We estimate various SVAR models for the US in order to assess the importance of fundamental shocks in explaining stock price movements. The results show that models using real activity variables place more weight on fundamental shocks than models using dividends or earnings. However, according to all models fundamental shocks became substantially less important during the period 1982-2002 if co...

When we allow capital depreciation to be endogenous, the acceleration of investment-specific technological progress can distort the measurement of the aggregate capital stock. Our quantitative exercise shows that this effect may cause a substantial bias in the measurement of total factor productivity and can account for a large portion of the observed productivity slowdown since the 1970s. 2006...

 Libya experienced a substantial increase in oil revenue as a result of increased oil prices during the period of the late 1970s and early 1980s, and again after 2000. Recent increases in oil production and the price of oil, and their positive and negative macroeconomic impacts upon key macroeconomic variables, are of considerable contemporary importance to an oil dependent economy such as that...

JEL Classification Code(s): J 31, J 71) "Perceptions of Discrimination, Effort to Obtain Psychological Balance, and Relative Wages: Can We Infer a Happiness Gradient?" There is a substantial literature that finds a linkage between happiness and relative economic well being as measured by earnings or wages. There is also a well documented racial gap in wages. One explanation for this is disparat...

The authors study time-variation in the co-movements between daily stock and Treasury bond returns over 1986 to 2000. Their innovation is to examine whether variation in stock-bond return dynamics can be linked to non-return-based measures of stock market uncertainty, specifically the implied volatility (IV) from equity index options and detrended stock turnover (DTVR). The authors investigate ...

The British House of Lords is generally seen as an unimportant political actor. It is unelected and has a formal veto over only very limited forms of legislation. According to Lijphart this gives the UK a system of ‘weak bicameralism’, and contributes to its position as a majoritarian democracy. The alternative classification system offered by Tsebelis treats the UK as essentially unicameral, w...

This paper studies the question of maximizing terminal wealth from expected utility in a multidimensional jump-diffusion model. The special feature of our approach is that the investor only observes the vector of stock prices, therefore leading to a partial information framework. Using non-linear filtering and change of measure techniques, we show that the optimization problem can be rewritten ...

Tullock (2005, p. 160) notes that the perceived robust relationship between democracy and economic progress is due mostly to assumption, rather than analysis. Taking up Tullock’s challenge consider bet - ween other political forms, we re-assess relation-ship monarchy progress. Our analysis specifically focuses on possibility of a «monarchical» constitution creating insti-tutions within which, c...

Can consumption growth risk (or consumption beta) serve a better measure of risk than market beta? This paper answers this question by testing and comparing the performance of the traditional Capital Asset Pricing Model (CAPM) and consumption-based CAPM (CCAPM) across seven financial market sub-sectors in the emerging Taiwan stock market. The empirical performance of the CAPM is encouraging. Th...

This paper extends the investigation of the effect of managerial motives on hedging policy. I utilize a proxy variable that incorporates CEO incentives to increase risk relative to incentives to increase stock price. The variable is directly measured using observed characteristics of CEO portfolios of stock and option holdings. Furthermore, CEO risk-taking incentives are modeled as a choice var...