatively little evidence against the random coefficient model

implicit contracts labor mobility and unemployment firms inability to monitor their employees search effort forces a tradeoff between risk bearing and incentive considerations when designing employment related insurance since the provision of insurance against firm specific shocks adversely affects workers incentives to find better jobs the optimal contract provides only partial insurance it prescribes low high wages and under over employment to encourage workers to leave stay at low high productivity firms and it employs quits and layoffs as alternative means of inducing separations at low productivity firms with the mix depending upon the relative efficiency of the on and off the job search technologies our analysis of implicit contracts with asymmetric search information establishes that any consistent explanation for worksharing layoffs severance pay quits and unemployment must focus on questions of labor mobility this abstract was borrowed from another version of this item

work norms and involuntary unemployment consider the organizational environment of labor management wherein the firm can measure the average performance i e group work norm of its employees but has difficulty in observing the individual worker s performance within the group accordingly the worker s remuneration is based on the observed group norm because of the way in which workers interact among themselves in setting work norms there results an undersupply of effort from a given workforce size furthermore the group work norm is shown to be negatively correlated with the size of the workforce consequently short run unemployment can arise with involuntary features the paper also explores the effectiveness of alternative remuneration schemes in mitigating the inefficiency associated with the group work norm setting

job matching and job competition are lower educated workers at the back of job queues abstract during the cyclical downturn of the 1980s unemployment in the netherlands increased substantially with unemployment rates of lower educated workers increasing more than those of higher educated workers a possible explanation of this phenomenon is job competition between workers with different levels of education another explanation of the diverging unemployment rates is that employers dismiss replaceable lower educated workers before irreplaceable higher educated workers in this paper we scrutinize the job competition explanation our results show that there only is job competition between unemployed workers with an academic and a higher vocational education there is no job competition at lower levels of education

demand for cash balances in germany theoretical underpinnings and empirical evidence the purpose of this paper is to develop and test a cash in advance model of an open economy following the contribution of bohn 1991 and using intertemporal balance of payments theory we set up a currency demand function with real consumption expenditure the foreign interest rate and exchange rate expectations as the core explaining variables we test the model with the aid of the econometric techniques proposed by hylleberg engle granger and yoo 1990 and engle granger hylleberg and lee 1993 relying on quarterly seasonally unadjusted data for germany in the period 1960 1 to 1993 4 the findings reported in the paper support the suggestions made by the theoretical model

the economics of vocation or why is a badly paid nurse a good nurse abstract given the longstanding shortage of nurses in many jurisdictions why could not nursing wages be raised to attract more people into the profession we tell a story in which the status of nursing as a vocation implies that increasing wages reduces the average quality of applicants attracted the underlying mechanism accords with the notion that increasing wages might attract the wrong sort of people into the profession and highlights an in efficiency wage mechanism particular to vocations which makes wages sticky up wards the analysis has implications for job design in vocation based sectors such as nursing and teaching

predicting risk some new generalizations existing adjustment techniques for forecasting systematic risk of individual firms have been based on relatively uniformative prior knowledge about the cross sectional distribution of risk estimates this study introduces prior information in the form of size and industry based cross sectional distributions of risk estimates such information is incorporated into forecasts using familiar and generalized adjustment techniques the latter being based on recently developed multiple shrinkage methods improved forecast performance results

are output fluctuations transitory according to the conventional view of the business cycle fluctuations in output represent temporary deviations from trend the purpose of this paper is to question this conventional view if fluctuations in output are dominated by temporary deviations from the natural rate of output then an unexpected change in output today should not substantially change one s forecast of output in say five or ten years our examination of quarterly postwar united states data leads us to be skeptical about this implication the data suggest that an unexpected change in real gnp of 1 percent should change one s forecast by over 1 percent over a long horizon

unemployment and the efficiency wage hypothesis there has been much recent discussion of the reasons why prices in certain markets and in particular in labour markets may not adjust to eliminate excess supply the absence of speedy adjustment of prices is an essential feature of the recent models of disequilibrium macroeconomics but for the most part no explanation for this absence is provided from within those models one explanation that has been around in the literature for some time and has been receiving increasing attention recently is the efficiency wage hypothesis initially applied to developing economies see leibenstein i957 it has more recently been adapted to developed economies by weiss i 980 and used in the context of a keynesian macroeconomic model by hart i 980 similar concepts have been applied to the credit market by stiglitz and weiss i98i the purpose of the present paper is to explore further the conditions under which the notion of an efficiency wage is applicable and can provide an explanation of involuntary unemployment the essential feature of the efficiency wage hypothesis is that the productivity of a firm s employees increases as their wage is increased at least over an economically relevant part of its range if the wage paid by the firm is denoted by w the number of employees by l and the productivity of each employee by p w where p w o then the effective labour force of the firm e can be represented by

