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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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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/10013155103
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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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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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Does it Matter How Aggregates are Measured? The Case of Monetary Transmission Mechanisms in the Euro Area
Beyer, Andreas - 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/10013149066
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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
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Bayesian Inference in Cointegrated VAR Models : With Applications to the Demand for Euro Area M3
Warne, Anders - 2021
The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …
Persistent link: https://www.econbiz.de/10013317369
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Labour cost and employment across euro area countries and sectors
Pierluigi, Beatrice; Roma, Moreno - 2008
This paper studies the role of wage moderation and labour and product market regulation for employment creation. To this end, labour demand estimates are presented for the five largest euro area countries at the aggregate level and for three macro sectors: manufacturing, construction and...
Persistent link: https://www.econbiz.de/10011604958
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Are foreign-owned firms different? Comparison of employment volatility and elasticity of labour demand
Meriküll, Jaanika; Rõõm, Tairi - 2014
This paper analyses differences in employment volatility in foreign-owned and domestic companies using firm-level data from 24 European countries. The presence of foreign-owned companies may lead to higher employment volatility because subsidiaries of multinational companies react more...
Persistent link: https://www.econbiz.de/10011605749
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Are Foreign-Owned Firms Different? Comparison of Employment Volatility and Elasticity of Labour Demand
Meriküll, Jaanika - 2014
This paper analyses differences in employment volatility in foreign-owned and domestic companies using firm-level data from 24 European countries. The presence of foreign-owned companies may lead to higher employment volatility because subsidiaries of multinational companies react more...
Persistent link: https://www.econbiz.de/10013051164