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IS INFLATION ALWAYS AND EVERYWHERE A NON-MONETARY PHENOMENON: EVIDENCE FROM UGANDA

David, KIHANGIRE Asiimwe; Albert, MUGYENYI - EconWPA - 2005

This paper examines the determinants of Uganda’s inflation rate during 1994M7-2005M6. We test the central hypothesis that Uganda’s inflation rate is always and everywhere a non-monetary phenomenon. A theoretical background relating inflation to monetary and other non-monetary factors is...

Persistent link: https://www.econbiz.de/10005125496

On Describing Multivariate Skewness: A Directional Approach

Ferreira, J. T. A. S.; Steel, M. F. J. - EconWPA - 2004

Most multivariate measures of skewness in the literature measure the overall skewness of a distribution. While these … distributions is less obvious. In this article, we consider the problem of characterising the skewness of multivariate distributions …. We define directional skewness as the skewness along a direction and analyse parametric classes of skewed distributions …

Persistent link: https://www.econbiz.de/10005556279

Measuring Loss Potential of Hedge Fund Strategies

Prado, Marcos Mailoc López de; Peijan, Achim - EconWPA - 2005

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under-The-Water. Calculations are carried out considering three different frameworks regarding Hedge Fund returns: i) Normality and time-independence, ii) Non-normality and time-...

Persistent link: https://www.econbiz.de/10005134729

Statistical estimates of the deviations from the macroeconomic potential. An application to the economy of Bulgaria

Ganev, Kaloyan - EconWPA - 2004

The paper reviews the basic statistical methods for estimation of the deviations from the production potential of the economy. The emphasis is put on the a-theoretical approaches. To illustrate the application of the models data for the Bulgarian economy have been used, and on the basis of the...

Persistent link: https://www.econbiz.de/10005076707

Estimating potential output: a survey of the alternative methods and their applications to Brazil

Barbosa-Filho, Nelson H - EconWPA - 2005

This paper presents the main issues involved in estimating potential output. The objective is to describe the alternative methods and analyze their application and implications for growth forecasts and macroeconomic policy in Brazil. The text emphasizes the determinants of potential output under...

Persistent link: https://www.econbiz.de/10005561112

Application of Method of Systems Potential in Economics

Pushnoi, Grigorii - EconWPA - 2005

It is proposed to consider the business cycle as hysteresis loop with fluctuating limiting points. Concept is based on the Method of System Potential, (Proceedings of International System Dynamics Conference 2003, No.56) which describes dynamics of spontaniously arising Complex Systems as the...

Persistent link: https://www.econbiz.de/10005407631

Classical Estimation of Multivariate Markov-Switching Models using MSVARlib

BELLONE, BENOIT - EconWPA - 2005

This paper introduces an upgraded version of MSVARlib, a Gauss and Ox- Gauss compliant library, focusing on Multivariate Markov Switching Regressions in their most general specification. This new set of procedures allows to estimate, through classical optimization methods, models belonging to...

Persistent link: https://www.econbiz.de/10005407938

Extraction of Common Signal from Series with Different Frequency

Otranto, Edoardo - EconWPA - 2005

The extraction of a common signal from a group of time series is generally obtained using variables recorded with the same frequency or transformed to have the same frequency (monthly, quarterly, etc.). The statistical literature has not paid a great deal of attention to this topic. In this...

Persistent link: https://www.econbiz.de/10005407970

New Trade Theory Takes Over Monetary Theory

Gani, M - EconWPA - 2004

Prevailing trade theory is a neglected stepchild of economics. Micro rejects the sole reason for trade’s occurrence. It declares zero profit in equilibrium. Monetary theory and macroeconomics dismiss concerns of trade financing. They assert that money has nothing to do with traded output, but...

Persistent link: https://www.econbiz.de/10005408069

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