the impact of uncertainty shocks in emerging economies abstract a recent strand of research proposes that sudden jumps in uncertainty generate rapid drops and recoveries in real macroeconomic variables that drive the business cycle using an empirical model we find substantial heterogeneity in reactions to these shocks across countries in comparison to the u s and other developed countries emerging economies suffer much more severe falls in investment and private consumption following an exogenous uncertainty shock take significantly longer to recover and do not experience a subsequent overshoot in activity we provide evidence that the dynamics of investment and consumption are correlated with the depth of financial markets we control for the potential role of a credit channel and estimate that it can account for up to one half of the increased fall in investment generated by uncertainty shocks among emerging economies with less developed financial markets in this context monetary and fiscal policy actions that alleviate the impact of credit constraints facing firms may reduce the impact of uncertainty shocks in these economies

macroeconomic uncertainty through the lens of professional forecasters abstractwe analyze the evolution of macroeconomic uncertainty in the united states based on the forecast errors of consensus survey forecasts of various economic indicators comprehensive information contained in the survey forecasts enables us to capture a real time measure of uncertainty surrounding subjective forecasts in a simple framework we jointly model and estimate macroeconomic common and indicator specific uncertainties of four indicators using a factor stochastic volatility model our macroeconomic uncertainty estimates have three major spikes has three major spikes aligned with the 1973 1975 1980 and 2007 2009 recessions while other recessions were characterized by increases in indicator specific uncertainties we also show that the selection of data vintages affects the estimates and relative size of jumps in estimated uncertainty series finally our macroeconomic uncertainty has a persistent negative impact on real economic activity rather than producing wait and see dynamics

efficiency and productivity of world health systems where does your country stand this article deals with estimating efficiency of world health systems using panel data on world health organization who member countries the stochastic frontier sf approach is used for this purpose we evaluate absolute efficiency as well as rankings and their sensitivity across alternative model specifications using both output maximizing and cost minimizing frameworks we also compare productivity of health service among countries derived from the output maximizing and cost minimizing models results show that efficiency rankings of countries vary substantially depending on whether the goal of healthcare provision is output maximization or health cost minimization the same applies to different sf model specifications

budget constrained frontier measures of fiscal equality and efficiency in schooling equality and efficiency are key issues in educational reform here the authors analyze the efficiency and equality consequences of various school finance reforms using a cost indirect output distance function this function readily models multiple output production under conditions of budgetary constraint and provides a natural measure of performance that is closely related to farrell type measures of efficiency the analysis suggests that despite school district inefficiency finance reforms can affect student achievement however any potential gains in output from redistribution are dwarfed by the potential gains from increased efficiency more strikingly the analysis demonstrates that budgetary reforms designed to equalize expenditures could actually increase the inequality of student achievement

the repeat rent index abstract we employ a weighted repeat rent estimator to construct quarterly indexes that expand the profession s ability to make cross sectional comparisons of housing markets our analysis shows that there is considerable heterogeneity in the behavior of rents across cities over the 2000 2010 decade but the number of cities and years for which nominal rents fell is substantial rents fell in many cities following the onset of the housing crisis in 2007 and the repeat rent and bureau of labor statistics indexes differ due to sampling and construction methods

the housing market s of san diego this paper uses an assignment model to understand the cross section of house prices within a metro area movers demand for housing is derived from a lifecycle problem with credit market frictions equilibrium house prices adjust to assign houses that dier by quality to movers who dier by age income and wealth to quantify the model we measure distributions of house prices house qualities and mover characteristics from micro data on san diego county during the 2000s boom the main result is that cheaper credit for poor households was a major driver of prices especially at the low end of the market

international risk cycles abstract recent work in international finance suggests that exchange rate puzzles can be accounted for if 1 aggregate uncertainty is time varying and 2 countries have heterogeneous exposures to a world aggregate shock we embed these features in a standard two country real business cycle framework and calibrate the model to equity risk premia in low and high interest rates countries unlike traditional real business cycle models our model generates volatile exchange rates a large currency forward premium excess comovement of asset prices relative to quantities and an imperfect correlation between relative consumption growth and exchange rates our model implies however that high interest rate countries have smoother quantities equity returns and interest rates than low interest rate countries contrary to the data

