short selling and the price discovery process we show that stock prices are more accurate when short sellers are more active first in a large panel of nyse listed stocks intraday informational efficiency of prices improves with greater shorting flow second at monthly and annual horizons more shorting flow accelerates the incorporation of public information into prices third greater shorting flow reduces post earnings announcement drift for negative earnings surprises fourth short sellers change their trading around extreme return events in a way that aids price discovery and reduces divergence from fundamental values these results are robust to various econometric specifications and their magnitude is economically meaningful the author 2012 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

does the great recession imply the end of the great moderation international evidence in this paper we examine whether or not the great recession had a temporary or permanent effect on output growth volatility after years of low macroeconomic volatility since the early eighties based on break detection methods applied to a set of advanced countries our empirical results do not give evidence to the end of the great moderation period but rather that the great recession is characterized by a dramatic short lived effect on the output growth but not on its volatility we show that neglecting the breaks both in mean and in variance can have large effects on output volatility modeling based on garch specifications

does it matter how monetary policy is implemented abstract in the u s existing monetary base measures add an adjustment factor for changes in reserve requirement ratios to high powered money implicitly the monetary base assumes that the economic effects of changes in reserve requirements are identical to those due to changes in high powered money theory however does not generally support the prediction that the two policy tools will have the same economic effects structural vars are estimated to compare the short run paths of inflation and output growth under two different types of policy shocks in doing so this analysis gives one a measure of the costs associated with this implicit equivalence assumption the evidence is consistent with the hypothesis that the federal reserve at least partially offsets reserve requirement changes with open market operations and the hypothesis that dynamic explanations of macroeconomic variables are improved by separating reserve requirement changes from other monetary policy moves

energy consumption at business cycle horizons the case of the united states in this paper we propose a simple extension to a keynesian type macro model by augmenting it with energy consumption we show the relationship between energy consumption and output in a macroeconomic setting and ask the question do permanent shocks dominate changes in energy consumption and output at business cycle horizons for the united states to achieve the goal of this paper we undertake a variance decomposition analysis of shocks based on a common trend and common cycle framework within a vector error correction model our main finding is that permanent shocks explain the bulk of the variations in energy consumption and output at business cycle horizons for the united states

the cyclical behavior of prices abstract the procyclical behavior of prices has been a staple of business cycle lore since the work of the early nber business cycle researchers this paper reexamines that empirical fact the aggregate data do not support procyclical price movements as a stable feature of the business cycle the only episode where it is a robust feature of the data is the period between the two world wars particularly the period of the great depression

multiple equilibria and persistence in aggregate fluctuations this paper explores the impact of incomplete markets and strong complementarities on the time series properties of aggregate activity we consider an economy which consists of a large number of industries whose production functions both are nonconvex and exhibit localized technological complementarities the productivity of each industry at t is determined by the production decisions of technologically similar industries at t 1 no markets exist to coordinate production decisions this feature implies that aggregate output dynamics for the model are quite different from those predicted by the associated arrow debreu economy first multiple stochastic equilibria exist in aggregate activity these equilibria are distinguished by differences in the mean and the variance of output second output movements are persistent as aggregate productivity shocks indefinitely affect real activity by shifting the economy across equilibria as a result the model can exhibit periods of boom and depression this abstract was borrowed from another version of this item

measuring business cycles with business cycle models abstract business cycles may be defined or measured by parametrizing detrending filters to maximize the ability of a business cycle model to match the moments of the remaining cycles thus a theory can be used to guide cycle measurement we present two applications to u s postwar data in the first application the cycles are measured with a standard real business cycle model in the second they are measured using information on capacity utilization and unemployment rates simulation methods are used to describe the properties of the gmm estimators and to allow exact inference

monetary policy and multiple equilibria in a cash in advance economy abstract this article shows that whether active interest rate rules can generate equilibrium uniqueness or indeterminacy depends upon 1 the magnitude of the intertemporal elasticity of substitution and 2 the value of the steady state inflation rate in particular if the intertemporal elasticity is smaller than one then an active interest rate rule renders equilibrium indeterminate when the steady state inflation rate is sufficiently high and ensures uniqueness of equilibrium when it is sufficiently low

the effects of volatility in the terms of trade on output growth new evidence abstract this paper examines the empirical evidence for the hypothesis that there is a negative relationship between terms of trade volatility and output growth it finds a statistically significant link between income terms of trade volatility and lower growth rates when the degree of volatility in the income terms of trade is decomposed into its components fluctuations in real exports are of a magnitude similar to those in the relative price of tradables similarly the volatility in the net barter terms of trade is equally affected by variations in the price of exports and of imports any policies aimed at stabilizing the terms of trade or any of its components need to take account of this

