Narrow search
Showing 1 - 10 of 1,910
Cover Image
Stylized Facts of Government Finance in the G-7
Fiorito, Riccardo - 1997
The stylized facts of government finance in the Group of Seven (G-7) industrial countries show that revenues lag real GDP procyclically, while government spending in most cases fails to lead the economy procyclically. This finding is not confined to transfers but also applies to the wage...
Persistent link: https://www.econbiz.de/10014400383
Cover Image
Cointegration of International Stock Market Indices
Chou, Ray Yeu-Tien - 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 … subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with …
Persistent link: https://www.econbiz.de/10014395829
Cover Image
Analysis of the U.S. Business Cycle with a Vector-Markov-Switching Model
Kontolemis G., Zenon - 1999
This paper identifies turning points for the U.S. business cycle using different time series. The model, a multivariate Markov-Swiching model, assumes that each series is characterized by a mixture of two normal distributions (a high and low mean) with switching determined by a common Markov...
Persistent link: https://www.econbiz.de/10014401046
Cover Image
Testing for Purchasing Power Parity in Cointegrated Panels
Lyhagen, Johan - 2007
This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong … contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS esimators of the …
Persistent link: https://www.econbiz.de/10014401245
Cover Image
Does Fiscal Policy Matter for the Trade Account? : A Panel Cointegration Study
Nickel, Christiane - 2006
elasticities. Using pooled mean group estimation for annual panel data of the G-7 countries for the years 1970 through 2002, we …
Persistent link: https://www.econbiz.de/10014402247
Cover Image
A closed form multivariate linear filter
Boadway, Robin W.; Vitek, Francis - 2018
This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous...
Persistent link: https://www.econbiz.de/10011978601
Cover Image
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
Cover Image
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
Cover Image
Stability of Velocity in the Group of Seven Countries : A Kalman Filter Approach
Bomhoff, Eduard J. - 1990
) point to a non-constant (stochastic) trend in velocity, hence questioning the assumptions required for the cointegration …
Persistent link: https://www.econbiz.de/10014395802
Cover Image
Globalization, the business cycle, and macroeconomic monitoring
Aruoba, S. Borağan; Diebold, Francis X.; Kose, M. Ayhan; … - 2011
Persistent link: https://www.econbiz.de/10009487098