why democracies produce efficient results by applying the standard tools of microeconomic analysis i argue that democratic markets work as well as economic markets in particular i show that previous work has greatly exaggerated the existence of principal agent and informational problems in electoral markets and has drawn incorrect conclusions

what is fractional integration a simple construction that will be referred to as an error duration model is shown to generate fractional integration and long memory an error duration representation also exists for many familiar arma models making error duration an alternative to autoregression for explaining dynamic persistence in economic variables the results lead to a straightforward procedure for simulating fractional integration and establish a connection between fractional integration and common notions of structural change two examples show how the error duration model could account for fractional integration in aggregate employment and in asset price volatility

multifractality in asset returns theory and evidence this paper investigates the multifractal model of asset returns mmar a class of continuous time processes that incorporate the thick tails and volatility persistence exhibited by many financial time series the simplest version of the mmar compounds a brownian motion with a multifractal time deformation prices follow a semi martingale which precludes arbitrage in a standard two asset economy volatility has long memory and the highest finite moments of returns can take any value greater than 2 the local variability of a sample path is highly heterogeneous and is usefully characterized by the local holder exponent at every instant in contrast with earlier processes this exponent takes a continuum of values in any time interval the mmar predicts that the moments of returns vary as a power law of the time horizon we confirm this property for deutsche mark u s dollar exchange rates and several equity series we develop an estimation procedure and infer a parsimonious generating mechanism for the e

long range dependence in the conditional variance of stock returns abstract we examine persistence in the conditional variance of u s stock returns indexes our results show evidence of long memory in high frequency data suggesting that models of conditional heteroskedasticity should be made flexible enough to accommodate these empirical findings

optimal residual based tests for fractional cointegration and exchange rate dynamics a lagrange multiplier test of the null hypothesis of cointegration in fractionally cointegrated models is proposed the test statistic uses fully modified residuals to cancel the endogeneity and serial correlation biases and standard asymptotic properties apply under the null and under local alternatives with iid gaussian errors the asymptotic gaussian power envelope of all unbiased tests is achieved by the one sided two sided test the finite sample properties are illustrated by a monte carlo study in an application to the dynamics among exchange rates for seven major currencies against the u s dollar mixed evidence of the existence of a cointegrating relation is found

forecasting the real output using fractionally integrated techniques the annual structure of the real gdp in the uk france germany and italy is examined by means of fractionally integrated techniques using a version of a testing procedure due to robinson journal of the american statistical association 84 1420 37 1994 it is shown that the series can be specified in terms of i d statistical models with d higher than 1 thus the series are nonstationary and non mean reverting the forecasting properties of the selected models for each country are also examined

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

social capital barriers to production and capital shares implications for the importance of parameter heterogeneity from a nonstationary panel approach recent advances in the growth literature have proposed that difficult to quantify concepts such as social capital may play an important role in explaining the degree of persistent income disparity that is observed among countries other recently explored possibilities include institutional mechanisms which generate barriers to aggregate production an important limitation for empirical work in this area stems from the fact that it is difficult to distinguish sources of heterogeneity when direct observations are not available in this study we show how developments in the analysis of nonstationary panels can aid in this endeavor in contrast to traditional dynamic panel data analysis this approach focuses explicitly on low frequency behavior under relatively mild assumptions the approach can be used to infer properties of aggregate production which are robust to the presence of large classes of unobserved features in this framework we are able to estimate and test the distribution of production function parameters that would be required in order to generate conditional forecast convergence of per capita incomes even when some of the key factors required to explain growth are unobserved the results indicate that in order to fully explain the observed persistence in the disparity of per capita incomes the manner in which unobserved mechanisms influence production must go beyond merely accounting for differences in the trending behavior of aggregate productivity specifically if such mechanisms are to be successful empirically they must also be able to account for cross country heterogeneity in steady state capital shares this adds to a growing literature that provides support for models with multiple production regimes copyright 2007 john wiley sons ltd

long memory in foreign exchange rates using the geweke porter hudak test we find evidence of long memory in exchange rate data this implies that the empirical evidence of unit roots in exchange rates may not be robust to long memory alternatives fractionally integrated autoregressive moving average arfima models are estimated by both the time domain exact maximum likelihood ml method and the frequency domain approximate ml method impulse response functions and forecasts based on these estimated arfima models are evaluated to gain insight into the long memory characteristics of exchange rates some tentative explanations of the long memory found in the exchange rates are discussed

