In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

Forecasting, Structural Time Series Models and the Kalman Filter

We investigate whether income inequality affects subsequent growth in a cross-country sample for 1965-90, using the models of Barro (1997), Bleaney and Nishiyama (2002) and Sachs and Warner (1997), with negative results. We then investigate the evolution of income inequality over the same period and its correlation with growth. The dominating feature is inequality convergence across countries. This convergence has been significantly faster amongst developed countries. Growth does not appear to influence the evolution of inequality over time. Outline

https://www.econstor.eu/bitstream/10419/81822/1/02-28.pdf

Economic growth and income inequality

Utility Analysis and the Consumption Function: An Interpretation of Cross-Section Data

Financial systems are crucial to the allocation of resources in a modern economy. They channel household savings to the corporate sector and allocate investment funds among firms; they allow intertemporal smoothing of consumption by households and expenditures by firms; and they enable households and firms to share risks. These functions are common to the financial systems of most developed economies. Yet the form of these financial systems varies widely. In the United States and the United Kingdom competitive markets dominate the financial landscape, whereas in France, Germany, and Japan banks have traditionally played the most important role. Why do different countries have such different financial systems? Is one system better than all the others? Do different systems merely represent alternative ways of satisfying similar needs? Is the current trend toward market-based systems desirable? Franklin Allen and Douglas Gale argue that the view that market-based systems are best is simplistic. A more nuanced approach is necessary. For example, financial markets may be bad for risk sharing; competition in banking may be inefficient; financial crises can be good as well as bad; and separation of ownership and control can be optimal. Financial institutions are not simply veils, disguising the allocation mechanism without affecting it, but are crucial to overcoming market imperfections. An optimal financial system relies on both financial markets and financial intermediaries.

比较金融系统 = Comparing financial systems

dismantling the welfare state reagan thatcher and politics of retrenchment are a good way to achieve details about operating certainproducts. Many products that you buy can be obtained using instruction manuals. These user guides are clearlybuilt to give step-by-step information about how you ought to go ahead in operating certain equipments. Ahandbook is really a user's guide to operating the equipments. Should you loose your best guide or even the productwould not provide an instructions, you can easily obtain one on the net. You can search for the manual of yourchoice online. Here, it is possible to work with google to browse through the available user guide and find the mainone you'll need. On the net, you'll be able to discover the manual that you might want with great ease andsimplicity

Dismantling the Welfare State? Reagan, Thatcher, and the Politics of Retrenchment

Over the past decades financial investment of non-financial businesses has been rising and accumulation of capital goods has been declining. The first part of the paper offers a novel theory to explain this phenomenon. Financialization, the shareholder revolution and the development of a market for corporate control have shifted power to shareholders and thus changed management priorities, leading to a reduction in the desired growth rate. In the second part the link between accumulation and financialization is tested econometrically by means of a time series analysis of aggregate business investment for USA, UK, France, and Germany. Extensive test of robustness are performed. For the first three countries evidence that confirms the negative effect of financialization on accumulation is found. (author's abstract)

Financialisation and the slowdown of accumulation

The article argues that the economic imbalances that caused the present crisis should be thought of as the outcome of the interaction of the effects of financial deregulation with the macroeconomic effects of rising inequality. In this sense rising inequality should be regarded as a root cause of the present crisis. I identify four channels by which it has contributed to the crisis. First, rising inequality creates a downwards pressure on aggregate demand since poorer income groups have high marginal propensities to consume. Second, international financial deregulation has allowed countries to run larger current account deficits and for longer time periods. Thus, in reaction to potentially stagnant demand, two growth models have emerged: a debt-led model and an export-led model. Third, (in the debt-led growth models) higher inequality has led to higher household debt as working-class families have tried to keep up with social consumption norms despite stagnating or falling real wages. Fourth, rising inequality has increased the propensity to speculate as richer households tend to hold riskier financial assets than other groups. The rise of hedge funds and of subprime derivatives in particular has been linked to rise of the super-rich.

/pdf/rising-inequality-as-a-cause-of-the-present-crisis-odupwqj50v.pdf

Rising inequality as a cause of the present crisis

An increase in the wage share has contradictory effects on the subaggregates of aggregate demand. Private consumption expenditures ought to increase because wage incomes typically are associated with higher consumption propensities than capital incomes. Investment expenditures ought to be negatively affected because investment will positively depend on profits. Net exports will be negatively affected because an increase in the wage share corresponds to an increase in unit labour costs and thus a loss in competitiveness. Therefore, theoretically, aggregate demand can be either wage-led or profit-led depending on how these effects add up. The results will crucially depend on how open the economy is internationally. The paper estimates a post-Kaleckian macro model incorporating these effects for the Euro area and finds that the Euro area is presently in a wage-led demand regime. Implications for wage policies are discussed.

/pdf/functional-income-distribution-and-aggregate-demand-in-the-59liefey8e.pdf

Functional income distribution and aggregate demand in the Euro area

This paper investigates the effects of financialisation and functional income distribution on aggregate demand in the USA by estimating the effects of the increase in rentier income (dividends and interest payments) and housing and financial wealth on consumption and investment. The redistribution of income in favour of profits suppresses consumption, whereas the increase in the rentier income and wealth has positive effects. A higher rentier income decreases investment. Without the wealth effects, the overall effect of the changes in distribution on aggregate demand would have been negative. Thus a pro-capital income distribution leads to a slightly negative effect on growth, i.e. the USA economy is moderately wage-led.

/pdf/financialisation-income-distribution-and-aggregate-demand-in-2o1eb4l1mg.pdf

Financialisation, income distribution and aggregate demand in the USA

While there is an agreement that the Fordist accumulation regime has come to an end in the course of the 1970s, there is no agreement on how to characterize the post-Fordist regime (or if a such is already in place). The paper seeks put together various arguments related to financialization (in the broad sense) from a macroeconomic point of view and investigate the relevance of these arguments by means of an analysis stylized facts for EU countries. The paper discusses changes in investment behaviour, consumption behaviour and government expenditures, investigating to what extent changes are related to financialization. Households experience higher debt levels. Rising profits of businesses come with only moderate investment. The notion of a “finance-dominated” accumulation regime is proposed to highlight that financial developments crucially shape the pattern and the pace of accumulation. The finance dominated accumulation regime is characterized by a mediocre growth performance and by higher volatility. However, so far deregulated financial markets have not lead to major financial crises in advanced capitalist economies. A possible reason for this is that the size of the state sector has not been substantially reduced despite neoliberal attempts to do so.

/pdf/some-stylized-facts-on-the-finance-dominated-accumulation-249ar352fn.pdf

Engelbert Stockhammer

Papers

Financialisation and the slowdown of accumulation

Rising inequality as a cause of the present crisis

Functional income distribution and aggregate demand in the Euro area

Financialisation, income distribution and aggregate demand in the USA

Some Stylized Facts on the Finance-Dominated Accumulation Regime