unit roots and infrequent large shocks new international evidence on output growth the authors examine output growth for the g 7 countries they use nathan s balke and thomas fomby s procedure to identify the date and type of trend breaks and note that these occur in clusters the authors estimate country specific intervention models and test the unit root hypothesis their critical values explicitly take account of the prior outliner search procedure for italy japan and the united kingdom the unit root null hypothesis can be rejected this suggests that the variance of output growth in these countries is generated by low frequency high magnitude shocks rather than high frequency low magnitude shocks copyright 1995 by ohio state university press

unit roots and infrequent large shocks new international evidence on output abstract the nature and magnitude of the economic shocks that have affected the per capita gdp of 16 oecd countries are analyzed over a long period using the outlier method strong proof of infrequent large permanent and transitory shocks were found essentially resulting from the two major wars in the twentieth century the recession in the 1920s the great depression among others we also examine the nature of the output trend by combining different tests of non stationarity on different gdp series corrected by the outliers detected it is shown that the per capita gdp series cannot reject the unit root hypothesis in 13 of the 16 countries examined no conclusion could be drawn for the other countries because the test results were contradictory

measuring the business cycle effects of permanent and transitory shocks in cointegrated time series abstract this paper proposes a statistical framework to evaluate the contribution of permanent and transitory shocks to the cyclical fluctuations of cointegrated variables an empirical application with us macroeconomic data reveals that transitory shocks are responsible for most of the variability at the business cycle frequencies

an unobserved components model that yields business and medium run cycles we generalize the unobserved components uc model to allow the permanent component to have different dynamics than the transitory components when decomposing u s economic activity using a multivariate uc model of log output consumption and investment we find that these proposed dynamics in the permanent component are statistically significant and distinct from those of the transitory components our approach provides an alternative explanation for the growth cycles identified by comin and gertler 2006 that is related to the cyclical movements in technology in a framework consistent with the beveridge and nelson 1981 decomposition

changes in the behavior of output in the united kingdom 1856 1990 abstract this paper reports evidence of major increases in the persistence of output as well as contributions of low frequency components to the variance of output growth for the united kingdom during 1856 1990 these results are contrary to those obtained by jaeger 1990

multivariate detrending under common trend restrictions implications for business cycle research abstract this paper outlines a methodology to detrend multiple time series under common trend restrictions the same filters used to construct the estimated trend in univariate exercises are shown to be appropriate in multivariate studies with a single common trend however to estimate the common trend in the multivariate case the filter is applied to a linear combination of series rather than to each series individually an empirical example and simulation exercises illustrate the implications of common trend detrending for measurement of business cycle properties

a new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle abstract this paper introduces a general procedure for decomposition of non stationary time series into a permanent and transitory component allowing both components to be stochastic the permanent component is shown to be a random walk with drift and the transitory or cyclical component is a stationary process with mean zero the decomposition methodology which depends only on past data and therefore is computable in real time is applied to the problem of measuring and dating business cycles in the portwar u s economy we find that measured expansions and contractions are of roughly equivalent duration and that our dating of cyclical episodes tends to lead the traditional nber dating and to a lesser extent the growth cycle chronology of zarnowitz and boschan 1977

group cultural values and political skills a situationist perspective on interpersonal citizenship behaviors drawing on mischel s 1968 situationist perspective we theorized that in a weak situation one created by a group culture of low power distance pd or low uncertainty avoidance ua political skills increase the display of interpersonal citizenship behaviors in a strong situation one created by a high group pd or high group ua the application of political skills is constrained in a sample comprising of supervisor employee groups from canada and india we highlight group culture as an important boundary condition on interpersonal citizenship behaviors and recommend that leaders carefully consider the cultures that they create in their groups

is political popularity a random walk this paper tets for nonstationarity in the political popularity of uk parties and governments within the context of an economic model which predicts that party support is an arima 0 1 1 process the hypothesis is rejected for the government s popularity but the results for individual party support are less clear out

segmented trends and non stationary time series since the influential work of charles r nelson and charles plosser 1982 many empirical studies have concluded that macroeconomic time series are difference stationary this paper proposes the segmented trend model as an alternative in which the series is the sum of a nonstationary trend and a stationary cycle and where the trend shows infrequent shifts the paper proposes tests between the difference stationary and segmented trends models and applies these to the data of nelson and plosser in general the results indicate that prices are difference stationary but quantities follow segmented trend processes copyright 1989 by royal economic society

detrending and business cycle facts a user s guide this note argues that it is hardly the case that the profession is fully aware that the application of di erent filters to the data leads to di erent outcomes and that we have enough evidence to claim that these di erences are unimportant to evaluate the fit models to the data 1998 elsevier science b v all rights reserved jel classification b41 e32

