template-type: ReDIF-Paper 1.0
title: Aggregation and Model Construction for Volatility Models
author-name: Barndorf-Nielsen, O.E.
author-name: Shephard, N.
keywords: MODELS
length: 36 pages
abstract: In this paper we will rigourously study some of the properties of continuous time stochastic volatility models. We have five main results, including: the stochastic volatility class can be linked to Cox process based models of tick-by-tick financial data; we characterise the moments, autocorrelation function and spectrum of squared returns; based only on discrete time returns, we give a simple consistent and asymptotically normally distributed estimator of continuous time volatility models without any simulation or discretisation error.
classification-jel: C51 C43
creation-date: 1998
handle: RePEc:nuf:econwp:141

template-type: ReDIF-Paper 1.0
title: Does Cash Flow cause Investment and R&D: An Exploration Using Panel Data for French, Japanese, and United States Scientific Firms
author-name: Hall, B.
author-name: Mairesse, J.
author-name: Branstetter, L.
author-name: Crepon, B.
keywords: INVESTMENTS ; RESEARCH AND DEVELOPMENT ; LIQUIDITY
length: 34 pages
abstract: The role of financial institutions and corporate governance in the conduct and performance of industrial firms, especially in the area of technological innovation and international competition has been hotly debated in the recent past. The results presented here are a contribution to the empirical evidence on the behaviour of individual firms that exist in somewhat different institutional environments. Using a panel data version of the Vector Auto Regressive (VAR) methodology, we test for causal relationship among sales and cash flow on the one hand and investment and R&D on the other.
classification-jel: O32 G31 G32
creation-date: 1998
handle: RePEc:nuf:econwp:142

template-type: ReDIF-Paper 1.0
title: Firm-Level Investment in France and the United States: An Exploration of What We Have Learned in Twenty Years
author-name: Hall, B.
author-name: Mairesse, J.
author-name: Mulkay, B.
keywords: INVESTMENTS ; FRANCE ; UNITED STATES ; MODELS
length: 41 pages
abstract: We review the changes in modelling strategy and econometric methodology when estimating a firm-level investment equation on panel data during the past twenty years, in order to assess which of these changes result from new estimation methods and changes in the practice of panel data econometrics, and which are "real" and due to the evolution of the economy. Thus our paper consists of a series of comparisons: a simple accelerator-profit specification versus one with error correction, traditinoal between- and within-firm estimation versus GMM estimation, the investment behavior of French firms versus that of US firms, and investment behavior today versus ten to twenty years ago.
classification-jel: C51 G31
creation-date: 1998
handle: RePEc:nuf:econwp:143

template-type: ReDIF-Paper 1.0
title: Evolving Patterns of International Trade
author-name: Proudman, J.
author-name: Redding, S.
keywords: INTERNATIONAL TRADE ; DYNAMIC ANALYSIS
length: 35 pages
abstract: Theoretical models of growth and trade suggest that patterns of international specialisation are inherently dynamic and evolve endogenously over time. Initial comparative advantaged are either reinforced or gradually unwound with the passage of time. This paper puts forward an empirical framework to evaluate the dynamics of international trade patterns, that uses techniques widely employed in the cross-country literature on income convergence.
classification-jel: C10 F10 O30
creation-date: 1998
handle: RePEc:nuf:econwp:144

template-type: ReDIF-Paper 1.0
title: The Ergodic Distribution of Wealth with Random Shocks
author-name: Bliss, C.
keywords: WEALTH ; CONVERGENCE
length: 31 pages
abstract: A convergence model in which welath accumulation is sibject to i.i.d. random shocks is examined. The accumulation function shows what kt+1 - wealth at t+1 - would be given kt and with no shock. it has a positive slope, but its concavity or convexity is indeterminate. The focus is the ergodic distribution of welath. This distribution satisfies a Fredholm integral equation. The ergodic distribution can be characterized in some respects by direct analysis of the stochastic process governing wealth accumulation and by use of the Fredholm equation without solution.
classification-jel: D3 E1
creation-date: 1998
handle: RePEc:nuf:econwp:145

template-type: ReDIF-Paper 1.0
title: Likelihood INference for Discretely Observed Non-linear Diffusions
author-name: Elerian, O.
author-name: Chib, S.
author-name: Shephard, N.
keywords: MAXIMUM LIKELIHOOD ; SIMULATION ; EVALUATION
length: 43 pages
abstract: This paper is concerned with the Bayesian estimation of non-linear stochastic differential equations when only discrete observations are available. The estimation is carried out using a tuned MCMC method, in particular a blcked Metropolis-Hastings algorithm, by introducing auxiliary points and by using the Euler-Maruyama discretisation scheme. Techniques for computing the likelihood function, the marginal likelihood and diagnostic measures (all based on the MCMC output) are presented.
classification-jel: C13 C15
creation-date: 1998
handle: RePEc:nuf:econwp:146

template-type: ReDIF-Paper 1.0
title: Catch-Up and Leapfrog Between The USA and Japan.
author-name: Cameron, G.
keywords: INNOVATIONS ; RESEARCH AND DEVELOPMENT ; HUMAN RESOURCES
length: 44 pages
abstract: The growth process for a technological leader is different from that of a follower. While followers can grow through imitation and capital deepening, a leader must undertake original research. This suggests that as the gap between the leader and the follower narrows, the follower must undertake more formal R&D and possibly face a slower overall growth rate. This paper examines these ideas by discussing some simple models of technological catch-up and convergence and then applying them to the relative growth experiences of US and Japanese manufacturing. We construct measures of relative total factor productivity for eleven Japanese manufacturing industries and test whether a smaller productivity gap leads to slower growth, and whether R&D takes over as the engine of growth as Japan approaches the technological frontier. Our results suggests that Japanese and US productivity have been growing at similar rates since the mid-1970s, and that some of the Japanese growth slowdown is attributable to the exhaustion of imitation possibilities. Furthermore, since Japanese total factor productivity growth is faster than US growth before the mid-1970s, our results cast doubt on much of the cross-section convergence literature that assumes similar technology parameters across countries.
classification-jel: C13 C23 O30 O47
creation-date: 1998
handle: RePEc:nuf:econwp:148

template-type: ReDIF-Paper 1.0
title: A Theory of the Onset of Currency Attacks.
author-name: Morris, S.
author-name: Shin, H.S.
keywords: CURRENCIES ; MONETARY CRISIS
length: 28 pages
abstract: The swiftness and devastating impact of recent financial crises have taken many market participants by surprise, and pose challenges for economists seeking a theory of the onset of a crisis. We propose such a theory based on two features. The actions of diverse economic actors which undermine the currency are mutually reinforcing, while the fragment nature of the media create small disparities in their information. In such circumstances, the beliefs of market participants can be tracked in the same way as the economic fundamentals, and an attach is triggered when the economic fundamentals deteriorate sufficiently to fall below the minimum level of market confidence necessary to support the currency. We give a characterization of such a minimum level of confidence.
classification-jel: F31 D82
creation-date: 1998
handle: RePEc:nuf:econwp:149

template-type: ReDIF-Paper 1.0
title: Status Effects and Neganive Utility Growth.
author-name: Cooper, B.
author-name: Garcia-Penalosa, C.
keywords: GAME THEORY ; ECONOMIC GROWTH
length: 34 pages
abstract: This paper explains the observed stagnation of 'Happiness' measures in the post-war period through a growth model in which agents care about conspicuous consumption.
classification-jel: C70 H20 O40
creation-date: 1998
handle: RePEc:nuf:econwp:150