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

the industrial organization of congress or why legislatures like firms are not organized as markets this paper provides a theory of legislative institutions that parallels the theory of the firm and the theory of contractual institutions like market institutions legislative institutions reflect two key components the goals or preferences of individuals here representatives seeking reelection and the relevant transactions costs we present three conclusions first we show how the legislative institutions enforce bargains among legislators second we explain why given the peculiar form of bargaining problems found in legislatures specific forms of nonmarket exchange prove superior to market exchange third our approach shows how the committee system limits the types of coalitions that may form on a particular issue

long memory and persistence in aggregate output abstract we examine persistence in u s aggregate output by estimating fractionally integrated arima models these models provide better low frequency approximations to the wold representation than previous stochastic specifications and earlier results on the importance of a permanent component emerge as special cases we find evidence of long memory which induces persistence though this long memory need not be associated with a unit root our point estimates indicate that macroeconomic shocks while persistent are distinctly less persistent than many earlier studies suggest however confidence intervals associated with the long run response are quite wide

on the form of transfers to special interests an important question in political economy concerns the form of transfers to special interests the chicago view is that political competition leads politicians to make such transfers efficiently the virginia position is that lack of information on the part of voters leads politicians to favor inefficient sneaky methods of redistribution this paper analyzes the form of transfers in a model of political competition in which politicians have incentives to make transfers to special interests it shows that when voters have imperfect information about both the effects of policy and the predispositions of politicians inefficient methods of redistribution may be employed

strategic facility location a review abstract facility location decisions are a critical element in strategic planning for a wide range of private and public firms the ramifications of siting facilities are broadly based and long lasting impacting numerous operational and logistical decisions high costs associated with property acquisition and facility construction make facility location or relocation projects long term investments to make such undertakings profitable firms plan for new facilities to remain in place and in operation for an extended time period thus decision makers must select sites that will not simply perform well according to the current system state but that will continue to be profitable for the facility s lifetime even as environmental factors change populations shift and market trends evolve finding robust facility locations is thus a difficult task demanding that decision makers account for uncertain future events the complexity of this problem has limited much of the facility location literature to simplified static and deterministic models although a few researchers initiated the study of stochastic and dynamic aspects of facility location many years ago most of the research dedicated to these issues has been published in recent years in this review we report on literature which explicitly addresses the strategic nature of facility location problems by considering either stochastic or dynamic problem characteristics dynamic formulations focus on the difficult timing issues involved in locating a facility or facilities over an extended horizon stochastic formulations attempt to capture the uncertainty in problem input parameters such as forecast demand or distance values the stochastic literature is divided into two classes that which explicitly considers the probability distribution of uncertain parameters and that which captures uncertainty through scenario planning a wide range of model formulations and solution approaches are discussed with applications ranging across numerous industries

mean reversion in the real exchange rates abstract robinson s j am stat assoc 89 1994 1420 fractionally based tests for unit roots and other hypotheses are applied to real exchange rate data between u s and five industrialized countries the results indicate that the series are fractionally integrated with mean reversion if the disturbances are autocorrelated

short run models and long run forecasts a note on the permanence of output fluctuations suppose that real gnp falls 1 percent lower than one would have expected from its past history how much should one change one s forecast of gnp for ten or twenty quarters ahead that is the question which has recently been addressed by campbell and mankiw 1987 and clark 1987 both of these papers estimate a parsimonious representation of the time series and then compute the implied long run response of gnp to an innovation while clark estimates that the long run impact of an innovation is less than two thirds of the initial impact campbell and mankiw present evidence that shocks persist and even grow over time the goal of this paper is to develop tests of the goodness of fit of specific time series models which are powerful against alternatives that imply different long run impulse responses with postwar quarterly data these tests favor models in which innovations are largely temporary over models in which innovations persist

