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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 … considerable empirical method for extracting information from monetary aggregates for monetary policy purposes. -- cointegration …
Persistent link: https://www.econbiz.de/10009620770
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Money demand in Europe : evidence from the past
Müller-Kademann, Christian; Hahn, Elke - 2000
-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis …
Persistent link: https://www.econbiz.de/10009583887
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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
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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
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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
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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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A simple state space model of house prices
Schulz, Rainer; Werwatz, Axel - 2002
Persistent link: https://www.econbiz.de/10009622676
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Real estate valuation according to standardized methods : an empirical analysis
Schulz, Rainer - 2002
Appraisals are needed for decision-making and for performance evaluation. Knowledge on the accuracy of valuation methods is of general interest for banks and investors. We assess the accuracy of the German Regulation on Valuation with monthly data on appraisals and prices for commercial...
Persistent link: https://www.econbiz.de/10009625798
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The empirical determinants of the Euro : short and long run perspectives
Chinn, Menzie David - 2000
estimation methodologies such as single-equation error correction and first differences specifications. A longer term perspective … is provided by a productivity-based model of the real value of the euro. Some panel regression estimates of the …
Persistent link: https://www.econbiz.de/10009583879
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Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries
Holtemöller, Oliver (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916957