The relation between macroeconomic fundamentals and the cross section of asset returns is studied through the lens of dynamic stochastic general equilibrium (DSGE) models. We provide a full-information Bayesian estimation of the model using seven macroeconomic variables and extract the time series of three fundamental shocks to the economy for the period of 1966Q1-2010Q3: neutral technology (NT...

the purpose of this research is investigation of application of the arbitrage pricing theory and effect of unanticipated changes in a set of macroeconomic variables such as inflation rate, money supply, exchange rate, oil price, term structure and industrial production on expected security return in tehran stock exchange. in this research, data are analyzed quarterly for the period of 1997-2008...

this paper aims to investigate the role of each aggregate spending component in the monetary policy transmission in indonesia. it assesses the relative strength of the role of each spending component in the monetary policy transmission. in so doing, this study employs the contribution analysis, which is calculated based on the cumulative impulse response of each component of gdp to a monetary p...

this paper focuses on the residential sector demand for electricity, natural gas and petroleum products (kerosene, gas oil and lpg) in iran in the context of a popular locally flexible functional forms - “the almost ideal demand system (aids)”. we pay explicit attention to the theoretical regularity conditions of positivity, monotonicity, and curvature. we treat the curvature property as a main...

This paper studies a class of multidimensional screening models where different type dimensions lie on the real line. The paper applies preservation results of totally positive functions to show that some critical properties of the distributions of asymmetric information parameters, such as increasing hazard rate, monotone likelihood ratio, and unimodality are preserved under convolution and/or...

Random matching is often used in economic models as a means of introducing uncertainty in sequential decision problems. We show that random matching processes that satisfy standard proportionality laws are not unique. We give conditions on the payo¤s and transitions functions of sequential decision models that insure that the models are robust to the non-uniqueness of the matching process. Unde...

We consider an auction setting in which bidders, even if they fail to obtain the good, care about the price paid by the winner. We study the impact of these price externalities on the first-price auction and the second-price auction in a symmetric information framework. We establish a distinction between price externalities that do not depend on the identity of the winner and price externalitie...

This paper aims to examine the impacts of oil-price shocks on China’s price levels. To that end, we develop a partial transmission input-output model that captures the uniqueness of the Chinese market. We hypothesize and simulate price control, market factors and technology substitution the three main factors that restrict the functioning of a price pass-through mechanism during oil-price shock...

this paper examines the impact of 2005 presidential election of iran on the tehran stock exchange volatility as a political shock. it uses garch family (fiegarch, egarch, and garch) and markov regime switching (mrs) models as the analytical frameworks for the main the stock daily prices index. our findings confirm statistical validity of arima – fiegarch-x and ar(1) mrs as appropriate specifica...