JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.29 No.4 목차

한국계량경제학회 한국계량경제학회 2018 JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS Vol.29 No.4

Eigenvalue Ratio Test for the Number of Factors

Seung C. Ahn,Alex R. Horenstein 한국계량경제학회 2008 한국계량경제학회 학술대회 논문집 Vol.2008 No.2

This paper proposes two new estimators for determining the number of factors in approximate factor models. We exploit the well known fact that the r eigenvalues of the variance-covariance matrix of N response variables, where r is the number of comment factors in the variables, grow unboundedly as N increases. The criterion functions used for the two estimators are related to the ratio of two adjacent eigenvalues. An important advantage of the estimators is that they do not require the use of penalty functions. The estimators can be viewed as a reformulation of the well known scree test. We show that the estimators are consistent under the general conditions of Bai and Ng (2002). Our simulation results show that the estimators have good finite sample properties unless the signal-to-noise-ratio of each factor is too low. They perform much better than the Bai-Ng estimators do when either the number of the response variables analyzed or the number of time series observations, T, is small.

Expectational Stability in Multivariate Models

Seonghoon Cho,Antonio Moreno 한국계량경제학회 2008 한국계량경제학회 학술대회 논문집 Vol.2009 No.-

This paper shows that the concept of Expectational stability (E-stability) in a multivariate framework is inherently model-dependent. Whereas a Rational Expectations equilibrium (REE) is subject to model-specific parameter restrictions from the economic model at hand, a perceived law of motion (PLM) is postulated without such restrictions because economic agents are not likely to know the restrictions a priori. Therefore, an unrestricted PLM is in general overparameterized relative to an REE of interest in multivariate models even when the functional form is the same as the REE. Since E-stability necessarily reflects model-specific extents of overparameterization, it is model-dependent as well. Consequently, E-stability is not directly comparable across multivariate models or different representations of a given model. This implies that one may draw different conclusions on E-stability of an REE to one model under alternative representations of the same model and the REE. Our finding is independent of the information structure, the stationarity of solutions or the determinacy of a given model. We provide several economic examples analyzed in the literature. In particular, we show that a fundamental solution to a canonical New-Keynesian model can be E-stable or not depending on representations even in the case of determinacy.

Heterogeneity and Cyclical Unemployment

Mark Bils,Yongsung Chang,Sun-Bin Kim 한국계량경제학회 2008 한국계량경제학회 학술대회 논문집 Vol.2009 No.-

We model worker heterogeneity in the rents from being employed in a DiamondMortensen-Pissarides model of matching and unemployment. We show that heterogeneity, reflecting differences in match quality and worker assets, reduces the extent of fluctuations in separations and unemployment. We find that the model faces a tradeoff–it cannot produce both realistic dispersion in wages across workers and realistic cyclical fluctuations in unemployment.

Estimating U.S. Monetary Policy Rule Using a Markov Switching DSGE Model

Byoung Hark Yoo 한국계량경제학회 2008 한국계량경제학회 학술대회 논문집 Vol.2009 No.-

This paper sets up a Markov switching DSGE model, where the parameters in the monetary policy rule are shifting according to unobservable regimes, and utilizes Bayesian estimation methods to find out whether there has been regime shifts in monetary policy in U.S. since 1960. The estimation results are mostly consistent with those of subsample analysis in the previous literature: the monetary policy has become more responsive to inflation since the early 1980s than before. Two novel findings in this paper are that the nonborrowed reserve targeting regime, which spans from 1979 to 1982, is estimated to be not so aggressive to inflation and that the 1960s is characterized as a stabilizing monetary policy regime.

Weakened Liberal Rule Respecting Others’ Consensus: An Axiomatic Characterization

Seongkyu Park 한국계량경제학회 2008 한국계량경제학회 학술대회 논문집 Vol.2009 No.-

We introduce the strong quasi-liberal rule, which is an extension of the strong liberal rule in Kasher and Rubinstein (1997) through the requirement of at least one agreement. We provide an axiomatic characterization of strong quasi-liberal rule. Similarly, we generalize the order of the rule (associated with the degree of minimum agreement requirement) to match the Consent Rules in Samet and Schmeidler (2003). The domain is extended to allow an additional proxy opinion for each individual. We show that strong quasi-liberal rule of any finite order (associated with the degree of minimum agreement requirement) converges in probability to the strong liberal rule in a specific setting.

