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Articles 2761 - 2790 of 3476
Full-Text Articles in Economics
Optimal Taxation Of Capital Income In Economies With Identical Private And Social Discount Rates, Christophe Chamley
Optimal Taxation Of Capital Income In Economies With Identical Private And Social Discount Rates, Christophe Chamley
Cowles Foundation Discussion Papers
The optimal capital income tax is analyzed in the framework of intertemporal efficient taxation. The relation between the zero tax in the long-run and the equality between private and social discount rates is emphasized. The properties of the dynamic second best path described for a specific example (convergence to a steady state and values of the capital income tax in the transition). The case where wealth is a specific utility argument is also considered.
Conditional Projection By Means Of Kalman Filtering, Richard H. Clarida, Diane Coyle
Conditional Projection By Means Of Kalman Filtering, Richard H. Clarida, Diane Coyle
Cowles Foundation Discussion Papers
We establish that the recursive, state-space methods of Kalman filtering and smoothing can be used to implement the Doan, Litterman, and Sims (1983) approach to econometric forecast and policy evaluation. Compared with the methods outlined in Doan, Litterman, and Sims, the Kalman algorithms are more easily programmed and modified to incorporate different linear constraints, avoid cumbersome matrix inversions, and provide estimates of the full variance-covariance matrix of the constrained projection errors which can be used directly, under standard normality assumptions, to test statistically the likelihood and internal consistency of the forecast under study.
A Comparison Of The Michigan And Fair Models, Ray C. Fair, Lewis S. Alexander
A Comparison Of The Michigan And Fair Models, Ray C. Fair, Lewis S. Alexander
Cowles Foundation Discussion Papers
No abstract provided.
The Behavior Of U.S. Short-Term Interest Rates Since October 1979, Richard H. Clarida, Benjamin M. Friedman
The Behavior Of U.S. Short-Term Interest Rates Since October 1979, Richard H. Clarida, Benjamin M. Friedman
Cowles Foundation Discussion Papers
Short-term interest rates in the United States have been “too high” since October 1979 in the sense that both unconditional and conditional forecasts, based on an estimated vector autoregression model summarizing the prior experience, underpredict short-term interest rates during this period. Although a non-structural model cannot directly answer the question of why this has been so, comparisons of alternative conditional forecasts point to the post-October 1979 relationship between the growth of real income and the growth of real money balances as closely connected to the level and pattern of short-term interest rates. This finding is consistent with the authors’ macroeconomic …
A Zero-One Result For The Least Squares Estimator, Donald W.K. Andrews
A Zero-One Result For The Least Squares Estimator, Donald W.K. Andrews
Cowles Foundation Discussion Papers
The least squares estimator for the linear regression model is shown to converge to the true parameter vector either with probability one or with probability zero under weak conditions on the dependent random variable and regressor variables. No additional conditions are placed on the errors. The dependent and regressor variables are assumed to be weakly dependent — in particular, to be strong mixing. The regressors may be fixed or random and must exhibit a certain degree of independent variability. No further assumptions are needed. The model considered allows the number of regressors to increase without bound as the sample size …
Current Account, Exchange Rate, And Monetary Dynamics In A Stochastic Equilibrium Model, Richard H. Clarida
Current Account, Exchange Rate, And Monetary Dynamics In A Stochastic Equilibrium Model, Richard H. Clarida
Cowles Foundation Discussion Papers
We construct a simple stochastic open-economy macro-economic model from the decision rules of rational optimizing agents, solving explicitly for the relationship between the model’s deep parameters, and the variance-covariance matrix of equilibrium returns on domestic and foreign assets. We use the model to study the dynamic relationship between exchange rate changes and current account flows in response to domestic monetary shocks, to establish the conditions under which exchange rate depreciations accompany current account deficits, and to investigate the link between time preference, risk aversion, and the dynamic exchange rate and current account response to monetary disturbances. The model generates current …
A Note On Biology, Time And The Golden Rule, Martin Shubik
A Note On Biology, Time And The Golden Rule, Martin Shubik
Cowles Foundation Discussion Papers
No abstract provided.
Robust Estimation Of Location In A Gaussian Parametric Model: Ii, Donald W.K. Andrews
Robust Estimation Of Location In A Gaussian Parametric Model: Ii, Donald W.K. Andrews
Cowles Foundation Discussion Papers
This paper extends the results of Andrews (1984) which considers the problem of robust estimation of location in a model with stationary strong mixing Gaussian parametric distributions. Three neighbourhood systems are considered, each of which contains the Hellinger neighbourhoods used in Andrews (1984). Optimal robust estimators for this dependent random variable model are found to be bounded influence estimators with optimal psi functions which are very nearly of Huber shape. These estimators are quite robust against different “amounts” of dependence, and against lack of dependence. To generate the optimal estimators a minimax asymptotic risk criterion is used, where minimaxing is …
Excess Labor And The Business Cycle, Ray C. Fair
Excess Labor And The Business Cycle, Ray C. Fair
Cowles Foundation Discussion Papers
No abstract provided.
