TY  - JOUR
AU  - Lo,Andrew W.
AU  - MacKinlay,A. Craig
AU  - Zhang,June
TI  - Econometric Models of Limit-Order Executions
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 6257
PY  - 1997
Y2  - November 1997
UR  - http://www.nber.org/papers/w6257
L1  - http://www.nber.org/papers/w6257.pdf
N1  - Author contact info:
Andrew W. Lo
MIT Sloan School of Management
100 Main Street, E62-618
Cambridge, MA  02142
Tel: 617/253-0920
Fax: 781/891-9783
E-Mail: alo@mit.edu

A. Craig MacKinlay
Department of Finance, Wharton School
University of Pennsylvania, Steinberg-Dietrich Hal
3620 Locust Walk
Philadelphia, PA  19104-6367
Tel: 215/898-5309
Fax: 215/898-6200
E-Mail: MACKINLAY@WHARTON.UPENN.EDU
AB  - This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is amplified by real wage rigidity in the labor market. We also argue that" given the level of real wage rigidity that is observed in developed countries nominal stickiness might be sufficient for money to produce economic fluctuations as persistent" as those observed in the data.
ER  -