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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 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

Effects of Global Liquidity on Commodity and Food Prices

Belke, Ansgar; Bordon, Ingo G.; Volz, Ulrich - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

This paper investigates the relationship between global liquidity and commodity and food prices applying a global cointegrated vector-autoregressive model. We use different measures of global liquidity and various indices of commodity and food prices for the period 1980-2011. Our results support...

Persistent link: https://www.econbiz.de/10010538693

How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

among fundamentals and exchange rates since the breakdown of Bretton Woods. Second, there are no recurring regimes, i ….e. across different regimes either the coefficient values for the same fundamentals differ or the significance differs. Third …, there is no regime in which no fundamentals enter. Fourth, the deviations resulting from the stepwise cointegrating …

Persistent link: https://www.econbiz.de/10008596278

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 - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 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/10010635677

Modelling Turkish Migration to Germany

Akkoyunlu, Sule; Siliverstovs, Boriss - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006

cointegration technique. A single cointegrating relation between the migration flow variable and the relative income ratio between …

Persistent link: https://www.econbiz.de/10004963965

Global Integration of Central and Eastern European Financial Markets: The Role of Economic Sentiments

Belke, Ansgar; Beckmann, Joscha; Kühl, Michael - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009

This paper examines the importance of different economic sentiments, e.g. consumer moods, for the Central and Eastern European countries (CEECs) during the transition process. We first analyze the importance of economic confidence with respect to the CEEC's financial markets. Since the...

Persistent link: https://www.econbiz.de/10008469699

Manufacturing Exports, Mining Exports and Growth: Cointegration and Causality Analysis for Chile (1960 - 2001)

Siliverstovs, Boriss; Herzer, Dierk - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2005

exports affect economic growth via increases in productivity, the study uses Johansen cointegration technique. The estimation …

Persistent link: https://www.econbiz.de/10005068680

The Role of Remittances in Migration Decision: Evidence from Turkish Migration

Akkoyunlu, Sule; Siliverstovs, Boriss - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2007

In this study we analyse the impact of workers' remittances on the decision to migrate by means of cointegration …

Persistent link: https://www.econbiz.de/10005068698

What Drives Housing Prices Down?: Evidence from an International Panel

Kholodilin, Konstantin A.; Menz, Jan-Oliver; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2007

differential development of real housing prices in Canada and Germany is attributed to the specific values of the fundamentals in …

Persistent link: https://www.econbiz.de/10005068727

The New Keynesian Model and the Long-Run Vertical Phillips Curve: Does It Hold for Germany?

Gottschalk, Jan; Fritsche, Ulrich - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2005

rate, unemployment and inflation in West Germany from the early 1960s up to 2004 using a multivariate co-integration …

Persistent link: https://www.econbiz.de/10005068985