14,606 research outputs found
A Dynamic Structural Model for Stock Return Volatility and Trading Volume
This paper seeks to develop a structural model that lets data on asset returns and trading volume speak to whether volatility autocorrelation comes from the fundamental that the trading process is pricing or, is caused by the trading process itself. Returns and volume data argue, in the context of our model, that persistent volatility is caused by traders experimenting with different beliefs based upon past profit experience and their estimates of future profit experience. A major theme of our paper is to introduce adaptive agents in the spirit of Sargent (1993) but have them adapt their strategies on a time scale that is slower than the time scale on which the trading process takes place. This will lead to positive autocorrelation in volatility and volume on the time scale of the trading process which generates returns and volume data. Positive autocorrelation of volatility and volume is caused by persistence of strategy patterns that are associated with high volatility and high volume. Thee following features seen in the data: (i) The autocorrelation function of a measure of volatility such as squared returns or absolute value of returns is positive with a slowly decaying tail. (ii) The autocorrelation function of a measure of trading activity such as volume or turnover is positive with a slowly decaying tail. (iii) The cross correlation function of a measure of volatility such as squared returns is about zero for squared returns with past and future volumes and is positive for squared returns with current volumes. (iv) Abrupt changes in prices and returns occur which are hard to attach to 'news.' The last feature is obtained by a version of the model where the Law of Large Numbers fails in the large economy limit.
Model Uncertainty and Policy Evaluation: Some Theory and Empirics
This paper explores ways to integrate model uncertainty into policy evaluation. We first describe a general framework for the incorporation of model uncertainty into standard econometric calculations. This framework employs Bayesian model averaging methods that have begun to appear in a range of economic studies. Second, we illustrate these general ideas in the context of assessment of simple monetary policy rules for some standard New Keynesian specifications. The specifications vary in their treatment of expectations as well as in the dynamics of output and inflation. We conclude that the Taylor rule has good robustness properties, but may reasonably be challenged in overall quality with respect to stabilization by alternative simple rules that also condition on lagged interest rates, even though these rules employ parameters that are set without accounting for model uncertainty.
Policy Evaluation in Uncertain Economic Environments
This paper develops a decision-theoretic approach to policy analysis. We argue that policy evaluation should be conducted on the basis of two factors: the policymaker's preferences, and the conditional distribution of the outcomes of interest given a policy and available information. From this perspective, the common practice of conditioning on a particular model is often inappropriate, since model uncertainty is an important element of policy evaluation. We advocate the use of model averaging to account for model uncertainty and show how it may be applied to policy evaluation exercises. We illustrate our approach with applications to monetary policy and to growth policy.
Policy Evaluation in Uncertain Economic Environments
This paper develops a general framework for economic policy evaluation. Using ideas from statistical decision theory, it argues that conventional approaches fail to appropriately integrate econometric analysis into evaluation problems. Further, it is argued that evaluation of alternative policies should explicitly account for uncertainty about the appropriate model of the economy. The paper shows how to develop an explicitly decision-theoretic approach to policy evaluation and how to incorporate model uncertainty into such an analysis. The theoretical implications of model uncertainty are explored in a set of examples, with a specific focus on how to design policies that are robust against such uncertainty. Finally, the framework is applied to the evaluation of monetary policy rules and to the analysis of tariff reductions as a way to increase aggregate economic growth.macroeconomics, Policy Evaluation, Uncertain Economic Environments
Measurements of Surface Diffusivity and Coarsening During Pulsed Laser Deposition
Pulsed Laser Deposition (PLD) of homoepitaxial SrTiO3 was studied with
in-situ x-ray specular reflectivity and surface diffuse x-ray scattering.
Unlike prior reflectivity-based studies, these measurements access both the
time- and the length-scales of the evolution of the surface morphology during
growth. In particular, we show that this technique allows direct measurements
of the diffusivity for both inter- and intra-layer transport. Our results
explicitly limit the possible role of island break-up, demonstrate the key
roles played by nucleation and coarsening in PLD, and place an upper bound on
the Ehrlich-Schwoebel (ES) barrier for downhill diffusion
Don't bleach chaotic data
A common first step in time series signal analysis involves digitally
filtering the data to remove linear correlations. The residual data is
spectrally white (it is ``bleached''), but in principle retains the nonlinear
structure of the original time series. It is well known that simple linear
autocorrelation can give rise to spurious results in algorithms for estimating
nonlinear invariants, such as fractal dimension and Lyapunov exponents. In
theory, bleached data avoids these pitfalls. But in practice, bleaching
obscures the underlying deterministic structure of a low-dimensional chaotic
process. This appears to be a property of the chaos itself, since nonchaotic
data are not similarly affected. The adverse effects of bleaching are
demonstrated in a series of numerical experiments on known chaotic data. Some
theoretical aspects are also discussed.Comment: 12 dense pages (82K) of ordinary LaTeX; uses macro psfig.tex for
inclusion of figures in text; figures are uufile'd into a single file of size
306K; the final dvips'd postscript file is about 1.3mb Replaced 9/30/93 to
incorporate final changes in the proofs and to make the LaTeX more portable;
the paper will appear in CHAOS 4 (Dec, 1993
Multiple Time Scales in Diffraction Measurements of Diffusive Surface Relaxation
We grew SrTiO3 on SrTiO3 (001) by pulsed laser deposition, using x-ray
scattering to monitor the growth in real time. The time-resolved small angle
scattering exhibits a well-defined length scale associated with the spacing
between unit cell high surface features. This length scale imposes a discrete
spectrum of Fourier components and rate constants upon the diffusion equation
solution, evident in multiple exponential relaxation of the "anti-Bragg"
diffracted intensity. An Arrhenius analysis of measured rate constants confirms
that they originate from a single activation energy.Comment: 4 pages, 3 figure
Transport in Transitory, Three-Dimensional, Liouville Flows
We derive an action-flux formula to compute the volumes of lobes quantifying
transport between past- and future-invariant Lagrangian coherent structures of
n-dimensional, transitory, globally Liouville flows. A transitory system is one
that is nonautonomous only on a compact time interval. This method requires
relatively little Lagrangian information about the codimension-one surfaces
bounding the lobes, relying only on the generalized actions of loops on the
lobe boundaries. These are easily computed since the vector fields are
autonomous before and after the time-dependent transition. Two examples in
three-dimensions are studied: a transitory ABC flow and a model of a
microdroplet moving through a microfluidic channel mixer. In both cases the
action-flux computations of transport are compared to those obtained using
Monte Carlo methods.Comment: 30 pages, 16 figures, 1 table, submitted to SIAM J. Appl. Dyn. Sy
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