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David E. Spencer

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Personal Details

First Name:David
Middle Name:E.
Last Name:Spencer
Suffix:
RePEc Short-ID:psp118
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Affiliation

Department of Economics
Brigham Young University

Provo, Utah (United States)
http://econ.byu.edu/
RePEc:edi:debyuus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Bryan Perry & Kerk L. Phillips & David E. Spencer, 2012. "Real Wages and Monetary Policy: A DSGE Approach," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-02, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  2. Bryan Perry & Kerk L. Phillips & David E. Spencer, 2012. "State-Level Evidence on the Cyclicality of Real Wages," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
  3. Phillips, Kerk L. & Spencer, David E., 2010. "Bootstrapping Structural VARs: Avoiding a Potential Bias in Confidence Intervals for Impulse Response Functions," MPRA Paper 23503, University Library of Munich, Germany.

Articles

  1. Bryan Perry & Kerk L Phillips & David E. Spencer, 2015. "State-Level Variation in the Real Wage Response to Monetary Policy," Annals of Economics and Finance, Society for AEF, vol. 16(1), pages 1-17, May.
  2. Bryan Perry & Kerk Phillips & David E. Spencer, 2015. "Real wages and monetary policy: a DSGE approach," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(5), pages 734-752, October.
  3. Phillips, Kerk L. & Spencer, David E., 2011. "Bootstrapping structural VARs: Avoiding a potential bias in confidence intervals for impulse response functions," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 582-594.
  4. Spencer David E., 2004. "Output Gap Uncertainty and Monetary Policy During the 1970s," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-20, February.
  5. Spencer, David E, 1998. "The Relative Stickiness of Wages and Prices," Economic Inquiry, Western Economic Association International, vol. 36(1), pages 120-137, January.
  6. Spencer, David E., 1993. "Developing a Bayesian vector autoregression forecasting model," International Journal of Forecasting, Elsevier, vol. 9(3), pages 407-421, November.
  7. Gray, Jo Anna & Spencer, David E, 1990. "Price Prediction Errors and Real Activity: A Reassessment," Economic Inquiry, Western Economic Association International, vol. 28(4), pages 658-681, October.
  8. Spencer, David E, 1989. "Does Money Matter? The Robustness of Evidence from Vector Autoregressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(4), pages 442-454, November.
  9. Spencer, David E, 1985. "Money Demand and the Price Level," The Review of Economics and Statistics, MIT Press, vol. 67(3), pages 490-496, August.
  10. Ram, Rati & Spencer, David E, 1983. "Stock Returns, Real Activity, Inflation, and Money: Comment," American Economic Review, American Economic Association, vol. 73(3), pages 463-470, June.
  11. Laumas, G S & Spencer, David E, 1982. "The Stability of the Demand for Money: Evidence from the Post-1973 Period: A Reply," The Review of Economics and Statistics, MIT Press, vol. 64(2), pages 358-369, May.
  12. Spencer, David E & Berk, Kenneth N, 1981. "A Limited Information Specification Test [Specification Tests in Econometrics]," Econometrica, Econometric Society, vol. 49(4), pages 1079-1085, June.
  13. Laumas, G S & Spencer, David E, 1980. "The Stability of the Demand for Money: Evidence from the Post-1973 Period," The Review of Economics and Statistics, MIT Press, vol. 62(3), pages 455-459, August.
  14. Spencer, David, 1979. "Forecasting economic series : C.W.J. Granger and Paul Newbold. New York: Academic Press, 1977; pp. xii + 333. $24.25," Journal of Macroeconomics, Elsevier, vol. 1(3), pages 318-319.
  15. Spencer, David E., 1979. "Estimation of a dynamic system of seemingly unrelated regressions with autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 10(2), pages 227-241, June.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Phillips, Kerk L. & Spencer, David E., 2010. "Bootstrapping Structural VARs: Avoiding a Potential Bias in Confidence Intervals for Impulse Response Functions," MPRA Paper 23503, University Library of Munich, Germany.

