| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP3313
|
| DP3313 Forecast Pooling for Short Time Series of Macroeconomic Variables |
| Massimiliano Marcellino
|
| 发表日期 | 2002-04-20
|
| 出版年 | 2002
|
| 语种 | 英语
|
| 摘要 | The objective of this Paper is to propose a number of alternative decentralized interpretations of representative agent style stochastic growth economies and to explore their implications for the generality of this model construct. Under our first interpretation, firms exist forever and undertake all multi-period investment decisions while consumer-worker-investors only own financial claims to the firm?s output. This contrasts with the more standard decentralization approach where firms exist on a period-by-period basis and consumer-worker--investors have direct title to the economy?s capital stock. Under our second interpretation shareholders hire a manager who undertakes the firm?s investment decisions in conformity with his incentive contract. The time series properties of the shareholder-manager economy are seen to replicate those of the analogous representative agent economy if and only if the manager?s contract assumes a specific form. This suggests the time series properties of an economy where incentive contracts such as stock option plans are pervasive will differ from those of more standard real business cycle models. |
| 主题 | Financial Economics
|
| 关键词 | Stochastic growth model
Business cycles
Delegated management
|
| URL | https://cepr.org/publications/dp3313
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532339
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推荐引用方式
GB/T 7714 |
Massimiliano Marcellino. DP3313 Forecast Pooling for Short Time Series of Macroeconomic Variables. 2002.
|
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