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Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

is proposed to test for causality at different forecast horizons. Second, the framework of Geweke (1982) and Hosaya (1991 …) is used to construct a simple test for causality in the frequency domain. This methodology is applied to investigate the … low frequencies only. -- Causality ; Time series ; Frequency domain ; Prediction …

Persistent link: https://www.econbiz.de/10009617950

Testing the purchasing power parity in pooled systems of error correction models

Herwartz, Helmut; Reimers, Hans-Eggert - 2000

not invariant with respect to the investigated sample period. -- Purchasing power parity ; Panel cointegration ; Wild …

Persistent link: https://www.econbiz.de/10009612044

Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares

Breitung, Jörg; Wulff, Christian - 1999

The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...

Persistent link: https://www.econbiz.de/10009581105

Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …

Persistent link: https://www.econbiz.de/10009582383

Weekday dependence of German stock market returns

Herwartz, Helmut - 1999

The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday … exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …

Persistent link: https://www.econbiz.de/10009580468

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Persistent link: https://www.econbiz.de/10009661022

Growth regression and counterfactual income dynamics

Desdoigts, Alain - 2000

Persistent link: https://www.econbiz.de/10009611551

Further VAR evidence for the effectiveness of a credit channel in Germany

Holtemöller, Oliver - 2002

In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of the credit channel rely mostly on the analysis of monetary policy effects...

Persistent link: https://www.econbiz.de/10009626675

Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...

Persistent link: https://www.econbiz.de/10009616784

A parametric approach to the estimation of cointegration vectors in panel data

Breitung, Jörg - 2002

In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that …

Persistent link: https://www.econbiz.de/10009620776

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