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Consumption and wealth in the long run: an integrated unobserved component approach
Gardberg, Malin; Pozzi, Lorenzo - 2018
The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly … relationship between consumption, assets and earnings (i.e., the variable "cay"). The evidence in favor of a stable cointegrating … unobserved component model applied to US data over the period 1951Q4-2016Q4. The regression of consumption on assets and earnings …
Persistent link: https://www.econbiz.de/10011932317
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Dynamic Partial Correlation Models
D'Innocenzo, Enzo; Lucas, André - 2022
recurrence equations, we establish stationarity, ergodicity, and filter invertibility in the multivariate setting using …
Persistent link: https://www.econbiz.de/10013427597
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Forecasting Interest Rates with Shifting Endpoints
van Dijk, Dick; Koopman, Siem Jan; van der Wel, Michel; … - 2012
Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary process around a slowly time-varying trend. In contrast, the existing studies on interest rate forecasting either treat yields as being stationary, without any shifting...
Persistent link: https://www.econbiz.de/10010326362
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On Taxation in a Two-Sector Endogenous Growth Model with Endogenous Labor Supply
de Hek, Paul A. - 2003
This paper examines the effects of taxation on long-run growthin a two-sector endogenous growth model with (i) physical capitalas an input in the education sector and (ii) leisure as anadditional argument in the utility function. The analysis of theeffects of taxation - including income...
Persistent link: https://www.econbiz.de/10010324760
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Education, Growth and Income Inequality
Teulings, Coen N.; van Rens, Thijs - 2002
Estimates of the effect of education on GDP (the social return) have been hard to reconcile with micro evidence on the private return to schooling. We present a simple explanation combining two ideas: imperfect substitution and endogenous skill-biased technological progress and use cross-country...
Persistent link: https://www.econbiz.de/10010324788
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Total Factor Productivity and the Role of Entrepreneurship
Erken, Hugo; Donselaar, Piet; Thurik, Roy - 2009
Total factor productivity of twenty OECD countries for a recent period (1971-2002) is explained using six different models based on the established literature. Traditionally, entrepreneurship is not dealt with in these models. In the present paper it is shown that – when this variable is added...
Persistent link: https://www.econbiz.de/10010325764
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Follow the money: Does the Financial Sector Intermediate Natural Resource Windfalls?
Beck, Thorsten; Poelhekke, Steven - 2017
resources into the economy, mostly through higher government consumption. …
Persistent link: https://www.econbiz.de/10011662525
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Total Factor Productivity and the Role of Entrepreneurship
Erken, Hugo; Donselaar, Piet; Thurik, Roy - 2009
Total factor productivity of twenty OECD countries for a recent period (1971-2002) is explained using six different models based on the established literature. Traditionally, entrepreneurship is not dealt with in these models. In the present paper it is shown that - when this variable is added -...
Persistent link: https://www.econbiz.de/10014208199
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Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
We investigate the intraday dependence pattern between tick data of stock price changes using a new time-varying model for discrete copulas. We let parameters of both the marginal models and the copula vary over time using an observation driven autoregressive updating scheme based on the score...
Persistent link: https://www.econbiz.de/10011288386
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Cyclicality in Losses on Bank Loans
Keijsers, Bart; Diris, Bart; Kole, Erik - 2015
Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...
Persistent link: https://www.econbiz.de/10011288399