multivariate estimates of the permanent components of gnp and stock prices the economic assumption that a present value relation holds between consumption and income and between stock prices and dividends or the statistical assumption that the consumption income ratio and the dividend price ratio are stationary imply that the permanent or random walk component in each series of a pair must be the same as the permanent component in the other series of a pair either assumption then allows us to estimate the variance of the permanent component of one series gnp stock prices from the variance of the permanent component of the other consumption dividends or from the covariance of the two series permanent components this paper presents such estimates and finds that the permanent components are about half those estimated by similar univariate methods a series of recent papers has examined the importance of a potential unit root to the behavior of real gnp campbell and mankiw 1986 1987 cochrane 1986 clark 1987 and stock prices fama and french 1986 lo and mai if by 0 the series is stationary the response can be any real number which is the innovation in these estimates instead of forcing us to ask the dichotomous question is there a unit root or not they allow us to continuously measure the importance of a potential unit root the actual estimating technique used in these papers varied somewhat cochrane poterba and summers and lo and mai if a series is stationary the variance of k differences will tend to a precursor to this paper appeared under the title spectral density estimates of unit roots we thank masanao aoki lam hansen masao ogaki and chris sims for helpful suggestions the computer programs and data used in this paper are available on request from the authors

do large recessions reduce output permanently the slow recovery following the 2008 2009 recession has led to renewed interest in the question whether deep recessions lower real gdp permanently or whether we can expect a rebound to earlier trend levels using a recent quantile autoregression unit root test we check whether shocks to real gdp have permanent or temporary effects in contrast to earlier studies this approach takes into account that the transmission of a shock might depend on the sign and the size of the shock large recessionary shocks might have a different effect than smaller recessionary or expansionary shocks we do not only test the unit root hypothesis at the conditional mean of gdp but also in the tails of the distribution where the lower tail corresponds to large recessions the test has more power than conventional unit root tests we find that positive and negative shocks including large recessionary shocks have permanent effects on output therefore a rebound of gdp to its pre crisis trend level is unlikely current output gap estimates based on deterministic trends are likely to be too negative and inflation forecasts based on these are likely to be too low

cyclical fluctuations in strike durations canadian data on strikes between 1946 and 1983 are used to estimate linear regression models for the logarithm of completed duration a thorough investigation of the influence of the business cycle reveals strong support for the hypothesis that strike durations are countercyclical the cyclical effect is shown to be robust to both the choice of cyclical variable and the econometric specification and the magnitude of the effect is quite substantial experimentation with different representations of the cycle reveals that it is difficult to improve on a simple formulation involving a single continuous variable

trends random walks and persistence an empirical study of disaggregated u s industrial production unit root and variance ratio tests are used to examine the trend properties and degree of persistence of industrial production in u s industries and comparable aggregates during the post world war ii period the evidence from unit root tests suggests that less than one half of these industries have output that may be characterized as a random walk the variance ratio test results generally support this conclusion consistent with standard economic theory fluctuations in durable goods industries are less persistent than in nondurable goods industries finally tests find relatively greater persistence in the aggregate industrial production data copyright 1992 by mit press

forecasting economic time series with structural and box jenkins models a case study the basic structural model is a univariate time series model consisting of a slowly changing trend component a slowly changing seasonal component and a random irregular component it is part of a class of models that have a number of advantages over the seasonal arima models adopted by box and jenkins 1976 this article reports the results of an exercise in which the basic structural model was estimated for six u k macroeconomic time series and the forecasting performance compared with that of arima models previously fitted by prothero and wallis 1976

the uncertain trend in u s gdp abstract several recent papers conclude that gdp is trend stationary implying that all shocks are transitory we re examine the evidence in light of test size distortion due to data based lag selection and departures from the maintained hypothesis of temporal homogeneity and find both effects trigger false rejections of the unit root hypothesis when it is true and signal the presence of permanent shifts in trend that did not occur trend stationarity is not supported by the more homogeneous post war data but if imposed implies cycles of implausible duration and pattern 1997 output was 8 below trend

are output growth rate distributions fat tailed some evidence from oecd countries this work explores some distributional properties of aggregate output growth rate time series we show that in the majority of oecd countries output growth rate distributions are well approximated by symmetric exponential power densities with tails much fatter than those of a gaussian fat tails robustly emerge in output growth rates independently of i the way we measure aggregate output ii the family of densities employed in the estimation iii the length of time lags used to compute growth rates we also show that fat tails still characterize output growth rate distributions even after one washes away outliers autocorrelation and heteroscedasticity

a measure of the u s output gap abstract an autoregressive distributed lag regression of the unemployment rate on output growth is structurally stable over the 1890 1986 period inverting this equation yields a measure of the output gap which is not subject to the spurious detrending problem

the term structure of currency carry trade risk premia we nd that average returns to currency carry trades decrease signicantly as the maturity of the foreign bonds increases because investment currencies tend to have small local bond term premia the downward term structure of carry trade risk premia is informative about the temporal nature of risks that investors face in currency markets we show that long maturity currency risk premia only depend on the domestic and foreign permanent components of the pricing kernels since transitory currency risk is automatically hedged by interest rate risk for long maturity bonds our

