bluuebunny/crossref_metadata_2025 huggingface dataset:
STUDY OF WEED FLORA OF MAIZE CROPS IN THE NISAVA DISTRICT
Authors: Živić Jelica , Vojinović Milić , Stančić Ivica , Petrović Saša
Published: August 2019

The damage from the present weeds in maize crop is shown by the reduction of yield in almost every year and their suppression is completely economically justified. The right selection of herbicides mostly depends on the presence of dominant weed species and the time of application. The paper presents the distribution and existence of economically harmful, invasive and quarantine weed species (Abutilon theophrasti, Agropyrum repens, Amaranthus retroflexus, Ambrosia artemisiifolia, Capsela bursa-pastoris, Chenopodium album, Chenopodium hybridum, Cirsium arvense, Convolvulus arvensis, Datura stramonium, Avena fatua, Calystegia sepium …) on ten locations of maize crops in the Nisava district. Estimation of the species presence was done in two shootings (May and August) on scale 1-4 (1 - species appears individually and occupy up to 5% of the surface, 2 - appears and occupies 5-25% of the surface, 3 - appears often and occupies 25-50% of the surface, 4 - the species prevails over the cultivated plant and occupies over 50% of the surface).
Az extrém alacsony születési súlyú koraszülöttek hyperglykaemiájának korai és késői szövődményei
Authors: Turai Réka , Schandl Márton Ferenc , Dergez Timea , Vass Réka Anna , Kvárik Tímea , Horányi Eszter , Balika Dorottya , Mammel Barbara , Gyarmati Judit , Fónai Fruzsina , Vida Gabriella , Funke Simone , Gaál Valéria , Reglődi Dóra , Ertl Tibor
Published: August 2019

Abstract:

Introduction: During recent decades, the perinatal mortality of extremely low-birth weight infants has decreased. An important task is to recognize complications of prematurity. Aim: We made an attempt to explore the relationship between complications of prematurity and neonatal hyperglycemia. Method: From 1 January 2014 to 31 December 2017, 188 infants with birth weight below 1000 g were admitted. For each infant, the frequencies of hyperglycemia (blood glucose >8.5 mmol/l), retinopathy of prematurity, intraventricular hemorrhage, and bronchopulmonary dysplasia were determined. Animal studies were performed in Sprague Dawley rats. Hyperglycemia was achieved by intraperitoneal injection of streptozotocin (100 mg/kg). On the 7th day of life, aorta sections were prepared and stained with hematoxylin eosin. Wall thickness was measured using QCapture Pro 7 image analysis software. Results: The mean ± SD gestational age and birth weight were 27.1 ± 2.2 weeks and 814.9 ± 151.9 g; 33 infants (17.5%) died. Hyperglycemia was confirmed in 62 cases (32.9%), and insulin treatment was given to 43 infants (22.8%). The gestational age and birth weight of the hyperglycemic infants were significantly lower (p<0.001), the incidence of severe retinopathy (p = 0.012) and the mortality of insulin-treated patients were higher (p = 0.02) than in normoglycemic infants. Among survivors (n = 155), we found by logistic regression analysis that hyperglycemia was a risk factor for severe retinopathy (p<0.001). In the rat model, neonatal hyperglycemia caused significant thickening of the aortic wall. Conclusion: Our studies indicate that hyperglycemia is common in extremely low birth-weight infants. Monitoring of these infants for retinopathy of prematurity, kidney dysfunction, and hypertension is recommended. Orv Hetil. 2019; 160(32): 1270–1278.
Some Interesting Consequences From Newton’s Modified Expression of Gravitational Force in the Vector Model for Gravitational Field
Authors: On Vo Van
Published: August 2019

In this paper, based on the Vector model for gravitational field we show some interest- ing consequences from Newton’s modified expression of gravitational force: dividing the space into regions around galaxies, maximal size of stable galaxies.
Labor Productivity: Structural Change and Cyclical Dynamics
Authors: Bartelsman Eric J. , Baily Martin N. , Haltiwanger John
Published: August 2019

A longstanding puzzle of empirical economics is that average labor productivity declines during recessions and increases during booms. This paper provides a framework to assess the empirical importance of competing hypotheses for explaining the observed procyclicality. For each competing hypothesis we derive the implications for cyclical productivity conditional on expectations of future demand and supply conditions. The novelty of the paper is that we exploit the tremendous heterogeneity in long-run structural changes across individual plants to identify the short-run sources of procyclical productivity. Our findings favor an adjustment cost model which involves a productivity penalty for downsizing as the largest source of procyclical labor productivity.
Regulatory Competition and the Efficiency of Alternative Derivative Product Margining Systems
Authors: Kupiec Paul H. , White Alice P.
Published: August 2019

