The Survival of Noise Traders in Financial Markets
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.
(This abstract was borrowed from another version of this item.)
|Date of creation:|
|Date of revision:|
|Publication status:||published in Journal of Business 64: 1 (January 1991), pp. 1-20. (Earlier version issued as NBER working paper no. 2715, September 1988.)|
|Contact details of provider:|| Postal: 549 Evans Hall # 3880, Berkeley, CA 94720-3880|
Phone: 510-643-4027, 925-283-2709
Fax: 510-642-6615, 925-283-3897
Web page: http://econ161.berkeley.edu/Econ_Articles/Econ_Articles.html
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
- Pagano, Marco, 1986.
"Endogenous Market Thinness and Stock Price Volatility,"
CEPR Discussion Papers
146, C.E.P.R. Discussion Papers.
- Marco Pagano, 1989. "Endogenous Market Thinness and Stock Price Volatility," Review of Economic Studies, Oxford University Press, vol. 56(2), pages 269-287.
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990.
"Noise Trader Risk in Financial Markets,"
3725552, Harvard University Department of Economics.
- Campbell, J.Y. & Kyle, A.S., 1988.
"Smart Money, Noise Trading And Stock Price Behavior,"
95, Princeton, Department of Economics - Financial Research Center.
- John Y. Campbell & Albert S. Kyle, 1993. "Smart Money, Noise Trading and Stock Price Behaviour," Review of Economic Studies, Oxford University Press, vol. 60(1), pages 1-34.
- Kyle, Albert & Campbell, John, 1993. "Smart Money, Noise Trading and Stock Price Behaviour," Scholarly Articles 3208217, Harvard University Department of Economics.
- John Y. Campbell & Albert S. Kyle, 1988. "Smart Money, Noise Trading and Stock Price Behavior," NBER Technical Working Papers 0071, National Bureau of Economic Research, Inc.
- Robert J. Shiller, 1984.
"Stock Prices and Social Dynamics,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
When requesting a correction, please mention this item's handle: RePEc:wop:calbec:_123. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.