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Predicting recoveries and the importance of using enough information

Cai, Xiaoming; Den Haan, Wouter - C.E.P.R. Discussion Papers - 2009

Several papers that make forecasts about the long-term impact of the current financial crisis rely on models in which there is only one type of financial crisis. These models tend to predict that the current crisis will have long lasting negative effects on economic growth. This paper points out...

Persistent link: https://www.econbiz.de/10008477182

Europe's Golden Age: An Econometric Investigation of Changing Trend Rates of Growth

Crafts, Nicholas; Mills, Terence C - C.E.P.R. Discussion Papers - 1995

This paper examines growth in output per person in 17 OECD countries from the late nineteenth century to 1989 considering the possibility of several breaks in trend. In all cases the unit root hypothesis is rejected in favour of a segmented trend stationary alternative. 1951-73 is shown to be an...

Persistent link: https://www.econbiz.de/10005497870

The Behaviour of the Real Exchange Rate: A Re-examination Using Finite Sample Approach

Kuo, Biing-Shen; Mikkola, Anne - C.E.P.R. Discussion Papers - 1997

The results of this paper complement the recent findings of real exchange rates as stationary processes. The standard procedure of applying a battery of unit root tests can be problematic since the tests are sensitive to the specifics of the time-series process. The novelty of the approach we...

Persistent link: https://www.econbiz.de/10005504540

Empirics for Economic Growth and Convergence

Quah, Danny - C.E.P.R. Discussion Papers - 1995

The convergence hypothesis has generated a huge empirical literature: this paper critically reviews some of the earlier key findings, clarifies their implications, and relates them to more recent results. Particular attention is devoted to interpreting convergence empirics. The main findings...

Persistent link: https://www.econbiz.de/10005792413

Spurious Correlation in Exchange Rate Target Zone Modelling: Testing the Drift Adjustment Method on the US Dollar, Random Walk and Chaos

Darvas, Zsolt - C.E.P.R. Discussion Papers - 1998

The drift-adjustment method estimates the expected rate of depreciation within an exchange rate band by simple equations. Papers applying this method claim that, while forecasting a freely floating currency is hopeless, predicting an exchange rate within the future band is successful. This paper...

Persistent link: https://www.econbiz.de/10005791773

How Sure Are We About PPP? Panel Evidence with the Null of Stationary Real Exchange Rates

Kuo, Biing-Shen; Mikkola, Anne - C.E.P.R. Discussion Papers - 1999

There has been serious suspicion of a spurious rejection of the unit roots in panel studies of PPP due to the failure to control for cross-sectional dependence. This article presents evidence of mean-reversion in industrial country real exchange rates in a set up that accounts naturally for...

Persistent link: https://www.econbiz.de/10005661753

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