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A cointegration model of money and wealth
Assenmacher-Wesche, Katrin; Beyer, Andreas - 2020
Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We nd that the elasticities in the money demand and the real wealth relations identi ed previously in Beyer (2009) have remained remarkably stable throughout the...
Persistent link: https://www.econbiz.de/10012150128
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Structural breaks, cointegration and the Fisher effect
Beyer, Andreas; Haug, Alfred Albert; Dewald, William G. - 2009
of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data … for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation … in the long run. This is in contrast to several recent studies that found no support for linear cointegration. -- Fisher …
Persistent link: https://www.econbiz.de/10003831793
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The dynamic effects of shocks to wages and prices in the United States and the euro area
Duarte, Rita Netto de Miranda; Marques, Carlos Robalo - 2009
This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector errorcorrection model, where the structural shocks...
Persistent link: https://www.econbiz.de/10003867061
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Does it matter how aggregates are measured? : the case of monetary transmission mechanisms in the euro area
Beyer, Andreas; Jusélius, Katarina - 2010
impact on the cointegration properties in empirical modelling, the monetary model in Coenen &Vega (2001) based on fixed … the choice of aggregation method. - Aggregation ; Flexible weights ; Eurowide money demand ; Cointegration …
Persistent link: https://www.econbiz.de/10003970393
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A stable model for Euro Area money demand : revisiting the role of wealth
Beyer, Andreas - 2009
money demand model. -- Money Demand ; Parameter Constancy ; Wealth ; Cointegration ; Vector Error Correction Model …
Persistent link: https://www.econbiz.de/10003963820
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Modelling loans to non-financial corporations in the euro area
Kok Sørensen, Christoffer; Marqués Ibáñez, David; … - 2009
corporations. -- Bank credit ; euro area ; non-financial corporations ; cointegration ; error-correction model …
Persistent link: https://www.econbiz.de/10003826460
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...
Persistent link: https://www.econbiz.de/10012705391
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How sectoral technical progress and factor substitution shaped Japan's structural transformation?
Manu, Ana-Simona - 2022
The paper quantitatively assesses the importance of supply-side drivers in the transition of the Japanese economy from low-skilled to high-skilled sectors and its implication for growth, labor demand and labor income shares. A sectoral supply-side system, estimated over the 1980-2012 period,...
Persistent link: https://www.econbiz.de/10012818759
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The interplay between green policy, electricity prices, financial constraints and jobs : firm-level evidence
Bijnens, Gert; Hutchinson, John; Konings, Jozef; … - 2021
Increased investment in clean electricity generation or the introduction of a carbon tax will most likely lead to higher electricity prices. We examine the effect from changing electricity prices on manufacturing employment. Analyzing firm-level data, we find that rising electricity prices lead...
Persistent link: https://www.econbiz.de/10012499645
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Implementing optimal control in cointegrated I(1) structural VAR models
Monti, Francesca V. - 2003
This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...
Persistent link: https://www.econbiz.de/10009635883