Narrow search
Showing 1 - 10 of 6,952
Cover Image
Sticky Prices Versus Monetary Frictions : An Estimation of Policy Trade-Offs
Aruoba, S. Borağan - 2010
We develop a two-sector monetary model with a centralized and decentralized market. Activities in the centralized market resemble those in a standard New Keynesian economy with price rigidities. In the decentralized market agents engage in bilateral exchanges for which money is essential. The...
Persistent link: https://www.econbiz.de/10012757582
Cover Image
On the Welfare Cost of Inflation and the Recent Behavior of Money Demand
Ireland, Peter N. - 2010
Post-1980 U.S. data trace out a stable long-run money demand relationship of Cagan's semi-log form between the M1-income ratio and the nominal interest rate, with an interest semi-elasticity below 2. Integrating under this money demand curve yields estimates of the welfare costs of modest...
Persistent link: https://www.econbiz.de/10012759202
Cover Image
Operational Time and Seasonality in Distributed Lag Estimation
Clark, Peter - 2021
The following paper discusses the analysis of some types of economic time series using an altered time scale, or operational time. It is argued that for some series, observations that are ordinarily thought of as equidistant in time are actually irregularly spaced in a more natural time scale....
Persistent link: https://www.econbiz.de/10013217235
Cover Image
Continuous-Time Linear Models
Cochrane, John H. - 2012
models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction …
Persistent link: https://www.econbiz.de/10013104725
Cover Image
Cointegration and Tests of Present Value Models
Campbell, John Y. - 2010
In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the quot;spreadquot; S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to...
Persistent link: https://www.econbiz.de/10012763269
Cover Image
Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
Brown, Scott J.; Engle, Robert F.; Coulson, N. Edward - 2021
equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting …This paper tests for cointegration between regional output of an industry and national output of the same industry. An … using the shift and share framework often acts as if cointegration does not exist. Data analysis on broad industrial sectors …
Persistent link: https://www.econbiz.de/10013221307
Cover Image
Dynamic Seemingly Unrelated Cointegrating Regression
Mark, Nelson C.; Ogaki, Masao; Sul, Donggyu - 2021
Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to...
Persistent link: https://www.econbiz.de/10013232465
Cover Image
Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
Cheung, Yin-Wong; Chinn, Menzie David - 2021
, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …
Persistent link: https://www.econbiz.de/10013236694
Cover Image
Understanding Trend and Cycle in Asset Values : Reevaluating the Wealth Effect on Consumption
Lettau, Martin; Ludvigson, Sydney C. - 2021
Both textbook economics and common sense teach us that the value of household wealth should be related to consumer spending. At the same time, movements in asset values often seem disassociated with important movements in consumer spending, as episodes such as the 1987 stock market crash and the...
Persistent link: https://www.econbiz.de/10013313222
Cover Image
The Long-Run U.S./U.K. Real Exchange Rate
Engel, Charles M.; Kim, Chang-Jin - 2022
economic theory in which the permanent component represents real influences, while the transitory component represents …
Persistent link: https://www.econbiz.de/10013324058