Narrow search
Showing 1 - 10 of 2,469
Cover Image
Testing Unemployment Theories : A Multivariate Long Memory Approach
Caporale, Guglielmo Maria - 2014
This paper investigates the empirical relevance of different unemployment theories in three major economies, namely the … UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate …. Specifically, when taking a univariate approach, the unit root null cannot be rejected in case of the UK and Japanese unemployment …
Persistent link: https://www.econbiz.de/10013060039
Cover Image
Cointegration Analysis with Mixed-Frequency Data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2021
We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...
Persistent link: https://www.econbiz.de/10013317180
Cover Image
Uncertainty Across Volatility Regimes
Angelini, Giovanni - 2018
We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in the empirical literature on uncertainty: (i) Does...
Persistent link: https://www.econbiz.de/10012927574
Cover Image
Time-Varying Spot and Futures Oil Price Dynamics
Caporale, Guglielmo Maria - 2013
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/10013094836
Cover Image
Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
Anundsen, André K. - 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/10013022495
Cover Image
Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
Anundsen, André Kallåk; Nymoen, Ragnar - CESifo - 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/10011278934
Cover Image
Global and Regional Financial Integration in Emerging Asia : Evidence from Stock Markets
Caporale, Guglielmo Maria - 2017
This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean...
Persistent link: https://www.econbiz.de/10012954357
Cover Image
Spend-and-Tax Adjustments and the Sustainability of the Government's Intertemporal Budget Constraint
Legrenzi, Gabriella Deborah; Milas, Costas - 2021
We apply non-linear error-correction models to the empirical testing of the sustainability of the government’s intertemporal budget constraint. Our empirical analysis, based on Italy, shows that the Italian government is meeting its intertemporal budget constraint, in spite of the high levels...
Persistent link: https://www.econbiz.de/10013316265
Cover Image
Central Bank Policy Rates : Are They Cointegrated?
Caporale, Guglielmo Maria - 2017
This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...
Persistent link: https://www.econbiz.de/10012958879
Cover Image
The Impact of Monetary Strategies on Inflation Persistence
Kočenda, Evžen - 2017
We analyze the impact of price stability-oriented monetary strategies (inflation targeting — IT — and constraining exchange rate arrangements) on inflation persistence using a time-varying coefficients framework in a panel of 68 countries (1993–2013). We show that explicit IT has a...
Persistent link: https://www.econbiz.de/10012962672