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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
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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
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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
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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
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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
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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
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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/10010745161
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Testable implications of forecast optimality
Patton, Andrew J.; Timmermann, Allan - London School of Economics (LSE) - 2005
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast...
Persistent link: https://www.econbiz.de/10010744999
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Greece in recession: economic predictions, mispredictions and policy implications
Petralias, Athanassios; Petros, Sotirios; Prodromídis, … - London School of Economics (LSE) - 2013
We look into the available macroeconomic figures and the predictions made about the recession in Greece by international organizations, Greek research centers, and the Greek government; and suggest that the predictions regarding the decline in real GDP in recent years were overly optimistic. The...
Persistent link: https://www.econbiz.de/10011071440
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Maximum Likelihood in the Frequency Domain: a Time to Build Example.
Christiano, L.J.; Vigfusson, R.J. - London School of Economics (LSE) - 1999
A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for...
Persistent link: https://www.econbiz.de/10005207535