Although margin requirements would arise naturally in the context of unregulated trading of clearinghouse-guaranteed derivative contracts, the margin requirements on U.S. exchange-traded derivative products are subject to government regulatory oversight. At present, two alternative methodologies are used for margining exchange-traded derivative contracts. Customer positions in securities and securities options are margined using a strategy-based approach. Futures, futures-options, and securities-option clearinghouse margins are set using a portfolio margining system. This study evaluates the relative efficiency of these alternative margining techniques using data on S&P500; futures-option contracts traded on the Chicago Mercantile Exchange. The results indicate that the portfolio margining approach is a much more efficient system for collateralizing the one-day risk exposures of equity derivative portfolios. Given the overwhelming efficiency advantage of the portfolio approach, the simultaneous existence of these alternative margining methods is somewhat puzzling. It is argued that the co-existence of these systems can in part be explained in the context of Kane's (1984) model of regulatory competition. The efficiency comparison also provides insight into other industry and regulatory issues including the design of bilateral collateralization agreements and the efficiency of alternative schemes that have been proposed for setting regulatory capital requirements for market risk in banks and other financial institutions.
The Impact of Capital-Based Regulation on Bank Risk-Taking: A Dynamic Model
Authors: Calem Paul S. , Rob Rafael
Published: August 2019

In this paper, we model the dynamic portfolio choice problem facing banks, calibrate the model using empirical data from the banking industry for 1984-1993, and assess quantitatively the impact of recent regulatory developments related to bank capital. The model suggests that two aspects of the new regulatory environment may have unintended effects: higher capital requirements may lead to increased portfolio risk, and capital-based premia do not deter risk-taking by well-capitalized banks. On the other hand, risk-based capital standards may have favorable effects provided the requirements are stringent enough.
Inflation, Volatility, and Growth
Authors: Judson Ruth A. , Orphanides Athanasios
Published: August 2019

This paper re-examines the relationship between inflation, inflation volatility and growth using cross-country panel data for the past 30 years. With regard to the level of inflation, we find that in contrast to current findings which are based on cross-sectional time-average regression comparisons, exploiting the time dimension of the data reveals a strong negative correlation between inflation and income growth for all but very low inflation countries. To examine the role of inflation uncertainty on growth, we use intra-year inflation data to construct an annual measure of inflation volatility. Using this measure, we find that inflation volatility is also robustly negatively correlated with growth even after the effect of the level of inflation is controlled for.
Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis
Authors: Duffee Gregory R.
Published: August 2019

This paper empirically examines the relation between the Treasury term structure and spreads of investment grade corporate bond yields over Treasuries. I find that noncallable bond yield spreads fall when the level of the Treasury term structure rises. The extent of this decline depends on the initial credit quality of the bond; the decline is small for Aaa-rated bonds and large for Baa-rated bonds. The role of the business cycle in generating this pattern is explored, as is the link between yield spreads and default risk. I also argue that yield spreads based on commonly-used bond yield indexes are contaminated in two important ways. The first is that they are "refreshed" indexes, which hold credit ratings constant over time; the second is that they usually are constructed with both callable and noncallable bonds. The impact of both of these problems is examined.
Does Corporate Lending by Banks and Finance Companies Differ? Evidence on Specialization in Private Debt Contracting
Authors: Carey Mark S. , Post Mitchell A. , Sharpe Steven A.
Published: August 2019

This paper establishes empirically that specialization in private-market corporate lending exists, adding a new dimension to the public vs. private debt distinctions now common in the literature on debt contracting and financial intermediation. Using a large database of individual loans, we compare lending by finance companies to that by banks. The evidence implies that it is intermediaries in general that are special in solving information problems, not banks in particular. But lending by the two types of institutions is not identical. Finance companies tend to serve observably riskier borrowers, especially highly leveraged borrowers, although banks and finance companies do compete across the spectrum of borrower risk. The evidence supports both regulatory and reputational explanations for this specialization and perhaps an explanation based on institutional differences in borrower monitoring and control. In passing, we shed light on various theories of debt contracting and intermediation and also present facts about finance companies, which have received little attention.
A Comparison of the Household Sector from the Flow of Funds Accounts and the Survey of Consumer Finances
Authors: Antoniewicz Rochelle L.
Published: August 2019

This paper examines selected assets and liabilities from the FFA household sector and from the 1989 and 1992 SCF. SCF and FFA comparisons have proved difficult in the past, and previous research has not fully adjusted for definitional differences between the FFA and the SCF. This analysis addresses common misperceptions about the definitions of the FFA's assets and liabilities and describes the reconciliations between the FFA and SCF measures. The results show that for some asset and liability categories the SCF and FFA estimates are quite close. Measures of liabilities, however, match up better than those for assets.
The Effect of Interest-Rate Changes on Household Saving and Consumption: A Survey
Authors: Elmendorf Douglas W.
Published: August 2019