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

a fractional cointegration analysis of purchasing power parity a generalized notion of cointegration called fractional cointegration is introduced to examine the long run purchasing power parity ppp hypothesis by allowing deviations from equilibrium to follow a fractionally integrated process the fractional cointegration analysis can capture a wider range of mean reversion behavior than standard cointegration analyses this gain is flexibility in modeling subtle mean reverting dynamics is found to be important for a proper evaluation of long run ppp empirical results based on historical data for the 1914 1989 period show that ppp reversion exists and can be characterized by a fractionally integrated process in three out of five countries studied the results support ppp as a long run phenomenon though significant short run deviations from ppp can exist

on the power of dickey fuller tests against fractional alternatives abstract we examine the properties of dickey fuller unit root tests under fractionally integrated alternatives and find that these tests have quite low power

the distribution of wealth and the efficiency of institutions the distribution of wealth and the efficiency of institutions this paper explores the effect on economic efficiency of the distribution of wealth and systems for enforcing property rights we construct a two person two period economy in which each person can consume plant transfer or steal corn we find circumstances in which redistribution of wealth is pareto optimal and in which increasing sanctions against theft to their maximum level is not these results suggest that it is not only important to consider distribution in the design of property institutions but also that redistribution itself may serve to increase the efficiency of systems of property rights i introduction a fundamental insight of economics is that property rights may foster creation of wealth nevertheless property rights which can be freely violated serve no function so that to be meaningful they must be enforceable effective enforcement requires the existence of enforcement systems to monitor violations impose sanctions and provide for restitution of stolen property an effective enforcement system produces obvious desirable effects by deterring theft and providing for restitution it assures that individuals will appropriate the fruits of their labors and hence enforcement serves to increase efficiency it is a standard observation in the literature on crime and punishment that the possibility of crime may lead potential victims to alter their behavior in efficiency reducing ways the possibility of street crime may for example empty the streets neher 1978 conversely the establishment of an effective enforcement system can return people to the streets both by deterring theft or reducing the probability that it will occur and by providing for restitution in the event theft occurs and the thief is apprehended we refer to these efficiency enhancing effects of enforcement as deterrence and restitution effects however the benefits of operating an enforcement system must be weighed against its costs such a system may be resource using and may yield undesirable as well as desirable effects thus maintaining a criminal justice system entails direct costs resources to operate a police force courts and prisons and indirect costs in that potential criminals may modify their behavior to adjust to the prospect of sanctions in efficiency reducing ways see becker 1968 usher 1986 a criminal may for instance dissipate resources in the face of expected sanctions or otherwise deploy them in an inefficient fashion to escape appropriation hence the tendency of criminals to exhibit apparently high discount rates observed by wilson and herrnstein 1985 may reflect the prospect of sanction rather than indicate a strong preference for immediate gratification as they suggest likewise the reduced risk of appropriation may explain the willingness of criminals to pay large transactions costs to maintain secrecy in swiss bank accounts we refer to these efficiency reducing effects of enforcement systems as sanction effects cheung 1970 and others have observed that the costs of enforcing property rights may depend on their distribution 1 ehrlich s 1973 finding that there is a positive relation between the level of crime and the degree of income inequality is supportive of this view beyond this it has frequently been suggested that redistribution may increase respect for property rights along with monitoring and sanctions the notion that giving people more to lose can render them more law abiding is central to liberal theories of rehabilitation it is also embedded in efficiency wage models where high wages are shown to be economical to the extent they increase the efficacy of sanctions and extend an employer s basis for control see for example eaton and white 1983 yellen 1984 any wealth transfers to individuals must of course come from other individuals

the power to tax analytical foundations of a fiscal constitution preface 1 taxation in constitutional perspective 2 natural government a model of leviathan 3 constraints on base and rate structure 4 the taxation of commodities 5 taxation through time income taxes capital taxes and public debt 6 money creation and taxation 7 the disposition of public revenues 8 the domain of politics 9 open economy federalism and taxing authority 10 toward authentic tax reform prospects and prescriptions epilogue notes selected bibliography index

fractional monetary dynamics we test for fractional dynamics in us monetary series their various formulations and components and velocity series using the spectral regression method we find evidence of a fractional exponent in the differencing process of the monetary series both simple sum and divisia indices in their components with the exception of demand deposits savings deposits overnight repurchase agreements and term repurchase agreements and the monetary base and money multipliers no evidence of fractional behaviour is found in the velocity series granger s journal of econometrics 25 1980 aggregation hypothesis is evaluated and implications of the presence of fractional monetary dynamics are drawn

