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Volatility Spillovers from Australia's Major Trading Partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert J.; … - Tinbergen Instituut - 2014

This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China, Japan, Korea and the United States, for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global Financial Crisis (GFC). These...

Persistent link: https://www.econbiz.de/10011272594

Income Satisfaction Inequality and its Causes

Ferrer-i-Carbonell, Ada; Praag, Bernard M.S. Van - Tinbergen Instituut - 2002

In this paper, the concept of Income Satisfaction Inequality is operationalized on the basis of individual responses to an Income Satisfaction question posed in the German Socio-Economic Panel (GSOEP). Income satisfaction is the subjective analogue of the objective income concept and includes...

Persistent link: https://www.econbiz.de/10011256672

Data Sparseness and Variance in Accounting Profitability

Stavropoulos, Spyridon; Burger, Martijn J.; Skuras, Dimitris - Tinbergen Instituut - 2015

A central question in strategic management is why some firms perform better than others. One approach to addressing this question empirically is to decompose the variance in firm-level profitability into firm, industry, location, and year components. Although it is well established that data...

Persistent link: https://www.econbiz.de/10011257269

Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

Persistent link: https://www.econbiz.de/10011272592

Generalized Reduced Rank Tests using the Singular Value Decomposition

Kleibergen, Frank; Paap, Richard - Tinbergen Instituut - 2003

.F.R. Science Economique, University de Franche-Comté]. In the non-stationary cointegration case, the limiting distribution of the …

Persistent link: https://www.econbiz.de/10011249543

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2008

Ratios in U.S. macro-economic time series is investigated, together with the effect of permanent shocks on business cycles …

Persistent link: https://www.econbiz.de/10011255775

Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

Strachan, Rodney; Dijk, Herman K. van - Tinbergen Instituut - 2012

technology shocks appear to account for all stochastic trends. Business cycle volatility seems more due to investment specific …

Persistent link: https://www.econbiz.de/10011255853

Bayes Estimates of Markov Trends in possibly Cointegrated Series: An Application to US Consumption and Income

Paap, Richard; Dijk, Herman K. van - Tinbergen Instituut - 1999

This discussion paper resulted in an article in the <I>Journal of Business & Economic Statistics</I> (2003). Volume 21 … cointegration analysis between the variables, toexamine the permanent income hypothesis, may not be valid. To model thechanging … that there exist a cointegration relation between US percapita disposable income and consumption, after correction for …

Persistent link: https://www.econbiz.de/10011256000

Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging

Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2010

The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model …) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions … real business cyclemodel. For example, restricting long run responses to identify technologyshocks has reasonable support …

Persistent link: https://www.econbiz.de/10011256713

Modelling Tourism Development and Long-run Economic Growth in Aruba

Ridderstaat, Jorge; Croes, Robertico; Nijkamp, Peter - Tinbergen Instituut - 2013

? This exercise involves applying an econometric methodology consisting of unit root testing, cointegration analysis, vector …

Persistent link: https://www.econbiz.de/10011256765