the positive role of global leaders in enhancing multicultural team innovation this study contributes to the empirical research on leadership of multicultural teams from the positive organizational scholarship perspective pos following the information decision making processes perspective on team cultural diversity we examined the positive effect of leaders global identity on multicultural team innovation we proposed that r d multicultural team leaders with high global identity foster team shared innovation goals and motivate team members to adopt communication inclusion behavior making sure that they all understand each other furthermore we propose that the effect of fostering team shared innovation goals on communication inclusion will be stronger for teams with perceived high rather than low cultural diversity and that team communication inclusion will positively affect team innovation participants were 574 r d multicultural team members their leaders and their leaders managers in 82 co located teams in a chinese branch of a large german global organization using sem analysis our findings supported our research model demonstrating that multicultural team leaders with high global identity leveraged cultural diversity to promote innovative goals which further enhanced team communication inclusion and its positive impact on team innovation we discuss the theoretical and practical implications to the pos perspective on cultural diversity

trends and cycles in macroeconomic time series two structural time series models for annual observations are constructed in terms of trend cycle and irregular components the models are then estimated via the kalman filter using data on five u s macroeconomic time series the results provide some interesting insights into the dynamic structure of the series particularly with respect to cyclical behavior at the same time they illustrate the development of a model selection strategy for structural time series models

canadian economic growth random walk or just a walk this paper analyses the role of shocks in canadian economic growth since 1870 it uses a nonparametric technique to evaluate the degree of presistence of an innnovation in long run gnp it is found that a one percent shock to canadian gnp changes the long run forecast of this variable by appproximately the same amount which is characteristic of a random walk process it is also shown that in important periods of canadian economic growth its gnp evolved as a random walk with constant drift with the exception of the period 1929 42 no evidence of business cycles is found these results lead to the conclusion that movements and oscillations in the gnp of canada since 1870 have been primarily driven by the accumulation of shocks rather than by cyclical movements

does organizational formalization facilitate voice and helping organizational citizenship behaviors it depends on national uncertainty norms prosocial work behaviors in a globalized environment do not operate in a cultural vacuum we assess to what extent voice and helping organizational citizenship behaviors ocbs vary across cultures depending on employees perceived level of organizational formalization and national uncertainty we predict that in contexts of uncertainty cognitive resources are engaged in coping with this uncertainty organizational formalization can provide structure that frees up cognitive resources to engage in ocb in contrast in contexts of low uncertainty organizational formalization is not necessary for providing structure and may increase constraints on discretionary behavior a three level hierarchical linear modeling analysis of data from 7 537 employees in 267 organizations across 17 countries provides broad support for our hypothesis perceived organizational formalization is weakly related to ocb but where uncertainty is high formalization facilitates voice significantly helping ocb to a lesser extent our findings contribute to clarifying the dynamics between perceptions of norms at organizational and national levels for understanding when employees may engage in helping and voice behaviors the key implication is that managers can foster ocb through organizational formalization interventions in uncertain environments that are cognitively demanding

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

large shocks small shocks and economic fluctuations outliers in macroeconomic time series summary we analyse fifteen post world war i1 us macroeconomic time series using a modified outlier identification procedure based on tsay 1988a large shocks appear to be present in all the series we examined furthermore there are three basic outlier patterns i outliers seem to be associated with business cycles 2 outliers are clustered together both over time and across series 3 there appears to be a dichotomy between outlier behaviour of real versus nominal series also after controlling for outliers much of the evidence of non linearity in many of the time series is eliminated

international evidence on persistence in output in the presence of an episodic change this paper uses some newly developed methods and techniques to examine the dynamic properties of international output in the presence of a structural break we provide statistical evidence to show that the unit root test results can in some cases be sensitive to whether a one time structural break in the data is modelled exogenously or endogenously however in most cases the unit root test results remain robust to specification of the structural break exogenously or endogenously moreover we find that the null hypothesis of a unit root in output can be rejected in favour of a flexible trend alternative for a number of countries such as canada denmark france and the united states

unobserved component time series models with markov switching heteroscedasticity changes in regime and the link between inflation rates and inflation uncertainty in this article i first extend the standard unobserved component time series model to include hamilton s markov switching heteroscedasticity this will provide an alternative to the unobserved component model with autoregressive conditional heteroscedasticity as developed by harvey ruiz and sentana and by evans and wachtel i then apply a generalized version of the model to investigate the link between inflation and its uncertainty u s data gross national product deflator 1958 1 1990 4 i assume that inflation consists of a stochastic trend random walk component and a stationary autoregressive component following ball and cecchetti and a four state model of u s inflation rate is specified by incorporating regime shifts in both mean and variance structures i analyze the interaction of mean and variance over long and short horizons the empirical results show that inflation is costly because higher inflation is associated with higher long run uncertainty

