scholarly journals On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics

10.3386/w1162 ◽  
1983 ◽  
Author(s):  
Bennett McCallum
Keyword(s):  
Low Frequency ◽  
Long Run

Tradeoff Theory and Leverage Dynamics of High-Frequency Debt Issuers*

2020 ◽  
Author(s):  
B Espen Eckbo ◽  
Michael Kisser
Keyword(s):  
High Frequency ◽  
Low Frequency ◽  
Debt Financing ◽  
Trade Off ◽  
Speed Of Adjustment ◽  
Industrial Companies ◽  
Long Run ◽  
Speed Up ◽  
Target Leverage ◽  
Leverage Dynamics

Abstract We test whether high-frequency net-debt issuers (HFIs)—public industrial companies with relatively low issuance costs and high debt-financing benefits—manage leverage toward long-run targets. Our answer is they do not: (1) the leverage–profitability correlation is negative even in quarters with leverage rebalancing; (2) the speed-of-adjustment to target leverage deviations is no higher for HFIs than for low-frequency net-debt issuers; and (3) under-leveraged HFIs do not speed up rebalancing activity in significant investment periods. Thus, even in the subset of firms most likely to follow dynamic trade-off theory, the theory does not appear to hold.

scholarly journals Uncertainty in forecasts of long-run economic growth

2018 ◽  
Vol 115 (21) ◽  
pp. 5409-5414 ◽  
Author(s):  
P. Christensen ◽  
K. Gillingham ◽  
W. Nordhaus
Keyword(s):  
Economic Growth ◽  
Growth Rates ◽  
Social Insurance ◽  
Low Frequency ◽  
The United States ◽  
Long Run ◽  
Per Capita ◽  
Econometric Approach ◽  
Economic Growth Rates ◽  
Global Growth

Forecasts of long-run economic growth are critical inputs into policy decisions being made today on the economy and the environment. Despite its importance, there is a sparse literature on long-run forecasts of economic growth and the uncertainty in such forecasts. This study presents comprehensive probabilistic long-run projections of global and regional per-capita economic growth rates, comparing estimates from an expert survey and a low-frequency econometric approach. Our primary results suggest a median 2010–2100 global growth rate in per-capita gross domestic product of 2.1% per year, with a standard deviation (SD) of 1.1 percentage points, indicating substantially higher uncertainty than is implied in existing forecasts. The larger range of growth rates implies a greater likelihood of extreme climate change outcomes than is currently assumed and has important implications for social insurance programs in the United States.

scholarly journals The Substitution Elasticity, Factor Shares, and the Low-Frequency Panel Model

2017 ◽  
Vol 9 (4) ◽  
pp. 225-253 ◽  
Author(s):  
Robert S. Chirinko ◽  
Debdulal Mallick
Keyword(s):  
Low Frequency ◽  
Estimation Methods ◽  
Function Estimation ◽  
Pass Filter ◽  
Low Pass Filter ◽  
Long Run ◽  
New Strategy ◽  
Low Pass ◽  
Secular Decline ◽  
Production Function Estimation

The value of the elasticity of substitution between labor and capital (σ) is a crucial assumption in understanding the secular decline in the labor share of income. This paper develops and implements a new strategy for estimating this crucial parameter by combining a low-pass filter with panel data to identify the low-frequency/long-run relations appropriate to production function estimation. Standard estimation methods, which do not filter out transitory variation, generate downwardly biased estimates of 40 percent to 70 percent relative to the benchmark value. Despite correcting for this bias, our preferred estimate of 0.40 is substantially below the Cobb-Douglas assumption of σ = 1. (JEL C51, E22, E24, E25, O41)

scholarly journals HIGH AND LOW FREQUENCY OSCILLATIONS IN DRUG EPIDEMICS

2006 ◽  
Vol 16 (11) ◽  
pp. 3275-3289 ◽  
Author(s):  
JONATHAN P. CAULKINS ◽  
ALESSANDRA GRAGNANI ◽  
GUSTAV FEICHTINGER ◽  
GERNOT TRAGLER
Keyword(s):  
Low Frequency ◽  
Dimensional Model ◽  
Drug Experience ◽  
Minor Variation ◽  
Prevalence Data ◽  
Low Frequency Oscillations ◽  
Long Run ◽  
Short Run ◽  
Parameter Values ◽  
Pronounced Peak

