This paper contributes to the ongoing discussion about the endogeneity of money supply by empirically investigating the GCC countries. We propose and implement a direct test of money supply endogeneity that depends on econometric specification of exogeneity which has not been used in the...

This article examines the existence and stability of the consumption function in the United States of America (US) beginning in the 1950s. In order to obtain a stable long run relationship, we have introduced two innovative elements into the analysis of the life-cycle of the consumption function...

Owing to the vague fluctuation of energy prices from time to time, a new energy model, which considers both the mean-reverting behavior and the long memory property, is proposed in this paper. Since the problem of estimating parameters, in discrete time for this model, plays a central role in...

This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) model in which parameters change according to the phase of the housing cycle. The results...

In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and...

This study proposes a cumulative error correction model where the summing weights follow a geometrically decreasing function of prior deviations from the equilibrium and are estimated from the data. It is shown that this approach nests both the traditional error correction model – where no...

This paper uses the extreme bounds analysis (EBA) of Leamer (1983, 1985) to analyze the robust determinants of the demand for money in a panel of 17 Asian countries for the period 1970 to 2009. These robust determinants are found to be unit root variables. Therefore, cointegration between these...

This paper develops a general equilibrium monetary model to study China–US trade relations. The model captures two main features of China–US trade: China's fixed exchange rate regime and the use of the US dollar as the international medium of exchange. The main conclusions of this paper are...

In this paper we develop a model where agents can acquire goods using cash and two non-cash alternatives. We use it to study the effects of the pricing policy of payment methods implemented in Norway, carried out by individual banks and promoted by the authorities. We show that this policy...

This paper presents an alternative framework for modeling the behavior of banks in setting lending and/or saving rates. In a short-run dynamic model, we correct for deviations from the long-run path using three feedback coefficients capturing different disequilibria. This enables us to test for...