Similar Search Results

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

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

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

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

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

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