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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
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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
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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
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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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Efficiency in the Peseta Forward Exchange Rate Market
Ayuso, Juan; Dolado, Juan J.; Sosvilla-Rivero, Simón - C.E.P.R. Discussion Papers - 1992
This paper applies recent cointegration techniques to analyse whether the forward market for the peseta/US dollar is …
Persistent link: https://www.econbiz.de/10005497906
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Expected Returns and Expected Dividend Growth
Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2002
We develop a consumption-based present value relation that is a function of future dividend growth. Using data on aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend growth make an important contribution to fluctuations...
Persistent link: https://www.econbiz.de/10005504785
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Unemployment, Real Wages and Union Membership
Schmidt, Christoph M; Zimmermann, Klaus F - C.E.P.R. Discussion Papers - 1993
This paper investigates economic determinants and effects of aggregate union membership in the Federal Republic of Germany. We establish that in the long run, high union membership levels coincide not only with a large labour force, but also with a high level of real wages, a small dispersion of...
Persistent link: https://www.econbiz.de/10005656160
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Investigating Private and Public Savings-Investment Gaps in EC Countries
Ballabriga, Fernando Carlos; Dolado, Juan J.; Viñals, José - C.E.P.R. Discussion Papers - 1991
This paper uses cointegration techniques to assess the extent to which the behaviour of private- and public …
Persistent link: https://www.econbiz.de/10005281322
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Markets in China and Europe on the Eve of the Industrial Revolution
Keller, Wolfgang; Shiue, Carol Hua - C.E.P.R. Discussion Papers - 2004
comparatively high levels of market efficiency. This Paper compares the actual efficiency of markets in Europe and China, two … include: first, the efficiency of markets in China and Europe was comparable in the late 18th century, except perhaps for …
Persistent link: https://www.econbiz.de/10005114184
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Structural FECM: Cointegration in large-scale structural FAVAR models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2014
Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The latter is used for the identification of structural shocks and their...
Persistent link: https://www.econbiz.de/10011083358