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Money and prices : an I(2) analysis for the euro area
Holtemöller, Oliver - 2002
The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis is an important framework to analyze economic time series both in single equation and in system approaches. This framework is not only suited to study the relationships between...
Persistent link: https://www.econbiz.de/10009620770
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Sticky information vs. sticky prices : a horse race in a DSGE framework
Trabandt, Mathias (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001916974
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Price variability and price dispersion in a stable monetary environment : evidence from German retail markets
Fengler, Matthias R.; Winter, Joachim - 2000
We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for … consumption goods recorded in Germany during 1995, a low inflation period. We find a significant positive correlation between the … correlated with price changes. As the rate of inflation rises, both variability and dispersion become affected. During …
Persistent link: https://www.econbiz.de/10009612033
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Corporate restructuring, downsizing and managerial compensation
Graßhoff, Ulrike; Schwalbach, Joachim - 1997
performance elasticities are contrary to predictions of agency theory. Both results provide further support to the common belief …
Persistent link: https://www.econbiz.de/10009578030
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Overeducation, undereducation, and the theory of career mobility
Büchel, Felix; Mertens, Antje - 2001
The theory of career mobility (Sicherman and Galor 1990) claims that wage penalties for overeducated workers are … compensated by better promotion prospects. Sicherman (1991) was able to confirm this theory in an empirical study. However, the …
Persistent link: https://www.econbiz.de/10009616783
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Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes
Jaschke, Stefan R. - 2001
Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...
Persistent link: https://www.econbiz.de/10009614286
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The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations
Jaschke, Stefan R. - 2001
Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as...
Persistent link: https://www.econbiz.de/10009614287
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The great demand depression
Weder, Mark - 2001
This paper entertains the notion that disturbances on the demand side play a central role in our understanding of the Great Depression. In fact, from Euler equation residuals we are able to identify a series of unusually large negative demand shocks that appeared to have hit the U. S. economy...
Persistent link: https://www.econbiz.de/10009614288
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Semiparametric estimation in single index poisson regression : a practical approach
Climov, Daniela; Delecroix, Michel; Simar, Léopold - 2001
In a single index Poisson regression model with unknown link function, the index parameter can be root-n consistently estimated by the method of pseudo maximumum likelihood. In this paper, we study, by simulation arguments, the practical validity of the asymptotic behavior of the pseudo maximum...
Persistent link: https://www.econbiz.de/10009614290
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Fractional integration and business cycle features
Candelon, Bertrand; Gil-Alaña, Luis A. - 2001
We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...
Persistent link: https://www.econbiz.de/10009614295