Econometric Models of Limit-Order Executions

Andrew Lo (), A. Craig MacKinlay and June Zhang

No 6257, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G23 (search for similar items in EconPapers)
Date: 1997-11
Note: AP
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Citations: View citations in EconPapers (7)

Published as Lo, Andrew W., A. Craig MacKinlay and June Zhang. "Econometric Models Of Limit-Order Executives," Journal of Financial Economics, 2002, v65(1,Jul), 31-71.

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Journal Article: Econometric models of limit-order executions (2002)
Working Paper: Econometric Models of Limit-Order Executions
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