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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

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

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

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

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

Markets in China and Europe on the Eve of the Industrial Revolution

Keller, Wolfgang; Shiue, Carol Hua - C.E.P.R. Discussion Papers - 2004

Current orthodoxy suggests that the Industrial Revolution began in Europe because European institutions promoted comparatively high levels of market efficiency. This Paper compares the actual efficiency of markets in Europe and China, two regions of the world that were relatively advanced in the...

Persistent link: https://www.econbiz.de/10005114184

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

International Business Cycle Spillovers

Yilmaz, Kamil - C.E.P.R. Discussion Papers - 2010

This paper studies business cycle interdependence among the industrialized countries since 1958. Using the spillover index methodology recently proposed by Diebold and Yilmaz (2009) and based on the generalized VAR framework, I develop an alternative measure of comovement of macroeconomic...

Persistent link: https://www.econbiz.de/10011083760

Understanding Money Demand in the Transition from a Centrally Planned to a Market Economy

Delatte, Anne-Laure; Fouquau, Julien; Holz, Carsten - C.E.P.R. Discussion Papers - 2013

Fundamental changes in institutions during the transition from a centrally planned to a market economy present a formidable challenge to monetary policy decision makers. For the case of China, we examine the institutional changes in the monetary system during the process of transition and...

Persistent link: https://www.econbiz.de/10011083869

Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series

Ghysels, Eric; Miller, J. Isaac - C.E.P.R. Discussion Papers - 2013

We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. We … the size distortion of the tests. We test stock prices and dividends for cointegration as an empirical demonstration. …

Persistent link: https://www.econbiz.de/10011084358