Ricerche Economiche最新文献

This paper empirically tests for and models non-linearities in a selection of U.K. macroeconomic time series. Attention is focused first on business cycle asymmetry, using Markov chain models to investigate whether cycles in macroeconomic time series display symmetric behaviour on both sides of a peak or trough. Next, a selection of statistical tests of non-linearity are employed to investigate formally the presence of departures from the linearity assumption. A variety of specific non-linear models of the business cycle that have been proposed recently are then fitted to ascertain how useful they are in explaining any non-linearities that have been observed in the series. Finally, the results are brought together in an extended discussion of their implications for business cycle research and policy analysis.

Testing the stationarity of economic time series has become a central issue in empirical economics. This paper evaluates, via Monte Carlo simulation, the empirical power and size of the augmented Dickey-Fuller test for a unit root (ADF test), the most widely used in empirical works, and of the test recently proposed by Kwiatkowski et al. (1992; KPSS test), where the null hypothesis is one of stationarity. The evidence confirms that both procedures suffer from very low power and, more so in the case of the KPSS test, large size distortions, especially in samples of the sizes usually available in practical applications. Moreover, their performance is highly sensitive to the true generating process, as well as to the way one parameterizes each test. It is shown, however, that a combined ADF-KPSS procedure would significantly reduce the number of erroneous conclusions, although at the cost of producing a fairly large number of inconclusive answers.

The degree of substitution between public pensions and private wealth is tested relying on a constructed measure of social security benefits derived from households' self-reported expectations of replacement rates and retirement age. The data are drawn from the Italian Survey of Household Income and Wealth for the years 1989 and 1991. Each additional lira of pension wealth is estimated to reduce private wealth between 10 and 20%. This result is robust with respect to specification (linear or logarithmic), sample (one-income or two-income households) and assumptions regarding the discount factors used to compute social security wealth for both pre- and post-retirement years. The estimates suggest that the developments in the social security system in the 1970s and 1980s explain one-fifth of the fall in the Italian private saving rate.

In this paper we suggest a new methodology to estimate the Cox, Ingersoll and Ross model of the term structure. The approach is based on a multivariate non-linear least squares procedure, which allows us to simultaneously take into account the cross-sectional relations which exist among bond prices at each instant of time and the dynamics of each bond price over time. The methodology involves the use of a fairly simple econometric specification and is developed to deal with both the case of independently and identically distributed error terms and the case of autocorrelated error terms. We estimate and test the model using nominal prices of Italian Treasury bonds.

We study in this paper a simple model of a two-period economy, with two states of the world in the second period, two agents and one good. Financial markets are incomplete since only inside money is available. We show that outside money, which is introduced in the model through its role as a medium of exchange, is non-neutral, in the sense that it has an effect on the equilibrium allocation. We then discuss whether a monetary policy that would aim at state-independent price levels is desirable. We illustrate that discussion with a few examples. The possible sub-optimality of a constant-across-states inflation rates target for monetary policy is to be contrasted with results from representative agent macroeconomic models.

The Blanchard-Yaari continuous-time model of overlapping generations is applied to a monetary economy with Keynesian unemployment. It is shown that a positive probability of death increases the short- and long-run multipliers of government spending on output. In the first example this is due to the government deficit being bond-financed, plus the failure of Ricardian equivalence which death implies. In the second, where the government budget remains balanced, it is due to the private accumulation of capital, which has a wealth effect on consumption. However, in the absence of death, this is negated by the higher lifetime tax burden.