The Survival of Noise Traders in Financial Markets / J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers, Robert J. Waldmann.

Format:

Book

Author/Creator:

De Long, J. Bradford.

Contributor:

National Bureau of Economic Research.

Shleifer, Andrei.

Summers, Lawrence H.

Waldmann, Robert J.

Series:

Working Paper Series (National Bureau of Economic Research) no. w2715.

NBER working paper series no. w2715

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1988.

Summary:

We use the revised estimates of U.S. GNP constructed by Christina Romer (1989) to assess the time-series properties of U.S. output per capita over the past century. We reject at conventional significance levels the null that output is a random walk in favor of the alternative that output is a stationary autoregressive process about a linear deterministic trend. The difference between the lack of persistence of output shocks either before WWII or over the entire century, on the one hand, and the strong signs of persistence of output shocks found by Campbell and Mankiw (1987) and by Nelson and Plosser (1982) for more recent periods is striking. It suggests to us a Keynesian interpretation of the large unit root in post-WWII U.S. output: perhaps post-WWII output shocks appear persistent because automatic stabilizers and other demand-management policies have substantially damped the transitory fluctuations that made up the pre-WWH Bums-Mitchell business cycle.

Notes:

Print version record

September 1988.