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Commonality in Liquidity

by Tarun Chordia, Richard Roll, Avanidhar Subrahmanyam - JOURNAL OF FINANCIAL ECONOMICS , 2000
"... Traditionally and understandably, the microscope of market microstructure has focused on attributes of single assets. Little theoretical attention and virtually no empirical work has been devoted to common determinants of liquidity nor to their empirical manifestation, correlated movements in liquid ..."
Abstract - Cited by 221 (26 self) - Add to MetaCart
in liquidity. But a wider-angle lens exposes an imposing image of commonality. Quoted spreads, quoted depth, and effective spreads co-move with market- and industry-wide liquidity. After controlling for wellknown individual liquidity determinants, such as volatility, volume, and price, common influences remain

“Inventory Investment and Output Volatility”

by Owen Irvine, Scott Schuh , 2002
"... Abstract: This paper reports the results of a detailed examination of the hypothesis that improved inventory management and production techniques are responsible for the decline in the volatility of U.S. GDP growth. Our innovations are to look at the data at a finer level of disaggregation than prev ..."
Abstract - Cited by 3 (1 self) - Add to MetaCart
Abstract: This paper reports the results of a detailed examination of the hypothesis that improved inventory management and production techniques are responsible for the decline in the volatility of U.S. GDP growth. Our innovations are to look at the data at a finer level of disaggregation than

Unplanned Inventories and the Decline in GDP Volatility

by James Morley, Aarti Singh , 2009
"... We study the role of inventories in explaining the decline in U.S. output volatility observed in recent years. Our analysis is motivated by two striking features in the data. First, as is commonly noted, output growth was more volatile than sales growth before 1984 but in recent years they have both ..."
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We study the role of inventories in explaining the decline in U.S. output volatility observed in recent years. Our analysis is motivated by two striking features in the data. First, as is commonly noted, output growth was more volatile than sales growth before 1984 but in recent years they have

The Roles of Comovement and Inventory Investment in the Reduction of Output Volatility

by Owen Irvine, Scott Schuh , 2007
"... More than 80 percent of the decline in the variance of aggregate output since 1984 is accounted for by a decline in the covariance (and correlation) of output among industries that hold inventories. Using a HAVAR macro model (Fratantoni and Schuh 2003) with only two sectors, manufacturing and trade ..."
Abstract - Cited by 16 (2 self) - Add to MetaCart
More than 80 percent of the decline in the variance of aggregate output since 1984 is accounted for by a decline in the covariance (and correlation) of output among industries that hold inventories. Using a HAVAR macro model (Fratantoni and Schuh 2003) with only two sectors, manufacturing

Durable Goods Inventories and the Volatility of Production: A Puzzle∗

by A Puzzle, Yi Wen, Yi Wen , 2003
"... A stylized fact associated with inventory behavior is that durable goods production and inventory investment are about 5 times more volatile than those of nondurable goods. This paper shows that the stockout-avoidance theory of inventories (Kahn, AER 1987) featuring demand uncertainty and production ..."
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A stylized fact associated with inventory behavior is that durable goods production and inventory investment are about 5 times more volatile than those of nondurable goods. This paper shows that the stockout-avoidance theory of inventories (Kahn, AER 1987) featuring demand uncertainty

Federal Reserve Bank of ChicagoInventories and output volatility

by Paula R. Worthington, Paula R. Worthington , 1998
"... Abstract: Analyzing disaggregate data on inventories and sales from the U.S. manufacturing and trade sector between 1960 and 1997 yields four main findings. First, I find that IS ratios are somewhat lower after 1984:1 among durable goods manufacturers and durable goods retailers outside the motor ve ..."
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of inventory investment is more important, after 1984:1 than in earlier years for the overall manufacturing and trade sector. Finally, the evidence suggests that industries where IS ratios fell are those where inventory investment volatility played a smaller role in output volatility in the later period.

Firm Profitability, Inventory Volatility, and Capital Structure

by Xiaodong Xu , 2011
"... Traditional theories of capital structure imply a consistent relationship between firm profitability and firm leverage. Empirical data, however, suggest that the relationship is not monotonic. In the cross-section of firms, non-profitable firms become significantly more leveraged as losses decrease; ..."
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Traditional theories of capital structure imply a consistent relationship between firm profitability and firm leverage. Empirical data, however, suggest that the relationship is not monotonic. In the cross-section of firms, non-profitable firms become significantly more leveraged as losses decrease; profitable firms become significantly less leveraged as profits increase until a point where the most profitable firms have again significantly greater leverage as profits increase. In this paper, we present an extension of a model of Xu and Birge (2004) that is consistent with these observations. Themodel assumes that

Understanding the Inventory Cycle

by Yi Wen, Yi Wen - Journal of Monetary Economics , 2005
"... Careful examination of aggregate data from the U.S. and other OECD countries reveals that production and inventory behavior exhibit paradoxical features: 1) Inventory investment is strongly countercyclical at very high frequencies (e.g., 2-3 quarters per cycle); it is procycli-cal only at relatively ..."
Abstract - Cited by 25 (8 self) - Add to MetaCart
Careful examination of aggregate data from the U.S. and other OECD countries reveals that production and inventory behavior exhibit paradoxical features: 1) Inventory investment is strongly countercyclical at very high frequencies (e.g., 2-3 quarters per cycle); it is procycli-cal only

The functional disability inventory: Measuring a neglected dimension of child health status

by Lynn S. Walker, John W. Greene - Journal of Pediatric Psychology , 1991
"... Described the development and validation of the Functional Disability Inventory (FDI)for school-age children and adolescents. Results provide support for con-struct, concurrent, and predictive validity. FDI scores also demonstrated sta-bility over a 3-month period in patients with a chronic conditio ..."
Abstract - Cited by 63 (1 self) - Add to MetaCart
Described the development and validation of the Functional Disability Inventory (FDI)for school-age children and adolescents. Results provide support for con-struct, concurrent, and predictive validity. FDI scores also demonstrated sta-bility over a 3-month period in patients with a chronic

Volatility and Commodity Price Dynamics,”

by Robert S Pindyck - Journal of Futures Markets, , 2004
"... Abstract: Commodity prices tend to be volatile, and volatility itself varies over time. Changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of production: the opportunity cost of exercising th ..."
Abstract - Cited by 22 (0 self) - Add to MetaCart
the option to produce the commodity now rather than waiting for more price information. I examine the role of volatility in short-run commodity market dynamics, as well as the determinants of volatility itself. Specifically, I develop a model describing the joint dynamics of inventories, spot and futures
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