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The housing wealth effect on consumption reconsidered

Lindner, Fabian - Institut für Weltwirtschaft (IfW) - 2014

Much of the literature on the effect of housing wealth on consumption has been embedded in a simple life-cycle model in … changes in consumption. However, this might constitute a fallacy of composition. Such models ignore that changes in housing … classic Ando-Modigliani consumption function augmented by housing wealth can be deduced. It is shown that the deeper …

Persistent link: https://www.econbiz.de/10010956068

Evaluating the New Keynesian Phillips Curve under VAR-Based Learning

Fanelli, Luca - Institut für Weltwirtschaft (IfW) - 2008

This paper proposes the econometric evaluation of the New Keynesian Phillips Curve (NKPC) in the euro area, under a particular specification of the adaptive learning hypothesis. The key assumption is that agents? perceived law of motion is a Vector Autoregressive (VAR) model, whose coefficients...

Persistent link: https://www.econbiz.de/10005083372

Testing the New Keynesian Model on U.S. and Euro Area Data

Juselius, Mikael - Institut für Weltwirtschaft (IfW) - 2008

I apply the Johansen and Swensen (1999, 2004) method of testing exact rational expectations within the cointegrated VAR (Vector Auto-Regressive) model, to testing the New Keynesian (NK) model. This method permits the testing of rational expectation systems, while allowing for non-stationary...

Persistent link: https://www.econbiz.de/10005083406

Testing for near I(2) trends when the signal to noise ratio is small

Juselius, Katarina - Institut für Weltwirtschaft (IfW) - 2014

Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test we frequently find double unit roots in the data. Our...

Persistent link: https://www.econbiz.de/10010956111

Bayesian Analysis of Dynamic Factor Models: An Ex-Post Approach towards the Rotation Problem

Aßmann, Christian; Boysen-Hogrefe, Jens; Pape, Markus - Institut für Weltwirtschaft (IfW) - 2014

Due to their indeterminacies, static and dynamic factor models require identifying assumptions to guarantee uniqueness of the parameter estimates. The indeterminacy of the parameter estimates with respect to orthogonal transformations is known as the rotation problem. The typical strategy in...

Persistent link: https://www.econbiz.de/10010886957

The Directional Identification Problem in Bayesian Factor Analysis: An Ex-Post Approach

Aßmann, Christian; Boysen-Hogrefe, Jens; Pape, Markus - Institut für Weltwirtschaft (IfW) - 2012

Due to their well-known indeterminacies, factor models require identifying assumptions to guarantee unique parameter estimates. For Bayesian estimation, these identifying assumptions are usually implemented by imposing constraints on certain model parameters. This strategy, however, may result...

Persistent link: https://www.econbiz.de/10010886959

Stock Market Wealth, Private Saving, and the Current Account in the United States: Should We Worry?

Strauß, Hubert - Institut für Weltwirtschaft (IfW) - 1999

The paper investigates by means of cointegration analysis whether the recently observed low levels of private saving …

Persistent link: https://www.econbiz.de/10005818865

Taking a DSGE Model to the Data Meaningfully

Franchi, Massimo; Jusélius, Katarina - Institut für Weltwirtschaft (IfW) - 2007

All economists say that they want to take their model to the data. But with incomplete and highly imperfect data, doing so is difficult and requires carefully matching the assumptions of the model with the statistical properties of the data. The cointegrated VAR (CVAR) offers a way of doing so....

Persistent link: https://www.econbiz.de/10005083420

Measuring the Effects of Monetary Policy in the Euro Area: The Role of Anticipated Policy

Gottschalk, Jan; Höppner, Florian - Institut für Weltwirtschaft (IfW) - 2001

This paper investigates within a SVAR framework the effects of anticipated monetary policy in the euro area. Building on a procedure recently proposed by Cochrane which yields the response of output to an anticipated monetary policy impulse, we show that in the past twenty years anticipated...

Persistent link: https://www.econbiz.de/10005818900

Price Incentives, Non-Price Factors, and Agricultural Production in Sub-Saharan Africa: A Cointegration Analysis

Thiele, Rainer - Institut für Weltwirtschaft (IfW) - 2002

. Employing Johansen's multivariate cointegration approach, it investigates for ten selected SSA countries the long-run effect of … those cases where cointegration relationships are found-estimated supply elasticities tend to lie between 0.20 and 0 …

Persistent link: https://www.econbiz.de/10005755201

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