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Fundamentals, Misvaluation, and Investment: The Real Story

Chirinko, Robert S.; Schaller, Huntley - CESifo - 2007

Is real investment fully determined by fundamentals or is it sometimes affected by stock market misvaluation? We introduce three new tests that: measure the reaction of investment to sales shocks for firms that may be overvalued; use Fama-MacBeth regressions to determine whether "overinvestment"...

Persistent link: https://www.econbiz.de/10005766115

Monetary Policy, Vagabonding Liquidity and Bursting Bubbles in New and Emerging Markets – An Overinvestment View

Hoffmann, Andreas; Schnabl, Gunther - CESifo - 2007

emerging market economies. Expansionary monetary policies in response to the burst of bubbles are argued to have contributed to … vagabonding bubbles around the globe. …

Persistent link: https://www.econbiz.de/10005094169

Do Bubbles Lead to Overinvestment?: A Revealed Preference Approach

Chirinko, Robert S.; Schaller, Huntley - CESifo - 2011

between 15.1% and 45.2% too much capital. These estimates suggest that, even before they burst, bubbles adversely affect …

Persistent link: https://www.econbiz.de/10009150640

Carbon Content of Electricity Futures in Phase II of the EU ETS

Fell, Harrison; Hintermann, Beat; Vollebergh, Herman R. J. - CESifo - 2013

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

Did US Consumers 'Save for a Rainy Day' Before the Great Recession?

Anundsen, André Kallåk; Nymoen, Ragnar - CESifo - 2015

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

The Sustainability of Fiscal Policy in Italy: A Long-Term Perspective

Bartoletto, Silvana; Chiarini, Bruno; Marzano, Elisabetta - CESifo - 2012

the time series approach (Trehan and Walsh, 1988). In this paper we analyze the sustainability of public debt in Italy … debt and its ratio to GDP. Second, exploiting unit root analysis and cointegration, we test for the sustainability of … public debt in Italy following the approach proposed both by Trehan and Walsh (1988, 1991) and Bohn (1991). …

Persistent link: https://www.econbiz.de/10010548150

Do Better Capitalized Banks Lend Less? Long-Run Panel Evidence from Germany

Buch, Claudia M.; Prieto, Esteban - CESifo - 2012

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

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013

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

Testing for Common Cyclical Features in Var Models with Cointegration

Hecq, Alain; Palm, Franz; Urbain, Jean-Pierre - CESifo - 2001

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

Estimation and Inference In Short Panel Vector Autoregressions with Unit Roots And Cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - CESifo - 2000

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