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Social and Behavioral Sciences Commons™

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1992

Yale University

Articles 31 - 43 of 43

Full-Text Articles in Social and Behavioral Sciences

Interpreting The Macroeconomic Time Series Facts: The Effects Of Moentary Policy, Christopher A. Sims Mar 1992

Interpreting The Macroeconomic Time Series Facts: The Effects Of Moentary Policy, Christopher A. Sims

Cowles Foundation Discussion Papers

Existing theory and evidence on the effects of monetary policy are reviewed. Substantial room for disagreement among economists remains. New evidence, based on multivariate time series studies of several countries, is presented. While certain patterns in the data consistent with effective monetary policy are strikingly similar across countries, others, particularly the tendency of interest rate increases to predict high inflation, are harder to reconcile with effective monetary policy.

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Expanding The Scope Of Expectations Data Collection: The U.S. And Japanese Stock Markets, Robert J. Shiller, Fumiko Kon-Ya, Yoshiro Tsutsui Mar 1992

Expanding The Scope Of Expectations Data Collection: The U.S. And Japanese Stock Markets, Robert J. Shiller, Fumiko Kon-Ya, Yoshiro Tsutsui

Cowles Foundation Discussion Papers

A pilot effort was undertaken to experiment with a method of collecting parallel time series data for expectations and popular models and theories of institutional stock market participants in the United States and Japan 1989-91, covering the period before and after the dramatic and sudden halving of Japanese stock prices. Substantial variability within countries through time in the responses and dramatic differences across countries in expectations (even expectations for the same country) were found. There are significant research opportunities in expanded data collection along these lines.

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Money, James Tobin Mar 1992

Money, James Tobin

Cowles Foundation Discussion Papers

Among the conventions of almost every human society of historical record has been the use of money, i.e., particular commodities or tokens as measures of value and media of exchange in economic transactions. Somehow the members of a society agree on what will be acceptable tender in making payments and settling debts among themselves. General agreement to the convention, not the particular media agreed upon, is the source of money’s immense value to the society. In this respect money is similar to language, standard time, or the convention designating the side of the road for passing. This paper reviews the …

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Yale Political Monthly 1992 February, The Politic, Inc. Feb 1992

Yale Political Monthly 1992 February, The Politic, Inc.

The Politic

No abstract provided.

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The Cowles Commission Approach, Real Business Cycle Theories, And New Keynesian Economics, Ray C. Fair Feb 1992

The Cowles Commission Approach, Real Business Cycle Theories, And New Keynesian Economics, Ray C. Fair

Cowles Foundation Discussion Papers

The Cowles Commission approach is reviewed and compared to the approaches of real business cycle (RBC) theorists and new Keynesian economists. It is argued that RBC models are not tested in a serious enough way and that the new Keynesian literature is not empirical enough for testing even to be a serious possibility. Macroeconomics seems to be moving away from its traditional empirical basis, which is sad. This paper argues for returning to the path that was abandoned by most macroeconomists around 1970, namely the specification and testing of structural macroeconometric models.

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The Impact Climate On Agriculture: A Ricardian Approach, Robert Mendelsohn, William D. Nordhaus, Daigee Shaw Feb 1992

The Impact Climate On Agriculture: A Ricardian Approach, Robert Mendelsohn, William D. Nordhaus, Daigee Shaw

Cowles Foundation Discussion Papers

Because of the potential for global warming, there are widespread concerns about the impact of changing climate upon the productivity of land in farming and other sectors. This paper develops a new approach for measuring the economic impact of environmental factors such as climate on production by examining the direct impact of the environmental factor on land productivity as measured by land prices. This new method is applied to examine the effect of climate on agriculture using cross-sectional farm data for almost 3000 counties in the United States. It finds substantial impacts of climatic variation on both land values and …

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Estimates Of The Bias Of Lagged Dependent Variable Coefficient Estimates In Macroeconomic Equations, Ray C. Fair Feb 1992

Estimates Of The Bias Of Lagged Dependent Variable Coefficient Estimates In Macroeconomic Equations, Ray C. Fair