real stock prices and the long run money demand function evidence from canada and the usa abstract this paper investigates the relationship between stock prices and the long run money demand function in canada and the usa during the post wwii period 1955 1989 the empirical investigation is conducted by means of the johansen method of cointegration and the error correction modelling strategy results show that stock prices play a significant role in the determination of stationary long run real m1 and real m2 demand functions in both countries the direction and magnitude of the role of stock prices depends upon the definition of the money and the country error correction results provide evidence of causality between the real money stock and the determinants of the money demand including real stock prices

canadian jobs and firm size do smaller firms pay less even after controlling for observable workers characteristics and for occupation and industry specific effects a substantial wage differential remains between large and small firms what underlies the remaining wage differential is unclear direct evidence on pension plan coverage and on lay off rates by firm size is inconsistent with the bad working conditions hypothesis the union avoidance hypothesis does not seem to explain an important portion o f the wage differential as suggested by efficiency wage models part of the remaining wage differential may be due to firms heterogeneity similarly perhaps large firms pay higher wages simply partly beca use they employ workers with more unobserved abilities because differen t explanations of the wage differential may lead to different policy implications determining the source of the wage firm size effect is an important question for future research

recent advances in modelling seasonality abstract in this paper we review recent developments in econometric modelling of economic time series with seasonality the prime focus is on econometric models which incorporate explicit descriptions of seasonal variation instead of removing this variation using a seasonal adjustment method this review centres around developments in seasonal unit root models and in periodic parameter models both in the univariate and multivariate context several empirical examples are used for illustration we also discuss several areas for further research

the seasonal unit root structure in new zealand macroeconomic variables adf unit root tests are generally applied to macroeconomic data prior to testing theoritical models to ensure that all relevant variables are integrated of the same order not only is it important to test that these variables are integrated of the same order but also that a cointegrating relationship exists failure to do so raise the specture of false inference associated with the spurious regression problem the seasonal nature of quarterly data adds a further proplem which has generally been overcome by seasonally adjusting the data using procedure such as the census x 11 rather than suppressing it have attempted to determine whether the seasonal component in each variable exhibits stochastic non stationary this paper analysisunit roots in a seasonal setting and compares the recently developed tests for seasonal unit roots as well as the standard augmented dickey fuller zerop frequency unit root tests of the variables tested relatively few paper to be integrated at the seasonal frequenciues and as

common features in economics and finance an overview of recent developments this introductory article offers an overview of some developments in the common features literature since the publication of the seminal article by engle and kozicki in the journal of business economic statistics in 1993 with the aim of highlighting the unifying theme of the contributions in this volume

macroeconomic adjustment with segmented labor markets this paper analyzes the macroeconomic effects of fiscal and labor market policies in a developing economy with an informal sector and a heterogeneous work force a permanent reduction in government spending on nontraded goods leads in the long run to a deprecia tion of the real exchange rate a fall in the market clearing wage for unskilled labor an increase in output of traded goods and a lower stock of net foreign assets a permanent reduction in the minimum wage improves competitiveness and expands the formal sector the effect of changes in unemployment benefits are also analyzed q 1999 elsevier science

bayesian analysis of periodic unit roots in the presence of a break a bayesian testing approach for a periodic unit root in quarterly and monthly data is presented further a bayesian test is introduced to test for unit roots at non seasonal spectral frequencies all procedures admit one structural break in the periodic trend function where the occurrence of a break and the associated timing are treated as additional model parameters a bayesian model averaging bma approach is proposed and power functions of the tests are computed overall the results indicate that the bma periodic unit root test exhibits favourable test properties even in small samples in an empirical application the presented testing procedures are used to test for non seasonal forms of unemployment persistence among oecd countries

the performance of periodic autoregressive models in forecasting seasonal u k consumption the parameters of a periodic model are allowed to vary according to the time at which observations are made periodic autoregressive models are fitted to the quarterly values of seasonally unadjusted real nondurable consumers expenditure for the united kingdom and its components the periodic model offers no improvement over conventional specifications if the aggregate is modeled directly on the other hand periodic models generally perform well for the components which contain additional seasonal information the choice between a periodic or nonperiodic specification is also shown to have an important influence on the resulting dynamic properties