    Cited by:

    1. Randal J. Verbrugge & Saeed Zaman, 2023. "The Hard Road to a Soft Landing: Evidence from a (Modestly) Nonlinear Structural Model," Working Papers 23-03, Federal Reserve Bank of Cleveland.
    2. Bryan Perry & Kerk L Phillips & David E. Spencer, 2015. "State-Level Variation in the Real Wage Response to Monetary Policy," Annals of Economics and Finance, Society for AEF, vol. 16(1), pages 1-17, May.
    3. Randal J. Verbrugge & Saeed Zaman, 2023. "Post-COVID Inflation Dynamics: Higher for Longer," Working Papers 23-06R, Federal Reserve Bank of Cleveland, revised 20 Jun 2023.
    4. Adugna Olani, 2016. "Dynamic Capital Inflow Transmission Of Monetary Policy To Emerging Markets," Working Paper 1358, Economics Department, Queen's University.
    5. Tosapol Apaitan & Pongsak Luangaram & Pym Manopimoke, 2022. "Uncertainty in an emerging market economy: evidence from Thailand," Empirical Economics, Springer, vol. 62(3), pages 933-989, March.
    6. Filippo Lechthaler & Lisa Leinert, 2012. "Moody Oil - What is Driving the Crude Oil Price?," CER-ETH Economics working paper series 12/168, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.

Articles

  1. Bryan Perry & Kerk L Phillips & David E. Spencer, 2015. "State-Level Variation in the Real Wage Response to Monetary Policy," Annals of Economics and Finance, Society for AEF, vol. 16(1), pages 1-17, May.

    Cited by:

    1. Albert, Juan-Francisco & Peñalver, Antonio & Perez-Bernabeu, Alberto, 2020. "The effects of monetary policy on income and wealth inequality in the U.S. Exploring different channels," Structural Change and Economic Dynamics, Elsevier, vol. 55(C), pages 88-106.

  2. Phillips, Kerk L. & Spencer, David E., 2011. "Bootstrapping structural VARs: Avoiding a potential bias in confidence intervals for impulse response functions," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 582-594.
    See citations under working paper version above.
  3. Spencer David E., 2004. "Output Gap Uncertainty and Monetary Policy During the 1970s," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-20, February.

    Cited by:

    1. Hilde C. Bjørnland & Leif Brubakk & Anne Sofie Jore, 2006. "Forecasting inflation with an uncertain output gap," Working Paper 2006/02, Norges Bank.

  4. Spencer, David E, 1998. "The Relative Stickiness of Wages and Prices," Economic Inquiry, Western Economic Association International, vol. 36(1), pages 120-137, January.

    Cited by:

