monetary policy rules in the open economy effects on welfare and business cycles abstract this paper computes welfare maximizing taylor style interest rate rules in a business cycle model of a small open economy the model assumes staggered price setting and shocks to domestic productivity to the world interest rate to world inflation and to the uncovered interest rate parity condition optimized policy rules have a pronounced anti inflation stance and entail significant nominal and real exchange rate volatility the country responds to an increase in external volatility by holding more foreign assets the policy rule affects the variance and the mean of consumption the effect on the mean matters significantly for welfare

optimal nonparametric estimation of first price auctions this paper proposes a general approach and a computationally convenient estimation procedure for the structural analysis of auctioni data considering first price sealed bid auction models within the independent private value paradigm we show that the underlying distribution of bidders private values is identified from observed bids and the number of actual bidders without any parametric assumptions using the theoiy of minimax we establish the best rate of uniform convergence at which the latent density of private values can be estimated nonparametrically from available data we then propose a two step kernel based estimator that converges at the optimal rate

empirical implications of equilibrium bidding in first price symmetric common value auctions this paper studies federal auctions for wildcat leases on the outer continental shelf from 1954 to 1970 these are leases where bidders privately acquire at some cost noisy but equally informative signals about the amount of oil and gas that may be present we develop tests of rational and equilibrium bidding in a common values model that are implemented using data on bids and ex post values we also use data on tract location and exposr values to test the comparative static prediction that bidders may bid less aggressively in common value auctions when they expect more competition we find that bidders are aware of the winner s curse and their bidding is largely consistent with equilibrium

investigating bid preferences at low price sealed bid auctions with endogenous participation abstract at procurement auctions with bid preferences qualified firms are treated special a common policy involves scaling the bids of preferred firms by a discount factor for the purposes of evaluation only introducing such an asymmetry has three effects first preferred firms may inflate their bids yet still win the auction second nonpreferred firms may bid more aggressively than in the absence of preferences third the preference policy can affect participation for different cost distributions we solve numerically for the equilibrium bid functions under different discounts and then simulate behaviour our approach allows us to quantify the relative importance of the three effects we find that the participation effect is relatively unimportant and in most cases a positive cost minimizing preference rate exists download download video 34mb video 1

the glass of milk subsidy program and malnutrition in peru this study of the vaso de leche glass of milk feeding program in peru looks for evidence that this in kind transfer program aimed at young children furthers nutritional objectives the study links public expenditure data with household survey data to substantiate the targeting and to model the determinants of nutritional outcomes it confirms that the social transfer program targets poor households and households with low nutritional status nevertheless the study fails to find econometric evidence that the nutritional objectives are being achieved

international evidence on the demand for money one of the current questions in the literature on the demand for money is whethe r the adjustment of actual to desired money holdings is in nominal or real terms this paper describes a simple procedure that can be used to test the nominal against the real hypothesis the test is carried out for twenty seven countries the paper also tests the structural stability of the demand for money equations and the correctness of th e dynamic specification the results are strongly in favor of the nom inal adjustment hypothesis there is however some evidence of moder ate structural instability before and after 1973 the instability doe s not affect the conclusion that the nominal adjustment hypothesis do minates the real adjustment hypothesis copyright 1987 by mit press

limited participation and exchange rate dynamics does theory meet the data the paper explores the empirical dimensions of a new open economy macronomy model characterized by credit market frictions we find that these frictions are essential for the model to match a large set of moments of german data moreover the simulated impulse response functions to supply and nominal shocks are consistent with var findings since the model is estimated on moments rather than on conditional irfs this underlines the ability of the model to match the data finally monetary shocks do not seem to be the primary driving force behind the aggregate dynamics which is consistent with the var literature

third country effects on the exchange rate abstract predictive regressions for bilateral exchange rates are typically run on variables from the associated bilateral pairs of countries these regressions characteristically have low explanatory power which leaves room for an omitted variables interpretation we test whether these omitted variables are from third countries when third country macro factors are added to bilateral exchange rate regressions they enter significantly and increase the adjusted r 2 a three country exchange rate model illustrates potential channels for third country spillovers to affect the bilateral rate

