creator: Baum, Christopher F.
0-17 of 17
Fractional Monetary Dynamics
description- – We test for fractional dynamics in U.S. monetary series, their various formulations and components, and velocity series. Using the spectral regression method, we find evidence of a fractional exponent in the differencing process of the monetary series (both simple-sum and Divisia indices), in their components (with the exception of demand deposits, savings deposits, overnight repurchase agreements, and term repurchase agreements), and the monetary base and money multipliers. No evidence of fractional behavior is found in the velocity series. Granger's (1980) aggregation hypothesis is evaluated and implications of the presence of fractional monetary dynamics are drawn.
- – 1998-01-01
- – application/pdf
Fractional Monetary Dynamics
description- – We test for fractional dynamics in U.S. monetary series, their various formulations and components, and velocity series. Using the spectral regression method, we find evidence of a fractional exponent in the differencing process of the monetary series (both simple-sum and Divisia indices), in their components (with the exception of demand deposits, savings deposits, overnight repurchase agreements, and term repurchase agreements), and the monetary base and money multipliers. No evidence of fractional behavior is found in the velocity series. Granger's (1980) aggregation hypothesis is evaluated and implications of the presence of fractional monetary dynamics are drawn.
- – WP321
- – 1998-01-01
- – application/pdf
A re-evaluation of empirical tests of the Fisher hypothesis
description- – This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d. Using monthly post-war U.S. data from 1959-1997, we show that this is not the case for nominal interest rates and inflation. While we cannot reject the hypothesis that nominal interest rates have a unit root, we find that inflation is a long-memory process. A direct test for the equality of the fractional differencing parameter for both series decisively rejects the hypothesis that the series share the same order of integration.
- – WP472
- – 2000-09-18
- – application/pdf
The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test
description- – Under conditions of risk neutrality and rational expectations in the foreign exchange market, there should be a one-to-one relationship between the forward rate and the corresponding future spot rate. However, cointegration-based tests of the unbiasedness hypothesis of the forward rate have produced mixed findings. In order to exploit significant cross-sectional dependencies, we test the unbiasedness hypothesis using a new multivariate (panel) unit-root test, the Johansen likelihood ratio (JLR) test, which offers important methodological advantages over alternative standard panel unit-root tests. When applied to a data set of eight major currencies in the post-Bretton Woods era, the JLR test provides strong and robust evidence in support of a unitary cointegrating vector between forward and corresponding future spot rates. However, the orthogonality condition is satisfied only for three major currencies.
- – WP464
- – 2000-06-09
- – application/pdf
Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums
description- – A plausible explanation for cointegration among spot currency rates determined in efficient markets is the existence of a stationary, time-varying currency risk premium. Such an interpretation is contingent upon stationarity of the forward premium. However, empirical evidence on the stochastic properties of the forward premium series has been inconclusive. We apply a panel unit-root testÜthe Johansen likelihood ratio (JLR) testÜto forward exchange premiums by utilizing cross-sectional information from their term structure. In contrast to earlier studies, the JLR test provides decisive and temporally stable evidence in support of stationary forward premiums, and therefore foreign exchange market efficiency, for six major currencies.
- – WP461
- – 2001-06-13
- – application/pdf
Facilitating Applied Economic Research with Stata
description- – We describe the Stata software environment, and illustrate how it may be profitably employed for applied economic research. Stata stands between"point and click"statistical packages and matrix languages in terms of extensibility and ease of use, and provides web-accessible features that enhance collaborative research and instruction.
- – WP531
- – 2002-01-02
- – application/pdf
Nonlinear Effects of Exchange Rate Volatility on the Volume of Bilateral Exports
description- – In this paper, we empirically investigate the impact of exchange rate volatility on real international trade flows utilizing a 13-country dataset of monthly bilateral real exports for 1980--1998. We compute one-month-ahead exchange rate volatility from the intra--monthly variations in the exchange rate to better quantify this latent variable. We find that the effect of exchange rate volatility on trade flows is nonlinear, depending on its interaction with the importing country's volatility of economic activity, and that it varies considerably over the set of country pairs considered.
- – WP488
- – 2002-07-30
- – application/pdf
The Impact of Macroeconomic Uncertainty on Trade Credit for Non-Financial Firms"
description- – In this paper we hypothesize that greater macroeconomic uncertainty would cause firms to increasingly turn to their suppliers as a source of finance, making greater use of trade credit. We test this hypothesis using a panel of non-financial firms drawn from the annual COMPUSTAT database and show that an increase in macroeconomic uncertainty leads to a narrowing of the cross-sectional distribution of firms' trade credit-to-sales ratios.
- – WP566
- – 2003-06-01
- – application/pdf
Dynamics of Intra-EMS Interest Rate Linkages
description- – A number of previous studies have questioned the dominant role of Germany within the EMS. These conclusions are often based on empirical findings that interest rates of member countries of the EMS are not affected by German interest rates, even in the long run. In this study we establish evidence to the contrary by demonstrating that intra-EMS interest rate differentials (vis-a-vis Germany) exhibit mean-reverting behavior (a necessary but not sufficient condition for German dominance) characterized by long-memory dynamics. In a system incorporating six EMS countries and one non-EMS country (the U.S.), estimates from a fractional error correction model suggest the presence of short-run intra-EMS monetary-policy interdependencies, but they validate the German Dominance Hypothesis in the long run.