    1. Cervini-Plá, María & Silva, José I. & López-Villavicencio, Antonia, 2012. "Labor disruption costs and real wages cyclicality," MPRA Paper 42366, University Library of Munich, Germany.
    2. Lastrapes, William D., 2002. "Real wages and aggregate demand shocks: contradictory evidence from VARs," Journal of Economics and Business, Elsevier, vol. 54(4), pages 389-413.
    3. Bryan Perry & Kerk L. Phillips & David E. Spencer, 2012. "Real Wages and Monetary Policy: A DSGE Approach," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-02, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    4. Chandranath Amarasekara & George J. Bratsiotis, 2012. "Monetary policy and real wage cyclicality," Applied Economics, Taylor & Francis Journals, vol. 44(33), pages 4391-4408, November.
    5. Carter, Thomas J., 2005. "Money and efficiency wages: the neglected effect of employment on efficiency," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 34(2), pages 199-209, March.
    6. Holden, Helge & Holden, Lars & Holden, Steinar, 2010. "Contract adjustment under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 657-680, April.
    7. Steinar Holden, 2004. "Wage Formation under Low Inflation," CESifo Working Paper Series 1252, CESifo.
    8. Martin B. Schmidt, 2000. "The Dynamic Behavior of Wages and Prices: Cointegration Tests within a Large Macroeconomic System," Southern Economic Journal, John Wiley & Sons, vol. 67(1), pages 123-138, July.
    9. Moore, Tomoe & Pentecost, Eric J., 2006. "An investigation into the sources of fluctuation in real and nominal wage rates in eight EU countries: A structural VAR approach," Journal of Comparative Economics, Elsevier, vol. 34(2), pages 357-376, June.
    10. Thomas J. Carter, 2005. "Monetary Policy, Efficiency Wages, and Nominal Wage Rigidities," Eastern Economic Journal, Eastern Economic Association, vol. 31(3), pages 349-359, Summer.
    11. Martin Schmidt, 2003. "The relative adjustment of wages and prices: direct tests within a multiple-equation system," Applied Economics, Taylor & Francis Journals, vol. 35(8), pages 985-997.
    12. Holden,S., 2001. "Monetary policy and nominal rigidities under low inflation," Memorandum 16/2001, Oslo University, Department of Economics.
    13. Bryan Perry & Kerk L Phillips & David E. Spencer, 2015. "State-Level Variation in the Real Wage Response to Monetary Policy," Annals of Economics and Finance, Society for AEF, vol. 16(1), pages 1-17, May.
    14. Bryan Perry & Kerk L. Phillips & David E. Spencer, 2012. "State-Level Evidence on the Cyclicality of Real Wages," BYU Macroeconomics and Computational Laboratory Working Paper Series 2012-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    15. Jaromir Benes & Tibor Hledik & Michael Kumhof & David Vavra, 2005. "An Economy in Transition and DSGE: What the Czech National Bank’s New Projection Model Needs," Working Papers 2005/12, Czech National Bank.
    16. Nicholas Apergis & Alexandros Panethimitakis, 2011. "Stylised facts of Greek business cycles: new evidence from aggregate and across regimes data," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 3(2), pages 147-165.
    17. Torben M. Andersen & Niels C. Beier, 2003. "Propagation of Nominal Shocks in Open Economies," Manchester School, University of Manchester, vol. 71(6), pages 567-592, December.
    18. Doh-Khul Kim, 2005. "Real Wage and Nominal Shock: Evidence from Pacific-Rim Countries," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 11(3), pages 249-255, August.
    19. Andersen, Torben M., 1999. "Nominal rigidities and the optimal rate of inflation," CFS Working Paper Series 1999/08, Center for Financial Studies (CFS).

  5. Spencer, David E., 1993. "Developing a Bayesian vector autoregression forecasting model," International Journal of Forecasting, Elsevier, vol. 9(3), pages 407-421, November.

    Cited by:

