We investigate intermediary asset pricing theories empirically and find strong support for intermediary book leverage as the relevant state variable. A parsimonious dynamic pricing model that uses detrended broker-dealer leverage as a price of risk variable, and innovations to broker-dealer leverage as pricing factor is shown to perform well in time series and cross sectional tests of a wide va...

T his study examines how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in Iran. Based on quarterly data for the period from 1991 to 2017, the findings revealed statistically significant evidence of short-run and long-run asymmetric behavior of stock market index in response to the positive a...

This article represents an issue about macroeconomic model realization under transition economy of Moldova Republic. Different macroeconomic model beginning with simple monetary model and growth model, and more complicated model as financial programming models, general equilibrium model, describing complex functioning of national economy and forecasting effect of various economic policies on ec...

A decade ago, a national conference of macroeconomic educators called for fundamental reform in the teaching of intermediate macroeconomics, urging instructors to employ a single analytic framework rather than ‘responding to the fragmentation of macroeconomics by teaching a separate model for each school of thought’ (Erekson, Raynold and Salemi, 1996; Salemi and Siegfried, 1999). This paper des...

This article provides a simple shrinkage representation that describes the operational characteristics of various forecasting methods designed for a large number of orthogonal predictors (such as principal components). These methods include pretest methods, Bayesian model averaging, empirical Bayes, and bagging. We compare empirically forecasts from these methods with dynamic factor model (DFM)...

This paper extends the current literature which questions the stability of the monetary transmission mechanism, by using a Dynamic Factor Model with timevarying parameters, which allows fast and efficient inference based on hundreds of explanatory variables. Different specifications are compared where the factor loadings, VAR coefficients and error covariances may change gradually in every peri...

We consider a dynamic macroeconomic model with households that regard relative affluence as social status. The measure of relative affluence can be the ratio to, or the difference from, the social average. The two specifications lead to quite different results: with the ratio specification full employment is necessarily realized, whereas with the difference specification persistent shortages of...

A standard macroeconomic specification is that the aggregate economy is directed by a single, smart representative agent using optimal decision rules. This paper explores an alternative conjecture that the dynamic behavior of markets is often better interpreted as the interactions of many heterogeneous, rule-of-thumb agents who are loosely-coupled in smart systems—much like the contrast of a si...