labor contracts with voluntary quits this paper considers labor contracts between the risk neutral firm and risk averse workers with heterogeneous outside opportunities alternative wages which become known to the worker after a costly on the job search in the case of a deterministic alternative wage self selection over a menu of contract wages would achieve the first best contract if the alternative wages are stochastic the second best contract emerges as a trade off between productive efficiency and risk sharing workers who voluntarily search are fewer and workers who search are less likely to quit if the search effort is not monitored even fewer workers search

involuntary unemployment and worker self selection abstract consider a firm that lacks information about the reservation wage or ability of any specific worker but is aware that workers with higher reservation wages tend to be more able on average we show that under a simple condition that the efficiency wage exceeds the lowest reservation wage the optimal hiring policy for the firm involves 1 no wage discrimination and 2 rationing of jobs when demand for its product is low the result also extends to the case where hours of work are variable provided each worker is most productive when working a strictly positive number of hours per week

efficiency wages deferred payments and direct incentives in agriculture empirical evidence from agricultural labor markets is consistent with efficiency wage theory and inconsistent with several alternative explanations according to this theory the higher wage or deferred payment benefits that direct hire growers pay relative to that of farm labor contractors is an efficiency wage growers use this extra compensation to lower their monitoring expenses and reduce shirking by workers copyright 2002 oxford university press

does gnp have a unit root a re evaluation abstract stock and watson 1986 test the hypothesis that real per capita gnp has a unit root by using a test statistic due to phillips 1985 which incorporates a non parametric correction for the serial correlation induced by system and error dynamics the version of this test that is used by stock and watson does not accomodate the presence of a drift and to compensate they detrend the series by extracting a 1 5 annual trend growth we use a version of this class of non parametric tests developed by phillips and perron 1986 which allows for an estimated drift and reassess the stock and watson findings

long run purchasing power parity during the recent float abstract this paper examines the relevance of long run purchasing power parity ppp which allows for measurement errors during the recent floating exchange rate period previous empirical studies generally fail to find support for long run ppp over this period in this paper in this paper the cointegration property of exchange rates and prices is examined using maximum likelihood procedure and we find significant evidence favorable to long run ppp further tests for symmetry and proportionality indicate that these two conditions are not generally with the data the results support the hypothesis of long run ppp with measurement errors in prices

periodic cointegration representation and inference textabstractthis paper considers a new approach to the analysis of stable relationships between nonstationary seasonal time series the basis of this approach is an error correction model in which both long run effects and adjustment parameters are allowed to vary per season first we discuss theoretical arguments for such a periodic error correction model we define periodic cointegration and compare this to the concept of seasonal cointegration next we analyze statistical inference in the periodic error correction model a sequential procedure is proposed consisting of a test for periodic cointegration an estimator of the cointegration parameters and adjustment coefficients and a class of tests for the hypothesis that some of the parameters are constant over the seasons the finite sample behavior of the proposed test statistics is analyzed in a limited monte carlo exercise we conclude the paper with an application to a model of aggregate swedish consumption

incentive compatible long term contracts and job rationing this article presents a model in which markets for long term contractual employment coexist with spot markets for labor assuming the absence of third party enforcement wage contracts are required to be incentive compatible as a consequence contract wages yield higher expected utility to the worker than spot market wages so that in equilibrium contractual long term jobs are rationed

seasonal adjustment of the monetary aggregates summary of the federal reserve s committee report the committee of experts on seasonal adjustment techniques was formed by the federal reserve board to examine and make recommendations concerning the board s procedures for seasonally adjusting the money supply and related series this article summarizes the report of that committee

wage interdependence through decentralized bargaining abstract the idea that sector specific unions are influenced by the wages obtained by other unions has mainly been used to support the empirical observation that wages are highly correlated among industries the sources of wage interdependence can mainly be found in unions preferences in the nature of technology and in price and demand determination the presence of externalities and of strategic complementarity among unions leads to suboptimal equilibria which generates non desired inflation unemployment and possibly also trade balance deficit this enforces the idea that part of current unemployment can be eliminated by improving the cooperation between social actors

efficiency wage models of unemployment keynesian economists hold it to be self evident that business cycles are characterized by involuntary unemployment but construction of a model of the cycle with involuntary unemployment faces the obvious difficulty of explaining why the labor market does not clear involuntarily unemployed people by definition want to work at less than the going wage rate why don t firms cut wages thereby increasing profits

unit roots and seasonal unit roots in macroeconomic time series canadian evidence abstract unit root tests are conducted to determine whether the unit root found in seasonal adjusted data may be due to seasonal adjustment filters typically applied by government agencies i e arima x 11 we find that a unit root exists in both the raw and adjusted data except for the unemployment rate second we also find that the commonly used seasonal adjustment filter introduced by box and jenkins 1970 is generally inappropriate

