Narrow search
Showing 1 - 10 of 161
Cover Image
The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?
Chen, Mei-ping; Lee, Chien-Chiang; Hsu, Yi-Chung - In: Economic Modelling 28 (2011) 1, pp. 526-539
market, and such a phenomenon is considered as an adverse influence. Nonlinear Granger causality and Bayesian factor analysis … are employed to investigate the nonlinear relationship between ADR and LD. The results indicate the existence of a … nonlinear relationship between ADR and LD by employing Bayesian factor analysis, which has never been employed in the related …
Persistent link: https://www.econbiz.de/10010573282
Cover Image
The exact linkage between the Beveridge–Nelson decomposition and other permanent-transitory decompositions
Sbrana, Giacomo - In: Economic Modelling 30 (2013) C, pp. 311-316
The econometric literature has recently focused attention on the relationship between the Beveridge–Nelson decomposition and unobserved components processes when decomposing time series into permanent and transitory shocks. This paper shows the existence of an algebraic linkage between reduced...
Persistent link: https://www.econbiz.de/10010608304
Cover Image
Revisiting the inflation–output gap relationship for France using a wavelet transform approach
Tiwari, Aviral Kumar; Oros, Cornel; Albulescu, Claudiu … - In: Economic Modelling 37 (2014) C, pp. 464-475
The purpose of the paper is to revisit the inflation–output gap relationship using a new approach known as the wavelet transform. This approach combines the classical time series analysis with frequency domain analysis and presents the advantages of assessing the co-movement of the two series...
Persistent link: https://www.econbiz.de/10010744007
Cover Image
Business cycles synchronization in East Asian economy: Evidences from time-varying coherence study
Allegret, Jean-Pierre; Essaadi, Essahbi - In: Economic Modelling 28 (2011) 1, pp. 351-365
This paper analyzes the feasibility of a monetary union in East Asia focusing on business cycles synchronization. Considering the critical role of trade integration in the East Asian integration process, we study whether East Asian countries are characterized by business cycle synchronization....
Persistent link: https://www.econbiz.de/10010573314
Cover Image
Illustrating extraordinary shocks causing trend breaks
Fukuda, Kosei - In: Economic Modelling 29 (2012) 4, pp. 1045-1052
Structural breaks in a trending variable have been specified as changes in the drift parameter in the trend component, but extraordinary shocks causing these breaks have not been explicitly formulated. In this paper, the Hodrick–Prescott filter is extended by assuming two kinds of variance for...
Persistent link: https://www.econbiz.de/10010577073
Cover Image
The stylised facts of Australia's business cycle
Tawadros, George B. - In: Economic Modelling 28 (2011) 1, pp. 549-556
This paper reassesses the ‘stylised facts’ of Australia's contemporary business cycle, by calculating select moments of the cyclical components in quarterly postwar macroeconomic data. In particular, the robustness of the cross-correlation sample moments to the detrending procedure are...
Persistent link: https://www.econbiz.de/10010577091
Cover Image
Output gap measurement and the New Keynesian Phillips curve for China
Zhang, Chengsi; Murasawa, Yasutomo - In: Economic Modelling 28 (2011) 6, pp. 2462-2468
The New Keynesian Phillips curve implies that the output gap, the deviation of the actual output from its natural level due to nominal rigidities, drives the dynamics of inflation relative to expected inflation and lagged inflation. This paper exploits the empirical success of the New Keynesian...
Persistent link: https://www.econbiz.de/10010577098
Cover Image
Can Google data help predict French youth unemployment?
Fondeur, Y.; Karamé, F. - In: Economic Modelling 30 (2013) C, pp. 117-125
According to the growing “Google econometrics” literature, Google queries may help predict economic activity. The aim of our paper is to test whether these data can enhance predictions of youth unemployment in France.
Persistent link: https://www.econbiz.de/10011048762
Cover Image
The German labor market during the Great Recession: Shocks and institutions
Gehrke, Britta; Lechthaler, Wolfgang; Merkl, Christian - In: Economic Modelling 78 (2019), pp. 192-208
This paper analyzes Germany’s unusual labor market experience during the Great Recession. We estimate a general equilibrium model with a detailed labor market block for post-unification Germany. This allows us to disentangle the role of institutions (short-time work, government spending rules)...
Persistent link: https://www.econbiz.de/10013436693
Cover Image
Oil prices and the macroeconomy reconsideration for Germany: Using continuous wavelet
Tiwari, Aviral Kumar - In: Economic Modelling 30 (2013) C, pp. 636-642
The cross wavelet analysis is used in the study to decompose the time–frequency effects of oil price changes on the German macroeconomy. We argue that the relationship between oil prices and industrial production is ambiguous. Our results show that there are both phase and anti-phase...
Persistent link: https://www.econbiz.de/10010608243