bias and precision in the dea two stage method in data envelopment analysis dea the two stage method is a popular procedure for accounting for exogenous influences on efficiency with the conventional two stage method a dea is first conducted using only traditional endogenous inputs and outputs then the first stage dea scores are regressed on the environmental contextual exogenous inputs of interest the regression outcomes are used to identify exogenous inputs that influence the first stage dea scores to a statistically significant degree and to adjust dea scores to account for these influences herein it is demonstrated empirically that the conventional method exhibits substantial bias and low precision with the degree of bias and precision affected by input variance and correlation a reverse two stage procedure that yields estimates without the bias and precision problems that compromise the validity of the conventional method s estimates is suggested

when does delinquency result in neglect mortgage distress and property maintenance abstract numerous studies have found that foreclosed properties sell at a discount and push down the sale prices of nearby properties which may be partly driven by poorer maintenance of the foreclosed homes however direct evidence of foreclosure related property neglect has been scarce this paper uses data on constituent complaints and requests for public services made to the city of boston to examine the incidence and timing of this type of foreclosure externality interior and exterior property conditions appear to suffer most while homes are bank owned although complaints about reduced maintenance are also common earlier in the foreclosure process

are private markets and filtering a viable source of low income housing estimates from a repeat income model while filtering has long been considered the primary mechanism by which markets supply low income housing direct estimates of that process have been absent this has contributed to doubts about the viability of markets and to misplaced policy i fill this gap by estimating a repeat income model using 1985 2011 panel data real annual filtering rates are faster for rental housing 2 5 percent than owner occupied 0 5 percent vary inversely with the income elasticity of demand and house price inflation and are sensitive to tenure transitions as homes age for most locations filtering is robust which lends support for housing voucher programs jel r21 r31 r38

measuring uncertainty and its impact on the economy we propose a new framework for measuring uncertainty and its effects on the economy based on a large var model with errors whose stochastic volatility is driven by two common unobservable factors representing aggregate macroeconomic and financial uncertainty the uncertainty measures can also influence the levels of the variables so that contrary to most existing measures ours reflect changes in both the conditional mean and volatility of the variables and their impact on the economy can be assessed within the same framework moreover identification of the uncertainty shocks is simplified with respect to standard var based analysis in line with the favar approach and with heteroskedasticity based identification finally the model which is also applicable in other contexts is estimated with a new bayesian algorithm which is computationally efficient and allows for jointly modeling many variables while previous var models with stochastic volatility could only handle a handful of variables empirically we apply the method to estimate uncertainty and its effects using us data finding that there is indeed substantial commonality in uncertainty sizable effects of uncertainty on key macroeconomic and financial variables with responses in line with economic theory

bid rents under unemployment risk delayed versus timeless uncertainty in this paper we analyze the impact of uncertainty on the level and properties of the bid rent function we show that these properties strongly depend upon the vr ay in which uncertainty is introduced into the model delayed versus timeless uncertainty we also investigate the implication of income uncertainty for the city equilibrium we show that under timeless uncertainty a more generous unemployment benefits program may be in the long run welfare reducing in an urban setting c 1997 academic press

analysing the technical efficiency of the spanish football league first division with a random frontier model this article analyses technical efficiency of football clubs in the spanish football league division 1 primera liga from the seasons 1995 1996 to 2004 2005 with an unbalanced panel data the random frontier model is used allowing the identification of random variables in the cost frontier it is concluded that the price of capital investment the number of points won and attendance are heterogeneous variables therefore no common public policy aiming to improve efficiency can embrace all of the clubs so that policies by clusters are required

depreciation of housing capital maintenance and house price inflation estimates from a repeat sales model abstract the rate at which physical capital depreciates is fundamental to investment in the economy nevertheless although housing capital accounts for one third of the total capital stock the rate at which housing capital depreciates has only rarely been directly estimated in part because prior studies do not control for maintenance for that same reason widely publicized measures of house price appreciation overstate the capital gain from homeownership using data from the american housing survey we examine these issues over the 1983 to 2001 period results indicate that gross of maintenance housing depreciates at roughly 2 5 percent per year while net of maintenance housing depreciates at approximately 2 percent per year moreover although the typical home appreciated at an annual real rate of roughly 0 75 percent after allowing for depreciation and maintenance the average homeowner experienced little capital gain