economic and political foundations of tax structure this paper derives the essential elements of tax systems as the outcome of rational behavior in a model w here government maximizes expected support and where opposition to ta xation depends on the loss in full income the analysis treats the le vel of expenditures as endogenous and integrates the influence of adm inistration costs with that of political and economic factors tax st ructure is shown to be a system of related components in equilibrium a final section compares results to two alternative approaches opti mal taxation and the leviathan model copyright 1988 by american economic association

production growth and business cycles ii new directions abstract this paper outlines new directions for investigations of real business cycle models consideration of stochastic growth of exogenous and endogenous forms analysis of suboptimal outcomes arising due to externalities of distorting taxes and implications of labor market heterogeneity

long memory and fractional integration in the housing price series of london and paris this article deals with the analysis of house price indexes from a long range dependence viewpoint in particular it estimates the fractional differencing parameter in the london and paris house price series recognizing in some cases the potential seasonality and allowing for breaks in the data moreover it analyses the stability of the parameters across the sample period examined it is concluded that the series are nonstationary but mean reverting in some cases and very persistent in others policy implications are derived

decentralisation as an incentive scheme recent changes have introduced more decentralization in a number of traditionally centralized countries 1 in the case of france it is sometimes claimed that the 1982 1983 reform of subcentral government is of historical importance although the principles of that reform are not contested any more by the new majority elected in 1986 opinions still differ on a number of policy issues some of the issues are presented in this introductory section but the main purpose of this paper is not to expose or discuss in detail the problems of decentralization in france as argued in the second part of the introductory section the theoretical framework in which the policy issues of decentralization are usually discussed by economists is somewhat unsatisfactory in particular when applied to unitary states such as britain or france the bulk of the paper is devoted to the exploration of a different approach to decentralization it is not purported however that this approach could completely replace the more traditional one consequently when in the concluding section we return briefly to the policy issues identified here this is to be read as a preliminary attempt to evaluate the relevance of the reasoning developed in the paper

permanent and transitory components in macroeconomic fluctuations fluctuations in real gnp have traditionally been viewed as transitory deviations from a deterministic time trend the purpose of this paper is to review some of the recent developments that have led to a new view of output fluctuations and then to provide some additional evidence using post war quarterly data it is hard to reject the view that real gnp is as persistent as a random walk with drift we also consider the hypothesis that the recent finding of persistence are due to the failure to distinguish the business cycle from other fluctuations in real gnp we use the measured unemployment rate to decompose output fluctuations we find no evidence for the view that business cycle fluctuations are more quickly trend reverting this abstract was borrowed from another version of this item

long memory in us disaggregated petroleum consumption evidence from univariate and multivariate lm tests for fractional integration previous studies that have tested for a unit root in aggregate energy consumption have potentially reached misleading conclusions because they fail to allow for the possibility that energy consumption might be fractionally integrated and do not distinguish between different types of energy consumption this study tests for long memory in disaggregated petroleum consumption in the united states using univariate and multivariate lagrange multiplier lm tests for fractional integration the results point strongly to the need to distinguish between different forms of energy consumption and allow for a generalization of the i 0 i 1 dichotomy when considering the order of integration of energy consumption allowing for short run dynamics the univariate test suggests that less than 50 of the series are fractionally integrated consistent with expectations the non stationary series are found to have the highest mean and standard deviation the multivariate test suggests that petroleum consumption in the commercial and industrial sectors is clearly fractionally integrated when allowing for short run dynamics and as such exhibits persistent effects while petroleum consumption in the residential sector is a stationary process

threshold nonlinearities in output some international evidence the empirical adequacy of linear ar and nonlinear setar models of trend stationary and difference stationary representations of output for canada germany japan the uk and the us are appraised test results suggest the presence of linear model residual structure of some form for all series and nonlinearities of specifically threshold form in trend stationary data for canada germany japan and the us and difference stationary data for germany japan and the us with the exception of canada estimated threshold nonlinear models imply asymmetric dynamics are able to account for all nonlinear structure in the data on the basis of bds statistics and provide sizeable reductions in residual variance in several cases most notably for germany

consumption innovation persistence and the excess smoothness debate based on studies using us data consumption is too smooth relative to the implications of the rational expectations permanent income hypothesis repih of consumption we examine this and a number of related methodologicalissues for the uk using maximum likelihood estimation mle of an autoregressive fractionally integrated moving average arfima model of the income process we conclude that an innovation to income has a persistent effect on consumption and that in contrast to the findings from us studies consumption is too volatile compared to the repih model further mle is substantially more efficient than the semi parametric method of estimating arfima models which has previously been used in this area

modelling profit series nonstationarity and long memory the dynamic structure of profit rates for 156 us manufacturing companies is analysed by means of fractional integration techniques as an alternative to the commonly used arima models with respect to the persistence of profits thereby the pseudo spectral density aproach of velasco and robinson together with model selection criteria is applied the results show despite the short lengths of the series and tests for the integer degrees of integration d 0 1 that 35 5 of the series may be well approximated by long range dependent processes and 54 are nonstationary this is a confirmation of the strong challenge to the competitive environment hypothesis obtained by previous studies

