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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10010270503
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Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
Anundsen, André Kallåk; Nymoen, Ragnar - 2015
The ‘saving for a rainy day’ hypothesis implies that households’ saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10010531814
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The price puzzle revisited: can the cost channel explain a rise in inflation after a monetary policy shock?
Henzel, Steffen; Hülsewig, Oliver; Mayer, Eric; … - 2007
restrictions which are not rejected by the data - the cost channel helps to generate an initial rise of inflation after a monetary …
Persistent link: https://www.econbiz.de/10010264162
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Forecasting economic and financial variables with global VARs
Pesaran, Mohammad Hashem; Schuermann, Til; Smith, L. Vanessa - 2008
ahead forecasts of real output, inflation, real equity prices, exchange rates and interest rates over the period 2004Q1 … output, inflation and real equity prices. …
Persistent link: https://www.econbiz.de/10010276220
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Price dispersion in the Euro Area : the case of a symmetric oil price shock
Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - 2009
This paper studies the causes of price dispersion in the euro area emerging in response to a shock that hits all member countries symmetrically. We use a panel VAR model which is estimated over the period 1996 - 2007 to generate impulse responses of a range of price and wage variables to an oil...
Persistent link: https://www.econbiz.de/10010271958
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Time variation in U.S. wage dynamics
Hofmann, Boris; Peersman, Gert; Straub, Roland - 2010
linked to the monetary policy regime. Before and after the 'Great Inflation', nominal wages moved in the same direction as … the (required) adjustment of real wages, and in the opposite direction of the price response. During the 'Great Inflation … increasing inflation volatility. Using a standard DSGE model, we show that these stylized facts, in particular the estimated …
Persistent link: https://www.econbiz.de/10010274983
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Re-examining the decline in the US saving rate: The impact of mortgage equity withdrawal
Caporale, Guglielmo Maria; Costantini, Mauro; Paradiso, … - 2012
In this paper we examine the role of mortgage equity withdrawal in explaining the decline of the US saving rate, since when house prices rise and mortgage rates are low, homeowners have an incentive to withdraw housing equity and this may affect the saving rate. We estimate a Vector Error...
Persistent link: https://www.econbiz.de/10010283598
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Purchasing power parity for developing and developed countries: what can we learn from non-stationary panel data models?
Drine, Imed; Rault, Christophe - 2008
The aim of this paper is to apply recently developed panel cointegration techniques proposed by Pedroni (1999, 2004 … regime doesn't condition the validity of PPP which is more easily accepted in countries with high than low inflation. …
Persistent link: https://www.econbiz.de/10010264327
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Forecasting Euro area real GDP: optimal pooling of information
Hülsewig, Oliver; Mayr, Johannes; Wollmershäuser, Timo - 2008
This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by...
Persistent link: https://www.econbiz.de/10010264416
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Credit Shocks and Macroeconomic Fluctuations in Emerging Markets
Romain, Houssa; Mohimont, Jolan; Otrok, Chris - 2013
In this paper, we examine the role of global and domestic credit supply shocks in macroeconomic fluctuations for Emerging Markets. For this purpose, we impose a set of zero and sign restrictions within a medium-scale Bayesian Vector Auto-Regressive model. Quarterly data from South Africa and G-7...
Persistent link: https://www.econbiz.de/10010317005