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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

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

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

Leading Indicators of Euroland Business Cycles

Fritsche, Ulrich; Marklein, Felix - EconWPA - 2001

The introduction of a common monetary policy in eleven European countries increased the need for leading indicators for that area. A reliable leading indicator should possess the following properties: (1) The movements in the indicator series should resemble those in the business cycle reference...

Persistent link: https://www.econbiz.de/10005076700

No More Rocking Horses: Trading Business-Cycle Depth for Duration Using an Economy-Specific Characteristic.

Mikhail, Ossama - EconWPA - 2004

Regarding the trade-off between the depth and the duration of recessions, there exists a mounting empirical evidence of the idiosyncratic and non-synchronized behavior of the business cycle over time within and across countries. In this paper, I propose a stochastic dynamic general equilibrium...

Persistent link: https://www.econbiz.de/10005076708

Do probit models help in forecasting turning points of German business cycles?

Fritsche, Ulrich - EconWPA - 2001

In this paper we used a data set constructed for a companion paper (Fritsche/Stephan, 2000) where we explored the leading indicator properties of different time series for the German business cycle. Now we test for the ability of different indicator series to forecast recessions by using a...

Persistent link: https://www.econbiz.de/10005076772

Monetary Policy Effect on the Business Cycle Fluctuations: Output vs. Index Measures of the Cycle

Korenok, Oleg; Radchenko, Stanislav - EconWPA - 2004

The paper analyzes two questions: (i) the effect of a monetary policy shock on the business cycle and (ii) the extent to which a shift in a monetary policy affects the dynamics of business cycle. Unlike previous literature, to answer these questions, we measure cycle movements by calculating an...

Persistent link: https://www.econbiz.de/10005076805

Power Law Tails in the Italian Personal Income Distribution

Clementi, Fabio; Gallegati, Mauro - EconWPA - 2005

We investigate the shape of the Italian personal income distribution using microdata from the Survey on Household Income and Wealth, made publicly available by the Bank of Italy for the years 1977-2002. We find that the upper tail of the distribution is consistent with a Pareto power-law type...

Persistent link: https://www.econbiz.de/10005077072

Narrow Money and the Business Cycle: Theoretical aspects and euro area evdence

Brand, Claus; Reimers, Hans-Eggert; Seitz, Franz - EconWPA - 2003

This paper analyses the information content of M1 for euro area real GDP since the beginning of the 1980s. After a literature review on the empirical results in individual euro area countries we review some theoretical arguments why real narrow money growth might be an important determinant of...

Persistent link: https://www.econbiz.de/10005125006

Harrod, Hansen and Samuelson on the Multiplier-Acceleration Model. A Further Note

Besomi, Daniele - EconWPA - 2005

Persistent link: https://www.econbiz.de/10005126090