The Economics of Curiosity

Jeong-Yoo Kim,Haeree Lee,Insik Min 한국계량경제학회 2008 한국계량경제학회 학술대회 논문집 Vol.2009 No.-

We develop the hypothesis that an individual can get some value of information, even if they do not use the information for his subsequent decision, contrary to the expected utility theory. Curiosity is associated with the direct utility from information and is defined formally by using the concept of entropy. We can measure an agent’s curiosity level by the maximum amount of money that he is willing to pay in order to obtain the information thereby reducing the entropy. We test the hypothesis from lab experiments and obtain the empirical evidence that people are actually willing to pay a positive amount of money to obtain payoff-irrelevant information. Also, the comparison of the coefficients of variation for our curiosity measure and the IPI curiosity measure which is widely used in psychology suggests that our measure is more informative.

Yield Curve in an Estimated Nonlinear Macro Model

Taeyoung Doh 한국계량경제학회 2008 한국계량경제학회 학술대회 논문집 Vol.2009 No.-

What moves the yield curve? This paper specifies and estimates a dynamic stochastic general equilibrium (DSGE) model solved using a second order approximation to equilibrium conditions to answer this question. From the empirical analysis of U.S. data from 1983:Q1 to 2007:Q4, I find that the monetary policy response to the inflation gap defined by the difference between expected inflation and the inflation target of the central bank is a key channel transmitting macro shocks to the yield curve and that the degree of nominal rigidity determines which macro shocks are more important determinants of the yield curve. With the low degree of nominal rigidity, the inflation target of the central bank drives persistent movements of inflation and the yield curve while fluctuations of markups do so with the high degree of nominal rigidity. Although the estimated linear model puts nearly zero probability on the low degree of nominal rigidity, there is a positive probability mass in the nonlinear model. The analysis in this paper suggests caution on interpreting estimation results in which nonlinear terms of the DSGE model solution are ignored.

SOLVING ASSET RETURN PUZZLES BY FORCE OF PARAMETER UNCERTAINTY: A MIXTURE-OF-DISTRIBUTIONS APPROACH

Young Il Kim 한국계량경제학회 2008 한국계량경제학회 학술대회 논문집 Vol.2009 No.-

I provide a potential solution to asset return puzzles as been noted in macrofinance literature since the seminal work of Mehra & Prescott (1985). It is well known that the standard consumption-based asset pricing model (Lucas 1978) leads to asset return puzzles such as high equity premium (6-8%) and low rikfree rate (1-2%) that are hard to explain with a reasonable degree of risk aversion in the CRRA utility function, which are commonly employed in macroeconomic literature. Hence, these puzzles raise critical questions for the common macroeconomic modeling exercise. I address these puzzles by showing that a non-Gaussian error distribution, perceived by the consumerinvestor due to the uncertain nature of parameters underlying the dividend process, can explain the historically high equity premium and low riskfree rate; thus, providing a potential solution to those puzzles. Mehra & Prescott (1985) find that about 0.35% is the maximum risk premium the standard C-CAPM can explain with a risk-free rate between 0 and 4% when the mean and standard deviation of consumption growth is assumed 1.8% and 3.6% respectively. I also take 1.8% mean and 3.6% standard deviation for consumption growth but explain 6-7% equity risk premium, 0.5-2% riskfree rate and 5-7% dividend yield with the risk aversion coefficient below 10 solely relying on negative skewness and leptokurtosis that can be derived from the stochastic nature of the uncertain (variance) parameter underlying the economy’s endowment process.

Market Structure, Bargaining, and Covered Interest Rate Parity

Byoung-Ki Kim 한국계량경제학회 2008 한국계량경제학회 학술대회 논문집 Vol.2009 No.-

The views expressed herein are those of the author and do not necessarily reflect the official views of the Bank of Korea. When reporting or citing it, the author’s name should always be stated explicitly.