    1. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2015. "Was the recent downturn in US real GDP predictable?," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2985-3007, June.
    2. Plakandaras, Vasilios & Gupta, Rangan & Papadimitriou, Theophilos & Gogas, Periklis, 2014. "Forecasting the U.S. Real House Price Index," DUTH Research Papers in Economics 10-2014, Democritus University of Thrace, Department of Economics.
    3. Ribeiro Ramos, Francisco Fernando, 2003. "Forecasts of market shares from VAR and BVAR models: a comparison of their accuracy," International Journal of Forecasting, Elsevier, vol. 19(1), pages 95-110.
    4. Alain Kabundi & Rangan Gupta, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
    5. Mirriam Chitalu Chama-Chiliba & Rangan Gupta & Nonophile Nkambule & Naomi Tlotlego, 2011. "Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection," Working Papers 201132, University of Pretoria, Department of Economics.
    6. Guangling 'Dave' Liu & Rangan Gupta & Eric Schaling, 2009. "A New-Keynesian DSGE model for forecasting the South African economy," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(5), pages 387-404.
    7. Bekiros, Stelios & Cardani, Roberta & Paccagnini, Alessia & Villa, Stefania, 2016. "Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs," Journal of Financial Stability, Elsevier, vol. 26(C), pages 216-227.
    8. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
    9. Rangan Gupta & Faaiqa Hartley, 2013. "The Role of Asset Prices in Forecasting Inflation and Output in South Africa," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 12(3), pages 239-291, December.
    10. Stelios D. Bekiros & Alessia Paccagnini, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Open Access publications 10197/7322, School of Economics, University College Dublin.
    11. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers 2009-42, University of Connecticut, Department of Economics.
    12. Ahlem DAHEM, 2016. "Short-Term Bayesian Inflation Forecasting For Tunisia: Some Empirical Evidence," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(1), pages 1-47, January.
    13. Kumar, V. & Leone, Robert P. & Gaskins, John N., 1995. "Aggregate and disaggregate sector forecasting using consumer confidence measures," International Journal of Forecasting, Elsevier, vol. 11(3), pages 361-377, September.
    14. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    15. Nonso Obikili, 2018. "Unfulfilled expectations and the emergence of the EFF," Working Papers 149, Economic Research Southern Africa.
    16. Mehmet Balcilar & Rangan Gupta & Renee van Eyden & Kirsten Thompson, 2015. "Comparing the Forecasting Ability of Financial Conditions Indices: The Case of South Africa," Working Papers 15-06, Eastern Mediterranean University, Department of Economics.
    17. Stelios D. Bekiros & Alessia Paccagnini, 2014. "Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models," Working Papers 2014-426, Department of Research, Ipag Business School.
    18. Bekiros, Stelios, 2014. "Forecasting with a state space time-varying parameter VAR model: Evidence from the Euro area," Economic Modelling, Elsevier, vol. 38(C), pages 619-626.
    19. Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar & Stephen M. Miller, 2012. "Was the Recent Downturn in US GDP Predictable?," Working Papers 201230, University of Pretoria, Department of Economics.

  6. Gray, Jo Anna & Spencer, David E, 1990. "Price Prediction Errors and Real Activity: A Reassessment," Economic Inquiry, Western Economic Association International, vol. 28(4), pages 658-681, October.

    Cited by:

    1. Ketter, W. & Collins, J. & Gini, M. & Gupta, A. & Schrater, P., 2008. "Tactical and Strategic Sales Management for Intelligent Agents Guided By Economic Regimes," ERIM Report Series Research in Management ERS-2008-061-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    2. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2000. "Aggregate Price Shocks and Financial Instability: An Historical Analysis," NBER Historical Working Papers 0125, National Bureau of Economic Research, Inc.
    3. W D A Bryant, 2009. "General Equilibrium:Theory and Evidence," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 6875, December.
    4. Smant, David J. C., 1998. "Modelling trends, expectations and the cyclical behaviour of prices," Economic Modelling, Elsevier, vol. 15(1), pages 151-161, January.
    5. Robert Dittmar & William T. Gavin, 1999. "What do New-Keynesian Phillips Curves imply for price level targeting?," Working Papers 1999-021, Federal Reserve Bank of St. Louis.
    6. Ketter, W. & Collins, J. & Gini, M. & Gupta, A. & Schrater, P., 2011. "Real-time Tactical and Strategic Sales Management for Intelligent Agents Guided By Economic Regimes," ERIM Report Series Research in Management ERS-2011-012-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    7. Wolfgang Ketter & John Collins & Maria Gini & Alok Gupta & Paul Schrater, 2012. "Real-Time Tactical and Strategic Sales Management for Intelligent Agents Guided by Economic Regimes," Information Systems Research, INFORMS, vol. 23(4), pages 1263-1283, December.
    8. Bali, Turan G. & Thurston, Thom B., 2002. "On the efficiency of monetary policy rules with flexible prices and rational expectations," Journal of Economics and Business, Elsevier, vol. 54(6), pages 615-631.
    9. Maria Ward Otoo, 1999. "Temporary employment and the natural rate of unemployment," Finance and Economics Discussion Series 1999-66, Board of Governors of the Federal Reserve System (U.S.).
    10. Paul Oslington, 2012. "General Equilibrium: Theory and Evidence," The Economic Record, The Economic Society of Australia, vol. 88(282), pages 446-448, September.

