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The Impact of the Stability and Growth Pact on Real Economic

Savona, Paolo; Viviani, Carlo - EconWPA - 2004

The recession under way in the European Union and the threat of deflation have spawned increasing frequent calls for modification of the Stability and Growth Pact. The present article confirms the negative correlation of the rate of real output growth with that of increase in current public...

Persistent link: https://www.econbiz.de/10005125875

The Fall in British Electricity Prices: Market Rules, Market Structure, or Both?

Fabra, Natalia; Toro, Juan - EconWPA - 2003

In this paper we investigate the factors contributing to the fall in the Lerner Index (price-cost margin) in the British electricity market during the 90s. A first stage of our analysis models the number of breaks in the Lerner Index and their dating as unknowns. Our results suggest the...

Persistent link: https://www.econbiz.de/10005412900

Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries

Clemente, Jesus; Montañes, Antonio; Reyes, Marcelo - EconWPA - 2004

This paper challenges the commonly used unit root/cointegration approach for testing the Fisher effect for the …

Persistent link: https://www.econbiz.de/10005556324

Tests for cointegration in panels with regime shifts

Gutierrez, Luciano - EconWPA - 2005

In the paper we extend Gregory and Hansen’s (1996)ADF, Za, Zt cointegration tests to panel data, using the method … proposed in Maddala and Wu (1999). We test the null hypothesis of no cointegration for all the units in the panel against the … alternative hypothesis of cointegration, while allowing for a one-time regime shift of unknown timing for at least some …

Persistent link: https://www.econbiz.de/10005119193

Habits, Sentiment and Predictable Income in the Dynamics of Aggregate Consumption

Sommer, Martin - EconWPA - 2004

This paper explores whether habit formation in the representative agent’s preferences can explain two failures of the standard permanent income model: the sensitivity to lagged consumer sentiment, and to predictable changes in income. I show that in a habit formation model, the sensitivity of...

Persistent link: https://www.econbiz.de/10005561179

Consumer Surveys and Reality

Bovi, Maurizio - EconWPA - 2004

This paper investigates the usefulness of Italian consumer surveys as estimation and forecasting tool over the period 1982-2003. To this end, standard consumption equations are estimated and then compared, in terms of in-sample and out-of-sample predictive ability, with corresponding models...

Persistent link: https://www.econbiz.de/10005412574

Investment-Saving Comovement and Capital Mobility: Evidence from Century Long U.S. Time Series

Levy, Daniel - EconWPA - 2005

This paper makes three contributions: First, I construct annual time series of gross domestic investment and national saving in the U.S. for the 1897–1949 period using historical component series. I compare the qualitative and quantitative properties of the newly constructed series with the...

Persistent link: https://www.econbiz.de/10005408170

A Dynamic Analysis of Mortgage Arrears in the UK Housing Market

Figueira, Catarina; Glen, John; Nellis, Joseph - EconWPA - 2005

The UK economy has enjoyed an unprecedented period of positive economic growth since the early 1990s. The absence of recession for more than a decade has been accompanied by a sustained decline in the level of mortgage arrears, as reported by major lenders. This paper seeks to examine the...

Persistent link: https://www.econbiz.de/10005062515

The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified.

Zivot, Eric - EconWPA - 1996

's (1992) conditional ECM- based t-test for no-cointegration with a single prespecified cointegrating vector. This alternative …-test with a prespecified cointegrating vector can have much higher power than single equation tests for cointegration based on …

Persistent link: https://www.econbiz.de/10005407947

An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle

Corradini, Riccardo - EconWPA - 2005

This article explores by an econometric approach the permanent income hypothesis. The classical cointegration analysis …

Persistent link: https://www.econbiz.de/10005407948

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