Similar Search Results

Multicointegration in US Consumption Data

Siliverstovs, Boriss - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

Persistent link: https://www.econbiz.de/10005018683

Stationarity Changes in Long-Run Fossil Resource Prices: Evidence from Persistence Break Testing

Zaklan, Aleksandar; Abrell, Jan; Neumann, Anne - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011

This paper considers the question of whether changes in persistence have occurred during the long-run evolution of U.S. prices of the non-renewable energy resources crude oil, natural gas and bituminous coal. Our main contribution is to allow for a structural break when testing for a break in...

Persistent link: https://www.econbiz.de/10009293729

Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques

Belke, Ansgar; Czudaj, Robert - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...

Persistent link: https://www.econbiz.de/10008555901

Forecasting the Risk of Speculative Assets by Means of Copula Distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …

Persistent link: https://www.econbiz.de/10010632797

Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models

Lütkepohl, Helmut; Netsunajev, Aleksei - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...

Persistent link: https://www.econbiz.de/10011212800

Testing for Identification in SVAR-GARCH Models: Reconsidering the Impact of Monetary Shocks on Exchange Rates

Lütkepohl, Helmut; Milunovich, George - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015

modelled by a multivariate GARCH process. Formal statistical tests are presented for identification and their small sample …

Persistent link: https://www.econbiz.de/10011184636

The Relevance of International Spillovers and Asymmetric Effects in the Taylor Rule

Beckmann, Joscha; Belke, Ansgar; Dreger, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014

Deviations of policy interest rates from the levels implied by the Taylor rule have been persistent before the financial crisis and increased especially after the turn of the century. Compared to the Taylor benchmark, policy rates were often too low. This paper provides evidence that both...

Persistent link: https://www.econbiz.de/10010933709

Testing Unemployment Theories: A Multivariate Long Memory Approach

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

This paper investigates the empirical relevance of different unemployment theories in three major economies, namely the UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate long memory methods are used. The results vary...

Persistent link: https://www.econbiz.de/10011015404

Persistence and Cyclical Dependence in the Monthly Euribor Rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011

This paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the monthly Euribor rate, using monthly data from January 1994 to May 2011. Models based on fractional integration at the long run or zero...

Persistent link: https://www.econbiz.de/10009325378

The Weekly Structure of US Stock Prices

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

Persistent link: https://www.econbiz.de/10008693467