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Domestic saving and investment revised : can the Feldstein-Horioka equation be used for policy analysis?

Sachsida, Adolfo; Mendonça, Mário Jorge Cardoso de - 2015

Based on the relation between investment and domestic saving proposed by Feldstein and Horioka (1980) to verify capital … autoregressive (SVAR) involving investment and saving in order to evaluate the effect of exogenous shocks through impulse response … showed that investment is sensitive to contemporaneous innovation on saving and this effect lasts for a long time. Regarding …

Persistent link: https://www.econbiz.de/10012038727

Connectedness between G10 currencies : searching for the causal structure

Bettendorf, Timo; Heinlein, Reinhold - 2019

This paper presents a new approach for modelling the connectedness between asset returns. We adapt the measure of Diebold and Yılmaz (2014), which is based on the forecast error variance decomposition of a VAR model. However, their connectedness measure hinges on critical assumptions with...

Persistent link: https://www.econbiz.de/10011968850

A dynamic theory of the Feldstein-Horioka puzzle and financial frictions : re-estimation of the saving retention coefficient

Takahashi, Harutaka - 2020

Persistent link: https://www.econbiz.de/10012582699

Capital mobility within EMU

Stirböck, Claudia; Heinemann, Friedrich - 1999

capital in the past. The conclusion is that within EMU domestic saving and investment will be less correlated than they were …

Persistent link: https://www.econbiz.de/10013428227

Utility maximizing hedge ratios in the extended mean Gini framework

Kolb, Robert W.; Okunev, John - 1992

Persistent link: https://www.econbiz.de/10000920662

A macroeconomic reverse stress test

Grundke, Peter; Pliszka, Kamil - 2015

Reverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be identified. This paper sketches a framework for a...

Persistent link: https://www.econbiz.de/10011334117

Monetary policy regimes in Brazil

Lima, Elcyon Caiado Rocha; Maka, Alexis; Mendonça, … - 2015

This article estimates the monetary policy rule followed by the Brazilian Central Bank for setting its main policy instrument, the SELIC rate, for the period after the Real Plan. In order to overcome the uncertainty over the dates at which changes in parameters occurred, this paper uses...

Persistent link: https://www.econbiz.de/10012053320

Short-term impacts of carbon offsetting on emissions trading schemes : empirical insights from the EU experience

Gavard, Claire; Kirat, Djamel - 2020 - This version: 22 September 2020

The Paris Agreement established a new mechanism by which a country can offset some of its emissions reductions in other countries. Its design is still under negotiation. While taking advantage of cheaper abatement opportunities enables efficiency gains, the impact on the price volatility in the...

Persistent link: https://www.econbiz.de/10012304834

The nonlinear dynamics of corporate bond spreads : regime-dependent effects of their determinants

Fischer, Henning; Stolper, Oscar - 2019

This paper studies the behavior of corporate bond spreads during different market regimes between 2004 and 2016. Applying a Markov-switching vector autoregressive (MS-VAR) model, we document that the dynamic impact of spread determinants varies substantially with market conditions. In periods of...

Persistent link: https://www.econbiz.de/10011979160

Multivariate spatial regression models

Gamerman, Dani; Moreira, Ajax - 2015

This paper describes the inference procedures required to perform Bayesian inference to some multivariate econometric models. These models have a spatial component built into commonly used multivariate models. In particular, the seemingly unrelated regression and vector autoregressive models are...

Persistent link: https://www.econbiz.de/10012019328

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