the international effects of global financial uncertainty shocks abstract in this paper we study the impact of sudden rises in global financial uncertainty on small open economies to this end we extract a global factor from the realised volatilities of about 1000 risky asset returns from around the world we then analyse how shocks to this factor affect economic activity in 44 advanced and emerging small open economies by estimating local projections in a panel regression framework we find that shocks increasing global financial uncertainty have adverse consequences on output trade and unemployment while their impact on nominal variables is more heterogeneous across countries furthermore the effects are more severe in countries with a higher degree of trade or financial openness higher levels of vulnerabilities weaker institutions or during economic downturns

what is the role of the asking price for a house abstract this paper considers the role of the asking price in housing transactions both theoretically and empirically significant fractions of housing transactions involve sales prices that are either below or above asking price which might suggest that asking price has limited relevance however many housing transactions involve a sales price exactly equal to asking price a fact that has previously drawn little notice strongly suggesting that asking price does matter the paper develops a model where asking price is neither a binding commitment nor a ceiling yet still directs buyer search and impacts sales price using novel survey data the paper provides empirical evidence consistent with asking price playing a directing role in buyer search consistent with theory this effect is stronger for more atypical houses and in bust markets

time varying structural vector autoregressions and monetary policy a corrigendum this note shows how to apply the procedure of kim et al 1998 to the estimation of var dsge factor and unobserved components models with stochastic volatility in particular it revisits the estimation algorithm of the time varying var model of primiceri 2005 the main difference of the new algorithm is the ordering of the various mcmc steps with each individual step remaining the same

search liquidity and the dynamics of house prices and construction the dynamics of house prices sales construction and population growth in response to city specific income shocks are characterized for 106 us cities a dynamic model of search in the housing market in which construction the entry of buyers house prices and sales are determined in equilibrium is then developed the theory generates dynamics qualitatively consistent with the observations and a version calibrated to match key features of the us housing market offers a substantial quantitative improvement over models without search in particular variation in the time it takes to sell induces transaction prices to exhibit serially correlated growth jel d83 r21 r23 r31 we explore the consequences of time consuming search and matching for the dynamics of house prices sales and construction at the city level first we char acterize the impact of city specific income shocks on the short run dynamics of average house prices home sales construction and population growth for a panel of us cities we then develop a model in which the entry of new buyers and the construction of new houses in response to such shocks are endogenously determined our theory generates serial correlation in the growth rates of house prices and construction even if income is strictly mean reverting following shocks 1 when calibrated to data on us cities our model accounts for over 80 percent of the variance of house price movements driven by city specific income shocks and nearly half of the observed autocorrelation of house price growth in our empirical analysis we estimate a structural panel vector autoregressive var model using city level observations on the variables listed above we focus

residential buildings and the cost of construction new evidence on the efficiency of the housing market present value studies of asset market efficiency are controversial because they compare asset prices to unobserved discounted streams of future rents as an alternative if housing markets are efficient then the price of residential capital or buildings should satisfy the following two conditions i deviations between new building prices and construction costs should disappear faster than construction lags and have no effect on construction and ii temporary building price shocks should dissipate at a similar rate for different vintage buildings results from an error correction model support both hypotheses for single family housing in vancouver british columbia this implies that the implicit market for residential buildings is efficient and that any inefficiencies in the housing market must lie in the market for land itself

