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Are bootstrapped cointegration test findings unreliable?

Schreiber, Sven - 2018

is fundamentally uncertain which covariates are relevant. Thus cointegration is often analyzed in partial systems … significant cointegration outcome using a bootstrapped rank test (Cavaliere, Rahbek, and Taylor, 2012) in the bivariate sub … reject the null of no cointegration, but by simulation we find that they display very low power, such that the (bivariate …

Persistent link: https://www.econbiz.de/10011843041

The (in)stability of money demand in the Euro area

Nautz, Dieter; Rondorf, Ulrike - 2010

The instability of standard money demand functions has undermined the role of monetary aggregates for monetary policy analysis in the euro area. This paper uses country-specific monetary aggregates to shed more light on the economics behind the instability of euro area money demand. Our results...

Persistent link: https://www.econbiz.de/10008664568

Consumer cash usage : a cross-country comparison with payment diary survey data

Bagnall, John; Bounie, David; Huynh, Kim P.; Kosse, Anneke - 2014

We measure consumers’ use of cash by harmonizing payment diary surveys from seven countries: Australia, Austria, Canada, France, Germany, the Netherlands, and the United States (conducted 2009 through 2012). Our paper finds important cross-country differences, for example, the level of cash...

Persistent link: https://www.econbiz.de/10010384150

Precautionary motives in short-term cash management : evidence from German POS transactions

Eschelbach, Martina; Schmidt, Tobias - 2013

This paper empirically investigates whether individuals withhold a certain amount of cash for precautionary reasons at the point-of-sale (POS) in order to be able to cover future transactions that might have to be paid for in cash. Such behaviour is costly for consumers because it imposes...

Persistent link: https://www.econbiz.de/10010192759

Forecasting banknote circulation during the COVID-19 pandemic using structural time series models

Bartzsch, Nikolaus; Brandi, Marco; Pastor, Raymond de; … - 2023

As part of the Eurosystem’s annual banknote production planning, the national central banks draw up forecasts estimating the volumes of national-issued banknotes in circulation for the three years ahead. As at the end of 2021, more than 80 per cent of euro banknotes in circulation (cumulated...

Persistent link: https://www.econbiz.de/10014320825

Are fiscal VAR's non-fundamentalness easily reversible through the addition of informative variables?

Vonbun, Christian; Lima, Elcyon Caiado Rocha - 2021

The VAR/SVAR (Vector Autoregressive and Structural Vector Autoregressive) models are the cornerstone of the contemporaneous empirical macroeconomic research, in particular for being able to measure the impact of fiscal policy shocks. They may be employed as atheoretical models, as well as a mean...

Persistent link: https://www.econbiz.de/10012486165

Disentangling the effects of multidimensional monetary policy on inflation and inflation expectations in the euro area

Martínez-Hernández, Catalina - 2020 - This version: October 30, 2020

The European Central Bank (ECB) has adopted a mixture of conventional and unconventional tools in order to achieve its mandate of price stability in the current low-inflation, low-interest-rate scenario. This paper contributes to the existing literature by providing a taxonomy of the ECB’s...

Persistent link: https://www.econbiz.de/10012305860

The role of long-term inflation expectations for the transmission of monetary policy shocks

Diegel, Max; Nautz, Dieter - 2020 - This version: November 10, 2020

This paper empirically investigates the role of long-term inflation expectations for the monetary transmission mechanism. In contrast to earlier studies, we confirm that U.S. long-term inflation expectations respond significantly to a monetary policy shock. In line with a re-anchoring channel of...

Persistent link: https://www.econbiz.de/10012311576

The dynamic impact of macroeconomic news on long-term inflation expectations

Hachula, Michael; Nautz, Dieter - 2017

Well-anchored inflation expectations should not react to short-term oriented macroeconomic news. This paper analyzes the dynamic response of inflation expectations to macro news shocks in a structural VAR model. As identification of structural macro news shocks is controversial, we use a proxy...

Persistent link: https://www.econbiz.de/10011647611

Monetary policy, inflation and the level of economic activity in Brasil after the real plan : stylized facts from SVAR models

Céspedes, Brisne J. V.; Lima, Elcyon Caiado Rocha; … - 2015

This article investigates the stochastic and dynamic relationship of a group of Brazilian macroeconomic variables (price and industrial production indexes, nominal exchange rate, short and medium-run nominal interest rates) for the period after the Real Plan (1996-2004). We adopt, as has become...

Persistent link: https://www.econbiz.de/10012024203

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