Direct estimates of the interest elasticity of saving suffer from several serious problems. As an alternative, this survey uses an indirect approach that combines models of individual behavior with estimates of certain features of individuals' preferences. The paper examines the effect of interest-rate changes on the consumption and saving of people who follow the lifecycle model, who plan to leave bequests, who save to reach a fixed target, and who have short planning horizons. The models that likely describe the behavior of the people who account for most of aggregate saving imply positive interest elasticities of saving.
A Guide to FRB/US: A Macroeconomic Model of the United States
Authors: Tetlow Robert , Brayton Flint , Tinsley Peter A. , Bomfim Antulio N. , Reifschneider David , Von zur Muehlen P. , Williams John C.
Published: August 2019

FRB/US is a large-scale quarterly econometric model of the U.S. economy, developed to replace the MPS model. Most behavioral equations are based on specifications of optimizing behavior containing explicit expectations of firms, households, and financial markets. Although expectations are explicit, the empirical fits of the structural descriptions of macroeconomic behavior are comparable to those of reduced-form time series models. In most instances, tests do not reject overidentifying restrictions of rational expectations or the hypothesis of serially independent residuals. As modeled, private sector expectations of policy constitute a major transmission channel of monetary policy.
Evidence on the Link between Firm-Level and Aggregate Inventory Behavior
Authors: Schuh Scott
Published: August 2019

This paper describes the finished goods inventory behavior of more than 700 U.S. manufacturing firms between 1985-93 using a new Census Bureau longitudinal data base. Three key results emerge. First, there is a broad mix of production-smoothing and production-bunching firms, with about two-fifths smoothing production. Second, firm-level inventory adjustment speeds are about an order of magnitude larger than aggregate adjustment speeds due to econometric aggregation bias. Finally, accounting for time variation in the inventory adjustment speed due to fluctuations in firm size improves the fit of a traditional aggregate inventory model by one-fifth.
The Role of Race in Mortgage Lending: Revisiting the Boston Fed Study
Authors: Bostic Raphael W.
Published: August 2019

This paper reexamines claims that non-economic discrimination persists in mortgage loan origination decisions. I find that racial differences in outcomes do exist, as minorities fare worse regarding debt-to-income requirements but better for loan-to-value requirements. Overall, significant racial differentials exist only for "marginal" applicants and are not present for those with higher incomes or those with no credit problems. Thus, the claim that non-economic discrimination is a general phenomenon is refuted. Further, I can say little regarding the existence of discrimination among "marginal" applicants. To conclude that such discrimination exists, one must prove that the observed differences are not due to economic factors.
Problem Loans and Cost Efficiency in Commercial Banks
Authors: Berger Allen N. , DeYoung Robert
Published: August 2019

This paper addresses a little-examined intersection between the problem-loan literature and the bank-efficiency literature. We employ Granger causality techniques to test four hypotheses regarding the relationships among loan quality, cost efficiency, and bank capital. The data suggest that problem loans precede reductions in measured cost efficiency; that measured cost efficiency precedes reductions in problem loans; and that reductions in capital at thinly capitalized banks precede increases in problem loans. Hence, cost efficiency may be an important indicator of future problem loans and problem banks. Our results are ambiguous concerning whether or not researchers should control for problem loans in efficiency estimation.
Price Level Determinacy and Monetary Policy under a Balanced Budget Requirement
Authors: Schmitt-Grohe Stephanie , Uribe Martin
Published: August 2019

This paper analyzes the implications of a balanced budget fiscal policy rule for the determinacy of the price level in a cash-in-advance economy under three alternative monetary policy regimes. It shows that, in such stylized models with flexible prices and a period-by-period balanced budget requirement, the price level is determinate under a money growth rate peg and is indeterminate under a pure nominal interest rate peg. Under a feedback rule whereby the nominal interest rate is set as an increasing function of the inflation rate, the price level is determinate for intermediate values of the inflation elasticity of the feedback rule and is indeterminate for both very low and very high values of the inflation elasticity. Finally, regardless of the particular monetary policy specification, a rational expectations equilibrium consistent with the optimal quantity of money may not exist.
'Home' Base and Monetary Base Rules: Elementary Evidence from the 1980s and 1990s
Authors: Jefferson Philip N.
Published: August 2019

This paper evaluates the quantitative importance of removing U.S. currency held abroad from the monetary base. We find that a simple macroeconometric model that uses home base has more explanatory power for changes in nominal income than a model using the total base. Moreover, proposed base rules for the conduct of monetary policy perform better when the model for home base is employed. The evidence from our elementary exercises suggests that accounting for foreign holdings of U.S. currency may also be important in other contexts.
Efficiency Wages, Nominal Rigidities, and the Cyclical Behavior of Real Wages and Marginal Cost
Authors: Kiley Michael T.
Published: August 2019

This paper presents a model in which efficiency wages generate acyclical real wages but do not lower the sensitivity of marginal cost to output or increase price stickiness. Consideration of previous models suggests that efficiency wages are a poor source of real rigidity.
The Effects of Bank Mergers and Acquisitions on Small Business Lending
Authors: Sanders Anthony B. , Berger Allen N. , Scalise Joseph M. , Udell Gregory F.
Published: August 2019

We examine the effects of over 6,000 M&As; involving more than 10,000 banks on small business lending. We are the first to decompose the impact of M&As; into static effects associated with a simple melding of the antecedent institutions and dynamic effects associated with post-M&A; refocusing of the consolidated institution. We are also the first to estimate the reactions of other local banks to M&As.; We find that the static effects that reduce small business lending are mostly offset by the reactions of other banks and, in some cases, also by the refocused efforts of the consolidating institutions themselves.
Asymmetric Adjustments of Price and Output
Authors: Tinsley Peter A. , Krieger Reva
Published: August 2019

Asymmetries in price adjustment can reconcile contrasts between rapid price movements in inflationary episodes, consistent with classical theories of flexible pricing, and sluggish price responses in contractions, consistent with Keynesian theories of sticky price adjustments. Nonparametric analysis of SIC two-digit industry data indicates that negative asymmetries are more pronounced for real outputs than for nominal outputs, suggesting reversed positive asymmetries in producer pricing. Pricing decision rules are estimated to distinguish between asymmetries in conditioning shocks and asymmetries in producer responses. Two rational motives for asymmetric pricing are supported.
Who Uses Electronic Banking? Results from the 1995 Survey of Consumer Finances
Authors: Kennickell Arthur B. , Kwast Myron L.
Published: August 2019

This study uses the 1995 Survey of Consumer Finances to examine households' use of technologies, including electronic means, to carry out transactions at a financial institution and to gain information for making saving and borrowing decisions. Household use of various technologies is correlated with household income, financial assets, age, and years of education. Results suggest that relatively new electronic technologies are used by relatively few households, and that household use of electronic sources of information for financial decisionmaking is barely off the ground.
Expectations, Learning and the Costs of Disinflation: Experiments using the FRB/US Model
Authors: Bomfim Antulio N. , Tetlow Robert , Williams John C. , Von zur Muehlen P.
Published: August 2019

The costs of disinflation are explored using the Board's new sticky-price rational expectations macroeconometric model of the U.S. economy, FRB/US. The model nests both model consistent and `restricted-information rational' expectations. Monetary policy is governed by interest-rate reaction functions of which two are considered: the well-known Taylor rule and another rule that is more aggressive and richer in its specification, estimated using data for the last fifteen years. Agents are required to learn of shifts of the inflation target using linear updating rules. The simulated costs of disinflation are compared with other estimates of sacrifice ratios.
Restraining the Leviathan: Property Tax Limitation in Massachusetts
Authors: Cutler David M. , Elmendorf Douglas W. , Zeckhauser Richard
Published: August 2019

We examine the effects of Proposition 2-1/2--a property tax limitation law approved by Massachusetts voters in 1980--and assess voter satisfaction with these effects. We find that the proposition had a smaller effect on local revenues and spending than expected, as a result of both amendments to the law and a strong economy. Voters in 1980 believed there was significant waste in local government, partly because of an inability to monitor local officials. Proposition 2-1/2 curbed these agency losses, but direct local override votes and municipal expenditure patterns imply that the proposition initially reduced spending more than voters wanted.
Misspecification versus Bubbles in Hyperinflation Data: Monte Carlo and Interwar European Evidence
Authors: Hooker Mark A.
Published: August 2019

This paper analyzes tests of the Cagan hyperinflation-money demand model that have several advantages relative to those in the literature. They do not confound specification error with rational bubbles, are implementable with a linear procedure, and are frequently able to detect periodically collapsing bubbles that have challenged existing tests. After a Monte Carlo analysis, the tests are applied to data from hyperinflations in Austria, Germany, Hungary, and Poland. Strong evidence of model misspecification is found for Austria, while the model with a rational, explosive component well characterizes the Polish data. Inferences for Germany and Hungary are mixed.
Wage Curve vs. Phillips Curve: Are There Macroeconomic Implications?
Authors: Whelan Karl
Published: August 2019