reconciling theory and empirics on the role of unemployment in mortgage default abstract empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other well known risk factors such as high borrower leverage or low borrower fico scores this is at odds with theory which assigns a critical role to unemployment in the decision to stop payment on a mortgage we help reconcile this divergence by employing a novel empirical strategy involving simulated unemployment histories to measure the severity of attenuation bias in loan level estimations of default risk due to a borrower becoming unemployed attenuation bias results because individual data on unemployment status is unobserved requiring that a market wide unemployment rate be used as a proxy attenuation is extreme with our results suggesting that the use of an aggregate unemployment rate in lieu of actual borrower unemployment status results in default risk from a borrower becoming unemployed being underestimated by a factor more than 100 in addition our analysis indicates that adding the unemployment rate as a proxy for the missing borrower specific unemployment indicator does not improve the accuracy of the estimated model over the specification without the proxy variable included hence aggregate portfolio level risk estimates for mortgage guarantors such as fha also are not improved these views represent those of the authors and not necessarily those of the federal reserve bank of new york or the federal reserve system this is a revised version of a paper that previously circulated under the title unemployment and unobserved credit risk in the fha single family mortgage insurance fund nber working paper no 18880 john grigsby provided excellent research assistance we appreciate the helpful comments of andrew haughwout wilbert van der klaauw the editor stuart rosenthal and referees but remain responsible for any errors

common and country specific economic uncertainty abstract we use a factor model with stochastic volatility to decompose the time varying variance of macroeconomic and financial variables into contributions from country specific uncertainty and uncertainty common to all countries we find that the common component plays an important role in driving the time varying volatility of nominal and financial variables the cross country co movement in volatility of real and financial variables has increased over time with the common component becoming more important over the last decade simulations from a two country dsge model featuring epstein zin preferences suggest that increased globalisation and trade openness may be the driving force behind the increased cross country correlation in volatility

economic policy uncertainty and unemployment in the united states a nonlinear approach we model us post wwii monthly data with a smooth transition var model and study the effects of an unanticipated increase in economic policy uncertainty on unemployment in recessions and expansions we find the response of unemployment to be statistically and economically larger in recessions a state contingent forecast error variance decomposition analysis confirms that the contribution of epu shocks to the volatility of unemployment at business cycle frequencies is markedly larger in recessions

common drifting volatility in large bayesian vars the general pattern of estimated volatilities of macroeconomic and financial variables is often broadly similar we propose two models in which conditional volatilities feature comovement and study them using u s macroeconomic data the first model specifies the conditional volatilities as driven by a single common unobserved factor plus an idiosyncratic component we label this model bvar with general factor stochastic volatility bvar gfsv and we show that the loss in terms of marginal likelihood from assuming a common factor for volatility is moderate the second model which we label bvar with common stochastic volatility bvar csv is a special case of the bvar gfsv in which the idiosyncratic component is eliminated and the loadings to the factor are set to 1 for all the conditional volatilities such restrictions permit a convenient kronecker structure for the posterior variance of the var coefficients which in turn permits estimating the model even with large datasets while perhaps misspecifi

estimating bargaining power in the market for existing homes although bargaining is common in markets for heterogeneous goods it has largely been ignored in the hedonic literature in a break from that tradition we establish sufficient conditions that permit one to identify the effect of buyer and seller bargaining on hedonic models our model is estimated using a previously overlooked feature of the american housing survey that permits us to observe characteristics of both buyers and sellers results suggest that household wealth gender and other demographic traits influence bargaining power in addition variation in bargaining power arising from the presence of school age children accounts for anomalous seasonal patterns reported in various widely cited indices of quality adjusted house prices

specification and estimation of stochastic multiple output production and technical inefficiency this paper presents a primal based approach for specification and estimation of multiple output production frontiers that allows simultaneous identification and estimation of determinants of technical inefficiency the proposed model extends the technical efficiency effects model by battese and coelli 1995 to general multiple output technologies an empirical application using swedish health care panel data from the years 1989 1994 is included the key issue is to test for the effects on technical efficiency of an organizational reform implemented with the primary purpose to increase efficiency the results reveal no significant effect on technical efficiency of the reform but evidence of overall decreased technical efficiency and technical progress in the provision of health care over the studied time period are found

networks and transaction costs based on the well known fact that social networks can provide effective mechanisms that help to increase the trust level between two trade partners we apply a simple game theoretical framework to derive transaction costs as a high risk of opportunistic behavior in a repeated trade relation determined by the density and size of trading networks in the empirical part of the paper we apply a two stage procedure to estimate the impact of social network structures on farm s transaction costs observed for different input and output markets at a first stage we estimate a multiple input multiple output stochastic ray production function to generate relative shadow prices of three inputs and two outputs traded by farms at a second stage a structural equation system is derived from the first order conditions of farm s profit maximization to estimate simultaneously the of commodity specific transaction cost functions for all traded farm inputs and outputs estimation results based on a sample of 315 polish farms imply a significant influence of social network structures on farm s transaction costs moreover estimated transaction costs correspond to a reasonable amount of farm specific shadow prices this abstract was borrowed from another version of this item

