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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 … income and consumption expenditure on the one hand, and the stock of consumers' wealth, which can be considered as cumulative … multicointegrating relations and find supporting evidence for the existence of multicointegration in US consumption data. …
Persistent link: https://www.econbiz.de/10005018683
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Capital Accumulation, Labour Market Institutions, and Unemployment in the Medium Run
Stockhammer, Engelbert; Klär, Erik - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2008
According to the mainstream view, labour market institutions (LMI) are the key determinants of unemployment in the medium run. The actual empirical explanatory power of measures for labour market institutions, however, has been called into question recently (Baker et al 2005, Baccaro and Rei...
Persistent link: https://www.econbiz.de/10004963721
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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
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Spillovers between Food and Energy Prices and Structural Breaks
Al-Maadid, Alanoud; Caporale, Guglielma Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015
This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: 1) the 2006 food...
Persistent link: https://www.econbiz.de/10011213875
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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
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Cross-Section Dependence and the Monetary Exchange Rate Model: A Panel Analysis
Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
distinguish between common factors and idiosyncratic components and determine whether non-stationarity stems from international or …
Persistent link: https://www.econbiz.de/10009003457
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Bayesian Inference for the Mixed-Frequency VAR Model
Viefers, Paul - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
In this paper a mixed-frequency VAR à la Mariano & Murasawa (2004) with Markov regime switching in the parameters is estimated by Bayesian inference. Unlike earlier studies, that used the pseuo-EM algorithm of Dempster, Laird & Rubin (1977) to estimate the model, this paper describes how to...
Persistent link: https://www.econbiz.de/10009371746
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Fiscal Spillovers in the Euro Area
Caporale, Guglielmo Maria; Girardi, Alessandro - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period...
Persistent link: https://www.econbiz.de/10009325377
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...
Persistent link: https://www.econbiz.de/10008742946
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Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System
Caporale, Guglielmo Maria; Girardi, Alessandro - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...
Persistent link: https://www.econbiz.de/10009228758