Effects Of Expected Future Government Deficits On Current Economic Activity, Ray C. Fair
Effects Of Expected Future Government Deficits On Current Economic Activity, Ray C. Fair
Cowles Foundation Discussion Papers
No abstract provided.
Insurance, Flexibility And Non-Contingent Trades, Russell Cooper
Insurance, Flexibility And Non-Contingent Trades, Russell Cooper
Cowles Foundation Discussion Papers
This paper considers non-contingent trades through either forward markets or simple contracts. The point of the inquiry is to understand the costs and benefits of trades of this nature. We focus on the tradeoff between insurance (a benefit) and the loss of flexibility in decisions (a cost) as determining properties of trading in forward markets. This tradeoff is also used to explore contract length.
On A Variable Dimension Algorithm For The Linear Complementarity Problem, Ludo Van Der Heyden
On A Variable Dimension Algorithm For The Linear Complementarity Problem, Ludo Van Der Heyden
Cowles Foundation Discussion Papers
In an earlier paper we presented a variable dimension algorithm for solving the linear complementarity problem (LCP). We now extend the class of LCP’s that can be solved by this algorithm to include LCP’s with copositive plus coefficient matrices. The extension, inspired by Lemke [1965], is obtained by introducing an artificial dimension and by applying the variable dimension algorithm to the enlarged LCP.
Net Present Value Maximization And Imperfections In The Loan Market: A Note, Cynthia Van Hulle
Net Present Value Maximization And Imperfections In The Loan Market: A Note, Cynthia Van Hulle
Cowles Foundation Discussion Papers
There seems to be some confusion in the literature whether or not imperfections in the lending-borrowing market, and in particular, differences in lending and borrowing rates, would destroy shareholder unanimity. The purpose of this note is to show that imperfections in this market are not really relevant to stockholder agreement concerning the optimality of the net present value rule. To do this, the paper uses a new criterion guaranteeing unanimity and which basically only requires that investors are sufficiently competitive, i.e., spanning or the notion of firm competition recently proposed by L. Makowiski [9] generally turn out to be unnecessary …
Monopoly Provision Of Product Quality With Uninformed Buyers, Russell Cooper, Thomas W. Ross
Monopoly Provision Of Product Quality With Uninformed Buyers, Russell Cooper, Thomas W. Ross
Cowles Foundation Discussion Papers
This essay is concerned with a monopolist’s incentives to provide a high quality goods when some of its customers cannot observe quality prior to purchase. We show that if all buyers have the same tastes for quality, the monopolist will not try to take advantage of the poorly informed. When tastes differ, however, some quality randomization may become profitable as a means to loosen binding self-selection constraints. The profitability of randomization is shown to depend upon the relative degrees of risk aversion of the buyers and on the convexity of the firm’s cost of quality function. We view our results …
Fiscal And Monetary Policy In A General Equilibrium Model, Truman F. Bewley
Fiscal And Monetary Policy In A General Equilibrium Model, Truman F. Bewley
Cowles Foundation Discussion Papers
No abstract provided.
Stochastic Equilibrium And Turnpike Property: The Discounted Case, Ramon Marimon
Stochastic Equilibrium And Turnpike Property: The Discounted Case, Ramon Marimon
Cowles Foundation Discussion Papers
The existence of the modified golden rule and the turnpike property are proved for a multi-sector stochastic growth model. The (exogenous) stochastic environment is represented by a stationary stochastic process that influences preferences, technology and resources. A social planner maximizes the expected sum of discounted utilities. The conditions required in order to obtain these results, are the natural strengthening of the stability conditions of the deterministic case. As in the deterministic case, the discount factor must be close to one in order to guarantee the almost sure (and in the mean) convergence of optimal interior programs. It is proved that …
The Optimality Of Regulated Pricing: A General Equilibrium Analysis” And “An Optimal Tax Rule For Average Cost Pricing, Donald J. Brown, Geoffrey M. Heal
The Optimality Of Regulated Pricing: A General Equilibrium Analysis” And “An Optimal Tax Rule For Average Cost Pricing, Donald J. Brown, Geoffrey M. Heal
Cowles Foundation Discussion Papers
No abstract provided.
Dominance And Shareholder Unanimity: A New Approach, Cynthia Van Hulle
Dominance And Shareholder Unanimity: A New Approach, Cynthia Van Hulle
Cowles Foundation Discussion Papers
No abstract provided.
The Exact Distribution Of The Stein-Rule Estimator, Peter C.B. Phillips
The Exact Distribution Of The Stein-Rule Estimator, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper derives the exact density of the Stein-rule estimator in the setting of the general linear regression. The derivation is facilitated by the author’s development of new algebraic methods that involve an extension of the Weyl calculus. General formulae for the moments of the estimator are also provided.
