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We examine whether the news shocks, as explored in Beaudry and Portier (2004), can be a major source of aggregate fluctuations. For this purpose, we extend a dynamic stochastic general equilibrium model, à la Christiano, Eichenbaum, and Evans (2005), by allowing news shocks on the total factor productivity and estimate the model using Bayesian methods.… (More)

- Mario J. Crucini, Mototsugu Shintani
- 2002

We study the dynamics of good-by-good real exchange rates using a micro-panel of 270 goods prices drawn from major cities in 71 countries and 245 goods prices drawn from 13 major U.S. cities. We Þnd half-lives of deviations from the Law-of-One-Price for the average good is about 1 year; somewhat lower for U.S. cities and somewhat higher for cities in the… (More)

This paper considers the test of a unit root in transitional autoregressive models. In particular, we develop the asymptotic theory of the inf-t test for the null hypothesis of a unit root in a wide class of nonlinear autoregressive models having parameters that are identified only under the alternative of stationarity. Our framework is very general and… (More)

This paper considers the bootstrap for the GMM estimator of overidentified linear models when autocorrelation structures of moment functions are unknown. When moment functions are uncorrelated after finite lags, Hall and Horowitz, [1996. Bootstrap critical values for tests based on generalized method of moments estimators. Econometrica 64, 891–916] showed… (More)

This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational deÞnition of chaos. We introduce a statistical framework for testing the chaotic hypothesis based on the estimated Lyapunov exponents and a consistent variance… (More)

A positive Lyapunov exponent is one practical deÞnition of chaos. We develop a formal test for chaos in a noisy system based on the consistent standard errors of the nonparametric Lyapunov exponent estimators. When our procedures are applied to international real output series, the hypothesis of the positive Lyapunov exponent is signiÞcantly rejected in… (More)

- Christian Ahlin, Mototsugu Shintani
- 2006

We revisit a foundational theoretical paper in the menu cost literature, Sheshinski and Weiss (1983), one of the few to treat stochastic inflation with persistent deviations from trend. In contrast to the original finding, we find that optimal pricing in this environment entails using different (s, S) bands in high-inflation and low-inflation states of the… (More)

- Mototsugu Shintani, Mario Crucini, Mototsugu Fukushige, Ron Gallant, Satoru Kanoh, Serena S.W. Ng
- 2004

It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real exchange rates. However, inspired by trade cost models, nonlinear adjustment has been widely employed in recent empirical studies. This paper proposes a simple nonparametric procedure… (More)

- Mototsugu Shintani, Morten O. Ravn, Stephanie Schmitt-Grohé, Martin Uribe, Tommaso Monacelli, Roberto Perotti
- 2006

A long-standing puzzle in open economy macroeconomics is the fact that prices of the same good across countries, expressed in the same currency, differ widely and persistently over the business cycle. The observed deviations from the law of one price hold even for individual goods that are actively traded internationally, and even in the absence of tariffs… (More)

- Mototsugu Shintani, Akiko Terada-Hagiwara, +5 authors Takushi Kurozumi
- 2009

This paper investigates the relationship between the exchange rate passthrough (ERPT) and inflation by estimating a nonlinear time series model. Using a simple theoretical model of ERPT determination, we show that the dynamics of ERPT can be well-approximated by a class of smooth transition autoregressive (STAR) models with inflation being a transition… (More)