structural estimation of the affiliated private value auction model we consider the structural estimation of the affiliated private value apv model in first price sealed bid auctions the model allows for bidders individual efficiencies and opportunity costs while permitting dependence among bidders private values through affiliation we establish the nonparametric identification of the apv model characterize its theoretical restrictions and propose a computationally convenient and consistent two step nonparametric estimation procedure for estimating the joint private value distribution from observed bids using simulated bid data we provide a step by step guide on how to implement our procedure and show the good behavior of our estimator in small samples

the effect of usage and size on tractor depreciation an econometric model was estimated to explain prices for tractors sold at auction tractor age hours of use size and condition were statistically significant explanatory variables real tractor depreciation most closely approximated a sum of the years digits pattern tractors sold at consignment and bankruptcy auctions brought a lower price than tractors sold by retiring farmers high levels of usage did not greatly reduce tractor value but tractors with low annual usage brought substantial premiums in the auction market

openness and optimal monetary policy abstract we show that the composition of international trade has important implications for the optimal volatility of the exchange rate above and beyond the size of trade flows using an analytically tractable small open economy model we characterize the impact of the trade composition on the policy trade off and on the role played by the exchange rate in correcting for price misalignments contrary to models where openness can be summarized by the degree of home bias we find that openness can be a poor proxy of the welfare impact of alternative monetary policies using input output data for 25 countries we document substantial differences in the import and non tradable content of final demand components and in the role played by imported inputs in domestic production the estimates are used in a richer small open economy dsge model to quantify the loss from an exchange rate peg relative to the ramsey policy conditional on the composition of imports we find that the main determinant of the losses is the share of non traded goods in final demand

estimating demand from ebay prices abstract this paper presents results for identification and estimation of the value distribution from ebay auction prices the paper presents results for ebay type auctions with independent private values and unobserved participation it is first shown that the distribution of values is identified from observing the distribution of prices and knowing the distribution of potential bidders the main identification result presents conditions for which the distribution of values and the distribution of potential bidders are simultaneously identified not surprisingly the intuition is similar to the standard results for identifying demand from observed equilibrium prices the estimation method suggested by the identification results is used to estimate the value distribution for the c5 chevrolet corvette sold on ebay the results suggest that a simple ols model on prices will over estimate the mean value of the item the estimation results are then used to calculate the optimal reserve price for these cars the estimated optimal reserves are compared to the actual reserves actual hidden reserves are set much higher than actual non hidden reserves the evidence suggests sellers set buy it nows and hidden reserves optimally to account for re listing opportunities

fiscal policy banks and the financial crisis this paper studies the effectiveness of euro area ea fiscal policy during the recent financial crisis using an estimated new keynesian model with a bank a key dimension of policy in the crisis was massive government support for banks that dimension has so far received little attention in the macroeconomics literature we use the estimated model to analyze the effects of bank asset losses of government support for banks and other fiscal stimulus measures in the ea our results suggest that support for banks had a stabilizing effect on ea output consumption and investment increased government purchases helped to stabilize output but crowded out consumption higher transfers to households had a positive impact on private consumption but a negligible effect on output and investment banking shocks and increased government spending explain half of the rise in the public debt gdp ratio since the onset of the crisis

is there persistence in the impact of emergency food aid evidence on consumption food security and assets in rural ethiopia we identify the impact of emergency food aid programs after the 2002 drought in rural ethiopia on future welfare based on a difference in differences matching estimator participation in food for work increases growth in total consumption and food consumption eighteen months after the drought separately receiving free food raises growth in food consumption but surprisingly negatively impacts food security food for work benefited households in the middle and upper tail of the consumption distribution while the better targeted free food program benefited the poorest evidence suggests these impacts demonstrate accumulated and persistent effects of food aid received in the first twelve months after the drought

openness imperfect exchange rate pass through and monetary policy abstract this paper analyses the implications of imperfect exchange rate pass through for optimal monetary policy in a linearised open economy dynamic general equilibrium model calibrated to euro area data imperfect exchange rate pass through is modelled by assuming sticky import price behaviour the degree of domestic and import price stickiness is estimated by reproducing the empirical identified impulse response of a monetary policy and exchange rate shock conditional on the response of output net trade and the exchange rate it is shown that a central bank that wants to minimise the resource costs of staggered price setting will aim at minimising a weighted average of domestic and import price inflation

identification in first price and dutch auctions when the number of potential bidders is unobservable within the ipv paradigm we show nonparametric identication of model primitives forrst price and dutch auctions with a binding reserve price and auction specic unobservable sets of potential bidders

