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Name
Research Papers in Economics
Type
Thematic Repository
Items
784974 Publications
Compatibility
OpenAIRE Basic (DRIVER OA)
OAI-PMH
http://oai.repec.openlib.org/
More information
Detailed data provider information (OpenDOAR)

 

  • Cointegration and Long-Horizon Forecasting

    It is widely believed that imposing cointegration on a forecasting system, if cointegration is, in fact, present, will improve long-horizon forecasts. The authors show that, contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. The authors' results highlight a potentially important deficiency of standard f...

    SEASONAL MIGRATION OF RETIREES: A REVIEW OF THE LITERATURE

    (1996)
    Anecdotes suggest that tourism experiences may affect the migration decisions of retirees. Seasonal migration by retirees may be an intermediate step between tourism and permanent migration. A review of the literature on seasonal migration finds that some seasonal migrants become permanent migrants. In general, seasonal and permanent migrants come from two separate migration streams and are two different lifestyles. Seasonal migration generally does not lead to permanent migration.

    Parental Investment in Childhood and Later Adult Well-Being: Can More Involved Parents Offset the Effects of Socioeconomic Disadvantage?

    Parental involvement in their children’s lives can have a lasting impact on well-being. More involved parents convey to their children that they are interested in their development, and this in turn signals to the child that their future is valued. However, what happens in socio-economically disadvantaged homes? Can the social capital produced by greater parental involvement counteract some of the harmful effects of less financial capital? These questions are examined on the National Child De...

    What Explains the Lagged Investment Effect?

    The best predictor of current investment at the firm level is lagged investment. This lagged-investment effect is empirically more important than the cash-flow and Q effects combined. We show that the specification of investment adjustment costs proposed by Christiano, Eichenbaum and Evans (2005) predicts the presence of a lagged-investment effect and that a generalized version of their model is consistent with the behavior of firm-level data from Compustat.

    Flight to Quality, Flight to Liquidity, and the Pricing of Risk

    We propose a dynamic equilibrium model of a multi-asset market with stochastic volatility and transaction costs. Our key assumption is that investors are fund managers, subject to withdrawals when fund performance falls below a threshold. This generates a preference for liquidity that is time-varying and increasing with volatility. We show that during volatile times, assets' liquidity premia increase, investors become more risk averse, assets become more negatively correlated with volatility,...
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