Showing 1 - 10 of 28
We estimate the relationship between electricity, fuel and carbon prices in Germany, France, the Netherlands, the Nord Pool market and Spain, using one-year futures for base and peak load prices for the years 2009-2012, corresponding to physical settlement during the second market phase of the...
Persistent link: https://www.econbiz.de/10010877729
The ‘saving for a rainy day’ hypothesis implies that households’ saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10011278934
debt and its ratio to GDP. Second, exploiting unit root analysis and cointegration, we test for the sustainability of …
Persistent link: https://www.econbiz.de/10010548150
between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of …
Persistent link: https://www.econbiz.de/10010552440
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010636593
We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …
Persistent link: https://www.econbiz.de/10005765794
derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …
Persistent link: https://www.econbiz.de/10005765796
(possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage …
Persistent link: https://www.econbiz.de/10005765840
first clarify the logic of applying cointegration methods to the RERI and propose an alternative way of testing the …
Persistent link: https://www.econbiz.de/10005765984
is argued that in a cointegration framework it is reasonable to define hysteresis as the absence of weak exogeneity of …
Persistent link: https://www.econbiz.de/10005766128