Showing 1 - 6 of 6
Long-run income convergence is investigated in the US context. We employ a novel pair-wise econometric procedure based on a probabilistic definition of convergence. The time-series properties of all the possible regional income pairs are examined by means of unit root and non-cointegration tests...
Persistent link: https://www.econbiz.de/10010607397
Using a long historical dataset, we estimate a Threshold Vector Autoregression (T-VAR) model for the UK based on a financial stress measure, the debt-to-GDP ratio, borrowing costs and real GDP growth. Our model allows for the impact of debt/GDP to vary between periods of high and low economic...
Persistent link: https://www.econbiz.de/10010769254
We extend previous literature on fiscal policy sustainability by introducing non-linear fiscal reaction functions with endogenously estimated state-varying thresholds to capture the behaviour of fiscal policy authorities during “good” and “bad” times. These thresholds vary with the level...
Persistent link: https://www.econbiz.de/10010656013
This study examines the determinants of bond yield spreads for 22 emerging markets in the period 1998-2009. In addition to the usual EMBI index data from credit default swaps (CDS) are also used. Three sets of determinants are considered: domestic, external, and institutional factors. In...
Persistent link: https://www.econbiz.de/10008788394
In this paper we examine long-run house price convergence across US states using a novel econometric approach advocated by Pesaran (2007) and Pesaran et al. (2009). Our empirical modelling strategy employs a probabilistic test statistic for convergence based on the percentage of unit root...
Persistent link: https://www.econbiz.de/10009142663
This paper develops a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields...
Persistent link: https://www.econbiz.de/10008487529