John Landon-Lane | Rutgers, The State University of New Jersey (original) (raw)

Papers by John Landon-Lane

RePEc: Research Papers in Economics, Nov 1, 2007

In this paper we describe a method to decompose a well-known measure of debt ratings mobility int... more In this paper we describe a method to decompose a well-known measure of debt ratings mobility into it's directional components. We show, using sovereign debt ratings as an example, that this directional decomposition allows us to better understand the underlying characteristics of debt ratings migration and, for the case of the data set used, that the standard Markov chain model is not homogeneous in either the time or cross-sectional dimensions. We find that the directional decomposition also allows us to sign the change in quality of debt over time and across subgroups of the population.

The Economic History Review, Apr 25, 2022

This paper investigates the role of sentiment in the US economy from 1920 to 1934 using digitised... more This paper investigates the role of sentiment in the US economy from 1920 to 1934 using digitised articles from The Wall Street Journal. We derive a monthly sentiment index and use a 10‐variable vector error correction model to identify sentiment shocks that are orthogonal to fundamentals. We show the timing and strength of these shocks and their resultant effects on the economy using historical decompositions. Intermittent impacts of up to 15 per cent on industrial production, 10 per cent on the S&P 500 and bank loans, and 37 basis points for the credit risk spread suggest a large role for sentiment.

Social Science Research Network, 2011

How is migration related to informal activities? They may be complementary since new migrants may... more How is migration related to informal activities? They may be complementary since new migrants may have difficulty finding employment in formal work, so many of them end up informally employed. Alternatively, migration and informality may be substitutes since migrants' incomes in their new locations and income earned in the home informal economy (without migration) are an imperfect trade-off. Tajikistan possesses both a very large informal sector and extensive international emigration. Using the gap between household expenditure and income as an indicator of informal activity, we find negative significant correlations between informal activities and migration: the gap between expenditure and income falls in the presence of migration. Furthermore, Tajikistan's professional workers ability to engage in informal activities enables them to forgo migration, while low-skilled non-professionals without post-secondary education choose to migrate instead of working in the informal sector. Our empirical evidence suggests migration and informality substitute for one another.

Social Science Research Network, 2003

Does the Glass Ceiling Exist? A Cross-National Perspective on Gender Income Mobility * We compare... more Does the Glass Ceiling Exist? A Cross-National Perspective on Gender Income Mobility * We compare male and female upward labor income mobility in Germany and the United States using the GSOEP-PSID Cross National Equivalent File. Our main interest is to test whether a glass ceiling exists for women. The standard glass ceiling hypothesis highlights the belief that the playing field is level for women and men in the labor market up to a point, after which there is an effective limit on advancement for women. We examine the glass ceiling hypothesis by looking at the dynamics of the income distribution-the movement of women and men through the distribution of income over time. We find that there is considerable evidence in favor of a glass ceiling both in Germany and the United States. In Germany the glass ceiling is evident in higher incomes while in the United States the glass ceiling is evident at all incomes levels.

International symposia in economic theory and econometrics, Apr 26, 2014

Paper prepared for the 17th International Conference on Macroeconomic Analysis and International ... more Paper prepared for the 17th International Conference on Macroeconomic Analysis and International Finance Rethymno, Crete from May 30 to June 1, 2013. The authors would like to acknowledge the excellent research assistance provided by Antonio Cusato during this project. All remaining errors are our own. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

Oxford Review of Economic Policy, Sep 1, 2010

In this paper we discuss the lessons learned from the US banking panics in the 1930s for the resp... more In this paper we discuss the lessons learned from the US banking panics in the 1930s for the response by the Federal Reserve to the crisis of 2008. We revisit the debate over illiquidity versus insolvency in the banking crises of the 1930s and provide empirical evidence that the banking crises largely reflected illiquidity shocks. In the recent crisis the Fed under Bernanke had well learned the lesson from the banking panics of the 1930s of conducting expansionary monetary policy to meet demands for liquidity. However, unlike in the 1930s, the deeper problem of the recent crisis was not illiquidity but insolvency and especially the fear of insolvency of counterparties. A number of virtually insolvent US banks deemed too big and too interconnected to fail were rescued by fiscal bail-outs.