the impact of internal markets on health care efficiency evidence from health care reforms in sweden a purchaser provider split together with output based reimbursement were recently introduced by several swedish county councils these changes have been motivated by arguments of efficiency and consumer choice this paper tests the null hypothesis that hospital services are provided as efficiently by county councils with internal markets and output based reimbursement as by county councils with budget reimbursement we first estimate technical efficiency using data envelopment analysis and then we regress the efficiency scores as the dependent variable on new internal organizations in a multiple regression by use of pooled cross section data for the 26 county councils for two years 1993 and 1994 the results reject our null hypothesis and we conclude that the organizational changes in the county councils improve health care efficiency our results further indicate that the potential savings in costs due to a hypothetical switch from budget based allocation to an output based allocation is about 13 we

housing price bubbles new supply and within city dynamics abstract although there is broad recognition that cities differ in their tendency to experience house price bubbles most studies assume away any possibility of within city heterogeneity in response to a bubble we develop a model that suggests that this assumption may be appropriate when markets are rising but can be far from reality on the bust side of a bubble during a housing boom new construction and related supply adjustments by developers ensure stable relative prices between low and high quality segments of the housing market on the bust side of a bubble however reduced housing starts allow demand side forces and mortgage default to create pressure for relative prices to diverge across market segments absent a change in technology as markets recover and new construction rebounds relative prices should revert back to pre crash levels evidence based on 2000 2013 single family home sales in phoenix arizona supports this modeling framework additional evidence also suggests that high rates of mortgage default contributed to divergence in relative prices when markets crashed

exogenous oil supply shocks how big are they and how much do they matter for the u s economy abstract the paper proposes a new measure of exogenous oil supply shocks the timing the magnitude and the sign of this measure may differ greatly from current state of the art estimates it is shown that only a small fraction of the observed oil price increases during oil crisis periods can be attributed to exogenous oil production disruptions exogenous oil supply shocks cause a sharp drop of u s real gdp growth after five quarters rather than an immediate and sustained reduction in economic growth and a spike in cpi inflation after three quarters overall exogenous oil supply shocks made remarkably little difference for the evolution of the u s economy since the 1970s although they did matter for some historical episodes

the role of the list price in housing markets theory and an econometric model summary houses are routinely sold at prices below but rarely sold at prices above their list prices list prices appear to be price ceilings that preclude the possibility of sales at higher prices this paper presents a theory of sellers behaviour that explains why there are list prices in housing markets and why list prices are distinct from sellers reservation prices the theory forms the basis of an econometric model that has been estimated using data from the baltimore md area the estimated model predicts sale and reservation prices conditional on list prices the predictions of sale prices are considerably more accurate than those obtained from a standard hedonic price regression the estimated model also explains why sellers may not be willing to reduce their list prices even after their houses have remained unsold for long periods of time houses are routinely sold at prices below and are virtually never sold at prices above their list prices the list price of a house appears to be a price ceiling that precludes the possibility of selling at a higher price this phenomenon is stable over time so it is not caused by market disequilibrium what is the role of list prices in housing markets can list prices be used to predict sellers reservation prices can they be used to make predictions of sale prices that are more accurate than predictions obtained from standard hedonic regressions this paper develops an econometric model of the behaviour of sellers in housing markets that answers these questions the model explains why there are list prices in housing markets and how sellers establish list and reservation prices in addition the model predicts sale and reservation prices conditional on list prices the predictions of sale prices are considerably more accurate than those obtained from a hedonic price regression the model also explains why sellers may not be willing to reduce their list prices even after their houses have remained unsold for long periods of time there have been several previous attempts to model the formation of list prices in housing markets guasch and marshall 1985 and stull 1978 developed search models in which list prices must be set but these models do not admit the possibility that sale prices may bse below list prices chinloy 1980 developed a model in which the seller s reservation price is assumed to be a constant fraction of the list price but chinloy did not explain why list and reservation prices are distinct or why they are proportional to one another these difficulties are not present in the model developed in this paper the theory underlying the model is developed in section 2 the model is presented in section 3 estimation results and some applications are given in section 4 additional applications are given in section 5 and concluding comments are given in section 6