We extend the two-dimensional model of drug use introduced in [Behrens et al., 1999, 2000, 2002] by considering two additional states that represent in more detail newly initiated ("light") users' response to the drug experience. Those who dislike the drug quickly "quit" and briefly suppress initiation by others. Those who like the drug progress to ongoing ("moderate") use, from which they may or may not escalate to "heavy" or dependent use. Initiation is spread contagiously by light and moderate users, but is moderated by the drug's reputation, which is a function of the number of unhappy users (recent quitters + heavy users). The model reproduces recent prevalence data reasonably well from the U.S. cocaine epidemic, with one pronounced peak followed by decay toward a steady state. However, minor variation in parameter values yields both long-run periodicity with a period akin to the gap between the first U.S. cocaine epidemic (peak ~1910) and the current one (peak ~1980), as well as short-run periodicity akin to that observed in data on youthful use for a variety of substances. The combination of short- and long-run periodicity is reminiscent of the elliptical burstors described by Rubin and Terman [2002]. The existence of such complex behavior including cycles, quasi periodic solutions, and chaos is proven by means of bifurcation analysis.

LONG-RUN RISK AND MONEY MARKET RATES: AN EMPIRICAL ASSESSMENT

2016 ◽  
Vol 21 (4) ◽  
pp. 1096-1117
Author(s):  
Stefano d'Addona
Keyword(s):  
Interest Rates ◽  
Negative Relationship ◽  
Low Frequency ◽  
Money Market ◽  
Power Utility ◽  
Consumption Growth ◽  
Empirical Estimates ◽  
Long Run ◽  
Risk Free Rate ◽  
Long Run Risk

Using postwar U.S. data, I study the implied interest rates in a simple long-run risk (LRR) model. Empirical estimates show that, as in standard consumption-based models with power utility preferences, the movements of the implied risk-free rate are entirely determined by the variations of expected consumption growth. This leads to a negative relationship between LRR Euler equation rates and money market rates. Nevertheless, when the low-frequency movements of consumption growth are accounted for, the long-run component of consumption growth is a key element to partially capture the countercyclical variations of the money market rates.

On low frequency and long-run effects in self-tuning control

Automatica ◽  
1983 ◽  
Vol 19 (4) ◽  
pp. 419-424 ◽  
Author(s):  
K. Latawiec ◽  
M. Chyra
Keyword(s):  
Low Frequency ◽  
Long Run ◽  
Self Tuning

Low Frequency Drift and Long Run Effects in Self-tuning Control

1979 ◽  
Vol 12 (8) ◽  
pp. 1169-1178 ◽  
Author(s):  
K. Latawiec ◽  
M. Chyra
Keyword(s):  
Low Frequency ◽  
Frequency Drift ◽  
Long Run ◽  
Self Tuning

scholarly journals Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns

2015 ◽  
Vol 05 (04) ◽  
pp. 1550021 ◽  
Author(s):  
Belén Nieto ◽  
Alfonso Novales ◽  
Gonzalo Rubio
Keyword(s):  
Low Frequency ◽  
Frequency Component ◽  
Corporate Bond ◽  
Financial Indicators ◽  
Short Term ◽  
Macroeconomic Conditions ◽  
Long Run ◽  
Bond Returns ◽  
Out Of Sample ◽  
Bond Return

In this paper, we address the issue of how macroeconomic conditions affect corporate bond volatility. We employ the GARCH-MIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out-of-sample analysis show that recognizing the existence of a stochastic low-frequency component captured by macroeconomic and financial indicators may improve the fit of the model to actual bond return data, relative to the constant long-run component embedded in a typical GARCH model.

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