new directions for stochastic open economy models the paper develops a simple stochastic new open economy macroeconomic model based on sticky nominal wages explicit solution of the wage setting problem under uncertainty allows one to analyze the effects of the monetary regime on welfare expected output and the expected terms of trade despite the potential interplay between imperfections due to sticky wages and monopoly the optimal monetary policy rule has a closed form solution to motivate our model we show that observed correlations between terms of trade and exchange rates are more consistent with our traditional assumptions about nominal rigidities than with a popular alternative based on local currency pricing 2000 elsevier science b v all rights reserved

the role of monetary shocks and real shocks on the current account the terms of trade and the real exchange rate dynamics a svar analysis the article is an empirical investigation of the role of monetary shocks and real shocks on the current account the terms of trade and the real exchange rate dynamics three new open economy macro economics noem models are studied to motivate the empirical investigation then i apply the blanchard quah decomposition to identify a svar model the empirical evidence supports the noem model with the simplified household preference specification and with the small degree of pricing to market the evidence also illustrates monetary shocks important for the real exchange rate and the terms of trade movements but not for the current account fluctuations

ppp strikes back aggregation and the real exchange rate we show the importance of a dynamic aggregation bias in accounting for the ppp puzzle we prove that the aggregate real exchange rate is persistent because its components have heterogeneous dynamics established time series and panel methods fail to control for this using eurostat data we find that when heterogeneity is taken into account the estimated persistence of real exchange rates falls dramatically its half life for instance may fall to as low as eleven months significantly below the consensus view of three to five years

sowing for food security a case study of smallholder farmers in bolivia abstract this paper explores the role that agriculture can play in the food security agenda to meet this objective this study measures the impact of the programa de apoyos directos para la creacion de iniciativas agroalimentarias rurales criar an agricultural technology adoption program implemented in highly food insecure areas of rural bolivia the paper analyzes whether changes in food security are due to improved food availability production and local sales and or greater food access income and production used for home consumption to this end data from a sample of 1287 households 817 beneficiaries and 470 controls interviewed specifically for this purpose are used to address self selection issues the program s impact is estimated using an instrumental variable model the results present evidence that program participation improved food security specifically positive impacts on agricultural productivity agricultural sales and household income are found these findings confirm the importance of considering agricultural programs as policy tools to address food insecurity

entry and competition effects in first price auctions theory and evidence from procurement auctions motivated by several interesting features of the highway mowing auction data from the texas department of transportation tdot we study three competing procurement auction models with endogenous entry our entry and bidding models provide several interesting implications for the first time we show that even within an independent private value paradigm as the number of potential bidders increases bidders equilibrium bidding behaviour can become less aggressive and the expected procurement cost may rise because the entry effect is always positive and may dominate the negative competition effect we then develop structural models of entry and bidding corresponding to the three models under consideration controlling for unobserved auction heterogeneity and use the recently developed semi parametric bayesian estimation method to analyse the data we select the model that best fits the data and use the corresponding structural estimates to quantify the entry effect and the competition effect with regard to the individual bids and the procurement cost copyright 2009 wiley blackwell

us trade balance dynamics the role of fiscal policy and productivity shocks and of financial market linkages abstract this paper examines whether domestic and foreign productivity and fiscal policy changes can account for the wide swings in us net exports during the period 1975 1991 a two country real business cycle model is used for that purpose the model is simulated using data on productivity government purchases and taxes for the g7 countries a version of the model with incomplete asset markets in which only bonds can be used for international capital flows tracks the us trade balance fairly closely provided permanent country specific productivity shifts are assumed the simulations suggest that us productivity changes were the main source of fluctuations in us net exports

international business cycles the authors estimate a dynamic two country model in which economic fluctuations are driven by a worldwide supply shock country specific supply shocks and relative fiscal money and preference shocks identification is achieved using only long run restrictions based on a theoretical model the main results are 1 supply shocks particularly country specific ones are very important in generating international business cycles and 2 although the post 1973 flexible exchange rate period has been inherently more volatile there are no differences in transmission properties of economic disturbances across exchange rate regimes for the endogenous variables they focus on copyright 1993 by american economic association