  7. Spencer, David E, 1989. "Does Money Matter? The Robustness of Evidence from Vector Autoregressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(4), pages 442-454, November.

    Cited by:

    1. Al-Sharkas, A.A. & Lozi, B.M., 2009. "Effects of Measurement on Inferences: An Application to Money Demand and Related Variables in the United States," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    2. Napolitano, Oreste, 2000. "The efficiency hypothesis and the role of ‘news’ in the Euro/British pound exchange rate market: an empirical analysis using daily data," ISER Working Paper Series 2000-30, Institute for Social and Economic Research.
    3. Robledo, Carlos W. & Zapata, Hector O., 1999. "Dynamic Analysis With Time Series Models: Simulation And Empirical Evidence," 1999 Annual meeting, August 8-11, Nashville, TN 21526, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    4. H. Atesoglu & Donald Dutkowsky, 1992. "The changing effect of money on aggregate output in the u.s," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 128(2), pages 221-236, June.
    5. Masih, Abul M. M. & Masih, Rumi, 1996. "Empirical tests to discern the dynamic causal chain in macroeconomic activity: new evidence from Thailand and Malaysia based on a multivariate cointegration/vector error-correction modeling approach," Journal of Policy Modeling, Elsevier, vol. 18(5), pages 531-560, October.
    6. Kandil, Magda, 2005. "Money, interest, and prices: Some international evidence," International Review of Economics & Finance, Elsevier, vol. 14(2), pages 129-147.
    7. Sun, Rongrong, 2014. "Review over Empirical Evidence on Real Effects of Monetary Policy," MPRA Paper 58513, University Library of Munich, Germany.
    8. Mark Wheeler, 1999. "The macroeconomic impacts of government debt: An empirical analysis of the 1980s and 1990s," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 27(3), pages 273-284, September.
    9. Hasan, Mohammad S., 1999. "Monetary Growth and Inflation in China: A Reexamination," Journal of Comparative Economics, Elsevier, vol. 27(4), pages 669-685, December.
    10. Ermini, Luigi & Chang, Dongkoo, 1996. "Testing the joint hypothesis of rationality and neutrality under seasonal cointegration: The case of Korea," Journal of Econometrics, Elsevier, vol. 74(2), pages 363-386, October.
    11. D.M. Nachane & Amlendu Kumar Dubey, 2008. "The vanishing role of money in the macroeconomy: An Empirical investigation based on spectral and wavelet analysis," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2008-022, Indira Gandhi Institute of Development Research, Mumbai, India.
    12. Ansari, M. I., 1996. "Monetary vs. fiscal policy: Some evidence from vector autoregression for India," Journal of Asian Economics, Elsevier, vol. 7(4), pages 677-698.
    13. Maurizio Bovi, 2010. "Heterogeneous Expectations and the Predictive Power of Econometric Models," ISAE Working Papers 125, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    14. Phillips, Peter C. B., 1998. "Impulse response and forecast error variance asymptotics in nonstationary VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
    15. Atsuyuki Naka & David Tufte, 1997. "Examining impulse response functions in cointegrated systems," Applied Economics, Taylor & Francis Journals, vol. 29(12), pages 1593-1603.
    16. Apergis, Nicholas, 1997. "Domestic and eurocurrency yields: Any exchange rate link? Evidence from a VAR model," Journal of Policy Modeling, Elsevier, vol. 19(1), pages 41-49, February.
    17. Bovi, Maurizio, 2013. "Are the representative agent’s beliefs based on efficient econometric models?," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 633-648.
    18. Darrat, Ali F & Glascock, John L, 1993. "On the Real Estate Market Efficiency," The Journal of Real Estate Finance and Economics, Springer, vol. 7(1), pages 55-72, July.
    19. Mohammed I. Ansari & Ira. N Gang, 1999. "Liberalization Policy: ‘Fits & Starts' Or Gradual Change In India," Departmental Working Papers 199907, Rutgers University, Department of Economics.
    20. Ali F. Darrat & Marc C. Chopin & Ross N. Dickens, 2001. "The Dollar and U.S. Inflation: Some Evidence from a Vecm Process," The American Economist, Sage Publications, vol. 45(2), pages 3-12, October.
    21. Masih, Rumi & Masih, Abul M. M., 1996. "Macroeconomic activity dynamics and Granger causality: New evidence from a small developing economy based on a vector error-correction modelling analysis," Economic Modelling, Elsevier, vol. 13(3), pages 407-426, July.
    22. Ansari, M. I. & Ahmed, S. M., 2007. "Does money matter? Evidence from vector error-correction for Mexico," Journal of Developing Areas, Tennessee State University, College of Business, vol. 41(1), pages 185-202, September.
    23. John S. Lapp, 1997. "Interest Rates, Rate Spreads, And Economic Activity," Contemporary Economic Policy, Western Economic Association International, vol. 15(3), pages 42-50, July.
    24. Richard M. Todd, 1990. "Vector autoregression evidence on monetarism: another look at the robustness debate," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 14(Spr), pages 19-37.