money output and inflation in the longer term major industrial countries 1880 2001 i introduction the empirical role of money growth in the macroeconomy has been studied by many researchers using different data and methods the most prominent studies focusing on the quantity theory of money are those of friedman and schwartz 1963 1982 using data averaged over the phases of the business cycle in order to capture longer run movements with u s and u k data back to 1867 the study by mccandless and weber 2001 is a representative example for a different approach for 110 countries in the post wwii period longer run growth rates are approximated by growth of a variable over a 30 year period average growth rates 1 the problem with phase averaging is that it does not deal with possible nonstationarity of the data 2 the problem with growth averages over long periods while informative to a degree is that they have limitations too it is impossible to assess the timing of movements in these variables 3 in the frequency domain the long run is associated with frequency zero which in our terminology is the long run trend previous studies in the frequency domain on the long run neutrality of money at zero frequency include the studies of lucas 1980 and geweke 1986 the theory of spectral analysis provides a rigorous framework for extracting specific frequency bands from the data instead of considering only frequency zero stock and watson 1998 applied the band pass filter of baxter and king 1999 to extract cycles frequency bands for u s data and focused on the business cycle and on mostly the post wwii period christiano and fitzgerald 2003 proposed an improved band pass filter and provided an application to the longer run relation of money and inflation for bands of 8 20 years and 20 40 years in the united states from 1900 to 1997 4 the usefulness of monetary aggregates for conducting monetary policy has been seriously called into question because of the instability of money demand a prominent empirical study is that of estrella and mishkin 1997 recent mainstream new keynesian models have no explicit role for money woodford 2008 a contrasting view is that the longer term role of money is still of relevance for monetary policy the european central bank explicitly emphasizes a supporting role that monetary aggregates should play in order to provide an anchor for inflation expectations hafer haslag and jones 2007 issing 2006 king 2002 nelson 2003 christiano motto and rostagno 2007 provided a theoretical new keynesian model where inflation expectations lose their anchor unless money is monitored and reacted to also beck and wieland 2008 presented a new keynesian model where cross checking with money growth movements improves inflation control similarly assenmacher wesche and gerlach 2006 2007 found a significant role for a low frequency low pass filtered component of money in the empirical new keynesian phillips curve equation 5 in the spirit of friedman 1961 we use long time spans so that our results are unlikely to be because of a specific policy rule in place in a given period we have 122 years of annual data from 1880 to 2001 before the introduction of the euro in 2002 we have real gross domestic product gdp money and consumer price indices cpis with no gaps for 11 industrialized countries 6 the countries included in our study differ in such terms as their institutions fiscal and monetary policies and economic growth rates nonetheless at least in peace time they were similar in generally having comparatively free markets in which prices and interest rates were determined our aim is to apply analytic methods that are free from economic and statistical models as much as possible in order to explore empirical regularities or stylized facts in the data also the focus of our research is the longer run we employ band pass filters to pick out cycles from each time series that last 8 40 years that is the longer term component

changing inflation dynamics and uncertainty in the united states garch estimation we investigate recent changes in the level persistence and uncertainty of u s inflation despite the great strides in lowering inflation in the 1980s and 1990s we find that uncertainty has risen palpably in the current decade this is disturbing given the aforementioned findings of the negative impact of inflation uncertainty on output moreover analyzing both the standard consumer price index cpi and the cpi minus energy our results suggest that volatile energy costs contribute to the higher inflation uncertainty in the united states in the current decade

shifting trends segmented trends and infrequent permanent shocks abstract a stochastic trend model is considered in which permanent shocks occur infrequently and randomly we show that this model is observationally equivalent to shifting segmented deterministic trend models moreover we show that standard full sample time series methods are incapable of distinguishing between small frequent permanent shocks and large infrequent permanent shocks an outlier search however reveals substantial evidence of large infrequent shocks to the gnp deflator and that these shocks account for most of the persistence in the gnp deflator for real gnp evidence of infrequent permanent shocks is weaker

do fluctuations in u s inflation rates reflect infrequent large shocks or frequent small shocks we investigate whether fluctuations in u s inflation rates are better described by infrequently occurring large shocks or by frequently occurring small shocks we estimate a model that encompasses the two hypotheses within the framework of non gaussian state space models our results indicate support for infrequently occurring large shocks but this weakens somewhat once we allow for outliers and conditional heteroskedasticity it appears that for the purpose of forecasting monthly u s inflation rates recognizing the distinction between frequent small shocks and infrequent large shocks does not matter much once outliers and conditional heteroskedasticity are allowed for

