Joao Ejarque

Institute of Economics
University of Copenhagen
Studiestraede 6
1455 Copenhagen, DENMARK


NBER Working Papers and Publications

March 2001Exhuming Q: Market Power vs. Capital Market Imperfections
with Russell Cooper: w8182
Evidence of the statistical significance of profits in Q regressions remains one of the principal findings in the empirical investment literature. This result is frequently taken to support the view that capital market imperfections are an important element for understanding investment. This paper challenges that conclusion. We argue that allowing the profit function at the firm level to be strictly concave, reflecting, for example, market power, is sucent to replicate the Q theory based regression results in which profits are a significant factor determining investment. To be clear, our ability to replicate the existing results does not require the specification of any capital market imperfections. Thus the friction that explains the statistical significance of profits could be market...
May 1995Financial Intermediation and The Great Depression: A Multiple Equilibrium Interpretation
with Russell Cooper: w5130
This paper explores the behavior of the U.S. economy during the interwar period from the perspective of a model in which the existence of non-convexities in the intermediation process gives rise to a multiplicity of equilibria. The resulting indeterminancy is resolved through a sunspot process which leads to endogenous fluctuations in aggregate economic activity. From this perspective, the Depression period is represented as a regime shift associated with a financial crisis. Our model economy has properties which are broadly consistent with observations over the interwar period. Contrary to observation, the model predicts a negative correlation of consumption and investment as well as a highly volatile capital stock. Our model of financial crisis reproduces many aspects of the Great D...

Published: Carnegie-Rochester Conference Series on Public Policy, Vol 43 (1995), pp. 285-323.

August 1994Financial Intermediation and Aggregate Fluctuations: A Quantative Analysis
with Russell Cooper: w4819
This paper investigates the quantitative implications of two business cycle models in which aggregate fluctuations arise in response to variations in the process of financial intermediation. In the first, fundamental shocks in the capital accumulation process lead to fluctuations in the real returns from intermediated investment. For this economy, we find that the correlations produced are not consistent with observations of the U.S. economy. In particular, consumption is not smoother than output, investment is negatively correlated with output, variations in the capital stock are quite large and interest rates are procyclical. In an economy with both intermediation and total factor productivity shocks, the correlations we produce are closer to those observed in the U.S. economy only whe...

Published: Cooper, Russell & Ejarque, Jo o, 2000. "Financial Intermediation And Aggregate Fluctuations: A Quantitative Analysis," Macroeconomic Dynamics, Cambridge University Press, vol. 4(04), pages 423-447, December.

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