seasonal fluctuations and the demand for money the reaction of money holders to the systematic seasonal changes in the level of transactions represents an interesting experiment for learning about the money demand function an analysis of the seasonal fluctuations of the real quantity of money and several measures of transactions in the united states germany the united kingdom and canada reveals the following first consumption expenditures in semidurables nondurables and services appears to be a good proxy for transactions in a money demand function and superior to gross domestic product or consumption expenditures second the transactions elasticity of the demand for money is substantially lower than one

the impact of the social cash transfer scheme on food security in malawi abstract the malawi social cash transfer scheme scts was launched in 2006 to improve food security by directly providing cash transfers to the country s most destitute households although government implemented cash transfer schemes have gained popularity throughout latin america these schemes are just emerging in africa while where there is evidence of the beneficial impact of cash transfers on food security from latin american countries there is a dearth of evidence from resource poor countries in africa in order to fill this gap we conducted a longitudinal randomized community control study of the pilot scts in mchinji malawi from march 2007 to april 2008 in this study we describe the impact of approximately us 14 per month on food security among recipient households compared to control households using indicators of food consumption and expenditures and dietary diversity we present compelling evidence whereby each of the tested outcomes yields large effect sizes that are highly statistically significant demonstrating a sizeable impact of cash transfers on food security and food diversity in rural malawi the scts appears to be an effective tool within the national social welfare policy for improving food security in the country s destitute households

the exchange rate in a dynamic optimizing business cycle model with nominal rigidities a quantitative investigation this paper studies a quantitative dynamic optimizing business cycle model of a small open economy with staggered price and wage setting the model exhibits exchange rate overshooting in response to money supply shocks the predicted variability of the nominal and especially of the real exchange rate is noticeably higher than in standard real business cycle models with flexible prices and wages a positive domestic money supply shock is predicted to lower the domestic interest rate raise gdp and trigger a depreciation of both the nominal and real exchange rate increases in domestic productivity and in the world interest rate are also predicted to induce a nominal and real exchange rate depreciation 2001 elsevier science b v all rights reserved

equilibrium in sealed high bid auctions there is a voluminous theoretical literature on sealed high bid auctions auctions in which bids are sealed and the high bidder pays his bid see for example vickrey 1961 myerson 1981 riley and samuelson 1981 milgrom and weber 1982 matthews 1983 maskin and riley 1984 holt 1980 cox smith and walker 1988 a critical property on which this literature relies is the existence of equilibrium in which buyers bidding strategies are monotonic in their types this enables the analyst to perform comparative statics as the distribution of types changes and to compare the welfare properties of the high bid auction with those of other auction institutions one case in which the existence of monotonic equilibrium is readily established is that in which buyers types are distributed smoothly independently and symmetrically in this case there exists a symmetric equilibrium one in which all bidders share the same bidding behaviour as a function of their valuations and this bid function is the solution to a first order differential equation

econometrics of first price auctions in this paper we propose an estimation method for the empirical study of theoretical auction models we focus on first price sealed bid and descending auctions and we adopt the private value paradigm where each bidder is assumed to have a different private value only known to him for the object that is auctioned following mcfadden 1989 and pakes and pollard 1989 our proposed method is based on simulations specifically the method relies on a simulated nonlinear least squares objective function appropriately adjusted so as to obtain consistent estimates of the parameters of interest we illustrate the proposed method by studying a market of agricultural products where descending auctions are used our analysis takes into account heterogeneity of the auctioned objects and the fact that only the winning bid is observed we estimate the parameters that characterize the distribution of the unobserved private values for each auctioned object