Finite Sample Econometrics Using Era's, Peter C.B. Phillips
Finite Sample Econometrics Using Era's, Peter C.B. Phillips
Cowles Foundation Discussion Papers
The paper considers approximate distribution theory as a way to deliver practical improvements over asymptotic methods. Trials of the adequacy of asymptotic series based approximations are conducted and the results exhibit the need for further improvements. An alternative approach is suggested which utilizes a family of extended rational approximants (ERA’s). ERA’s build on the strength of primitive exact theory or asymptotic series; they allow us to blend information from diverse analytic numerical and experimental sources. The ultimate objective of the approach is to incorporate directly into software constructive functional approximants relevant to statistical practice. An illustration is provided.
Intertemporally Separable Overlapping Generations Economies, John Geanakoplos, Heracles M. Polemarchakis
Intertemporally Separable Overlapping Generations Economies, John Geanakoplos, Heracles M. Polemarchakis
Cowles Foundation Discussion Papers
No abstract provided.
A Note On The “Corelessness” Of Antibalance Of A Game, Martin Shubik, Shlomo Weber
A Note On The “Corelessness” Of Antibalance Of A Game, Martin Shubik, Shlomo Weber
Cowles Foundation Discussion Papers
No abstract provided.
On University Education In Econometrics: Remarks On An Article By Eric R. Sowey, Peter C.B. Phillips
On University Education In Econometrics: Remarks On An Article By Eric R. Sowey, Peter C.B. Phillips
Cowles Foundation Discussion Papers
No abstract provided.
Multimarket Oligopoly, Jeremy I. Bulow, John Geanakoplos, Paul D. Klemperer
Multimarket Oligopoly, Jeremy I. Bulow, John Geanakoplos, Paul D. Klemperer
Cowles Foundation Discussion Papers
Actions a firm takes in one market may affect its profitability in other markets, beyond any joint economies or diseconomies in production. The reason is that an action in one market, by changing marginal costs in a second market, may change competitors’ strategies in that second market. We show how to calculate the strategic consequences in market 2, of a change in conditions in market 1 or of a firm’s action in market 1. Qualitatively, the same results hold for both simultaneous markets and sequential markets: whether a more aggressive (i.e., lower price or higher quantity) strategy in the first …
Information Patterns And Nash Equilibria In Extensive Games, Pradeep Dubey, Mamoru Kaneko
Information Patterns And Nash Equilibria In Extensive Games, Pradeep Dubey, Mamoru Kaneko
Cowles Foundation Discussion Papers
No abstract provided.
The Exact Distribution Of Zellner's Sur, Peter C.B. Phillips
The Exact Distribution Of Zellner's Sur, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper derives the exact finite sample distribution of the two-stage GLS (generalized least squares) estimator in a multivariate linear model with general linear parameter restrictions. This includes the seemingly unrelated regression (SUR) model as a special case and generalizes presently known exact results for the latter system. The usual classical assumptions are made concerning nonrandom exogenous variables and normally distributed errors.
Organizing Production In A Large Economy With Costly Communication, Paul R. Milgrom, Robert J. Weber
Organizing Production In A Large Economy With Costly Communication, Paul R. Milgrom, Robert J. Weber
Cowles Foundation Discussion Papers
We show that in a large production economy, the cost of collecting the information required by a planner to set nearly optimal prices is negligible relative to the total output of the economy. The cost of collecting the information required to set a nearly optimal production plan for each firm in the economy is not negligible. This conclusion stands in contrast to common opinion that determining optimal prices requires as much information as determining an optimal plan.
The Exact Distribution Of Exogenous Variable Coefficient Estimators, Peter C.B. Phillips
The Exact Distribution Of Exogenous Variable Coefficient Estimators, Peter C.B. Phillips
Cowles Foundation Discussion Papers
This paper derives the exact probability density function of the instrumental variable (IV) estimator of the exogenous variable coefficient vector in a structural equation containing n + 1 endogenous variables and N degrees of overidentification. A leading case of the general distribution that is more amenable to analysis and computation is also presented. Conventional classical assumptions or normally distributed errors and nonrandom exogenous variables are employed.
Forward Rates And Future Policy: Interpreting The Term Structure Of Interest Rates, Robert J. Shiller, John Y. Campbell, Kermit L. Schoenholtz
Forward Rates And Future Policy: Interpreting The Term Structure Of Interest Rates, Robert J. Shiller, John Y. Campbell, Kermit L. Schoenholtz
Cowles Foundation Discussion Papers
No abstract provided.
Worker Asymmetric Information And Involuntary Unemployment, Russell Cooper
Worker Asymmetric Information And Involuntary Unemployment, Russell Cooper
Cowles Foundation Discussion Papers
No abstract provided.