fluctuations in uncertainty this review article tries to answer four questions i what are the stylized facts about uncertainty over time ii why does uncertainty vary iii do fluctuations in uncertainty matter and iv did higher uncertainty worsen the great recession of 2007 2009 on the first question both macro and micro uncertainty appears to rise sharply in recessions on the second question the types of exogenous shocks like wars financial panics and oil price jumps that cause recessions appear to directly increase uncertainty and uncertainty also appears to endogenously rise further during recessions on the third question the evidence suggests uncertainty is damaging for short run investment and hiring but there is some evidence it may stimulate longer run innovation finally in terms of the great recession the large jump in uncertainty in 2008 potentially accounted for about one third of the drop in gdp

innocent bystanders monetary policy and inequality abstract we study the effects of monetary policy shocks on and their historical contribution to consumption and income inequality in the united states since 1980 as measured by the consumer expenditure survey contractionary monetary policy systematically increases inequality in labor earnings total income consumption and total expenditures furthermore monetary policy shocks account for a non trivial component of the historical cyclical variation in income and consumption inequality using detailed micro level data on income and consumption we document some of the different channels via which monetary policy shocks affect inequality as well as how these channels depend on the nature of the change in monetary policy

a new approach to identifying the real effects of uncertainty shocks this article introduces the use of the sign restrictions methodology to identify uncertainty shocks we apply our methodology to a class of vector autoregression models with stochastic volatility t

were there regime switches in u s monetary policy working paper 2004 14 june 2004 abstract a multivariate model identifying monetary policy and allowing for simultaneity and regime switching in coefficients and variances is confronted with u s data since 1959 the best fit is with a model that allows time variation in structural disturbance variances only among models that also allow for changes in equation coefficients the best fit is for a model that allows coefficients to change only in the monetary policy rule that model allows switching among three main regimes and one rarely and briefly occurring regime the three main regimes correspond roughly to periods when most observers believe that monetary policy actually differed and the differences in policy behavior are substantively interesting though statistically ill determined the estimates imply monetary targeting was central in the early 80s but was also important sporadically in the 70s the changes in regime were essential neither to the rise in inflation in the 70s nor to its decline in the 80s jel classification e52 e47 c53 key words counterfactuals lucas critique policy rule monetary targeting simultaneity volatility model comparison i the debate over monetary policy change in an influential paper clarida gali and gertler 2000 cgg presented evidence that us monetary policy changed between the 1970 s and the 1980 s indeed that in the 70 s it was drastically worse they found that the policy rule apparently followed in the 70 s was one that when embedded in most stochastic general equilibrium models would imply non uniqueness of the equilibrium and hence vulnerability of the economy to sunspot fluctuations of arbitrarily large size their estimated policy rule for the later period on the other hand eliminated this indeterminacy these results are a possible explanation of the volatile and rising inflation of the 70 s and of its subsequent decline the cgg analysis has two important weaknesses one is that it fails to account for stochastic volatility us macroeconomic variables and particularly the federal funds rate have gone through periods of tranquility and of agitation with forecast error variances varying greatly from period to period ignoring such variation does not lead to inconsistent estimates of model parameters when the forecasting equations themselves are constant but it strongly biases toward a finding of changed parameters tests of the stability of the forecasting equations the other weakness is that the cgg analysis rests on powerful and implausible identifying assumptions they require that we accept that the response of the monetary authority to expected future inflation and output does not depend on the recent history of inflation money growth or output it is hard to understand why this should be so especially in the 70 s when monetarism was a prominent theme in policy debates congress was requiring reports from the fed of projected time paths of monetary aggregates and financial markets were reacting sensitively to weekly money supply numbers the requirement for existence and uniqueness of equilibrium in dynamic models is that the monetary policy rule show a more than unit response of interest rates to the sum of the logs of all nominal variables that appear on the right hand side of the reaction function if we force a particular measure of expected future inflation to proxy for all the nominal variables that actually appear independently in the reaction function we are bound to get distorted conclusions on the one hand because expected future inflation will be a noisy measure of the full set of nominal influences on policy we might get downward bias in our estimates from the usual errorsin variables effect on the other hand to the extent that expected future inflation like most expected future values shows less variation than current nominal variables we could find a mistaken scaling up of coefficients