convergence and divergence of paternalistic leadership a cross cultural investigation of prototypes paternalistic leaders provide care nurturance and guidance to employees in their professional and personal lives in a parental manner and in exchange expect loyalty and deference from employees this study aims at investigating how the paternalistic leadership pl prototype converges and diverges with prototypes of transformational authoritarian participative and nurturant task leadership ntl in six countries representing high power distance and collectivism china turkey and pakistan and low power distance and individualism the united states germany and the netherlands a total of 1272 employees from six countries participated in this study findings revealed that the pl prototype converged more strongly with authoritarian leadership and ntl in hierarchical and collectivistic cultures than in egalitarian and individualistic ones the relationship of the pl prototype with that of transformational and participative leadership was similar across cultures theoretical and managerial implications of these findings for international business are discussed

on the credit to gdp gap and spurious medium term cycles abstract i provide empirical evidence suggesting that the credit to gdp gap is subject to spurious medium term cycles i e artificial boom bust cycles with a maximum duration of around 40 years

the random walk in canadian output this paper examines the time series properties of canadian real output for the years 1870 to 1985 in doing so tests for unit roots in the univariate time series representation of the series are performed the testing procedures are based on recent work by pierre perron 1989 and allow for trend breaks

memory and infrequent breaks abstract we study how processes with infrequent regime switching may generate a long memory effect in the autocorrelation function in such a case the use of a strong fractional i d model for economic or financial analysis may lead to spurious results

asia s materialists reconciling collectivism and materialism materialism has an ugly face the dominant view of materialism regards materialists as self prioritizing individuals who oppose collective and prosocial goals in favor of a lifestyle led by money possessions and status the present research argues that there is a side of materialism that is concerned with collective oriented interests we examine the nature and consequences of collective oriented materialism the belief system that ascribes importance to possessions for their symbolic and signaling capacities to construct desirable social attributes drawing from cultural and consumer theories we find considerable support that materialists espouse a collective oriented quality to an otherwise self oriented interest towards possessions

time series decomposition and measurement of business cycles trends and growth cycles abstract a study of business cycles does not require trend estimation and elimination but a study of growth cycles does major cyclical slowdowns and speedups deserve to be analyzed but the needed time series decomposition presents difficult problems mainly because trends and cycles influence each other we compare cyclical movements in levels deviations from trend and smoothed growth rates for both the quarterly real gdp and the monthly u s coincident index using the phase average trend pat then we compare alternative trend estimates deterministic and stochastic linear and nonlinear and the corresponding series of deviations from these trends we discuss how the resulting estimates differ for u s growth cycles in the post world war ii period the results of pat show great similarity to the results obtained with the hodrick prescott local linear trend band pass filtering methods

adjustment costs and pricing to market theory and evidence abstract this paper develops an adjustment cost model of pricing to market the model consists of a monopolist who supplies an identical nondurable good to two foreign markets it is shown that the degree of pricing to market increases with the relative importance of the transitory component in exchange rates customs data from 1978 through 1987 on u s and canadian imports of seven german commodities are used to estimate the model s parameters and test its over identifying restrictions

structural breaks in financial share savings and growth in oecd 1960 92 indivisibilities in extending financial markets imply level shifts in the financial cost share this could induce growth and savings slumps we search for structural breaks in the financial sector share of seven oecd countries and relate these to changes in gdp growth and the savings share the event patterns of these macro series are classified and weighted by typicities financial structural breaks are associated with decreased savings but ambiguous with respect to growth we conjecture that most of the period is a successive transition to increasing financial shares accompanied by lower savings and more sluggish growth

analysis of us real gnp and unemployment interactions abstract instead of the more common unemployment rate the time series data of the level of us unemployment is used together with us real gnp and later also with the us money stock to identify a bivariate and trivariate structural model the model is then used to examine the interaction of the unemployment level with the real gnp in the business cycle frequencies the commonly perceived okun s law is shown to disappear in the trivariate model

emerging market business cycles learning about the trend abstract emerging market business cycles feature a higher variability of consumption relative to output and a strongly countercyclical trade balance an equilibrium business cycle model in which agents learn to distinguish between the permanent and transitory components of total factor productivity shocks using the kalman filter accounts for these features calibrated to mexico the model accounts for the behavior of consumption and the trade balance for a wide range of variability and persistence of permanent shocks relative to transitory shocks estimation for mexico and canada suggests more severe informational frictions in emerging markets than in developed economies

does output have a unit root new international evidence in this paper unit root tests for per capita output of 12 oecd countries are performed using traditional unit root tests it follows that the unit root hypothesis cannot be rejected except for the us however following the approach of perron 1989 which takes shifts in mean and or trend into account the null hypothesis of a unit root can be rejected in most countries in our sample in contrast to perron a method suggested by christiano 1992 is used to determine the break date endogenously

