Showing 1 - 10 of 51
One strand of the recent literature on the monetary transmission process has focued upon the weak empirical evidence of a liquidity effect in the U.S. This study uses structural VAR methods to reexamine the liquidity effect.
Persistent link: https://www.econbiz.de/10005076847
This paper examines data for stock prices and price levels of 14 developed countries during the post-WWII era and compares their behavior in that sample with behavior over the past two centuries in the UK and the US. Contrary to much of the literature of the past several decades, we find that...
Persistent link: https://www.econbiz.de/10005124935
The paper implements time series techniques of cointegration and vector autoregression (VAR) to assess the integration …
Persistent link: https://www.econbiz.de/10005125066
We investigate the consequences of the 1992-1993 EMS crises, which resulted in the widening of the exchange rate bands, on the long-run linkages between the daily 1-month-Eurorates on German Mark, US-Dollar and French Franc. First, within a Gaussian VAR, both the US Eurorate and the...
Persistent link: https://www.econbiz.de/10005125545
This paper deals with the Tanzi method for the estimation of underground economy. The approach is discussed and modified. Refinements on the variables and on the econometric technique are proposed. The “adjusted” Tanzi method is then used to estimate the shadow economy in Italy along...
Persistent link: https://www.econbiz.de/10005125933
This paper re-examines the money demand in Malaysia covering the period from 1974 to 2001, a period characterised by various events particularly the financial sector liberalisation, changes in monetary framework and currency crises. Our results support the existence of fairly stable long-run...
Persistent link: https://www.econbiz.de/10005126116
-old cointegration (TC) model. Contrary to the unit root hypothesis this model can be given an economic interpretation in terms of the … cointegration model is estimated. The TC model not only explains the downward bias of the coefficient estimates, but also the sample …
Persistent link: https://www.econbiz.de/10005126206
adequately captured by the cointegration and error- correction models. Income and interest rate elasticities are found to be …
Persistent link: https://www.econbiz.de/10005126361
This paper investigates the nature of the causal relationship between stock prices and effective exchange rates in four old EU-member countries (Austria, France, Germany, and the UK), four new EU-member countries (Czech Republic, Hungary, Poland, and Slovakia) and in the USA. Both the long-run...
Persistent link: https://www.econbiz.de/10005134673
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