The strong consumption growth in a period of falling stock market and a moderate recession in the U.S. has sparked off … a debate about the role of housing wealth as one of the determinants of consumption. The literature is divided over the … issue whether the effect of change in the financial wealth on consumption is lower than the change in housing wealth. In …

crucial role in determining the optimal forecasts on the change of consumption. In particular, the effect of a current … being the perceived likelihoods of respective states. Also, past innovations may affect consumption when there is a revision … existing model. Our empirical study shows that, while the CD model can characterize the U.S. consumption data well, the …

We study empirically how close consumption-smoothing models employing present-value relationships fit data for Latin …-Test results for OLS estimates are consistent with consumption smoothing, while GLS are not. However, this last result contradicts … previous literature on this issue, which have found that Latin-American countries conform to consumption-smoothing models, with …

features of a model, such as cointegration, can improve policy analysis as it can improve estimation, inference and forecast … features of the VAR model. The features considered are cointegration, exogeneity, deterministic processes and …

parameters and analysis of cointegration. We amalgamate the Bayesian methods of Kleibergen and Paap (2002) for analysis of … cointegration in the ECM, and the Bayesian methods of Waggoner and Zha (2003) for estimating the structural parameters in BSVAR into …

the cointegration regression estimation by Engle and Granger (1987). In recent years applied econometricians are debating …

Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …

Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …