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Articles 1 - 3 of 3
Full-Text Articles in Social and Behavioral Sciences
Nonlinear Taylor Rules: Evidence From A Large Dataset, Jun Ma, Eric Olson, Mark E. Wohar
Nonlinear Taylor Rules: Evidence From A Large Dataset, Jun Ma, Eric Olson, Mark E. Wohar
Economics Faculty Publications
In this paper we estimate nonlinear Taylor rules over the 1986–2008 sample time period and augment the traditional Taylor rule by including principal components to better model Federal Reserve policy. Including principal components is useful in that they extract information about the overall economy from multiple economic indicators in a statistically optimal way. Additionally, given that uncertainty may influence Federal Reserve decisions, we incorporate an uncertainty index in the reaction function of the Federal Reserve. We find substantial evidence that the Federal Reserve responded to increases in macroeconomic uncertainty by cutting the Federal Funds rate over the sample period. We …
Long Memory Regressors And Predictive Regressions: A Two-Stage Rebalancing Approach, Alex Maynard, Aaron Smallwood, Mark E. Wohar
Long Memory Regressors And Predictive Regressions: A Two-Stage Rebalancing Approach, Alex Maynard, Aaron Smallwood, Mark E. Wohar
Economics Faculty Publications
Predictability tests with long memory regressors may entail both size distortion and incompatibility between the orders of integration of the dependent and independent variables. Addressing both problems simultaneously, this paper proposes a two-step procedure that rebalances the predictive regression by fractionally differencing the predictor based on a first-stage estimation of the memory parameter. Extensive simulations indicate that our procedure has good size, is robust to estimation error in the first stage, and can yield improved power over cases in which an integer order is assumed for the regressor. We also extend our approach beyond the standard predictive regression context to …
The Prebisch-Singer Hypothesis: Four Centuries Of Evidence, David I. Harvey, Neil M. Kellard, Jakob B. Madsen, Mark E. Wohar
The Prebisch-Singer Hypothesis: Four Centuries Of Evidence, David I. Harvey, Neil M. Kellard, Jakob B. Madsen, Mark E. Wohar
Economics Faculty Publications
We employ a unique dataset and new time series techniques to re-examine the existence of trends in relative primary commodity prices. The dataset comprises 25 commodities and provides a new historical perspective, spanning the 17th to the 21st centuries. New tests for the trend function, robust to the order of integration of the series, are applied to the data. Results show that eleven price series present a significant and downward trend over all or some fraction of the sample period. In the very long run a secular, deteriorating trend is a relevant phenomena for a significant proportion of primary commodities.