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Narrowing the US twin deficits: simulations with a world macroeconometric model
Bagnai, Alberto; Galli, Silvia; Pierucci, Eleonora; … - EconWPA - 2004
“cointegration with endogenous structural break” estimation method of Gregory and Hansen (1996). The estimation results show that the …
Persistent link: https://www.econbiz.de/10005556489
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Testing Twin Deficits Hypothesis: Using VARs and Variance Decomposition
Baharumshah, Ahmad Zubaidi; Lau, Evan; Khalid, Ahmed M. - EconWPA - 2005
This paper examines the twin deficits hypothesis in Indonesia, Malaysia, the Philippines and Thailand (ASEAN-4 countries). The major findings of this paper are: (1) Long run relationships are detected between budget and current account deficits. (2) We found that the Keynesian reasoning fits...
Persistent link: https://www.econbiz.de/10005119489
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The U.S. Intertemporal Budget Constraint: Restoring Equilibrium Through Increased Revenues or Decreased Spending?
Crowder, William J. - EconWPA - 1997
This paper tests the stability of the U.S. federal intertemporal budget constraint over the postwar period. The implied equilibrium budget path is estimated and used to determine which component of the budget has greater responsibility for the recent intertemporal violations.
Persistent link: https://www.econbiz.de/10005412703
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The role of oil prices and the real exchange rate in Russia‘s economy
Rautava, Jouko - EconWPA - 2002
Russia's economy and fiscal policy is analysed using VAR methodology and cointegration techniques. The research period … relationships also have a significant impact on short-run dynamics through an error-correction mechanism. The estimation results …
Persistent link: https://www.econbiz.de/10005561329
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Budget and Current Account Deficits in SEACEN Countries: Evidence Based on the Panel Approach.
Baharumshah, Ahmad Zubaidi; Lau, Evan - EconWPA - 2005
In this paper, the twin deficits hypothesis was examined using data of nine SEACEN countries. To compensate for the lack of time series observations, data was polled from the nine countries into one panel. The effects of interest rate and exchange rate in the causal chain between budget and...
Persistent link: https://www.econbiz.de/10005125500
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Grid-Bootstrap Methods vs. Bayesian Analysis. Testing for Structural Breaks in the Conditional Variance of Nominal Interest Rate Spreads - Four Cases in Europe
Pace, Pierangelo De - EconWPA - 2005
I use numerical methods to test for the presence of one-time structural breaks in the conditional variance of nominal interest rate spreads in four European countries over a period of eleven years (Jan 1988 to Dec 1998). I start with an intuitive approach consisting of a sequence of breakpoint...
Persistent link: https://www.econbiz.de/10005407994
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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
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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
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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
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Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots
Silva, Ricardo Gonçalves - EconWPA - 2004
. Estimation and inference where performed through Markov Chain Monte Carlo simulation techniques. Main results show that treating …
Persistent link: https://www.econbiz.de/10005407984