Allan D Brunner
Biographic Data
| ID | 8879222 |
|---|---|
| NAME | Allan D Brunner |
| GIVEN NAMES | Allan D |
| FAMILY NAME | Brunner |
| SIGNATURE | BRUNNER A D |
| AFFILIATIONS | Federal Reserve |
| VERIFIED | No |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 4 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1992 |
| LATEST PUBLICATION YEAR | 2002 |
| H-INDEX | 0 |
El Niño and World Primary Commodity Prices
This paper examines the historical effects of the El Niño-Southern Oscillation (ENSO) cycle on world prices and economic activity. The primary focus is on world real non-oil primary commodity prices, although the effects on G-7 consumer price inflation and GDP growth are also considered. This paper has several distinct advantages over previous studies. First, several econometric models are estimated using fairly broad measures of prices and econo…
On the Dynamic Properties of Asymmetric Models of Real GNP
There is now a substantial body of evidence that suggests business cycles are asymmetric. However, the evidence has been accumulated using a wide array of statistical techniques and, consequently, is based on various definitions of asymmetry. This paper examines several parametric models that have been used to study asymmetries in real GNP. Although these models capture asymmetries in very different ways, their dynamic properties are remarkably s…
Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity Approach
Milton Friedman (1977) proposed that there is a positive relationship between inflation and inflation uncertainty. Using state-dependent models of conditional moments, the authors find strong statistical evidence that higher levels of inflation are less predictable, although innovations in inflation are somewhat bet ter predictors of future volatility than actual inflation. The authors' results are robust to different sample periods and to assump…
Conditional Asymmetries in Real GNP
Two critical assumptions are often made in empirical research regarding the relationship between economic variables and economic disturbances—linearity and Gaussianity. Together, these two assumptions place strong restrictions on the time series behavior of a model. Most important, these restrictions imply conditional symmetry. Using seminonparametric (SNP) techniques, this article presents evidence that real gross national product growth display…
No prominent works on this page.
Conditional Asymmetries in Real GNP
Two critical assumptions are often made in empirical research regarding the relationship between economic variables and economic disturbances—linearity and Gaussianity. Together, these two assumptions place strong restrictions on the time series behavior of a model. Most important, these restrictions imply conditional symmetry. Using seminonparametric (SNP) techniques, this article presents evidence that real gross national product growth display…
Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity Approach
Milton Friedman (1977) proposed that there is a positive relationship between inflation and inflation uncertainty. Using state-dependent models of conditional moments, the authors find strong statistical evidence that higher levels of inflation are less predictable, although innovations in inflation are somewhat bet ter predictors of future volatility than actual inflation. The authors' results are robust to different sample periods and to assump…
On the Dynamic Properties of Asymmetric Models of Real GNP
There is now a substantial body of evidence that suggests business cycles are asymmetric. However, the evidence has been accumulated using a wide array of statistical techniques and, consequently, is based on various definitions of asymmetry. This paper examines several parametric models that have been used to study asymmetries in real GNP. Although these models capture asymmetries in very different ways, their dynamic properties are remarkably s…
El Niño and World Primary Commodity Prices
This paper examines the historical effects of the El Niño-Southern Oscillation (ENSO) cycle on world prices and economic activity. The primary focus is on world real non-oil primary commodity prices, although the effects on G-7 consumer price inflation and GDP growth are also considered. This paper has several distinct advantages over previous studies. First, several econometric models are estimated using fairly broad measures of prices and econo…
Econometrics (4 works) · Economics (4 works) · Market Dynamics and Volatility (4 works) · Monetary Policy and Economic Impact (4 works) · Mathematics (3 works) · Asymmetry (2 works) · Autoregressive conditional heteroskedasticity (2 works) · Conditional variance (2 works) · Macroeconomics (2 works) · Statistics (2 works)