Narrow search
Showing 1 - 10 of 2,780
Cover Image
Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10011343058
Cover Image
Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle
Chatterjee, Pratiti; Milani, Fabio - 2020
What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...
Persistent link: https://www.econbiz.de/10012294890
Cover Image
The transmission of German monetary policy in the pre-Euro period
Lütkepohl, Helmut; Wolters, Jürgen - 2001
A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...
Persistent link: https://www.econbiz.de/10011400913
Cover Image
Testing for UIP : nonlinearities, monetary announcements and interest rate expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...
Persistent link: https://www.econbiz.de/10012508617
Cover Image
The euro area government spending multiplier in demand- and supply-driven recessions
Di Serio, Mario; Fragetta, Matteo; Gasteiger, Emanuel; … - 2022
We estimate government spending multipliers in demand- and supply-driven recessions for the Euro Area. Multipliers in a moderately demand-driven recession are 2-3 times larger than in a moderately supply-driven recession, with the difference between multipliers being non-zero with very high...
Persistent link: https://www.econbiz.de/10013174156
Cover Image
Measuring monetary policy with residual sign restrictions at known shock dates
Badinger, Harald; Schiman, Stefan - 2020
We propose a novel identification strategy to measure monetary policy in a structural VAR. It is based exclusively on known past policy shocks, which are uncovered from high-frequency data, and does not rely on any theoretical a-priori restrictions. Our empirical analysis for the euro area...
Persistent link: https://www.econbiz.de/10012288003
Cover Image
Youth unemployment in Europe : persistence and macroeconomic determinants
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2014
in Europe by estimating fractional cointegration models. The evidence suggests that this series is highly persistent in …
Persistent link: https://www.econbiz.de/10010256726
Cover Image
Modelling loans to non-financial corporations within the Eurozone : a long-memory approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2020
This paper uses fractional integration and cointegration methods to analyse the determinants of the amount of loans …
Persistent link: https://www.econbiz.de/10012310523
Cover Image
Stock prices and economic fluctuations : a Markov switching structural vector autoregressive analysis
Lanne, Markku (contributor); Lütkepohl, Helmut (contributor) - 2008
used for total factor productivity. -- Cointegration ; Markov regime switching model ; vector error correction model …
Persistent link: https://www.econbiz.de/10003751230
Cover Image
Macroeconomic shocks and racial labour market differences in the U.S.
De, Kuhelika; Compton, Ryan A.; Giedeman, Daniel C.; … - 2019
Using 136 United States macroeconomic indicators from 1973 to 2017, and a factor augmented vector autoregression (FAVAR) framework with sign restrictions, we investigate the effects of three structural macroeconomic shocks - monetary, demand, and supply - on the labour market outcomes of black...
Persistent link: https://www.econbiz.de/10012157899