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A generalized variance bounds test

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  • Tryphon E. Kollintzas

Abstract

This paper presents a two-country overlapping generations model in which financial intermediation arises endogenously as an incentive-compatible means of economizing on monitoring costs. Because of the existence of transactions costs, money markets in the two countries are segmented and investors have differential access to international credit markets. The model is used to generate predictions about the role of international intermediation in economic development and to examine the nature of business cycle phenomena across alternative exchange rate regimes. Disturbances are propagated by a credit allocation mechanism, which also lends a novel flavor to the model?s long-run properties.

Suggested Citation

  • Tryphon E. Kollintzas, 1988. "A generalized variance bounds test," Staff Report 113, Federal Reserve Bank of Minneapolis.
    • Handle: RePEc:fip:fedmsr:113
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    References listed on IDEAS

    as
    1. Lars Peter Hansen & Thomas J. Sargent, 1980. "Linear rational expectations models for dynamically interrelated variables," Working Papers 135, Federal Reserve Bank of Minneapolis.
    2. Kollintzas, Tryphon E. & Husted, Steven L., 1984. "Distributed lags and intermediate good imports," Journal of Economic Dynamics and Control, Elsevier, vol. 8(3), pages 303-327, December.
    3. West, Kenneth D, 1986. "A Variance Bounds Test of the Linear Quadratic Inventory Model," Journal of Political Economy, University of Chicago Press, vol. 94(2), pages 374-401, April.
    4. Eichenbaum, Martin S., 1984. "Rational expectations and the smoothing properties of inventories of finished goods," Journal of Monetary Economics, Elsevier, vol. 14(1), pages 71-96, July.
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