RePEc: Research Papers in Economics, 2020

RePEc: Research Papers in Economics, 1999

The topic of economic growth and convergence of countries has been an active topic in the 1990's.... more The topic of economic growth and convergence of countries has been an active topic in the 1990's. This paper investigates the question of whether there is any empirical evidence that countries are converging, with respect to their relative incomes, over time. To test for convergence, the evolution of the relative income for a country is modelled as a first-order Markov chain. Bayesian methods are then used investigate the posterior distributions of the parameters of the Markov chain and of other functions of interest related to the Markov chain. Issues of embeddability and mobility are discussed and Bayes factors are used to test for evidence of convergence across the countries in our sample. This is achieved through the use of carefully constructed prior distributions for the transition probabilities of the Markov chain. Contrary to existing studies we find little evidence in support of convergence of countries either across the whole data set or conditionally across subsets of countries that we believe are similar in underlying production technologies. We find that there is strong evidence that countries are diverging with respect to their relative income even for the conditional case. We also find that there is strong evidence of a structural break in the data around 1974 and that the properties of the Markov chain change significantly when this break is taken into account for all but "poor" countries.

RePEc: Research Papers in Economics, Nov 11, 2005

It is common in DSGE models that aim to explain the impact of monetary policy on economic variabl... more It is common in DSGE models that aim to explain the impact of monetary policy on economic variables to identify prices by assuming lump-sum transfers of money. The consequence of this is that the interest rule in these models must be of the Taylor-rule type. In this paper we explore the consequences of using other, equally justifiable, monetary policy rules. In particular we show that the estimation of the interest rate rule crucially depends on whether monetary policy in a dynamic stochastic general equilibrium (DSGE) model is assumed to be implemented through open market operations or lump-sum transfers of money. To this end we estimate a segmented markets model where households and firms are subject to cash-in-advance constraints. In the model, Ricardian equivalence holds, so there is a one-to-one correspondence between equilibria where monetary policy is conducted in either way. However, while the equilibrium with open market operations is determinate for a large class of interest rate rules, the equilibrium with lump-sum transfers of money is determinate only if the interest rate rule is of the Taylor type, i.e. the coefficient of inflation is higher than one. As a result, the model estimation yields very different results in terms of likelihood, coefficients of the interest rate rule, and impulse responses to monetary policy shocks

RePEc: Research Papers in Economics, Jun 18, 2002

Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence.

RePEc: Research Papers in Economics, Jul 1, 2002

International Real Business Cycles, State-space models, Markov chain Monte Carlo, Model comparison

RePEc: Research Papers in Economics, Mar 1, 1999

There are many methods used for evaluating and comparing models found in the Real Business Cycle ... more There are many methods used for evaluating and comparing models found in the Real Business Cycle (RBC) literature. One major problem faced is how to transform the data into a form acceptable to the model being evaluated, the most commonly used being a filter such as Hodrick-Prescott. Models are evaluated by comparing the filtered data that are observed with filtered data that are simulated. A number of authors have criticised the use of the Hodrick-Prescott filter for distorting the data, leading to other suggestions. This paper formally compares and evaluates competing methods for transforming the observed data using a likelihood-based approach. The paper also describes a method for transforming the data directly to a form that is similar to that predicted by a model. Thus a direct evaluation of a model with the data can be obtained. Since the method of comparison is likelihood based, the competing methods are compared across the full dimension of the observed data. However, a problem with likelihood-based methods for evaluating RBC models is that the likelihood of a RBC model's generating the observed data is practically zero. The observed data have a strong trend while the model may generate data that are stationary around a steady-state value. The problem is to transform the data so the likelihood of a RBC model generating the transformed data is non-zero and the transformed data maintain the essential characteristics of the observed data. Markov chain Monte Carlo methods are used to transform the observed data into a form that is "recognisable" to a RBC model but still maintains the essential characteristics of the observed data. For example, suppose one believes that the essential characteristics of the observed data are captured in the output of the Hodrick-Prescott filter. The method developed in this paper shows how one can transform the observed data so that it is recognisable by a RBC model and has the same characteristics as the raw data. That is, the output of the Hodrick-Prescott filter of the transformed and raw data are the same, but the transformed data are now in a form that is "recognisable" to the model. This allows the use of likelihood-based methods for evaluating the model. This paper examines various methods of defining the essential characteristics of the raw data. It shows how a likelihood-based method can be used to evaluate the performance of the RBC model relative to "matching" these essential characteristics. The paper also shows how parameter uncertainty can be incorporated into the problem of model evaluation through the use of prior information. It is shown that calibrating a model with some uncertainty can affect the evaluation significantly.

