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Super-cycles of commodity prices since the mid-ninteenth century

Erten, Bilge - Department of Economic and Social Affairs, United Nations - 2012

Decomposition of real commodity prices suggests four super-cycles during 1865-2009 ranging between 30-40 years with amplitudes 20-40 percent higher or lower than the long-run trend. Non-oil price super-cycles follow world GDP, indicating they are essentially demand-determined; causality runs in...

Persistent link: https://www.econbiz.de/10010852177

Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals

Enders, Walter; Holt, Matthew T. - Volkswirtschaftliche Fakultät, … - 2011

This paper explores the behavior of real commodity prices over a 50–year period. Attention is given to how the fundamentals for various commodity prices have changed with a special emphasis on behavior since the mid 2000s. To identify changing commodity price fundamentals we estimate...

Persistent link: https://www.econbiz.de/10009644780

EMU and the Stability and Volatility of Foreign Exchange: Some Empirical Evidence

Bask, Mikael; de Luna, Xavier - Institutionen för Nationalekonomi, Umeå Universitet - 2001

How has the European monetary integration, with the creation of the EMU, affected the stability and volatility of … foreign exchange? In order to answer this question, stability and volatility measures are defined and calculated. We then use … these to investigate the changes in the stability and volatility of 16 European currencies, and in the volatility of the …

Persistent link: https://www.econbiz.de/10005652009

Currency Area and Non-synchronized Business Cycles between the US and Puerto Rico

Sobrino, Cesar; Heath, Ellis - In: Economics Bulletin 33 (2013) 3, pp. 1948-1958

Frankel and Rose (1997, 1998) state that greater intensity of trading leads to more highly correlated business cycles across countries. Since 2005 Puerto Rico, which belongs to the US currency area, has suffered from economic stagnation. This raises the issue of whether currency areas lead to...

Persistent link: https://www.econbiz.de/10010681099

Are Securitized Real Estate Returns more Predictable than Stock Returns?

Serrano, Camilo; Hoesli, Martin

This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a cross-country comparison of securitized real estate return predictability. In contrast to most of the literature on this issue, the analysis is not based on a...

Persistent link: https://www.econbiz.de/10005534184

The predictive power of Google searches in forecasting unemployment

D'Amuri, Francesco; Marcucci, Juri - Banca d'Italia - 2012

We suggest the use of an index of Internet job-search intensity (the Google Index, GI) as the best leading indicator to predict the US monthly unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt our preferred leading indicator (GI), the more...

Persistent link: https://www.econbiz.de/10011099697

Maximum likelihood estimation of time series models: the Kalman filter and beyond

Tommaso, Proietti; Alessandra, Luati - Volkswirtschaftliche Fakultät, … - 2012

output, the non-accelerating-inflation rate of unemployment, or NAIRU, core inflation, and so forth. Time-varying volatility …

Persistent link: https://www.econbiz.de/10011109316

Monetary and fiscal policy interactions: Evidence from emerging European economies

Cevik, Emrah Ismail; Dibooglu, Sel; Kutan, Ali M. - In: Journal of Comparative Economics 42 (2014) 4, pp. 1079-1091

This paper examines the interactions between fiscal and monetary policy for some former transition, emerging European economies over the 1995Q1–2010Q4 period by using a Markov regime-switching model. We consider the monetary policy rule proposed by Taylor (1993) and the fiscal policy rule...

Persistent link: https://www.econbiz.de/10011077645

Διαστήματα εμπιστοσύνης για εκατοστημόρια σε στάσιμες ARMA διαδικασίες: Μία εμπειρική εφαρμογή σε περιβαλλοντικά δεδομένα

Halkos, George; Kevork, Ilias - Volkswirtschaftliche Fakultät, … - 2014

Percentiles estimation plays an important role at the stage of making decisions in many scientific fields. However, the up-to-now research on developing estimation methods for percentiles has been based on the assumption that the data in the sample are formed independently. In the current paper...

Persistent link: https://www.econbiz.de/10011112555

A Note on Wavelet Correlation and Cointegration

Macho, Fernández; Javier, Francisco - Departamento de Economía Aplicada III (Econometría y … - 2013

In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215Ӳ33} proposed a wavelet-correlation-based approach to test for cointegration between two time series. However, correlation and cointegration are two different concepts even when wavelet analysis is used. It is known that...

Persistent link: https://www.econbiz.de/10011183184