SIRE
http://repo.sire.ac.uk:80
The DSpace digital repository system captures, stores, indexes, preserves, and distributes digital research material.2019-08-19T11:15:45Z'Modern' Phillips Curves and the Implications For The Statistical Process of Inflation
http://hdl.handle.net/10943/692
'Modern' Phillips Curves and the Implications For The Statistical Process of Inflation
Russel, Bill
'Modern' theories of the Phillips curve imply that inflation is an integrated, or near integrated process. This paper explains this implication and why these 'modern' theories are logically inconsistent with what is commonly known about the statistical process of inflation.
2015-06-18T00:00:00ZRepresentations and the Corruption of Goods
http://hdl.handle.net/10943/691
Representations and the Corruption of Goods
Jones, Martin K
The traditional view of the economic agent is of an individual who is self-interested, rational and perceives the world “correctly”. However, there is a lot of experimental and other evidence that undermines this view of agents. It is argued that an attempt to model these agents properly requires the cognitive science idea of a mental representation- a mental state with content. It is shown that this idea gives economists resources to discuss critiques of economics by Sandel (2012) and Grant (2012). In particular, it allows us to think clearly about the notion of goods being “corrupted” by a change in context from a non-market to a market situation.
2015-03-01T00:00:00ZRevisiting Shiller’s excess volatility hypothesis
http://hdl.handle.net/10943/690
Revisiting Shiller’s excess volatility hypothesis
Rambaccussing, Dooruj
One of the cornerstone of financial anomalies is that there exists money making opportunities. Shiller’s excess volatility theory is re-investigated from the perspective of a trading strategy where the present value is computed using a series of simple econometric models to forecast the present value. The results show that the excess volatility may not be exploited given the data available until time t. However, when learning is introduced empirically, the simple trading strategy may offer profits, but which are likely to disappear once transaction costs are considered.
2015-02-01T00:00:00ZA test of long memory hypothesis based on self-similarity
http://hdl.handle.net/10943/689
A test of long memory hypothesis based on self-similarity
Rambaccussing, Dooruj; Davidson, James
This paper develops a new test of true versus spurious long memory, based on log-periodogram estimation of the long memory parameter using skip-sampled data. A correction factor is derived to overcome the bias in this estimator due to aliasing. The procedure is designed to be used in the context of a conventional test of significance of the long memory parameter, and composite test procedure described that has the properties of known asymptotic size and consistency. The test is implemented using the bootstrap, with the distribution under the null hypothesis being approximated using a dependent-sample bootstrap technique to approximate short-run dependence following fractional differencing. The properties of the test are investigated in a set of Monte Carlo experiments. The procedure is illustrated by applications to exchange rate volatility and dividend growth series.
2015-01-01T00:00:00Z