- – WP492
- – 2004-05-04
- – application/pdf
Macroeconomic Uncertainty and Firm Leverage
description- – This paper investigates the link between the optimal level of nonfinancial firms' leverage and macroeconomic uncertainty. We develop a structural model of a firm's value maximization problem that predicts that as macroeconomic uncertainty increases the firm will decrease its optimal level of borrowing. We test this proposition using a panel of non-financial US firms drawn from the COMPUSTAT quarterly database covering the period 1991-2001. The estimates confirm that as macroeconomic uncertainty increases, firms decrease their levels of leverage. Furthermore, we demonstrate that our results are robust with respect to the inclusion of the index of leading indicators.
- – WP602
- – 2004-09-01
- – application/pdf
A little bit of Stata programming goes a long way...
description- – This tutorial will discuss a number of elementary Stata programming constructs and discuss how they may be used to automate and robustify common data manipulation, estimation and graphics tasks. Those used to the syntax of other statistical packages or programming languages must adopt a different mindset when working with Stata to take full advantage of its capabilities. Some of Stata's most useful commands for handling repetitive tasks: -forvalues-, -foreach-, -egen-, -local- and -matrix- are commonly underutilized by users unacquainted with their power and ease of use. While relatively few users may develop ado-files for circulation to the user community, nearly all will benefit from learning the rudiments of use of the -program-, -syntax- and -return- statements when they are faced with the need to perform repetitive analyses. Worked examples making use of these commands will be presented and discussed in the tutorial.
- – WP612
- – 2005-06-08
- – application/pdf
Uncertainty Determinants of Corporate Liquidity
description- – This paper investigates the link between the optimal level of non-financial firms' liquid assets and uncertainty. We develop a partial equilibrium model of precautionary demand for liquid assets showing that firms change their liquidity ratio in response to changes in uncertainty. We test this proposition using a panel of non-financial US firms drawn from the COMPUSTAT quarterly database covering the period 1993--2002. The results indicate that firms increase their liquidity ratios when macroeconomic uncertainty or idiosyncratic uncertainty increases. We demonstrate that our results are robust with respect to the inclusion of interest rates and the index of leading indicators.
- – WP634
- – 2005-12-07
- – application/pdf
Uncertainty Determinants of Firm Investment
description- – We investigate the impact of measures of uncertainty on firms' capital investment behavior using a panel of U.S. firms. Increases in firm-specific and CAPM-based measures have a significant negative impact on investment spending, while market-based uncertainty has a positive impact.
- – WP646
- – 2006-07-28
- – application/pdf
Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports
description- – We present an empirical investigation of a recently suggested but untested proposition that exchange rate volatility can have an impact on both the volume and variability of trade flows, considering a broad set of countries' bilateral real trade flows over the period 1980-1998. We generate proxies for the volatility of real trade flows and real exchange rates after carefully scrutinizing these variables' time series properties. Similar to the findings of earlier theoretical and empirical research, our first set of results show that the impact of exchange rate uncertainty on trade flows is indeterminate. Our second set of results provide new and novel findings that exchange rate volatility has a consistent positive and significant effect on the volatility of bilateral trade flows.
- – WP641
- – 2006-04-16
- – application/pdf
The Effects of Short-Term Liabilities on Profitability: The Case of Germany
description- – Using data from Germany this paper examines the direct effect of non-financial firms' use of short-term versus long-term liabilities. We develop a structural model of a firm's value maximization problem that predicts that profitability of the firm will change if firms alter their use of short-term versus long-term liabilities. We find that firms that rely more heavily on short-term liabilities are likely to be more profitable.
- – WP636
- – 2006-03-22
- – application/pdf
Firm Investment and Financial Frictions
description- – In this paper we investigate the linkages between firms' capital investment behavior and financial frictions arising from asymmetric information, proxied by their liquidity and degree of uncertainty. In our empirical investigation, we use measures of uncertainty derived from firms' daily stock returns and S&P 500 index returns along with a CAPM-based risk measure. Using a panel of U.S. manufacturing firm data obtained from COMPUSTAT over the 1984-2003 period, we specifically find that financial frictions caused by increases in both intrinsic and CAPM-based measures of uncertainty have a significant negative impact on firms' investment spending.
- – WP638
- – 2006-03-14
- – application/pdf
The Effects of Industry-Level Uncertainty on Cash Holdings: The Case of Germany
description- – This paper investigates the link between the optimal level of non-financial firms' liquid assets and industry-level uncertainty. We develop a structural model of a firm's value maximization problem that predicts that as industry-level uncertainty increases the firm will increase its optimal level of liquidity. We test this hypothesis using a panel of German firms drawn from the Bundesbank's balance sheet database and show that greater uncertainty at the industry level causes firms to increase their cash holdings. The strength of these effects differ among subsamples of the firms with different characteristics.
- – WP637
- – 2006-02-11
- – application/pdf
0-17 of 17
![[x]](/static/imgs/cross.gif)