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Testing the Nominal-to-Real Transformation.
Kongsted, Hans Christian - Økonomisk Institut, Københavns Universitet - 2002
Nominal-to-real data transformations are routinely used in empirical work. A common example is the transformation of … nominal money and prices to real money and the rate of inflation. This paper establishes the necessary and sufficient …-scale simulation experiment. An empirical example illustrates the need to test the nominal-to-real transformation. …
Persistent link: https://www.econbiz.de/10005225498
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Analysing I(2) Systems by Transformed Vector Autoregressions
Kongsted, Hans Christian; Nielsen, Heino Bohn - 2004
We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the...
Persistent link: https://www.econbiz.de/10014070668
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Capital Account Controls, Bank’s Efficiency, Growth and Macroeconomic Volatility in the FLAR’s Member Countries?
Mora, Humberto; Rincón, Hernán - Banco de la Republica de Colombia
This paper evaluates the effects of capital account controls adopted in the past years by the FLAR’s member countries (Bolivia, Colombia, Costa Rica, Ecuador, Perú and Venezuela) on the efficiency of the banking sector, the economic growth and the volatility of output, consumption, and...
Persistent link: https://www.econbiz.de/10005113959
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Did US consumers 'save for a rainy day' before the Great Recession?
Anundsen, André Kallåk; Nymoen, Ragnar - 2015
The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10010518800
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Economic regime shifts and the US subprime bubble
Anundsen, André Kallåk - 2013
results indicate that these imbalances could have been detected with the aid of real time econometric modeling. These results … of financing. -- cointegration ; regime shifts ; US housing bubble ; subprime lending ; bubble indicator …
Persistent link: https://www.econbiz.de/10009704286
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different types of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011554319
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different type of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011499608
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Did US consumers 'save for a rainy day' before the Great Recession?
Anundsen, Andre K.; Nymore, Ragnar - 2015
The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10011335600
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Economic regime shifts and the US subprime bubble
Anundsen, André Kallåk - 2013
results indicate that these imbalances could have been detected with the aid of real time econometric modeling. These results …
Persistent link: https://www.econbiz.de/10010330263
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - In: Economics: The Open-Access, Open-Assessment E-Journal 10 (2016) 2016-26, pp. 1-41
There are a number of econometrics tools to deal with the different types of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011555274