


Registros recuperados: 10  


Caballero, Ricardo J.; Engel, Eduardo M.R.A.. 
In most instances, the dynamic response of monetary and other policies to shocks is infrequent and lumpy. The same holds for the microeconomic response of some of the most important economic variables, such as investment, labor demand, and prices. We show that the standard practice of estimating the speed of adjustment of such variables with partialadjustment ARMA procedures substantially overestimates this speed. For example, for the target federal funds rate, we find that the actual response to shocks is less than half as fast as the estimated response. For investment, labor demand and prices, the speed of adjustment inferred from aggregates of a small number of agents is likely to be close to instantaneous. While aggregating across microeconomic units... 
Tipo: Working or Discussion Paper 
Palavraschave: Speed of adjustment; Discrete adjustment; Lumpy adjustment; Aggregation; Calvo model; ARMA process; Partial adjustment; Expected response time; Monetary policy; Investment; Labor demand; Sticky prices; Idiosyncratic shocks; Impulse response function; Wold representation; Timetobuild; Financial Economics; C22; C43; D2; E2; E5. 
Ano: 2003 
URL: http://purl.umn.edu/28419 
 


Bruinshoofd, W. Allard; Kool, Clemens J.M.. 
In this paper we investigate Dutch corporate liquidity management in general, and target adjustment behaviour in particular. To this purpose, we use a simple error correction model of corporate liquidity holdings applied to firmlevel data for the period 19771997. We confirm the existence of longrun liquidity targets at the firm level. We also find that changes in liquidity holdings are driven by shortrun shocks as well as the urge to converge towards targeted liquidity levels. The rate of target convergence is higher when we include more firmspecific information in the target. This result supports the idea that increased precision in defining liquidity targets associates with a faster observed rate of target convergence. It also suggests that the slow... 
Tipo: Journal Article 
Palavraschave: Corporate liquidity demand; Precautionary liquidity; C33; C43; E41; G3. 
Ano: 2004 
URL: http://purl.umn.edu/37606 
 

 


Dreger, Christian; Schumacher, Christian. 
This paper discusses a largescale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate and multivariate models. These models are based on regression techniques and considerably smaller data sets. Outofsample forecasts show that the prediction errors of the factor model are smaller than the errors of the rival models. However, these advantages are not statistically significant, as a test for equal forecast accuracy shows. Therefore, the efficiency gains of using a large data set with this kind of factor models seem to be limited. Diese Arbeit... 
Tipo: Working or Discussion Paper 
Palavraschave: Factor models; Principal components; Forecasting accuracy; International Development; E32; C51; C43. 
Ano: 2002 
URL: http://purl.umn.edu/26321 
 

 

 

 


Ferrari, P.A.; Salini, S.. 
This paper provides a comparative analysis of statistical methods to evaluate the consumer perception about the quality of Services of General Interest. The evaluation of the service quality perceived by users is usually based on Customer Satisfaction Survey data and an expost evaluation is then performed. Another approach, consisting in evaluating Consumers preferences, supplies an exante information on Service Quality. Here, the expost approach is considered, two nonstandard techniques  the Rasch Model and the Nonlinear Principal Component Analysis  are presented and the potential of both methods is discussed. These methods are applied on the Eurobarometer Survey data to assess the consumer satisfaction among European countries and in different... 
Tipo: Working or Discussion Paper 
Palavraschave: Service Quality; Eurobarometer; Non Linear Principal Component Analysis; Rasch Analysis; Conjoint Analysis; C33; C35; C43; L94; L95; L96. 
Ano: 2008 
URL: http://purl.umn.edu/36758 
 


Bernard, JeanThomas; Cote, Bruno. 
Energy intensity is the ratio of energy use to output. Most industries deal with several energy sources and outputs. This leads to the usual difficulties of aggregating heterogeneous inputs and outputs. We apply principal components analysis to assess the information derived from six energy intensity indicators. We use two measures of total energy use (thermal and economic) and three measures of industry output (value added, value of production, and value of shipments). The data comes from manufacturing industries in Quebec, Ontario, Alberta, and British Columbia from 1976 to 1996. We find that the variation of the six energy intensity indicators that is accounted for by the first principal component is quite large. However, depending on how variables are... 
Tipo: Working or Discussion Paper 
Palavraschave: Energy intensity; Aggregation; Principal components analysis; Resource /Energy Economics and Policy; Q40; C43; L60. 
Ano: 2002 
URL: http://purl.umn.edu/10544 
 

 
Registros recuperados: 10  