  8. Spencer, David E, 1985. "Money Demand and the Price Level," The Review of Economics and Statistics, MIT Press, vol. 67(3), pages 490-496, August.

    Cited by:

    1. Yash P. Mehra, 1986. "Recent financial deregulation and the interest elasticity of M1 demand," Economic Review, Federal Reserve Bank of Richmond, vol. 72(Jul), pages 13-24.
    2. Alexi Thompson & Henry Thompson, 2021. "Six decades of inflation and money demand," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(2), pages 240-251, April.
    3. Ray C. Fair, 1986. "International Evidence on the Demand for Money," NBER Working Papers 2106, National Bureau of Economic Research, Inc.
    4. Smith, Marlene A & Smyth, David J, 1991. "Multiple and Pairwise Non-nested Tests of the Influence of Taxes on Money Demand," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(1), pages 17-30, Jan.-Marc.

  9. Ram, Rati & Spencer, David E, 1983. "Stock Returns, Real Activity, Inflation, and Money: Comment," American Economic Review, American Economic Association, vol. 73(3), pages 463-470, June.

    Cited by:

    1. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
    2. Chih-Chuan Yeh & Ching-Fang Chi, 2009. "The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 167-186, July.
    3. Dohyun CHUN & Hoon CHO & Doojin RYU, 2018. "Macroeconomic Structural Changes in a Leading Emerging Market: The Effects of the Asian Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 22-42, December.
    4. Massa, Massimo & Locarno, Alberto, 2005. "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers 4828, C.E.P.R. Discussion Papers.
    5. Tiwari, Aviral Kumar & Dar, Arif Billah & Bhanja, Niyati & Arouri, Mohamed & Teulon, Frédéric, 2015. "Stock returns and inflation in Pakistan," Economic Modelling, Elsevier, vol. 47(C), pages 23-31.
    6. Ram Chandra Bhattarai & Nayan Krishna Joshi, 2009. "Dynamic Relationship among the Stock Market and the Macroeconomic Factors," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 10(2), pages 451-469, July.
    7. K.R. Shanmugam & Biswa Swarup Misra, 2008. "Stock Returns-Inflation Relation in India," Finance Working Papers 22514, East Asian Bureau of Economic Research.
    8. Chatrath, Arjun & Ramchander, Sanjay & Song, Frank, 1996. "Stock prices, inflation and output: Evidence from India," Journal of Asian Economics, Elsevier, vol. 7(2), pages 237-245.
    9. Abdul RASHID & Aamir JAVED & Zainab JEHAN & Uzma IQBAL, 2022. "Time-Varying Impacts of Macroeconomic Variables on Stock Market Returns and Volatility : Evidence from Pakistan," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 144-166, October.
    10. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
    11. Javed Iqbal & Aziz Haider, 2005. "Arbitrage Pricing Theory: Evidence From An Emerging Stock Market," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 10(1), pages 123-139, Jan-Jun.