the e v stationarity of secure returns some empirical evidence abstract the joint hypothesis that the expected return vector and the variance covariance matrix of returns are intertemporally stationary is rejected for the monthly return data for securities included on the crsp file this finding is robust in that it is invariant to the type of sampling procedure used and to whether nominal or real security returns are used in contrast the hypothesis that the correlation matrix of returns is intertemporally stationary could not be rejected for the same samples of securities

a model of the natural rate of unemployment since the publication of edmund phelps volume the new macroeconomics has treated the labor market as a dynamic process of rational search by unemployed workers for available vacancies wages are viewed as at least potentially flexible though free contracting between workers and firms may lead to fixed wages in the short run imperfect information is a crucial element of the theory for it implies both a need for contracting and a need for rational search rather than simple market clearing in each period a positive rate of frictional unemployment may exist in equilibrium denoted as the natural rate this unemployment is due to the frictions in the search process and imperfections in information rather than to any deficiency in aggregate demand milton friedman defined the natural rate as the level that would be ground out by the walrasian system of general equilibrium equations provided there is embedded in them the actual structural characteristics of the labor and commodity markets including market imperfections stochastic variability in demands and supplies the cost of gathering information about job vacancies and labor availabilities the costs of mobility and so on p 8 this paper reexamines the micro foundations of the natural rate in a model of labor market equilibrium in which turnover flows and imperfect information are explicitly considered workers may quit their current jobs to enter the unemployment pool in order to search among available vacancies for a more preferred position firms economize on turnover by an appropriate wage policy

cointegration and dynamic time series models abstract this paper provides a survey of some of the recent developments in the field of econometric modelling with cointegrated time series in particular we describe the testing and estimation procedures which have become increasingly popular in the recent applied literature in addition to the two stage procedure proposed by engle and granger we consider extensions to the modelling of dynamic models with cointegrated variables such as the estimation of models with multiple cointegration vectors simultaneous systems models with seasonally integrated and cointegrated variables furthermore we illustrate the practical application of the techniques describes in the paper by means of a tutorial data set

some further evidence on the stochastic properties of systematic risk although there is consensus in the finance literature that the beta risk of equity securities is stochastic there is considerable disagreement as to whether the var iation is purely random or exhibits autocorrelation through time to investigate this issue the authors employ a model that allows beta t o exhibit both random and autoregressive behavior simultaneously the y test this model against alternative specifications on a large sampl e of individual securities and randomly formed portfolios comprising 10 50 and 100 securities results are also presented for portfolios formed according to firm size copyright 1987 by the university of chicago

labor contracts under asymmetric information when workers are free to quit this paper examines the impact of workers ability to quit on the performance of labor contracts between workers and privately informed firms while the need to induce workers to remain with the firm necessarily lowers total welfare the effect on employment levels is to reduce the magnitude of the inefficiency due to asymmetric information whether this inefficiency is under or overemployment the model predicts that employment distortions increase with the strength of lock in effects on workers a prediction which contrasts with the results of efficiency wage models and which may help in empirical testing of labor contract theory

labor turnover wage structures and moral hazard the inefficiency of competitive markets a multiperiod general equilibrium model of the labor market is developed in which risk averse workers are faced with job related uncertainty and labor turnover is costly if a worker is unlucky and suffers a bad job match he quits and joins another firm hoping that he will like its work environment more because the quality of a job match is unobservable workers cannot insure against the risk of a bad match the firm provides implicit insurance against job dissatisfaction typically by paying workers more than their net marginal products in their early years with the firm and less subsequently since the probabilities of the insured against events the quit rates over time are affected by the amount of such insurance provided this implicit insurance is characterized by moral hazard individuals quit when in the absence of insurance they would not the equilibrium contract balances out efficiency in risk bearing with efficiency in turnover incentives we show that the equilibrium contract is not con

a seasonal model of consumption in this paper the authors present strong empirical evidence that the long run income elasticity of u k nondurable consumers expenditure and its short run rate of adjustment both vary across seasons such variability in the behavior of consumers is consistent with the hypotheses that consumers have seasonal preferences and that they exhibit seasonally varying degrees of habit persistence the tests are based on a modified form of the error correction methodology that allows for seasonally varying slope coefficients simulations for the dynamic responses of the authors model illustrate the important policy implications of these results coauthors are r c bladen hovell a p l chui denise r osborn and j p smith copyright 1989 by royal economic society