NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Refet Gurkaynak

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Working Papers

January 2006Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty, and Risk
with Justin Wolfers: w11929
In September 2002, a new market in %u201CEconomic Derivatives%u201D was launched allowing traders to take positions on future values of several macroeconomic data releases. We provide an initial analysis of the prices of these options. We find that market-based measures of expectations are similar to survey-based forecasts although the market-based measures somewhat more accurately predict financial market responses to surprises in data. These markets also provide implied probabilities of the full range of specific outcomes, allowing us to measure uncertainty, assess its driving forces, and compare this measure of uncertainty with the dispersion of point-estimates among individual forecasters (a measure of disagreement). We also assess the accuracy of market-generated probability density f...

Published:

July 2001Is Growth Exogenous? Taking Mankiw, Romer and Weil Seriously
with Ben S. Bernanke: w8365
Is long-run economic growth exogenous? To address this question, we show that the empirical framework of Mankiw, Romer, and Weil (1992) can be extended to test any growth model that admits a balanced growth path; and we use that framework both to revisit variants of the Solow growth model and to evaluate simple alternative models of endogenous growth. To allow for the possibility that economies in our sample are not on their balanced growth paths, we also study the cross-sectional behavior of TFP growth, which we estimate using alternative measures of labor's share. Our broad conclusion, based on both model estimation and growth accounting, is that long-run growth is significantly correlated with behavioral variables such as the savings rate, and that this correlation is not easily explain...

Published: Is Growth Exogenous? Taking Mankiw, Romer, and Weil Seriously, Ben S. Bernanke, Refet S. G├╝rkaynak. in NBER Macroeconomics Annual 2001, Volume 16, Bernanke and Rogoff. 2002

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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