child health and household resources in south africa evidence from the old age pension program this paper presents nonparametric evidence on the effects of the expansion of the old age pension program in south africa on child health did this increase in household resources improve child health and nutrition does the gender of the recipient of the pension affect its impact the answers to these questions have very important policy implications there is evidence that inadequate nutrition during childhood and even in utero affects long term physical development as well as the development of cognitive skills this in turn affects productivity later in life see partha dasgupta 1993 john strauss and duncan thomas 1998 t paul schultz 1999 in the united states the evidence suggests that monetary transfers to the poor have very little impact on child welfare janet currie 1995 susan mayer 1997 however the effects of parental income and monetary transfers on child outcomes are likely to be of greater magnitude among poor households in developing countries the south african pension program provides an unusual opportunity to evaluate the possible effects of such a monetary transfer this paper exploits the rapid increase in the coverage and benefits of the old age pension program in south africa which took place in the early 1990 s anne case and angus deaton 1998 at the end of the apartheid era the government committed to achieving parity of benefits and eligibility requirements between whites and africans this was achieved mostly by increasing the benefits received by the africans in 1993 80 percent of african women above age 60 and 77 percent of african men above 65 received the pension the maximum benefit of 370 rands per month aproximately 3 per day was equal to half of the minimum wage and about twice the median income per capita in rural areas due to living arrangements inherited from the apartheid era close to onethird of african children under the age of 5 currently live with a pension recipient children who live with a pension recipient tend to come from relatively disadvantaged backgrounds as a consequence they tend to be smaller than other children their age to estimate the effect of receiving a pension on the anthropometric status of children this paper exploits the fact that height reflects accumulated investments in child nutrition the larger the proportion of her life during which a child is well nourished the taller she will be given her age due to the expansion of the program in the early 1990 s individuals of qualified age became more likely to receive a pension and the benefits became substantially larger thus children born after the expansion of the program are more likely to have spent a larger fraction of their lives wellnourished if they live with a pension recipient to the extent that the pension resulted in improved nutrition in this paper i present nonparametric evidence of the program s effect on nutrition based on this observation

the structure of technology with endogenous capital utilization a model is presented for the estimation of production technology when capital is endogenously utiliz ed the present model permits the firm to choose the rate of utilizat ion and level of maintenance applied to its capital equipment such th at the user cost of capital services is minimized the model is one o f two stage optimization and estimation the two stages are integrate d using duality theory through the generation of an instrumental us er cost variable in the first stage the instrumental user cost is th en utilized for the estimation of the aggregate technology the resul ts are compared to results obtained from standard models with exogeno us capital utilization and the emerging biases are discussed copyright 1988 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

bid preference programs and participation in highway procurement auctions we use data from highway procurement auctions subject to california s small business preference program to study the effect of bid preferences on auction outcomes our analysis is based on an estimated model of firms bidding and participation decisions which allows us to evaluate the effects of current and alternative policy designs we show that incorporating participation responses significantly alters the assessment of preferential treatment policies

economic vs accounting depreciation abstract in this paper we present and estimate a model of economic depreciation consistent with producer s optimization the estimated economic depreciation which is a function of the rate of utilization and level of maintenance is about half of that used according to tax accounting depreciation the difference between the economic and tax rates of depreciation results in a subsidy and earlier capital replacement the implicit maximum net tax subsidy expressed as a proportion of the acquisition price of the asset is 13 3 for a sample of canadian trucking firms

utilization and maintenance in a model with scrapping we consider a productive asset called equipment or capital good and we examine the properties of as well as the interactions between the operating policies which are determined by its optimal utilization and maintenance and the capital policy of scrapping which defines the optimal time when the productive asset is retired from its current use starting with an abstract model and using the approach of optimal control initially we characterize the various types of equipment by assigning to them a single total profit index which indicates how the above policies affect the flow of operating revenues plus capital gains or losses this index is a function of market determined prices so using it we then investigate how the operating and capital policies are influenced by the rate of discount the price of new equipment and the rise or fall of the price of new equipment relative to the value of its output among other interesting results we find that the effects of these prices on the nature and interactions of optimal policies depend crucially on whether the equipment is of the usual profit making type where output is the main source of revenue or of the antique type where the main source of revenue is capital gains

real exchange rate convergence the roles of price stickiness and monetary policy abstract in many open economy models based on dornbusch 1976 the speed of convergence of the real exchange rate is tied to the stickiness of prices the purchasing power parity puzzle concerns the empirical fact that real exchange rates appear to converge more slowly than nominal prices in some new keynesian models when there is no interest rate smoothing the stickiness of prices does not matter at all for persistence as benigno 2004 showed we show that in the presence of interest rate smoothing price stickiness does matter and endogenous real exchange rate persistence is bounded above by the interest rate smoothing parameter and by the probability of a firm not changing prices under calvo pricing we also explain the relationship between the new keynesian framework with calvo pricing and the dornbusch framework where price stickiness is integral to real exchange rate convergence

