Econometric Tests of Asset Price Bubbles: Taking Stock

Can asset price bubbles be detected? This survey of econometric tests of asset price bubbles shows that, despite recent advances, econometric detection of asset price bubbles cannot be achieved with a satisfactory degree of certainty. For each paper that finds evidence of bubbles, there is another one that fits the data equally well without allowing for a bubble. We are still unable to distinguish bubbles from time- varying or regime switching fundamentals, while many small sample econometrics problems of bubble tests remain unresolved.

How Useful Are Estimated DSGE Model Forecasts for Central Bankers?

bank, banker, DSGE, forecast, macroeconomic

Is Growth Exogenous? Taking Mankiw, Romer and Weil Seriously

Is long-run economic growth exogenous? To address this question, we show that the empirical framework of Mankiw, Romer, and Weil (1992) can be extended to test any growth model that admits a balanced growth path; and we use that framework both to revisit variants of the Solow growth model and to evaluate simple alternative models of endogenous growth. To allow for the possibility that economies in our sample are not on their balanced growth paths, we also study the cross-sectional behavior of TFP growth, which we estimate using alternative measures of labor's share. Our broad conclusion, based on both model estimation and growth accounting, is that long-run growth is significantly correlated with behavioral variables such as the savings rate, and that this correlation is not easily explained by models in which growth is treated as the exogenous variable. Hence, future empirical studies should focus on models that exhibit endogenous growth.

Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements

We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor-changes in the federal funds rate target - and find that they are not. Instead, we find that two factors are required. These factors have a structural interpretation as a "current federal funds rate target" factor and a "future path of policy" factor, with the latter closely associated with Federal Open Market Committee statements.We measure the effects of these two factors on bond yields and stock prices using a new intraday data set going back to 1990. According to our estimates, both monetary policy actions and statements have important but differing effects on asset prices, with statements having a much greater impact on longer-term Treasury yields.Monetary Policy; Asset Prices; Factor Analysis; Multi-dimensional Policy

The Social Psychology of Identity and Intergroup Conflict: From Theory to Practice

Cataloged from PDF version of article.This paper reviews the seminal theories of social psychology which have guided scholarship on inter-group conflicts and describes how these theories have been used by conflict resolution practitioners to design Track Two diplomacy initiatives among citizens in conflict zones. The authors hope that such a review will provide scholars of conflict resolution and international politics with a better understanding of how complex social theories are adapted for use in the applied world, and how gaps between theory and practice can be identified and addressed. The paper begins with an overview of three of the main theoretical contributions of social psychology to the problem of inter-group conflict: social identity theory, stereotyping and prejudice, and contact theory. We then review how these theories have been applied by conflict resolution specialists in international and ethnic conflicts as they have sought to moderate intergroup hostilities in conflict zones. The paper concludes with an analysis of the gaps between theory and practice, namely: theory of change gap, transfer strategies gap, and unit of analysis gap. Finally, based on the reviewed social psychology research, the article makes policy recommendations about how these gaps between theory and practice can be narrowed. © 2011 International Studies Association

The U.S. Treasury Yield Curve: 1961 to the Present

Cataloged from PDF version of article.The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is therefore surprising that researchers and practitioners do not have available to them a long history of high-frequency yield curve estimates. This paper fills that void by making public the Treasury yield curve estimates of the Federal Reserve Board at a daily frequency from 1961 to the present. We use a well-known and simple smoothing method that is shown to fit the data very well. The resulting estimates can be used to compute yields or forward rates for any horizon. We hope that the data, which are posted on the website http://www.federalreserve.gov/pubs/feds/2006 and which will be updated quarterly, will provide a benchmark yield curve that will be useful to applied economists. © 2007 Elsevier B.V. All rights reserved

Sonographic Diagnosis of Arterioportal Fistula

Aim. We aimed to identify and describe characteristic and diagnostic ultrasonographic features of arterioportal fistula cases. Patients. In this case series we describe 3 patients with arterioportal fistula. By depending on shared sonographic features of these patients we describe a “sonographic pattern” for the sonographic diagnosis of arterioportal fistula. Conclusion. In summary; both of the artery and vein related with fistula were wider than normal and seen as adjacent anechoic circles, there was an aneurismatic dilation on vein which has turbulent flow within it, the communication between the artery and aneurism can be seen sonographically, both of the vessels have arterial flow, filling of the vein was retrograde and other branches of the artery and vein unrelated with aneurism were all normal in dimension

A Scalable Near-Memory Architecture for Training Deep Neural Networks on Large In-Memory Datasets

Most investigations into near-memory hardware accelerators for deep neural networks have primarily focused on inference, while the potential of accelerating training has received relatively little attention so far. Based on an in-depth analysis of the key computational patterns in state-of-the-art gradient-based training methods, we propose an efficient near-memory acceleration engine called NTX that can be used to train state-of-the-art deep convolutional neural networks at scale. Our main contributions are: (i) a loose coupling of RISC-V cores and NTX co-processors reducing offloading overhead by 7 x over previously published results; (ii) an optimized IEEE 754 compliant data path for fast high-precision convolutions and gradient propagation; (iii) evaluation of near-memory computing with NTX embedded into residual area on the Logic Base die of a Hybrid Memory Cube; and (iv) a scaling analysis to meshes of HMCs in a data center scenario. We demonstrate a 2.7 x energy efficiency improvement of NTX over contemporary GPUs at 4.4 x less silicon area, and a compute performance of 1.2 Tflop/s for training large state-of-the-art networks with full floating-point precision. At the data center scale, a mesh of NTX achieves above 95 percent parallel and energy efficiency, while providing 2.1 x energy savings or 3.1 x performance improvement over a GPU-based system

Devlet Ic Borclanma Senetleri Icin Getiri Egrisi Tahmini

Piyasa katilimcilarinin faiz beklentilerini yansitan getiri egrisinin tahmini mali analizin temel taslarindandir. Bu makalede getiri egrilerinin temel ozelliklerini tanitip, bilgimiz dahilinde ilk defa, Turkiye için uzun vadeli sabit kuponlu bonolarin da tahmine dahil edildigi yuksek frekansta getiri egrisi tahminleri sunuyoruz. Gunluk olarak tahmin edilen bu getiri egrileri piyasa katilimcilarinin makroekonomik gelismelere tepkilerini olcmek için uygun araclardir. Bu makalede getiri egrilerinden elde edilen sabit vadeli faizlerin para politikasi, enflasyon verisi açiklamasi, stopaj oranlarinin degismesi gibi olaylara verdikleri tepkiler vaka calismasi ornekleri olarak sunulmustur.

Modeling the dynamics of inflation compensation

This paper investigates the relationship between short-term and long-term inflation expectations using daily data on inflation compensation. We use a flexible econometric model which allows us to uncover this relationship in a data-based manner. We relate our …ndings to the issue of whether inflation expectations are anchored, unmoored or contained. Our empirical results indicate no support for either unmoored or …rmly anchored inflation expectations. Most evidence indicates that inflation expectations are contained