In this paper we examine the prevalence of data, specification, and parameter uncertainty in the formation of simple rules that mimic monetary policymaking decisions. Our approach is to build real-time data sets and simulate a real-time policy-setting environment in which we assume that policy is captured by movements in the actual federal funds rate, and then to assess what sorts of policy rule models and what sorts of data best explain what the Federal Reserve actually did.
Time series are demeaned when sample autocorrelation functions are computed. By the same logic it would seem appealing to remove seasonal means from seasonal time series before computing sample autocorrelation functions. Yet, standard practice is only to remove the overall mean and ignore the possibility of seasonal mean shifts in the data.
We examine several autoregressive-based estimators for the parameters of a moving average process, including the estimators initially proposed by Galbraith and Zinde-Walsh [1994] and Gouriéroux, Monfort and Renault [1993]. We also propose over-identified asymptotic-least-squares based variants of the former, and extensions of the latter based on Gallant and Tauchen's [1996] simulated method of moments.
We propose a class of two factor dynamic models for duration data and related risk analysis in finance and insurance. Empirical findings suggest that the conditional mean and (under) overdispersion of times elapsed between stock trades feature various patterns of temporal dependence.
Simulation-based estimation methods have become more widely used in recent years. We propose a set of tests for structural change in models estimated via simulated method of moments (see Duffe and Singleton (Econometrica 61 (1993) 929).
Applied financial econometrics subjects are featured in this second volume, with papers that survey important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks.
Multinational corporations (MNCs) are adopting increasingly diverse and complex marketing channels to sell their products worldwide. They strive to manage channels that confront diverse demands from headquarters, foreign subsidiaries, and local partners as well as complex market environments.
The use of celebrity endorsements varies across countries; does their effectiveness similarly vary across cultures? The authors propose that power distance beliefs (PDB), a cultural orientation related to the extent to which people expect and accept differences in power, moderate the effects of celebrity endorsements.
In business-to-business (B2B) markets, the success of key account management (KAM) teams depends on how they are structured and how they handle customer relationships.
Using U.S. venture capital investment data from 1985 to 2008 and qualitative interviews, we examine how group dynamics influence the growth of interorganizational collaborations through the addition of new members.
This study examines the relation between audit personnel salaries and office-level audit quality. We measure audit personnel salaries at the associate, senior, and manager ranks for Big 4 audit offices from 2004 to 2013, using unique individual-auditor-level data obtained from the U.S. Department of Labor.
People differ greatly in their financial risk taking behaviour. This heterogeneity has been associated with differences in brain activity, but only in laboratory settings using constrained behaviours. However, it is important to understand how these measures transfer to real life conditions, because the willingness to invest in riskier assets has a direct and considerable effect on long-term wealth accumulation.
A central idea in the feedback seeking literature is that there should be a positive relationship between self-efficacy and the likelihood of seeking feedback. Yet empirical findings have not always matched this theoretical claim. Departing from current theorizing, we argue that high self-efficacy may sometimes decrease feedback seeking by making people undervalue feedback and that perspective taking is an important factor in determining whether or not this occurs.
Voice, or the expression of work-related suggestions or opinions, can help teams access and utilize members’ privately held knowledge and skills and improve collective outcomes. However, recent research has suggested that sometimes, rather than encourage positive outcomes for teams, voice from members can have detrimental consequences.
After screening for attentiveness and comprehension, we present subjects with Ellsberg's (1961) two‐urn problem using essentially equivalent but representationally complex matrices. High‐comprehension subjects exhibit rates of ambiguity aversion typical of the standard two‐urn problem, while low‐comprehension subjects appear to randomise.
What is the impact of higher technological volatility on asset prices and macroeconomic aggregates? I find the answer hinges on its sectoral origin. Volatility that originates from the consumption (investment) sector drops (raises) macroeconomic growth rates and stock prices.
Empirical research in operations management has increased steadily over the last 20 years. In this paper, we discuss why this is good for our field and offer some comments on the qualities we admire in an empirical operations management paper.
This trial will provide evidence on the impact of a behavioral intervention to implement huddles as a key component of team-based care models. Knowledge gained from this trial will be critical to broader deployment and successful implementation of team-based care models.
In this paper, we propose a research agenda for psychologists in general, and scholars of culture and negotiations in particular, to address the key challenges of dealing with an increasingly globalized world from a psychological perspective. Building on an understanding of globalization in terms of cultural and subjective matters, we propose three research domains in which psychology scholars can contribute to a further understanding of our global society: (a) the effects of global contact on cognition and behavior; (b) hybridization and human agency; and (c) new forms of cooperation.
We hypothesized that individuals in cultures typified by lower levels of relational mobility would tend to show more attention to the surrounding social and physical context (i.e., holistic vs. analytic thinking) compared with individuals in higher mobility cultural contexts. Six studies provided support for this idea. Studies 1a and 1b showed that differences in relational mobility in cultures as diverse as the U.S., Spain, Israel, Nigeria, and Morocco predicted patterns of dispositional bias as well as holistic (vs. analytic) attention.