farm level pathways to improved nutritional status global national and local policies and programs for agricultural development arerecurrently justified based on their alleged role in improving food and nutrition security however strikingly little evidence is available to prove that a direct household level linkbetween agricultural production and improved nutrition exists the objective of thisspecial issue is to systematically and empirically test using data from africa and southasia whether a relationship between household agricultural production and nutrition canbe found overall the studies in this special issue support the hypothesis that householdagricultural production has direct and important linkages with dietary patterns andnutrition

asymmetry in procurement auctions evidence from snow removal contracts differences in cost efficiency and productivity across firms may introduce asymmetries in procure ment auctions relying on a structural approach this article investigates potential asymmetry among firms bidding for snow removal contracts in montrthe empirical results show that firms located in close proximity have a cost advantage relative to other firms in the most urbanised part of montrbecause of prohibitive equipment storage costs the extent of inefficiency due to asym metry is empirically assessed various policy experiments are performed a bidding preference policy shows that the city could expect to reduce its costs for allocating snow removal contracts when bidders willingness to pay depends in part on observable variables the princi pal s interest is not best served by creating a level auction playing field this article studies procurement auctions for snow removal contracts in montrit investigates the degree to which companies in disadvantageous locations should win even if they do not submit the lowest bid from the submitted bids a novel empirical methodology estimates the extent of cost variation across firms along with its variation within loca tion although the dispersion is substantial the gain from treating bidders unequally is limited when observed individual characteristics affect the firms costs and their bidding strategies all bidders cannot be treated alike these differences in characteristics or asymmetries among bidders may arise from their size as noted by laffont et al 1995 their capacity constraints as in jofre bonet and pesendorfer 2003 or the possession of better information as in hendricks and porter 1988 and hendricks et al 1994

estimation of limited dependent variable models with dummy endogenous regressors applied economists have long struggled with the question of how to accommodate binary endogenous regressors in models with binary and nonnegative outcomes i argue here that much of the difculty with limited dependent variables comes from a focus on structural parameters such as index coefcients instead of causal effects once the object of estimation is taken to be the causal effect of treatment several simple strategies are available these include conventional two stage least squares multiplicative models for conditional means linear approximation of nonlinear causal models models for distribution effects and quantile regression with an endogenous binary regressor the estimation strategies discussed in the article are illustrated by using multiple births to estimate the effect of childbearing on employment status and hours of work

causes of nonlinearities in low order models of the real exchange rate abstract this paper investigates the extent to which modern dsge models which feature local currency pricing home bias nontraded goods and incomplete markets can generate nonlinear real exchange rate dynamics that are consistent with those found in the time series literature using data from the current floating period our key findings are as follows first if the true model can be appropriately characterized as a set of linear equations then linearity tests that utilize univariate autoregressions of the real exchange rate suffer from an omitted variables problem which leads them to overestimate the true incidence of nonlinearity consequently studies that fail to control for this problem may spuriously find evidence of nonlinearities in the data despite the fact that the data generating process may be linear second we propose a strategy that can largely eliminate this distortion finally we find that dsge models solved using higher order approximations are capable of generating true structural nonlinearities in real exchange rates both asymptotically and in short samples

explaining the exchange rate pass through in different prices abstract this paper examines the performance of a variety of new open economy macroeconomic models in explaining the exchange rate pass through in a wide range of prices quantitative versions of different models are used to derive the dynamic response of various prices to an exchange rate shock predicted responses are compared with the evidence based on var models to examine how well different models fit the data the results show that the best fitting model incorporates a number of features highlighted by different strands of the literature sticky prices sticky wages distribution costs and a combination of local lcp and producer currency pricing pcp

optimal monetary and fiscal policy in a currency union we lay out a tractable model for the analysis of optimal monetary and fiscal policy in a currency union the monetary authority sets a common interest rate for the union whereas fiscal policy is implemented at the country level through the choice of government spending in the presence of country specific shocks and nominal rigidities the policy mix that is optimal from the viewpoint of the union as a whole requires that inflation be stabilized at the union level by the common central bank whereas fiscal policy has a country specific stabilization role one beyond the efficient provision of public goods

the new open economy macroeconomics a survey since the 1995 publication of obsteld and rogoff s redux model there has been an outpouring of research on open economy dynamic general equilibrium models that incorporate imperfect competition and nominal rigidities this paper offers an interim survey of this recent literature 2001 elsevier science b v all rights reserved