Cowles Foundation Discussion Papers

A stochastic-simulation method is proposed in this paper for obtaining median unbiased estimates of lagged dependent variable coefficients in macroeconomic models. Estimated biases for 13 equations of a macroeconomic model are computed. These biases are on average somewhat smaller in absolute bias than would be expected from Andrews’ exact results for an equation with only a constant term, time trend, and lagged dependent variable, although they are larger than would be expected from Hurwicz’s original estimates. In a practical sense the estimated biases are not very large because they have little effect on the overall predictive accuracy of the model …

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The ‘Dice’ Model: Background And Structure Of A Dynamic Integrated Climate-Economy Model Of The Economics Of Global Warming, William D. Nordhaus Feb 1992

The ‘Dice’ Model: Background And Structure Of A Dynamic Integrated Climate-Economy Model Of The Economics Of Global Warming, William D. Nordhaus

Cowles Foundation Discussion Papers

This study is designed to present the methodological and technical assumptions and the results behind the Dynamic Integrated model of Climate and the Economy (the DICE model). It is a model that attempts to use the tools of modern economics to determine an efficient strategy for coping with the threat of global warming. The fundamental premise behind this study is that societies should undertake environmental policies only when their benefits, broadly construed, exceed their costs and that the level of environmental control should be at that point where the incremental benefits of additional controls no longer exceed the incremental costs. …

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Nota Bene; Volume Vi, Number I, Yale University Library Jan 1992

Nota Bene; Volume Vi, Number I, Yale University Library

Nota Bene

Nota Bene is published during the academic year to acquaint the Yale community and others with the resources of the Yale Library.

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Index-Based Futures And Options Markets In Real Estate, Karl E. Case, Robert J. Shiller, Allan N. Weiss Jan 1992

Index-Based Futures And Options Markets In Real Estate, Karl E. Case, Robert J. Shiller, Allan N. Weiss

Cowles Foundation Discussion Papers

Most institutional and individual portfolios are very undiversified in real estate: many hold no real estate at all, many have holdings highly concentrated in certain regions or types of real estate. The risk of these concentrated holdings is not hedged. We propose here that cash-settled futures and options markets be opened on real estate to better allow diversification and hedging, and show that these markets solve problems that have hampered other real estate hedging media in the past. Related institutions, such as home equity insurance, might develop around the futures and options markets. The establishment of these markets is likely …

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Empirical Implications Of Arbitrage-Free Asset Markets, S. Maheswaran, Christopher A. Sims Jan 1992

Empirical Implications Of Arbitrage-Free Asset Markets, S. Maheswaran, Christopher A. Sims

Cowles Foundation Discussion Papers

The martingale-equivalence condition delivered by a non-arbitrage assumption in complete asset markets has implications for fine-time-unit asset price behavior that can be rejected with finite spans of data. A class of stochastic processes that could model such deviations from martingale-equivalence is proposed.

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Simulation Estimation Methods For Limited Dependent Variable Models, Vassilis A. Hajivassiliou Jan 1992

Simulation Estimation Methods For Limited Dependent Variable Models, Vassilis A. Hajivassiliou

Cowles Foundation Discussion Papers

This chapter discusses simulation estimation methods that overcome the computational intractability of classical estimation of limited dependent variable models with flexible correlation structures in the unobservable stochastic terms. These difficulties arise because of the need to evaluate accurately very high dimensional integrals. The methods based on simulation do not require the exact evaluation of these integrals and hence are feasible using computers of even moderate power. I first discuss a series of ideas that had been used in efforts to circumvent these computational problems by employing standard numerical analysis approximation methods. I then show how simulation techniques solve the computational …

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Transactions Loans, Intertemporal Loans, Variable Velocity, The Rates Of Interest And Commodity Money: Part 1. Transactions Loans, Martin Shubik, Shuntian Yao Jan 1992

Transactions Loans, Intertemporal Loans, Variable Velocity, The Rates Of Interest And Commodity Money: Part 1. Transactions Loans, Martin Shubik, Shuntian Yao

Cowles Foundation Discussion Papers

Several models of exchange are presented here to illustrate various conceptual problems in the microeconomic model of the velocity of money and the meaning of and cost of liquidity in an exchange economy without exogenous uncertainty.

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