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

the impact of vintage on the persistence of gross domestic product shocks abstract this paper aims to demonstrate that the data revision process affects the persistence of gross domestic product shocks results will contribute to the debate between unit root and linear models

an integrated approach for planning a long term care network with uncertainty strategic policy and equity considerations abstract considering key uncertainties and health policy options in the reorganization of a long term care ltc network is crucial this study proposes a stochastic mixed integer linear programming model for planning the delivery of ltc services within a network of care where such aspects are modeled in an integrated manner the model assists health care planners on how to plan the delivery of the entire range of ltc services institutional home based and ambulatory services when the main policy objective is the minimization of expected costs and while respecting satisficing levels of equity these equity levels are modeled as constraints ensuring the attainment of equity of access equity of utilization socioeconomic equity and geographical equity the proposed model provides planners with key information on when and where to locate services and with which capacity how to distribute this capacity across services and patient groups and which changes to the network of care are needed over time model outputs take into account the uncertainty surrounding ltc demand and consider strategic health policy options adopted by governments the applicability of the model is demonstrated through the resolution of a case study in the great lisbon region in portugal with estimates on the equity cost trade off for several equity dimensions being provided

cointegration fractional cointegration and exchange rate dynamics multivariate tests due to johansen 1988 1991 as implemented by baillie and bollerslev 1989a and diebold gardeazabal and yilmaz 1994 reveal mixed evidence on whether a group of exchange rates are cointegrated further analysis of the deviations from the cointegrating relationship suggests that it possesses long memory and may possibly be well described as a fractionally integrated process hence the influence of shocks to the equilibrium exchange rates may only vanish at very long horizons in the article by baillie and bollerslev 1989a it is argued that seven different nominal spot and forward exchange rates all contain unit roots in their univariate time series representations at the same time however the spot exchange rates appear to be tied together in the long run through a cointegration type relationship the latter finding of baillie and bollerslev has attracted particular interest and several studies such as those by hakkio and rush 1991 and sephton and larsen 1991 have already addressed this issue using the same data as the baillie and bollerslev article sephton and larsen 1991 describe the evidence for the presence of cointegration as being fragile and note that mixed conclusions are reached by truncating the baillie and bollerslev sample at different points in time diebold gardeazabal and yilmaz 1994 henceforth diebold et al provide interesting evidence that application of the johansen 1988 1991 tests with and without an intercept will result in different inferences on the baillie and bollerslev data set furthermore diebold et al carry out an ex ante forecasting experiment and find that the addition of an error correction term to the martingale model as implied by the standard cointegration paradigm fails to reduce the prediction mean square error when compared to a simple martingale model this therefore leads diebold et al to conclude that there exists substantial uncertainty regarding the existence of cointegration relationships among nominal dollar exchange rates this article provides some additional evidence on the existence of such a long run relationship among the same seven nominal spot exchange rates after further analysis it appears that a form of cointegration does exist between the exchange rates so that they do not drift apart in the long run we argue that this form of cointegration is

a theory of competition among pressure groups for political influence this paper presents a theory of competition among pressure groups for political influence political equilibrium depends on the efficiency of each group in producing pressure the effect of additional pressure on their influence the number of persons in different groups and the deadweight cost of taxes and subsidies an increase in deadweight costs discourages pressure by subsidized groups and encourages pressure by taxpayers this analysis unifies the view that governments correct market failures with the view that they favor the politically powerful both are produced by the competition for political favors

aggregate output dynamics in the twentieth century abstract this study shows that annual output data of the g7 countries in the twentieth century are better characterized as transitory deviations from a shifting growth trend than as integrated processes furthermore i find no two countries share common business cycles