macroeconomic effects of nominal exchange rate regimes new insights into the role of price dynamics abstract this paper analyzes the effects of pegged and floating exchange rates using a two country dynamic general equilibrium model that is calibrated to the us and a european aggregate the model assumes shocks to money productivity and the interest rate parity condition it captures the fact that the sharp increase in nominal exchange rate volatility after the end of the bretton woods bw system was accompanied by a commensurate rise in real exchange rate volatility but had no pronounced effect on the volatility of gdp this holds irrespective of whether flexible or sticky prices are assumed which casts doubt on the widespread view that the roughly equal post bw rise in nominal and real exchange rate volatility reflects price stickiness a flex prices variant of the model captures better the fact that the correlation between us and european gdp has been higher in the post bw era than under bw

first price auctions in the asymmetric n bidder case i consider the first price auction when the bidders valuations may be differently distributed i show that every bayesian equilibrium is an essentially pure equilibrium formed by bid functions whose inverses are solutions of a system of differential equations with boundary conditions i then prove the existence of an equilibrium i prove its uniqueness when the valuation distributions have a mass point at the lower extremity of the support i give sufficient conditions for uniqueness when every valuation distribution is one of two atomless distributions i establish inequalities between equilibrium strategies when relations of stochastic dominance exist between valuation distributions

identification of standard auction models this paper presents new identification results for models of first price second price ascending english and descending dutch auctions we consider a general specification of the latent demand and information structure nesting both private values and common values models and allowing correlated types as well as ex ante asymmetry we address identification of a series of nested models and derive testable restrictions enabling discrimination between models on the basis of observed data the simplest model symmetric independent private values is nonparametrically identified even if only the transaction price from each auction is observed for richer models identification and testable restrictions may be obtained when additional information of one or more of the following types is available i the identity of the winning bidder or other bidders ii one or more bids in addition to the transaction price iii exogenous variation in the number of bidders iv bidder specific covariates while many private values pv models are nonparametrically identified and testable with commonly available data identification of common values cv models requires stringent assumptions nonetheless the pv model can be tested against the cv alternative even when neither model is identified

monetary shocks in the g 6 countries is there a puzzle les auteurs cherchent a clarifier la dynamique du mecanisme de transmission de la politique monetaire l identification des chocs de politique monetaire est au coeur de ce genre d analyse divers chercheurs ont reussi recemment a isoler de tels chocs en imposant des restrictions de suridentification a des modeles vectoriels autoregressifs var

crazy explanations of international business cycles international real business cycle models have been unable to provide a good explanation for the consumption output anomaly in theoretical economies consumption is more strongly correlated across countries than is output whereas the opposite is the case in the data this paper examines an increasing returns to scale model in which the economy is subject to belief shocks that affect the consumption euler equations rather than productivity under the assumption that there are no contingent claim markets on the realizations of sunspots the belief driven model can account for the consumption output anomaly even with a separable period utility function copyright 1998 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

liquidity and real activity in a simple open economy model abstract this paper analyzes the ability of an open economy version of lucas s 1990 liquidity model to account for properties of international data the focus is on the model s ability to account for exchange rate dynamics and measured effects of monetary policy shocks on exchange rates interest rates and real activities across countries the model generates a prediction that a positive domestic monetary innovation is associated with nominal and real currency depreciations however the model s predictions with respect to nominal and real exchange rate volatilities are low

a nonparametric test for comparing valuation distributions in first price auctions this article proposes a nonparametric test for comparing valuation distributions in first price auctions our test is motivated by the fact that two valuation distributions are the same if and only if their integrated quantile functions are the same our method avoids estimating unobserved valuations and does not require smooth estimation of bid density we show that our test is consistent against all fixed alternatives and has nontrivial power against root n local alternatives monte carlo experiments show that our test performs well in finite samples we implement our method on data from u s forest service timber auctions

international comparisons of pricing to market behavior this paper measures the degree of price discrimination across export destinations that is associated with exchange rate changes using u s u k german and japanese industry level data given the industries sampled more price discrimination across destinations is observed in the u k german and japanese data for industries that match across source countries however behavior is very similar across source countries furthermore destination specific price adjustment on exports to the united states from germany and japan is similar to price adjustment observed on shipments to other destinations most variation in the data appears to be related to industry copyright 1993 by american economic association