    12. Bahram Adrangi & Arjun Chatrath & Kambiz Raffiee, 1999. "Inflation, output, and stock prices: Evidence from two major emerging markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 23(3), pages 266-278, September.
    13. SHANMUGAM, K.R. & MISRA, Biswa Swarup, 2009. "Stock Returns-Inflation Relation In India, 1980-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
    14. Peter Sellin, 2001. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
    15. Durai, S. Raja Sethu & Bhaduri, Saumitra N., 2009. "Stock prices, inflation and output: Evidence from wavelet analysis," Economic Modelling, Elsevier, vol. 26(5), pages 1089-1092, September.
    16. Sumit Kumar Maji & Arindam Laha & Debasish Sur, 2020. "Dynamic Nexuses between Macroeconomic Variables and Sectoral Stock Indices: Reflection from Indian Manufacturing Industry," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 45(3), pages 239-269, August.
    17. Chi-Wei SU & Zong-Liang YAO & Hsu-Ling CHANG, 2016. "The relationship between output and asset prices: A time – and frequency – varying approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(1(606), S), pages 57-76, Spring.
    18. Sanvicente, A. Z. & Adrangi, B. & Chatrath, A., 2000. "Inflation, output and stock prices: evidence from Brazil," Finance Lab Working Papers flwp_34, Finance Lab, Insper Instituto de Ensino e Pesquisa.
    19. SHUBITA, Moade Fawzi & AL-SHARKAS, Adel A., 2010. "A Study Of Size Effect And Macroeconomics Factors In New York Stock Exchange Stock Returns," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(2).
    20. Niyati Bhanja & Arif Billah Dar, 2019. "Stock returns and inflation: a tale of two periods in India," Economic Change and Restructuring, Springer, vol. 52(4), pages 413-438, November.
    21. Geraldine Ryan, 2006. "Irish stock returns and inflation: a long span perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 16(9), pages 699-706.
    22. Guo, Shaojun & Ling, Shiqing & Zhu, Ke, 2013. "Factor double autoregressive models with application to simultaneous causality testing," MPRA Paper 51570, University Library of Munich, Germany.
    23. R. Gopinathan & S. Raja Sethu Durai, 2019. "Stock market and macroeconomic variables: new evidence from India," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-17, December.
    24. Bahram Adrangi & Arjun Chatrath & Todd M. Shank, 1999. "Inflation, output and stock prices: evidence from Latin America," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 20(2), pages 63-74.

  10. Spencer, David E & Berk, Kenneth N, 1981. "A Limited Information Specification Test [Specification Tests in Econometrics]," Econometrica, Econometric Society, vol. 49(4), pages 1079-1085, June.

    Cited by:

