Econometric Models of Limit-Order Executions
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management; Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL); National Bureau of Economic Research (NBER)
A. Craig Mackinlay
University of Pennsylvania - Finance Department; National Bureau of Economic Research (NBER)
affiliation not provided to SSRN
NBER Working Paper No. w6257
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.
Number of Pages in PDF File: 66working papers series
Date posted: July 24, 2000
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