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Gibson’s Paradox, Monetary Policy, and the Emergence of Cycles

Hannsgen, Greg - EconWPA - 2004

Many empirical studies have found that interest rate increases have a positive effect on the price level. This paper pursues an obvious, but neglected explanation: interest payments are a cost of production that is at least in part passed on to customers. A model shows that the cost- push effect...

Persistent link: https://www.econbiz.de/10005412732

Structural Factor-Augmented VAR (SFAVAR) and the Effects of Monetary Policy

Belviso, Francesco; Milani, Fabio - EconWPA - 2005

Factor-augmented VARs (FAVARs) have combined standard VARs with factor analysis to exploit large data sets in the study of monetary policy. FAVARs enjoy a number of advantages over VARs: they allow a better identification of the monetary policy shock; they can avoid the use of a single variable...

Persistent link: https://www.econbiz.de/10005076826

Reduced-Rank Identification of Structural Shocks in VARs

Gorodnichenko, Yuriy - EconWPA - 2005

This paper integrates imposing a factor structure on residuals in vector autoregressions (VARs) into structural VAR analysis. Identification, estimation and testing procedures are discussed. The paper applies this approach to the well-known problem of studying the effects of monetary policy in...

Persistent link: https://www.econbiz.de/10005126128

Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models

DUFRENOT, Gilles; Val=E9rie MIGNON; PEGUIN-FEISSOLE, Anne - EconWPA - 2003

This paper investigates the asymmetric effects of monetary shocks when the=20 impact of monetary policy on real activity works through state-dependent=20 variables. We use a nonlinear model, the multiple regime smooth transition=20 autoregressive model, that allows the effects of shocks to vary...

Persistent link: https://www.econbiz.de/10005126142

On the Causal Relationship between Government Expenditure and Tax Revenue in Pakistan

Hussain, M. Haider - EconWPA - 2005

This paper applies the technique of Granger Causality to determine the relationship between total government …

Persistent link: https://www.econbiz.de/10005125024

The inflation-productivity trade-off revisited

Bitros, George C.; Panas, Epameinondas E. - EconWPA - 2005

short run and in the long run, and third, to investigate the direction of causality between these two variables. To … the third objective, it emerges that in the great majority of two-digit manufactur-ing industries the causality runs from … cost function, and run the appropriate stability and causality tests. …

Persistent link: https://www.econbiz.de/10005126201

Financial Development and Economic Growth in Malaysia: The Stock Market Perspective

Choong, Chee Keong; Yusop, Zulkornain; Law, Siong Hook; … - EconWPA - 2003

development has a significant positive long-run impact on economic growth. Granger-causality test based on vector error correction …

Persistent link: https://www.econbiz.de/10005561265

Housing and Labor Market Connections: the Portuguese Case

Carvalho, Pedro Guedes - EconWPA - 2002

In a former research group 1 where I worked (1996 to 1999), the core of the study was to compare the four southern European housing systems - Portugal, Spain, Italy and Greece Œ under the assumption that they had a different path other than northern European countries. We had the personal...

Persistent link: https://www.econbiz.de/10005076780

Robustness of Inferences to Singularity Bifurcations

He, Yijun; Barnett, William - EconWPA - 2005

Euler equation models represent an important class of macroeconomic systems. Our research on the Leeper and Sims Euler equations macroeconomic model reveals the existence of singularity-induced bifurcations, when the model's parameters are within a confidence region about the parameter...

Persistent link: https://www.econbiz.de/10005076767

"PPP tests in cointegrated panels: Evidence from Asian developing countries".

Basher, Syed A.; Mohsin, Mohammed - EconWPA - 2003

This paper tests the relative version of purchasing power parity (PPP) for a set of ten Asian developing countries using panel cointegration framework. We employ 'between-dimension' dynamic OLS estimator as proposed by Pedroni (2001b). The test results overwhelmingly reject the PPP hypothesis.

Persistent link: https://www.econbiz.de/10005076786

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