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

international evidence on output persistence from postwar data abstract this paper reports some international evidence on output persistence based on postwar data using fractional differencing analysis we find evidence of fractional integration in output for the u s and u k but not for the other g 7 countries implying that these two countries show much less persistence in output fluctuations than the others

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

on the persistence and volatility in european american and asian stocks bull and bear markets abstract in this paper we examine the statistical properties of several stock market indices in europe the us and asia by means of determining the degree of dependence in both the level and the volatility of the processes in the latter case we use the squared returns as a proxy for the volatility we also investigate the cyclical pattern observed in the data and in particular if the degree of dependence changes depending on whether there is a bull or a bear period we use fractional integration and garch specifications the results indicate that the indices are all nonstationary i 1 processes with the squared returns displaying a degree of long memory behaviour with respect to the bull and bear periods we do not observe a systematic pattern in terms of the degree of persistence though for some of the indices ftse dax hang seng and sti there is a higher degree of dependence in both the level and the volatility during the bull periods

combining revenue and equity in capacity allocation of imaging facilities abstract because of high procurement and operating costs imaging facilities e g magnetic resonance imaging mri are usually critical resources in hospitals hospital managers are under high pressure to pursue high utilization of the capacity which leads to long waiting time for patients however different types of patients have different access time targets determined by their priorities according to the urgent levels and payments the access time target is defined as the maximal amount of time between the appointment date and the examination date for public hospitals it is important to manage patient access to critical resources by considering the equity among different types of patients without sacrificing revenue this paper proposes a nonlinear mixed integer programming nmip model for allocating the capacity of imaging facilities with the objective of maximizing revenue under the constraints of maintaining equity among different types of patients the equity constraints are defined as the same access levels for different types of patients and the joint chance constraint for the same service levels in terms of waiting time to solve this model each time slot rather than the imaging facility is considered as a server which leads to an m d n queuing model based on an analysis of the m d n model an approximation approach is proposed for the nmip model and cplex is used to solve the approximated model extensive numerical experiments based on real data from a large public hospital in shanghai show the applicability and performance of the proposed model and investigate the impact of different parameters

the deaton paradox in a long memory context with structural breaks this article contributes to the permanent income hypothesis pih and excess consumption smoothness debate in the context of fractional integration we show that the excess consumption smoothness result is a consequence of the quarterly data frequency commonly employed in the empirical work in fact the i 1 hypothesis is rejected for the income process with monthly data in favour of a fractional integration order lower than 1 moreover if a structural break is taken into account we observe a substantial reduction in the degree of consumption smoothness especially after the break found in 1975

testing for persistence in housing price to income and price to rent ratios in 16 oecd countries housing price to income and price to rent ratios are among the most widely monitored indicators of housing market conditions while these ratios tend to fluctuate around a constant level or a mild trend over the long term they also tend to deviate from these benchmarks for protracted periods traditional unit root tests often indicate the presence of a unit root this article uses the framework of fractional integration to test the persistence of price to income and price to rent ratios in a sample of 16 oecd countries spanning four decades the results indicate that the ratios are highly persistent the possibility that persistence estimates may be affected by structural breaks in the series is also considered but evidence of such breaks is found only in a very limited number of cases policy action may be required if high price to income and price to rent ratios have adverse social and economic consequences policies should be guided by a careful analysis of the factors behind high ratios

toward a presumption of efficiency in politics in the preceding pages i have returned time and again to the idea that in the next quarter century the profession will devote more of its resources to an understanding of politics and of political organizations with a presumption that the behaviors and institutions we observe in the real world represent efficient responses to exogenously given constraints and to competitive forces that does not mean of course that normative preoccupations critical evaluations and reformist drives will not continue to motivate a good number of scholars that is to be expected and praised however i believe that in relative terms more attention will come to be given to understanding and less to re designing and reforming in this context the economic approach to politics will flourish and as an important carrier of these research results public choice will continue to play an indispensable role we can already see the future and it is promising

public policies pressure groups and dead weight costs abstract this paper presents a model of competition among special interest groups for political influence each active group exerts pressure to affect its taxes and subsidies where activities of different groups are related by the equality between total tax collections and total tax subsidies the dead weight costs and benefits of taxes and subsidies play a major role in our model an increase in the dead weight cost of taxation encourages pressure by taxpayers while an increase in the dead weight costs of subsidies discourages pressure by recipients various applications of the analysis are discussed