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Volatility of a Market Index and its Components: An Application to Commodity Markets
WATKINS, Clinton; McALEER, Michael - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345409
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Sectoral R&D Intensity and Exchange Rate Volatility: A Panel Study for OECD Countries
Mahagaonkar, Prashanth; Schweickert, Rainer; Chavali, … - Institut für Weltwirtschaft (IfW) - 2009
A recent literature has pointed at potential negative effects of exchange rate volatility on innovation. In this paper … years 1987 - 2003. We find that the direct negative effect of volatility is pronounced in manufacturing sector but is … dominated by the indirect effect via the export channel. Services do not face any effects of volatility on R&D intensities …
Persistent link: https://www.econbiz.de/10005079107
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On the (de)stabilizing effects of news shocks
Winkler, Roland; Wohltmann, Hans-Werner - Institut für Weltwirtschaft (IfW) - 2009
This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas anticipation amplifies volatility …) to provide numerical evidence that news shocks increase the volatility of key macroeconomic variables in the euro area …
Persistent link: https://www.econbiz.de/10005017501
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Business Cycle Volatility in Germany
Buch, Claudia M.; Doepke, Joerg; Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2002
Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and … structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …
Persistent link: https://www.econbiz.de/10005755211
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European Integration and the Case for Compensatory Regional Policy
Krieger-Boden, Christiane - Institut für Weltwirtschaft (IfW) - 2002
The ongoing process of European integration is likely to increase trade and factor mobility thereby increasing interregional competition and affecting the interregional division of labor. From a theoretical standpoint, rising specialization and polarization of European regions may result from...
Persistent link: https://www.econbiz.de/10005566199
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A New Global Index of Infrastructure: Construction, Rankings and Applications
Donaubauer, Julian; Meyer, Birgit; Nunnenkamp, Peter - Institut für Weltwirtschaft (IfW) - 2014
We construct comprehensive and comparable indices on the most relevant components of economic infrastructure. An unobserved components model is employed to cover the largest possible number of developing and developed countries over the period 1990-2010. We map major findings from the new...
Persistent link: https://www.econbiz.de/10010886848
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Measuring Real Value and Inflation
Hillinger, Claude - Institut für Weltwirtschaft (IfW) - 2008
The most important economic measures are monetary. They have many different names, are derived in different theories and employ different formulas; yet, they all attempt to do basically the same thing : to separate a change in nominal value into a ?real part? due to the changes in quantities and...
Persistent link: https://www.econbiz.de/10005083401
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Forecasting Inflation: the Relevance of Higher Moments
Binner, Jane M.; Elger, C. Thomas; Jones, Barry E.; … - Society for Computational Economics - SCE - 2006
We provide evidence that higher moments of the relative price distribution improve out-of-sample forecasts of inflation. Further, we show how theoretically consistent higher moments can be calculated by expanding the seminal work by Theil (1967). Results presented here are of direct relevance to...
Persistent link: https://www.econbiz.de/10005342883
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PERTURBED POLYNOMIAL PATH METHOD FOR ACCURATELY COMPUTING AND EMPIRICALLY EVALUATING TOTAL FACTOR PRODUCTIVITY
Chen, Baoline; Zadrozny, Peter A. - Society for Computational Economics - SCE - 2004
The paper describes and illustrates a method for generalizing the standard computation of period-to-period percentage change of total factor productivity (TFP) to computation of TFP based on a best k-times-differentiable model. A "model" is a k-times-differentiable functional form of a...
Persistent link: https://www.econbiz.de/10005345274
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Forecasting inflation: An art as well as a science!
Vlaar, Peter; Reijer, Ard den - Society for Computational Economics - SCE - 2004
In this study we build two forecasting models to predict inflation for the Netherlands and for the euro area. Inflation is the yearly change of the Harmonised Index of Consumer Prices (HICP). The models provide point forecasts and prediction intervals for both the components of the HICP and the...
Persistent link: https://www.econbiz.de/10005345320