Similar Search Results

A new version of Edgeworth's taxation paradox

Ritz, Robert A. - Department of Economics, Oxford University - 2010

Edgworth's taxation paradox states that an excise tax can decrease the market price of a good. This paper presents a new version of the paradox in which a tax reduces price because it attracts entry of additional firms into the market. The paper also presents two new applications: (i) an...

Persistent link: https://www.econbiz.de/10008492090

How do banks respond to increased funding uncertainty?

Ritz, Robert A. - Department of Economics, Oxford University - 2010

This paper presents a simple model of risk-averse banks that face uncertainty over funding conditions in the money market. It shows when increased funding uncertainty causes interest rates on loans and deposits to rise, while bank lending and bank profitability fall. It also finds that...

Persistent link: https://www.econbiz.de/10008469785

A wavelet approach to multiple cointegration testing

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables. Small sample quantiles for these wavelet statistics are obtained …

Persistent link: https://www.econbiz.de/10011004134

A Test for the Null of Multiple Cointegrating Vectors

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the … offering a simple way of testing for cointegration under the null without the need of special tables. Small sample critical … perform quite reasonably when compared to other tests of the null of cointegration. …

Persistent link: https://www.econbiz.de/10011004208

The role of income in money demand during hyper-inflation: the case of Yugoslavia

Nielsen, Bent; Mladenovic, Zorica - Department of Economics, Oxford University - 2009

During extreme hyper-inflations productivity tends to fall dramatically. Yet, in models of money demand in hyper-inflation variables such as real income has been given a somewhat passive role, either assuming it exogenous or to have a negligible role. In this paper we use an empirical...

Persistent link: https://www.econbiz.de/10011004302

Identification and forecasting in the Lee-Carter model

Nielsen, Bent; Nielsen, J.P. - Department of Economics, Oxford University - 2010

We consider the identification problem for the model of Lee and Carter (1992). The parameters of this model are known only to be identified up to certain transformations. Forecasts from the model may therefore depend on the arbitrarily chosen identification scheme. A condition for...

Persistent link: https://www.econbiz.de/10011004332

Testing for rational bubbles in a co-explosive vector autoregression

Nielsen, Bent; Engsted, Tom - Department of Economics, Oxford University - 2010

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable,...

Persistent link: https://www.econbiz.de/10011004458

A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market

Krolzig, Hans-Martin; Marcellino, Massimiliano - Department of Economics, Oxford University - 2000

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...

Persistent link: https://www.econbiz.de/10011277856

Autoregressive conditional root model

Shephard, Neil; Rahbek, Anders - Department of Economics, Oxford University - 2002

In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...

Persistent link: https://www.econbiz.de/10010604833

Analysis of co-explosive processes

Nielsen, Bent - Department of Economics, Oxford University - 2005

A vector autoregressive model allowing for unit roots as well as explosive characteristic roots is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing process. Co-integrating and co-explosive...

Persistent link: https://www.econbiz.de/10010604868