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Non-linear dynamics in the euro area demand for M1
Calza, Alessandro; Zaghini, Andrea - 2006
This paper investigates possible non-linearities in the dynamics of the euro area demand for the narrow aggregate M1. A long-run money demand relationship is firstly estimated over a sample period covering the last three decades. While the parameters of the relationship are jointly stable, there...
Persistent link: https://www.econbiz.de/10011604638
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Public debt and long-term interest rates: the case of Germany, Italy and the USA
Paesani, Paolo; Strauch, Rolf; Kremer, Manfred - 2006
The debate on the sustainability of public finances is closely related to the analysis of the financial and macroeconomic consequences of government debt accumulation. Focusing on the USA, Germany and Italy over the 1983-2003 period, the central issue addressed in this paper is how the...
Persistent link: https://www.econbiz.de/10011604702
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Modelling loans to non-financial corporations in the euro area
Kok, Christoffer; Marqués-Ibáñez, David; Rossi, Carlotta - 2009
We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics...
Persistent link: https://www.econbiz.de/10011605035
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A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth
Beyer, Andreas - 2009
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...
Persistent link: https://www.econbiz.de/10011605157
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Does it matter how aggregates are measured? The case of monetary transmission mechanisms in the euro area
Beyer, Andreas; Juselius, Katarina - 2010
impact on the cointegration properties in empirical modelling, the monetary model in Coenen & Vega (2001) based on fixed …
Persistent link: https://www.econbiz.de/10011605195
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Structural Breaks, Cointegration and the Fisher Effect
Beyer, Andreas - 2009
of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data … for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation … in the long run. This is in contrast to several recent studies that found no support for linear cointegration …
Persistent link: https://www.econbiz.de/10012765185
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A Cointegration Model of Money and Wealth
Assenmacher, Katrin - 2020
Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We find that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have remained remarkably stable throughout the...
Persistent link: https://www.econbiz.de/10012844181
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Corrective Regulation with Imperfect Instruments
Davila, Eduardo; Walther, Ansgar - 2022
This paper studies optimal second-best corrective regulation, when some agents/activities cannot be perfectly regulated. We show that policy elasticities and Pigouvian wedges are sufficient statistics to characterize the marginal welfare impact of regulatory policies in a large class of...
Persistent link: https://www.econbiz.de/10014076773
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Revisiting Fiscal Sustainability : Panel Cointegration and Structural Breaks in OECD Countries
Afonso, António - 2012
cointegration analysis, both country and panel based, controlling for endogenous breaks. Results notably show: lack of cointegration …
Persistent link: https://www.econbiz.de/10013102099
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Regime-Switching Global Vector Autoregressive Models
Binder, Michael - 2013
The purpose of the paper is to develop a Regime-Switching Global Vector Autoregressive (RS-GVAR) model. The RS-GVAR model allows for recurring or non-recurring structural changes in all or a subset of countries. It can be used to generate regime-dependent impulse response functions which are...
Persistent link: https://www.econbiz.de/10013078535