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Long Memory Processes and Chronic Inflation : Detecting Homogeneous Components in a Linear Rational Expectation Model

Scacciavillani, Fabio - 1994

This paper is an empirical study of the links between monetary variables and inflation based on Cagan’s equation and its rational expectations solution, when the forcing variable is a fractionally integrated process. As demonstrated by Hamilton and Whiteman, the existence of bubbles and other...

Persistent link: https://www.econbiz.de/10014398740

Neglected Heterogeneity and Dynamics in Cross-Country Savings Regressions

International Monetary Fund - 1999

This paper examines the extent to which conclusions of cross-country studies of private savings are robust to allowing for the possible heterogeneity of savings behavior across countries and the inclusion of dynamics. It shows that neglecting heterogeneity and dynamics can lead to misleading...

Persistent link: https://www.econbiz.de/10014400163

Product Variety and Economic Growth : Empirical Evidence for the Oecd Countries

Funke, Michael - 2000

direct measures of product variety calculated from 6-digit OECD export and import data. Although the issue is still far from …

Persistent link: https://www.econbiz.de/10014399925

Cointegration of International Stock Market Indices

Chou, Ray Yeutien - 1994

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six country stock price indices, including that of the United...

Persistent link: https://www.econbiz.de/10014395829

Estimation of the Near Unit Root Model of Real Exchange Rates

McDermott, C. John - 1996

The time-series properties of real exchange rates, on a number of definitions, for 22 industrial countries during 1979-95 were used to re-examine whether PPP holds. It is shown that if real exchange rates reverted to a constant mean slowly, say by five percent a month, then at standard levels of...

Persistent link: https://www.econbiz.de/10014398375

Deviations of Exchange Rates From Purchasing Power Parity : A Story Featuring Two Monetary Unions

MacDonald, Ronald - 1998

We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...

Persistent link: https://www.econbiz.de/10014400558

Common Trends and Structural Change : A Dynamic Macro Model for the Pre- and Postrevolution Islamic Republic of Iran

Becker, Törbjörn I. - 1999

This paper uses a common trends model to study how prices, the black market exchange rate, money, and real output have developed over a period covering both pre- and post-revolution Iranian data. It is shown that monetary shocks have significant short-run effects on output, but permanent effects...

Persistent link: https://www.econbiz.de/10014400939

On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications

Rebucci, Alessandro - 2003

This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative...

Persistent link: https://www.econbiz.de/10014403829

Mitigating long-term unemployment in Europe

Miyamoto, Hiroaki; Suphaphiphat, Nujin - 2020

While unemployment rates in Europe declined after the global financial crisis until 2018/19, the incidence of long …

Persistent link: https://www.econbiz.de/10012301932

Explaining the shadow economy in Europe : size, causes and policy options

Kelmanson, Ben; Kirabaeva, Koralai; Medina, Leandro; … - 2019

This paper examines the drivers, and reestimates the size of shadow economies in Europe, with a focus on the emerging … economies, and recommends policies to increase formality. The size of shadow economies declined across Europe in recent years … but remains significant, especially in Eastern Europe. In the emerging European economies, the key determinants of shadow …

Persistent link: https://www.econbiz.de/10012155041