Econometric Models of Limit-Order Executions

66 Pages Posted: 24 Jul 2000 Last revised: 7 Oct 2010

See all articles by Andrew W. Lo

Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER); Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)

A. Craig Mackinlay

University of Pennsylvania - Finance Department; National Bureau of Economic Research (NBER)

June Zhang

affiliation not provided to SSRN

Date Written: November 1997

Abstract

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.

Suggested Citation

Lo, Andrew W. and MacKinlay, Archie Craig and Zhang, June, Econometric Models of Limit-Order Executions (November 1997). NBER Working Paper No. w6257. Available at SSRN: https://ssrn.com/abstract=226014

Andrew W. Lo (Contact Author)

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

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Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)

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Archie Craig MacKinlay

University of Pennsylvania - Finance Department ( email )

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National Bureau of Economic Research (NBER)

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June Zhang

affiliation not provided to SSRN

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