The standard derivation of the accelerationist Phillips curve relates expected real wage inflation to the unemployment rate and invokes a constant price markup and adaptive expectations to generate the accelerationist price inflation formula. Blanchflower and Oswald (1994) argue that microeconomic evidence of a low autoregression coefficient in real wage regressions invalidates the macroeconomic Phillips curve. This conclusion has been disputed by a number of authors on the grounds that the true autoregression coefficient is close to 1. This paper shows that given the assumption of a constant price markup, micro-level real wage dynamics have no observable implications for macro data on wage and price inflation.
Pensions, Social Security, and the Distribution of Wealth
Authors: Kennickell Arthur B. , Sunden Annika E.
Published: August 2019

This paper uses the Survey of Consumer Finances (SCF) to examine pension coverage, estimate Social Security and pension wealth for U.S. households in 1989 and 1992, and estimate the effects of pension wealth on non-pension net worth. As expected, the SCF data show that including pensions and Social Security in net worth makes the distribution more even. The analysis of the effects of pension wealth on other types of savings indicates that there is a negative effect of defined benefit plan coverage on non-pension net worth. Surprisingly, the effect of defined contribution plans, such as 401(k) plans is insignificant.
Exploring the Robustness of the Oil Price-Macroeconomy Relationship
Authors: Hooker Mark A.
Published: August 2019

This paper reexamines the oil price-macroeconomy relationship with rolling Granger causality and structural stability tests. It finds that this relationship broke down amidst the falling oil prices and market collapse of the 1980s, suggesting misspecification of the oil price rather than a weakened relationship. Some proposed respecifications of the oil price yield considerable improvements, although they are not sufficient to achieve Granger causality of output unless interest rates are excluded from the VAR. There is some support for the explanation that oil prices affect the economy indirectly by inducing monetary policy responses, but this is incomplete and some evidence of misspecification remains.
The Subsidy Provided by the Federal Safety Net: Theory, Measurement, and Containment
Authors: Kwast Myron L. , Passmore Wayne
Published: August 2019

This paper presents an intuitive and analytical model of how the federal safety net affects banks&amp;#x27; cost of funds. Emphasis is placed on distinguishing between fixed and marginal costs in banking and on the implications of the model for measuring the subsidy. Empirical results strongly suggest that the safety net has benefitted banks and that over recent years bank holding companies have tended to move activities into a bank or a bank subsidiary. We conclude that limiting extension of the safety net subsidy should be a serious concern when designing strategies for expanding bank activities.
Good News and Bad News about Share Repurchases
Authors: Fenn George W. , Liang J. Nellie
Published: August 2019

We estimate the cross-sectional relationship between open market repurchases and accounting data for a large sample of dividend- paying and non-dividend paying firms over a twelve year period (1984-95). Consistent with the hypothesis that firms use open market repurchases to reduce the agency costs of free cash flow, we find that repurchases are positively related to proxies for free cash flow and negatively related to proxies for marginal financing costs. We also examine the extent to which management stock options influence the choice between open market repurchases and dividend payments. Because the value of management stock options--like any call option--is negatively related to expected future dividend payments, management can increase the value of its stock options by substituting share repurchases for dividend growth. We find evidence that such substitution occurs: for dividend-paying firms, share repurchases are positively related and dividend increases are negatively related to a proxy for management stock options, whereas for non-dividend-paying firms, the relationship between repurchases and options is weak and statistically insignificant.
Pricing the Strategic Value of Poison Put Bonds
Authors: David Alexander
Published: August 2019

In times of low liquidity for a firm, poison put bondholders can threaten to either force the company into a reorganization or to raise its borrowing costs. A multilateral bargaining solution for the strategic value is formulated at the time of exercise. Even infinitesimal bondholders, putting non-cooperatively, are able to extract more than the intrinsic value whenever the amount of putable debt exceeds the firm's effective liquidity. Prior to the crisis all financial assets are priced in a continous-time framework when interest rates follow the Vasicek process and firm's debtholders are subject to a sharp price decline due to an LBO. The model is calibrated to one such recent crisis -- that of Kmart Corp.
Bankruptcy Exemptions and the Market for Mortgage Loans
Authors: Berkowitz Jeremy , Hynes Richard
Published: August 2019

The recent explosion in personal bankruptcy filings has motivated research into whether credit markets are being adversely afected by generous legal provisions. Empirically, this question is examined by comparing credit conditions and bankruptcy exemptions across states. We note that the literature has focused on aggregate household credit, making no distinction between secured and unsecured credit. We argue that such aggregation obscures important differences in forms of credit. Most significantly, property exemptions do not prevent the home mortgage lender from foreclosing on the home if not fully repaid.
Deposit Insurance, Bank Incentives, and the Design of Regulatory Policy
Authors: Kupiec Paul H. , O'Brien James M.
Published: August 2019