assessing international commonality in macroeconomic uncertainty and its effects this paper uses a large vector autoregression var to measure international macroeconomic uncertainty and its effects on major economies using two datasets one with gdp growth rates for 19 industrialized countries and the other with a larger set of macroeconomic indicators for the u s euro area and u k using basic factor model diagnostics we first provide evidence of significant commonality in international macroeconomic volatility with one common factor accounting for strong comovement across economies and variables we then turn to measuring uncertainty and its effects with a large var in which the error volatilities evolve over time according to a factor structure the volatility of each variable in the system reflects time varying common global components and idiosyncratic components in this model global uncertainty is allowed to contemporaneously affect the macroeconomies of the included nations both the levels and volatilities of the included variables in this setup uncertainty and its effects are estimated in a single step within the same model our estimates yield new measures of international macroeconomic uncertainty and indicate that uncertainty shocks surprise increases lower gdp and many of its components adversely affect labor market conditions lower stock prices and in some economies lead to an easing of monetary policy

the home selling problem theory and evidence this paper formulates and solves the problem of a homeowner who wants to sell their house for the maximum possible price net of transactions costs including real estate commissions the optimal selling strategy consists of an initial list price with subs equent weekly decisions on how much to adjust the list price until the home is sold or withdrawn from the market the solution also yields a sequence of reservation prices that determine whether the homeowner should accept bids from potential buyers who arrive stochastically over time with an expected arrival rate that is a decreasing function of the list price this model was developed to provide a theoretical explanation for list price dynamics and bargaining behavior observed for a sample of homeowners in england in a new data set introduced by

international spillovers of policy uncertainty using the baker et al 2013 index of policy uncertainty for six developed countries this paper estimates spillovers of policy uncertainty we find that spillovers account for slightly more than one fourth of the dynamics of policy uncertainty in these countries with this share rising to one half during the financial crisis the us and uk are responsible for a large fraction of the spillovers since the financial crisis while the remaining countries are all net receivers of policy uncertainty shocks during and after this period

cross country evidence on the link between volatility and growth this paper presents empirical evidence against the standard dichotomy in macroeconomics that separates growth from the volatility of economic fluctuations in a sample of ninety two countries as well as a sample of oecd countries the authors find that countries with higher volatility have lower growth the addition of standard control variables strengthens the negative relationship the authors also find that government spending induced volatility is negatively associated with growth even after controlling for both time and country fixed effects copyright 1995 by american economic association

environmental efficiency and economic growth of china a ray slack based model analysis abstract the chinese economy has been experiencing rapid growth since the implementation of the reform and opening up policy however at the same time it faces issues regarding resource savings and environmental protection which are important aspects of the new industrialization therefore this study conducts data envelopment analysis dea to evaluate the environmental efficiency of chinese regions certain existing dea models account for undesirable outputs and do not elucidate the weak disposable relationship between undesirable and desirable outputs thus polar theory is introduced among the dea modeling in this study first drawing on stochastic frontier analysis ray stochastic frontier analysis and dea we propose a ray slack based model rsbm to evaluate provincial environmental efficiencies in china from 2004 to 2012 subsequently an rsbm malmquist luenberger total factor productivity index is structured finally economic growth environmental efficiency and energy consumption are analyzed using spatial panel econometrics as this study treats industrial waste as undesirable outputs the rsbm results show that the environmental efficiencies in the east are the highest while those in the central regions are the lowest the spatial econometric analysis reveals that the ratios of direct to total elasticity and those of direct to total effect for capital labor and energy input variables are fixed furthermore the study provides policy implications and suggestions for future research