RePEc: Research Papers in Economics, Feb 1, 2011

RePEc: Research Papers in Economics, 2002

We examine the labor income mobility of men and women in Germany and the United States using the ... more We examine the labor income mobility of men and women in Germany and the United States using the GSOEP-PSID Cross National Equivalent File. Our main interest is to test whether a glass ceiling exists for women. The glass-ceiling hypothesis highlights the belief that the playing field is level for women and men in the labor market up to a point, after which there is an effective limit on advancement for women. We examine the glass-ceiling hypothesis by looking at the dynamics of the income distribution-the movement of women and men through the distribution of income over time. Does a glass ceiling exist? If it does, where is it located? How porous is it? How does its existence, location and porosity vary between countries and over time?

University of Chicago Press eBooks, 2011

Social Science Research Network, 2007

Social Science Research Network, 2016

Vulnerability to Poverty: Tajikistan During and After the Global Financial Crisis * We examine vu... more Vulnerability to Poverty: Tajikistan During and After the Global Financial Crisis * We examine vulnerability to poverty in Tajikistan during the global financial crisis, focusing on the roles played by international migration and remittances, using a formal, practical, and easily decomposable vulnerability measure. Our strategy is to estimate a Markov transition probability matrix with the aim of identifying the vulnerability of households to poverty. Importantly, by introducing the index of vulnerability as the weighted probability of a household falling into poverty over a given time horizon, we can use the estimated dynamics to assess the short, medium and long-run vulnerability. We find that during the "recession transition" almost all households were vulnerable to poverty while almost none were during the "recovery period". Overall, urban households, more educated households and households receiving remittances from international labor migrants were less vulnerable to poverty. While households with a current or very recent migrant did not have a significantly lower measured vulnerability to poverty, those households receiving remittances from migrants had a lower vulnerability to poverty. Our findings stress that the international labor migration from Tajikistan may not be considered as a reliable means of welfare security for the households because external economic shocks and internal political decisions may negatively affect Russian economy and lead to a reduction of remittances flow to Tajikistan.

The topic of economic growth and convergence of countries has been an active topic in the 1990&#3... more The topic of economic growth and convergence of countries has been an active topic in the 1990's. This paper investigates the question of whether there is any empirical evidence that countries are converging, with respect to their relative incomes, over time. To test for convergence, the evolution of the relative income for a country is modelled as a first-order Markov Chain.

RePEc: Research Papers in Economics, Jun 4, 2002

Although he passed away before the paper was completed, Adam Klug provided the initial inspiratio... more Although he passed away before the paper was completed, Adam Klug provided the initial inspiration for this paper. His enthusiasm, wit and insights are greatly missed. We offer special thanks to Howard Bodenhorn, Carl Bonham, Michael Bordo, and Hugh Rockoff and seminar participants at Rutgers University and the NBER's Summer Institute for the valuable comments. The views expressed herein are those of the authors and not necessarily those of the National Bureau of Economic Research.