Editorial Board
Journal of Socio-Economics, Volume 38, Issue 6, December 2009, Page CO2
Editorial Board
Ecological Economics, Volume 69, Issue 1, 15 November 2009, Page IFC
jueves, 1 de octubre de 2009
miércoles, 30 de septiembre de 2009
Implications of more precise information for technological development and economic welfare
Abstract
This paper analyzes the dynamic interactions between the precision of information, technological development, and welfare within an overlapping generations model. More precise information about idiosyncratic production shocks has ambiguous effects on technological progress and welfare, which depend critically on the risk sharing capacity of the economy's financial system. Two effects, which can act in the same or in opposite directions, are at work: (i) more precise information allows agents to make better decisions but restricts the scope for risk sharing (the ‘uncertainty-related effect’) and (ii) more precise information, by changing R&D investment, may have a long-lasting effect due to the model's intertemporal production externality (the ‘externality-related effect’).
Burkhard Dreesa, 1 and Bernhard Eckwertb, ,
aIMF Institute International Monetary Fund USA
bDepartment of Economics University of Bielefeld Germany
Accepted 15 July 2009.
Available online december 2009.
This paper analyzes the dynamic interactions between the precision of information, technological development, and welfare within an overlapping generations model. More precise information about idiosyncratic production shocks has ambiguous effects on technological progress and welfare, which depend critically on the risk sharing capacity of the economy's financial system. Two effects, which can act in the same or in opposite directions, are at work: (i) more precise information allows agents to make better decisions but restricts the scope for risk sharing (the ‘uncertainty-related effect’) and (ii) more precise information, by changing R&D investment, may have a long-lasting effect due to the model's intertemporal production externality (the ‘externality-related effect’).
Burkhard Dreesa, 1 and Bernhard Eckwertb, ,
aIMF Institute International Monetary Fund USA
bDepartment of Economics University of Bielefeld Germany
Accepted 15 July 2009.
Available online december 2009.
Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model
Department of Applied Economics, No. 580, Sinmin Road, Chiayi City 60054, Taiwan, ROC
Accepted 1 June 2009.
Available online 26 June 2009.
Abstract
The predictability of stock return dynamics is a topic discussed most frequently in empirical studies; however, no unanimous conclusion has yet been reached due to the ignorance of structural changes in stock price dynamics. This study applies various regime switching GJR-GARCH models to analyze the effects of macroeconomic variables (interest rate, dividend yield, and default premium) on stock return movements (including conditional mean, conditional variance, and transition probabilities) in the U.S. stock market, so as to clearly compare the predictive validity of stable and volatile states, as well as compare the in-sample and out-of-sample portfolio performance of regime switching models. The empirical results show that macro factors can affect the stock return dynamics through two different channels, and that the magnitude of their influences on returns and volatility is not constant. The effects of the three economic variables on returns are not time-invariant, but are closely related to stock market fluctuations, and the strength of predictability in a volatile regime is far greater than that in a stable regime. It is found that interest rate and dividend yield seem to play an important role in predicting conditional variance, and out-of-sample performance is largely eroded when the effects of these two factors on volatility are ignored. In addition, the three macro factors do not play any role in predicting transition probabilities
Kuang-Liang Chang,
aDepartment of Applied Economics, No. 580, Sinmin Road, Chiayi City 60054, Taiwan, ROC
fecha de publicacion: noviembre de 2009
Accepted 1 June 2009.
Available online 26 June 2009.
Abstract
The predictability of stock return dynamics is a topic discussed most frequently in empirical studies; however, no unanimous conclusion has yet been reached due to the ignorance of structural changes in stock price dynamics. This study applies various regime switching GJR-GARCH models to analyze the effects of macroeconomic variables (interest rate, dividend yield, and default premium) on stock return movements (including conditional mean, conditional variance, and transition probabilities) in the U.S. stock market, so as to clearly compare the predictive validity of stable and volatile states, as well as compare the in-sample and out-of-sample portfolio performance of regime switching models. The empirical results show that macro factors can affect the stock return dynamics through two different channels, and that the magnitude of their influences on returns and volatility is not constant. The effects of the three economic variables on returns are not time-invariant, but are closely related to stock market fluctuations, and the strength of predictability in a volatile regime is far greater than that in a stable regime. It is found that interest rate and dividend yield seem to play an important role in predicting conditional variance, and out-of-sample performance is largely eroded when the effects of these two factors on volatility are ignored. In addition, the three macro factors do not play any role in predicting transition probabilities
Kuang-Liang Chang,
aDepartment of Applied Economics, No. 580, Sinmin Road, Chiayi City 60054, Taiwan, ROC
fecha de publicacion: noviembre de 2009
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