international evidence on the size of the random walk in output this paper contributes three extensions of cochrane s work on measuring the relative stability of long term growth it estimates variance ratios for nine oecd countries over the period 1871 1985 presents an improved approximation to the distribution of the variance ratio and considers the comovements of long growth cycles across countries the evidence indicates that the relative stability of long term growth found by cochrane is unique to the united states relative to the united states most countries have more variable dynamics at low frequencies and smoother dynamics at frequencies traditionally associated with business cycles

the cyclical component of u s economic activity quarterly data on industrial production and deflated gross national product in the united states from 1947 through 1985 are decomposed into independent nonstationary trend and stationary cycle components using kalman filtering and smoothing techniques estimates of the model parameters imply that at least half of the quarterly innovation in u s economic activity can be attributed to a stationary cyclical component that persists over periods of time as long as five years this finding is inconsistent with the hypothesis that most of the apparent variation in u s economic activity can be attributed to a nonstationary trend component

interest rate rules and transitional dynamics in an endogenously growing open economy abstract this paper sets up an endogenous growth model of an open economy in which the monetary authority implements a gradualist interest rate rule with targets for both inflation and economic growth we show that under a passive rule a monetary equilibrium exists and is unique moreover the equilibrium is locally determinate by contrast an active rule implies either two equilibria one high growth and one low growth or none in the case of two equilibria the high growth equilibrium is locally determinate while the low growth equilibrium is a source besides the stabilization and growth effects of alternative target policies are also explored in this study moreover in departing from the existing literature we turn to focus on the analysis of transition with a particular emphasis on the case of imperfect credibility

structural breaks in parallel markets the case of nigeria 1980 1993 abstract this paper demonstrates the importance of allowing for structural breaks in the time series when investigating the relationship between the official and the parallel markets in foreign exchange only when structural breaks are accounted for does a relationship emerge in nigeria we find that over the period 1980 1993 the official rate has granger caused the parallel rate

nominal income targeting versus money growth targeting in an endogenously growing economy abstract we find that local indeterminacy more easily emerges under a regime of nominal income targeting both targeting regimes are equally effective in influencing economic growth and inflation the results thus favor money growth over nominal income as a nominal anchor

nonlinear business cycle dynamics cross country evidence on the persistence of aggregate shocks i introduction economists have long been interested in the dynamics of business cycles particularly regarding the symmetry of expansions and contractions more recently the specification of stochastic trends in economic growth has generated concerns about the relative persistence of positive and negative shocks to the economy several papers have looked at the persistence of business cycles including nelson and plosser 1982 campbell and mankiw 1987 cochrane 1988 diebold and rudebusch 1989 balke and fomby 1990 zelhorst and de haan 1994 and bradley and jansen 1995 while results vary especially on the issue of a unit root in output the overarching result is that output fluctuations are highly persistent one question not asked by the above authors is whether business cycle dynamics are asymmetric this issue has been investigated by neftci 1984 falk 1986 delong and summers 1986 hamilton 1989 diebold and rudebusch 1990 and terasvirta and anderson 1991 these authors take a variety of approaches but they reach a general conclusion that there is some evidence of asymmetric business cycle dynamics however most of these studies ask if contractions are shorter and steeper than expansions except hamilton 1989 they do not ask if there is a difference in persistence due to the asymmetries in a recent paper beaudry and koop 1993 propose a set of methods for simultaneously examining these two questions specifically beaudry and koop bk recommend the augmentation of the standard arma representation of real output growth through the inclusion of a nonlinear term that captures the relative state of the economy this augmentation provides for nonlinear dynamics and the possibility of asymmetric dynamic responses to positive and negative shocks in addition calculation of the implied impulse responses permits detection of the relative persistence implied by the combination of asymmetric cycle dynamics and stochastic trend based upon their analysis of u s data bk conclude that the response of the economy to positive and negative shocks is indeed asymmetric and the imposition of symmetry on impulse responses has likely led to misleading measures of persistence bk p 162 as a result bk conclude we find that the effects of negative shocks to be mainly temporary and the effects of positive shocks to be very persistent bk p 162 if bk s results are correct they have strong implications for the way macro economists view economic fluctuations and will in their words contribute to a reappraisal of some macroeconomic theories that is bk s results suggest that macroeconomic models must be revised to provide for temporary effects of negative shocks but permanent effects of positive shocks because of the potential importance of bk s results we examine the robustness of those results by modifying and extending bk s proposed methods of testing not only do we extend the analysis to the other six g7 countries besides the united states but also we redefine in a sensible way the nature of the nonlinear dynamics overall our results from other economies provide only mixed support for the asymmetry of cyclical dynamics and the lack of persistence of negative shocks ii the model to be estimated in the bk framework the estimated model includes an asymmetric response term the asymmetry is generated by a variable that measures the strength of a recession the variable is calculated as the distance between current real gdp and the previous peak level of real gdp that is bk define a measure they call current depth of the recession cdr where 1 cdr sub t max y sub t j sub j greater than or equal to 0 y sub t with this definition in place bk recommend augmenting an autoregressive model of real gdp growth as 2 phi l delta y sub t delta omega l 1 cdr sub

