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The External Sector, the State and Development in Eastern Europe

Eichengreen, Barry; Kohl, Richard - C.E.P.R. Discussion Papers - 1998

The countries of Central and Eastern Europe have displayed widely disparate trade performance since the beginning of the transition. The Czech Republic and Hungary have had some success moving into the production and export of more technologically-sophisticated, higher value-added goods, while...

Persistent link: https://www.econbiz.de/10005123672

The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates: Correcting the Errors

Clarida, Richard; Taylor, Mark P - C.E.P.R. Discussion Papers - 1993

This paper challenges the widespread view that forward exchange premia contain little information regarding subsequent spot rate movements. Using weekly dollar/Deutschmark and dollar/sterling data, we show that spot and forward exchange rates are well represented by a vector error correction...

Persistent link: https://www.econbiz.de/10005662140

Ageing and Unemployment

Schmidt, Christoph M - C.E.P.R. Discussion Papers - 1992

While ageing is accepted as a major problem for most industrialized societies, its labour market consequences are not yet fully understood. This paper analyses the effects of changes in the age composition of the Federal Republic of Germany on the incidence of unemployment in different sex-age...

Persistent link: https://www.econbiz.de/10005666422

Defining Benchmark Status: An Application using Euro-Area Bonds

Dunne, Peter; Moore, Michael J; Portes, Richard - C.E.P.R. Discussion Papers - 2002

benchmark is the security with lowest yield at a given maturity. Using Granger-causality and cointegration methods, we find a …

Persistent link: https://www.econbiz.de/10005789214

Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001

This Paper uses restrictions implied by cointegration to identify the permanent and transitory elements (the ‘trend …

Persistent link: https://www.econbiz.de/10005792097

Natural Rate Doubts

Farmer, Roger E A - C.E.P.R. Discussion Papers - 2000

This paper provides evidence for a low frequency relationship between unemployment, inflation and the nominal interest rate. I show that in the United States from 1959.1 to 1991.3, the unemployment rate, the inflation rate and the federal funds rate can be modelled as non stationary time series...

Persistent link: https://www.econbiz.de/10005792534

The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium

Chong, Yanping; Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2010

Frictionless, perfectly competitive traded-goods markets justify thinking of purchasing power parity (PPP) as the main driver of exchange rates in the long-run. But differences in the traded/non-traded sectors of economies tend to be persistent and affect movements in local price levels in ways...

Persistent link: https://www.econbiz.de/10008550320

Forecasting with Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010

-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …

Persistent link: https://www.econbiz.de/10008468646

Are Differences in Firm Size Transitory or Permanent?

Geroski, Paul A; Samiei, Hossein; Urga, Giovanni - C.E.P.R. Discussion Papers - 1997

Cross-section or short-panel econometric techniques typically used to examine Gibrat’s Law of Proportionate Effect suggest that some degree of mean reversion exists, but may exaggerate the apparent randomness of corporate growth. We argue that a more natural way to explore the long-run...

Persistent link: https://www.econbiz.de/10005136482

Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2008

This paper brings together several important strands of the econometrics literature: error-correction, cointegration … the standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …

Persistent link: https://www.econbiz.de/10005136642

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