    1. Firmin Doko Tchatoka, 2014. "Specification Tests with Weak and Invalid Instruments," School of Economics and Public Policy Working Papers 2014-05, University of Adelaide, School of Economics and Public Policy.
    2. Firmin DOKO TCHATOKA & Jean-Marie DUFOUR, 2016. "Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory," Cahiers de recherche 14-2016, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    3. Songjune Kim & Barry J. Seldon, 2004. "The Demand for Cigarettes in the Republic of Korea and Implications for Government Policy to Lower Cigarette Consumption," Contemporary Economic Policy, Western Economic Association International, vol. 22(2), pages 299-308, April.
    4. Christian Calmès & Denis Cormier & Francois Éric Racicot & Raymond Théoret, 2012. "Firms' Accruals and Tobin’s q," RePAd Working Paper Series UQO-DSA-wp032012, Département des sciences administratives, UQO.
    5. Li‐Wei Chao, 2002. "A comparison of consensus and nonconsensus approaches to modeling contraceptive choice behavior," Health Economics, John Wiley & Sons, Ltd., vol. 11(7), pages 599-622, October.
    6. M.‐J.J. Mangen & A.M. Burrell, 2001. "Decomposing Preference Shifts for Meat and Fish in the Netherlands," Journal of Agricultural Economics, Wiley Blackwell, vol. 52(2), pages 16-28, May.
    7. Aurora Garcia-Gallego & Nikolaos Georgantzis, 1999. "Dominance in the Tetra Pak Case: An Empirical Approach," European Journal of Law and Economics, Springer, vol. 7(2), pages 137-161, March.
    8. Evans, Edward & Ballen, Fredy, 2014. "Assessing the Intensity of Market Competition in the US Papaya Import Market," Journal of Food Distribution Research, Food Distribution Research Society, vol. 45(2), pages 1-13, July.
    9. Kiviet, Jan F. & Pleus, Milan, 2017. "The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation," Econometrics and Statistics, Elsevier, vol. 2(C), pages 1-21.
    10. Andrew B. Bernard & J. Bradford Jensen, 1994. "Exporters, Jobs and Wages in U.S. Manufacturing: 1976-1987," Working papers 95-7, Massachusetts Institute of Technology (MIT), Department of Economics.
    11. José A. Tijerina-Guajardo & José A. Pagán, 2000. "Valued-Added Tax Revenues in Mexico: An Empirical Analysis," Public Finance Review, , vol. 28(6), pages 561-575, November.
    12. Vrinda Kadiyali & Pradeep Chintagunta & Naufel Vilcassim, 2000. "Manufacturer-Retailer Channel Interactions and Implications for Channel Power: An Empirical Investigation of Pricing in a Local Market," Marketing Science, INFORMS, vol. 19(2), pages 127-148, September.
    13. Mitch Kunce, 2001. "Pre-Election Polling and the Rational Voter: Evidence from State Panel Data (1986–1998)," Public Choice, Springer, vol. 107(1), pages 21-34, April.
    14. John D. Bitzan & Theodore E. Keeler, 2003. "Productivity Growth and Some of Its Determinants in the Deregulated U.S. Railroad Industry," Southern Economic Journal, John Wiley & Sons, vol. 70(2), pages 232-253, October.
    15. Fisher, Monica G., 2004. "On The Empirical Finding Of A Higher Risk Of Poverty In Rural Areas: Is Rural Residence Endogenous To Poverty?," Working Papers 18917, Oregon State University, Rural Poverty Research Center (RPRC).

  11. Laumas, G S & Spencer, David E, 1980. "The Stability of the Demand for Money: Evidence from the Post-1973 Period," The Review of Economics and Statistics, MIT Press, vol. 62(3), pages 455-459, August.

    Cited by:

    1. V. Vance Roley, 1985. "Money Demand Predictability," NBER Working Papers 1580, National Bureau of Economic Research, Inc.

  12. Spencer, David E., 1979. "Estimation of a dynamic system of seemingly unrelated regressions with autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 10(2), pages 227-241, June.

    Cited by:

    1. Warjiyo, Perry & Huffman, Wallace E., 1995. "Dynamic Input Demand Functions and Resource Adjustment for U.S. Agriculture: State Evidence," ISU General Staff Papers 199512190800001277, Iowa State University, Department of Economics.
    2. Kiviet, Jan F. & Phillips, Garry D. A. & Schipp, Bernhard, 1995. "The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models," Journal of Econometrics, Elsevier, vol. 69(1), pages 241-266, September.
    3. Manuel Ángel Abdala & José Luis Arrufat & Rinaldo Colome, 1996. "Elasticidades de Demanda de Servicio Telefónico Básico en Argentina," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 33(100), pages 397-424.
    4. Ghassan, Hassan B., 2000. "Formes et méthodes d’estimation des systèmes récursifs dynamiques à double indice [Forms and Estimation Methods of Panel Recursive Dynamic Systems]," MPRA Paper 56432, University Library of Munich, Germany, revised 08 Oct 2001.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (3) 2012-03-08 2012-05-08 2012-09-03
  2. NEP-DGE: Dynamic General Equilibrium (2) 2012-03-08 2012-05-08
  3. NEP-MON: Monetary Economics (2) 2012-03-08 2012-05-08
  4. NEP-ECM: Econometrics (1) 2010-07-03
  5. NEP-ETS: Econometric Time Series (1) 2010-07-03

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