international evidence on the persistence of economic fluctuations abstract this paper presents new evidence on the persistence of fluctuations in real gnp we estimate two measures of persistence nonparametrically using post war quarterly data from canada france germany italy japan the united kingdom and the united states we compare these estimates with monte carlo results from various ar 2 processes for six out of seven countries the point estimates indicate that a 1 shock to output should change the long run unvariate forecast of output by well over 1 low order arma models yield similar conclusions finally we examine the persistence in relative outputs of different countries

macroeconomic in stability under real interest rate targeting we show that in a one sector monetary endogenous growth model under real interest rate targeting the local stability properties of the economy s balanced growth path depend crucially on the exact formulation of the cash in advance constraint and the degree of productive externalities in particular when a positive fraction including 100 of gross investment is subject to the liquidity constraint the model exhibits indeterminacy and sunspots if and only if the equilibrium wage hours locus is positively sloped and steeper than the labor supply curve on the other hand when real money balances are required only for the household s consumption purchases the economy always displays saddle path stability and equilibrium uniqueness regardless of the strength of productive externalities

terms of trade fluctuations and economic growth in developing economies abstract the effect of terms of trade fluctuations on capital accumulation is investigated in a simple open economy stochastic growth model imported inputs make domestic capital more productive but export prices are uncertain the model s output process has a random walk component so even transient price shocks have permanent effects on output levels the size of the random walk component depends on the country s trade share the supply response of exports and other structural parameters also more variable export prices generally reduce expected domestic investment these results are consistent with the estimated variance ratios and impulse response functions for a number of ldcs

team personal life inclusion in socially versus task oriented countries a cross cultural study of chinese versus german teams team personal life inclusion team pli refers to socialization with fellow team members in the private domain while pli is an expected behavior in the socially oriented chinese work context it is generally seen as unfavorable in task oriented contexts like germany we investigate the relative impact of team pli on the performance of chinese and german teams based on data from 130 chinese and 124 german teams we show that team pli has opposing consequences in china and germany while it increases german teams performance the reverse relationship was observed for chinese teams

are prices countercyclical evidence from the g 7 abstract this paper re examines the cyclical behavior of prices using postwar quarterly data for the g 7 we confirm recent evidence that the price level is countercyclical however we find strong evidence that the inflation rate is procyclical in our sample our results show the importance of making a clear distinction between inflation and the cyclical component of the price level when reporting and interpreting stylized facts regarding business cycles

estimating long run economic equilibria with stochastic trends an asymptotic theory is provided to analyze a menu of currently existing estimators of cointegrated systems we study in detail the single equation ecm seecm approach of hendry our theoretical results lead to prescriptions for empirical work such as specifying seecm s nonlinearly and including lagged equilibrium relationships rather than lagged differences of the dependent variable as covariates simulations support these prescriptions and point to problems of overfitting not encountered in the semiparametric approach of phillips and hansen 1990

the estimation of prewar gross national product methodology and new evidence the paper develops new methodology for the estimation of prewar gnp taps previously unused data sources and develops new estimates for the periods 1869 1908 and 1869 1928 primary among the new data sources are direct measures of output in the transportation communications and construction sectors and estimates of the consumer price index new measures of real gnp nominal gnp and the gnp deflator are developed the new estimates of real gnp are as volatile on average over the business cycle as the traditional kuznets kendrick series but dampen the amplitude of some cycles while raising the amplitude of others the new estimates of the gnp deflator are distinctly less volatile than the traditional series and in fact no more volatile than those in the postwar period

unemployment and infant health times series evidence from the state of tennessee this is the first study that decomposes unemployment into its structural and cyclical components and investigates their impact on income distribution controlling for the influence of inflation increases in structural unemployment have a substantial

the prebisch singer hypothesis a reappraisal independent of stationarity hypotheses time series behaviour of the relative price of primary commodities raul prebisch i950 and hans singer i950 believed that the long term trend of primary commodity prices was negative the latter in an interesting discussion of the above quandary pp 482 3 viewed rises in primary commodity prices as purely temporary sources of surplus that offered short lived opportunities to increase industrial investment these opportunities were missed by private investors who instead increased primary sector investment in such circumstances because all private activity tends to be governed by the price

trends and cycles in colombia s real gdp and fiscal deficit abstract the purpose of this paper is twofold the first is methodological we review the beveridge nelson technique for decomposing economic time series and illustrate its usefulness for examining the cyclical and secular movements in real gdp in colombia second we examine government expenditures and revenues in order to assess the extent to which the sharp increase in the fiscal deficit in the early 1980s should be viewed as a cyclical rather than a secular phenomenon