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The impact of wealth on consumption and retirement behaviour in the UK

Blake, David - London School of Economics (LSE) - 2002

Housing and pension wealth are shown to be important determinants of personal sector consumption and retirement … behaviour in the UK. Housing and state pension wealth have a positive effect on consumption, while private pension wealth … shown to be important. The consumption equation forecasts the late 1980s boom and the early 1990s slump in the UK better …

Persistent link: https://www.econbiz.de/10011071212

Estimation and testing of dynamic models with generalised hyperbolic innovations

Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...

Persistent link: https://www.econbiz.de/10010884659

House prices and credit constraints: making sense of the U.S. experience

Duca, John V.; Muellbauer, John; Murphy, Anthony - London School of Economics (LSE) - 2011

Most US house price models break down in the mid-2000's, due to the omission of exogenous changes in mortgage credit supply (associated with the sub-prime mortgage boom) from house price-to-rent ratio and inverted housing demand models. Previous models lack data on credit constraints facing...

Persistent link: https://www.econbiz.de/10011125991

Shifting credit standards and the boom and bust in U.S. house prices

Duca, John V.; Muellbauer, John; Murphy, Anthony - London School of Economics (LSE) - 2011

The U.S. house price boom has been linked to an unsustainable easing of mortgage credit standards. However, standard time series models of US house prices omit credit constraints and perform poorly in the 2000’s. We incorporate data on credit constraints for first time buyers into a model of...

Persistent link: https://www.econbiz.de/10011126625

Financing constraints and a firm's decision and ability to innovate: establishing direct and reverse effects

Hajivassiliou, Vassilis; Savignac, Frédérique - London School of Economics (LSE) - 2007

The paper analyzes the existence and impact of …nancing constraints as a possibly serious obstacle to innovation by …rms. Direct measures of …nancing constraints are employed using survey data collected by the Banque de France and Eurostat, which overcomes the problems with the traditional...

Persistent link: https://www.econbiz.de/10011071226

New Evidence on the Remedies of the Greek Sovereign Debt Problem

APERGIS, Nicholas; COORAY, Arusha - London School of Economics (LSE) - 2013

The goal of the present paper is to investigate not only the dynamics of the Greek public debt, but also what are the appropriate measures required for achieving fiscal consolidation. The empirical estimation is carried out using a macroeconomic dataset spanning the period 1980-2008 and both the...

Persistent link: https://www.econbiz.de/10010735153

New evidence on the remedies of the Greek sovereign debt problem

Apergis, Nicholas; Cooray, Arusha - London School of Economics (LSE) - 2013

Persistent link: https://www.econbiz.de/10010745161

Multiple local whittle estimation in stationary systems

Robinson, Peter M. - London School of Economics (LSE) - 2007

cointegration, the consistency proof of these implicitly-defined estimates is nonstandard due to the β estimate converging faster …

Persistent link: https://www.econbiz.de/10011071412

Instrumental variables estimation of stationary and nonstationary cointegrating regressions

Robinson, Peter M.; Gerolimetto, M. - London School of Economics (LSE) - 2006

Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a stable environment. Here we use it to improve upon ordinary least squares estimation of cointegrating regressions between nonstationary and/or long memory stationary variables where the...

Persistent link: https://www.econbiz.de/10010744959

Band spectrum regression for cointegrated time series with long memory innovations

Marinucci, D. - London School of Economics (LSE) - 1998

Band spectrum regression is considered for cointegrated time series with long memory innovations. The estimates we advocate are shown to be consistent when cointegrating relationships among stationary variables are investigated, while OLS are inconsistent due to correlation between the regressor...

Persistent link: https://www.econbiz.de/10010745814