This study analyzes alternative bank regulatory polices within a theoretical framework that can encompass many policy design issues. Consequences of generalizing banks' investment and financing opportunities for results in the existing literature are examined. Under costless equity issuance, a narrow banking requirement costlessly resolves moral hazard and insurance pricing problems addressed in the literature. With costly equity, minimum capital requirements can be effective but optimal policy design is complicated by its dependence on equity issuance costs, heterogenous bank investment opportunities, and the information requirements these dependencies create. Incentive compatible policy mechanisms appear limited in their ability to resolve the information problems.
Who Holds Cash? And Why?
Authors: Schnure Calvin
Published: August 2019

Cash holdings of nonfinancial firms range widely, and are related to firm size, industry and access to the public bond market. Cash holdings are positively correlated with agency proxies, suggesting that firms that cannot borrow easily due to agency problems hold greater cash stocks--perhaps as a cushion to prevent shortfalls in cash flow from impinging on investment. However, this correlation holds only for the very highest cash holders, especially small firms. The group of afflicted firms appears to be less than one-quarter of COMPUSTAT firms. Agency proxies are irrelevant for a large majority of firms.
Divestiture as an Antitrust Remedy in Bank Mergers
Authors: Burke Jim
Published: August 2019

The purpose of this study is to determine whether, from a public policy standpoint, divestitures constitute an effective antitrust remedy in bank merger cases. A number of findings emerge from the study: Divested branches have a remarkable survival record; structural changes effected by divestitures tend to persist over time; larger buyers of divested branches tended to be more successful than smaller buyers; divestiture of the target institutions' branches rather than those of applicants proved preferable from an antitrust standpoint; and divested branches selected by the Department of Justice do not perform better than others. The findings suggest that divestitures of bank offices have generally provided an effective public policy remedy.
Endogenous Business Cycles and the Dynamics of Output, Hours, and Consumption
Authors: Schmitt-Grohe Stephanie
Published: August 2019

This paper studies the business-cycle fluctuations predicted by a two-sector endogenous-business-cycle model with sector-specific external increasing returns to scale. It focuses on aspects of actual fluctuations that have been identified both as defining features of the business cycle and as ones that standard real-business-cycle models cannot explain: the autocorrelation function of output growth, the impulse response function of output to demand shocks, and the forecastable movements of output, hours, and consumption. For empirically realistic calibrations of the degree of sector-specific external returns to scale, the results suggest that endogenous fluctuations do not provide the dynamic element that is missing in existing real-business-cycle models.
A Note on Nominal Wage Rigidity and Real Wage Cyclicality
Authors: Estevao Marcello M. , Wilson Beth Anne
Published: August 2019

We discuss the ability of standard estimates of the correlation of wages and employment to measure the relative strength of aggregate demand and supply shocks, given that the choice of time period, deflator, and explanatory variables inherently biases the estimated cyclical coefficients toward identifying labor supply or demand. We determine that a closer look at the standard wage/labor correlation shows that it can neither provide information on the relative strength of supply and demand shocks, nor give an indication of the response of wages to aggregate demand shocks. Following this, we test the predictions of a neo-Keynesian model for the correlation of employment and wages using restrictions generated by the model to identify movements along or shifts in labor demand. Our results are consistent with the theory of nominal wage rigidity and we find no reason to reject the neo-Keynesian model based on the correlation of wages and employment.
The Multiple Unit Auction with Variable Supply
Authors: Lengwiler Yvan
Published: August 2019

The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply to the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between a monopolistic seller who can produce arbitrary quantities at constant unit cost, and oligopolistic bidders. I establish the existence of a subgame-perfect equilibrium for price discriminating and for uniform price auctions. I also show that bidders have an incentive to misreport their true demand in both auction formats, but they do that in different ways and for different reasons. Furthermore, both auction formats are inefficient, but there is no unambiguous ordering among them. Finally, the more competitive the bidders are, the more likely the seller is to prefer uniform pricing over price discrimination, yet increased competition among bidders may or may not enhance efficiency.
Indeterminacy and Investment Adjustment Costs
Authors: Kim Jinill
Published: August 2019

It is widely known that a neoclassical growth model with sufficient increasing returns to production may feature an indeterminate steady state. This note shows how investment adjustment costs increase the degree of increasing returns required for indeterminacy to arise. We also argue that sector-specific externalities are observationally equivalent to negative adjustment costs.
Investment, Capacity, and Output: A Putty-Clay Approach
Authors: Williams John C. , Gilchrist Simon
Published: August 2019

In this paper, we embed the microeconomic decisions associated with investment under uncertainty, capacity utilization, and machine replacement in a general equilibrium model based on putty-clay technology. We show that the combination of log-normally distributed idiosyncratic productivity uncertainty and Leontief utilization choice yields an aggregate production function that is easily characterized in terms of hazard rates for the standard normal distribution. At low levels of idiosyncratic uncertainty, the short-run elasticity of supply is substantially lower than the elasticity of supply obtained from a fully-flexible Cobb-Douglas alternative. In the presence of irreversible factor proportions, an increase in idiosyncratic uncertainty typically reduces investment at the micro level but increases aggregate investment. Finally, we study the relationship between growth and uncertainty on aggregate capacity utilization and rates of machine replacement and investigate the factors that affect the magnitude of replacement echoes.
A Comparative Anatomy of Credit Risk Models
Authors: Gordy Michael B.
Published: August 2019

Within the past two years, important advances have been made in modeling credit risk at the portfolio level. Practitioners and policy makers have invested in implementing and exploring a variety of new models individually. Less progress has been made, however, with comparative analyses. Direct comparison often is not straightforward, because the di erent models may be presented within rather di erent mathematical frameworks. This paper o ers a comparative anatomy of two especially influential benchmarks for credit risk models, J.P. Morgan's CreditMetrics and Credit Suisse Financial Product's CreditRisk .We show that, despite differences on the surface, the underlying mathematical structures are similar. The structural parallels provide intuition for the relationship between the two models and allow us to describe quite precisely where the models di er in functional form, distributional assumptions, and reliance on approximation formulae. We then design simulation exercises which evaluate the effect of each of these di erences individually.
A Rational Expectations Model of Financial Contagion
Authors: Kodres Laura E. , Pritsker Matthew
Published: August 2019

We develop a multiple rational expectations model of securities prices to explain the determinants of financial market contagion. Although the model allows contagion through several channels, our primary focus is on contagion through cross-market rebalancing. Through this channel, investors transmit idiosyncratic shocks from one market to others by adjusting their portfolios' exposures to macroeconomic risks which are shared across markets. The pattern and severity of financial contagion depends on markets' sensitivities to shared macroeconomic risk factors, and on the amount of information asymmetry in each market. The model can generate contagion in the absence of news, and between markets that do not directly share macroeconomic risks.
Unemployment Risk, Precautionary Saving, and Durable Goods Purchase Decisions
Authors: Dunn Wendy E.
Published: August 2019

In this paper household level data are used to explore whether unemployment risk is an important factor in the timing of consumers' durable goods purchase decisions. A theoretical model is presented in which both income uncertainty and household debt play a direct role, offering a potential explanation for fluctuations in durable goods spending over the business cycle. The model predicts that consumers respond to increases in unemployment risk by postponing purchases of the durable good and reducing their spending on nondurable goods in order to bolster their precautionary buffer-stock of liquid assets. Consistent with the model, there is evidence that unemployment risk has a direct effect on the timing of home purchases: households with a higher probability of becoming unemployed are less likely to have recently purchased a home or a car, even after controlling for demographic variables. A prediction that the consumption decisions of older consumers are relatively less sensitive to unemployment risk is also validated. Another finding consistent with the theoretical model is that consumers who are observed to have bought a house despite facing high unemployment risk tend to have more liquid assets left over than homebuyers who face ordinary or low unemployment risks.
Asset Pooling, Credit Rationing, and Growth
Authors: Lehnert Andreas
Published: August 2019

I study the effect of improved financial intermediation on the process of capital accumulation by augmenting a standard model with a general contract space. With the extra contracts, intermediaries endogenously begin using ROSCAs, or Rotating Savings and Credit Associations. These contracts allow poor agents, previously credit rationed, access to credit. As a result, agents work harder and total economy-wide output increases; however, these gains come at the cost of increased inequality. I provide sufficient conditions for the allocations to be Pareto optimal, and for there to be a unique invariant distribution of wealth. I provide an analytic characterization of a simple model and use numerical techniques to study more general models.
Reexamining Stock Valuation and Inflation: The Implications of Analysts' Earnings Forecasts
Authors: Sharpe Steven A.
Published: August 2019

This paper examines the effect of expected inflation on stock prices and expected long-run returns. An ex ante estimates measure of expected long-run returns is derived by incorporating estimates of expected of future corporate cash flows into a variant of the Campbell-Shiller dividend-price ratio model. In this model, the log earnings-price ratio is expressed as a linear function of expected future returns, expected earnings growth rates, and the log of the current dividend-payout ratio. Expectations of earnings growth are inferred from equity analysts' earnings forecasts, while inflation expectations are drawn from surveys of professional forecasters. I find that the negative relation between equity valuations and expected inflation results from two effects: higher expected inflation coincides with (i) lower expected real earnings growth and (ii) higher required real returns. The earnings channel is not merely a reflection of inflation's recession-signalling properties; rather, much of the negative valuation effect results from a negative relation between expected inflation and expected longer-term real earnings growth. The effect of expected inflation on required (long-run) real stock returns is also substantial. A one percentage point increase in expected inflation raises required real stock returns about one percentage point, which on average implies a 20 percent decline in the level of stock prices. The inflation-related component of expected real stock returns is closely related to the component explained by real long-term bond yields.
Evaluating the Forecasts of Risk Models
Authors: Berkowitz Jeremy
Published: August 2019

