Showing results 1 to 10 of approximately 10.(refine search)
A study of automobile inventory investment
Interest sensitivity and volatility reductions: cross-section evidence
As has been widely observed, the volatility of GDP has declined since the mid-1980s compared with prior years. One leading explanation for this decline is that monetary policy improved significantly in the later period. We utilize a cross-section of 2-digit manufacturing and trade industries to further investigate this explanation. Since a major channel through which monetary policy operates is variation in the federal funds rate, we hypothesized that industries that are more interest sensitive should have experienced larger declines in the variance of their outputs in the post-1983 period. ...
Sales persistence and the reductions in GDP volatility
A number of explanations for the observed decline in GDP volatility since the mid-1980s have been offered. Valerie Ramey and Daniel Vine (2003a, 2003b) in a couple of recent papers offer the hypothesis that a decline in the persistence of sales is an explanation for the decline in GDP volatility. Their models show that a decrease in sales persistence leads to a decline in the variance of production relative to the variance of sales. They provide econometric evidence that the persistence of unit automobile sales has declined at both the aggregate and model level. This paper explores reasons ...
The roles of comovement and inventory investment in the reduction of output volatility
Most of the reduction in GDP volatility since the 1983 is accounted for by a decline in comovement of output among industries that hold inventories. This decline is not simply a passive byproduct of reduced volatility in common factors or shocks. Instead, structural changes occurred in the long-run and dynamic relationships among industries? sales and inventory investment behavior?especially in the automobile and related industries, which are linked by supply and distribution chains featuring new production and inventory management techniques. Using a HAVAR model (Fratantoni and Schuh 2003) ...