The forecast evaluation literature has traditionally focused on methods for assessing point-forecasts. However, in the context of risk models, interest centers on more than just a single point of the forecast distribution. For example, value-at-risk (VaR) models, which are currently in extremely wide, use form interval forecasts. Many other important financial calculations also involve estimates not summarized by a point-forecast. Although some techniques are currently available for assessing interval and density forecasts, none are suitable for sample sizes typically available. This paper suggests a new approach to evaluating such forecasts. It requires evaluation of the entire forecast distribution, rather than a value-at-risk quantity. The information content of forecast distributions combined with ex post loss realizations is enough to construct a powerful test even with sample sizes as small as 100.
The Measurement of Consumer Expectations Using Survey Data
Authors: Starr-McCluer Martha
Published: August 2019

Surveys of consumers collect considerable information on consumer expectations. However, the simple categorical structure of the questions -- such as "Do you expect your income to rise, fall, or stay the same?" -- makes their value for research uncertain. This paper analyzes the information content of the survey measures. I draw on Manski's finding that, while categorical questions do not identify the probability of an event occurring, they do provide information on probability bounds. I analyze data from two well-known surveys, showing that, although the bounds are often wide, for some measures they move closely with the series they are intended to track or predict.
Competition, Small Business Financing, and Discrimination: Evidence from a New Survey
Authors: Cavalluzzo Ken , Cavalluzzo Linda , Wolken John D.
Published: August 2019

Using data from the 1993 National Survey of Small Business Finances, we examine some of the factors influencing differences in small business credit market experiences across demographic groups. We analyze credit applications, loan denials, and interest rates paid across gender, race and ethnicity of small business owners. In addition, we analyze data gathered from small business owners who said they did not apply for credit because they believed that their application would have been turned down. This set of analyses, in combination with important new information on the personal credit history of the principal owner, the business credit history of the firm, a rich set of additional explanatory variables, and information on local bank market structure, helps us to understand better the sources of observed differentials in the credit market experiences of small business operators across demographic groups. Credit market experiences often differ markedly among demographic groups. However, so do the characteristics of firms and owners. Results of our multivariate analyses show that many of the factors we consider help to explain the observed differences in credit market experiences However, even after controlling for a large number of firm and owner characteristics, substantial differences often remained. There was also evidence that some of the differentials were associated with the degree of lender market concentration in the firm's local area.
Investment Behavior, Observable Expectations, and Internal Funds
Authors: Cummins Jason G. , Hassett Kevin A. , Oliner Stephen D.
Published: August 2019

We use earnings forecasts from securities analysts to construct more accurate measures of the fundamentals that affect the expected returns to investment. We find that investment responds significantly -- in both economic and statistical terms -- to our new measures of fundamentals. Our estimates imply that the elasticity of the investment-capital ratio with respect to a change in fundamentals is generally greater than unity. In addition, we find that internal funds are uncorrelated with investment spending, even for selected subsamples of firms -- those paying no dividends and those without bond ratings -- that have been found to be "liquidity constrained" in previous studies. Our results cast doubt on the evidence for liquidity constraints from the many studies that have used Tobin's Q to control for the expected returns to investment.
Conglomeration versus Strategic Focus: Evidence from the Insurance Industry
Authors: Berger Allen N. , Cummins J. David , Weiss Mary A. , Zi Hongmin
Published: August 2019

We use data on U.S. insurance companies to examine the validity of the conglomeration hypothesis versus the strategic focus hypothesis for finanical institutions. We distinguish between the hypotheses using profit scope economies, which measures the relative efficiency of joint versus specialized production, taking both costs and revenues into account. The results suggest that the conglomeration hypothesis dominates for some types of financial service providers and the strategic focus hypothesis dominates for other types. This may explain the empirical puzzle of why joint producers and specialists both appear to be competitively viable in the long run.
The Dynamics of Market Entry: The Effects of Mergers and Acquisitions on De Novo Entry and Small Business Lending in the Banking Industry
Authors: Berger Allen N. , Bonime Seth D. , Goldberg Lawrence G. , White Lawrence J.
Published: August 2019

We study the dynamics of market entry following mergers and acquisitions (M&As;) and the behavior of recent entrants in supplying output that might be withdrawn by the consolidating firms. The data, drawn from the banking industry, suggest that M&As; are associated with subsequent increases in the probability of entry. The estimates suggest that M&As; explain more than 20% of entry in metropolitan markets and more than 10% of entry in rural markets. Additional results suggest that bank age has a strong negative effect on the small business lending of small banks but that M&As; have little influence on this lending.