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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

A wavelet approach to multiple cointegration testing

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients from the same wavelet transform of the original time series data. The procedure can be applied to test the null of cointegration in a n + k multivariate system with n...

Persistent link: https://www.econbiz.de/10011004134

A Test for the Null of Multiple Cointegrating Vectors

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the OLS estimator of the full set of n cointegrating relationships in the n + k system and the OLS estimator of the corresponding relationships among first differences without...

Persistent link: https://www.econbiz.de/10011004208

Fundamentos de econometría intermedia: Teoría y aplicaciones

Antonio, Ramon; Alvarez, Rosales; Andres, Jorge; Calvo, … - Volkswirtschaftliche Fakultät, … - 2009

Econometrics is the area of statistics concerned in analyzing economic data, for both economic and business applications. This document, introduces the intermediate concepts of this area, for students already familiarized with basic econometric theory. In particular, topics concerning...

Persistent link: https://www.econbiz.de/10009654216

Weak convergence of the sequential empirical processes of residuals in ARMA models

Bai, Jushan - Volkswirtschaftliche Fakultät, … - 1991

This paper studies the weak convergence of the sequential empirical process $\hat{K}_n$ of the estimated residuals in ARMA(p,q) models when the errors are independent and identically distributed. It is shown that, under some mild conditions, $\hat{K}_n$ converges weakly to a Kiefer process. The...

Persistent link: https://www.econbiz.de/10009251535

Do Capital Inflows Hinder Competitiveness? The Real Exchange Rate in Ethiopia

Martins, Pedro M. G. - Department of Economics, School of Business, Management … - 2010

This paper investigates the determinants of the real exchange rate (RER) in Ethiopia. In particular, it assesses whether large capital inflows (e.g. foreign aid and remittances) have an impact on the RER. This empirical exercise tries to improve the current literature in a number of ways: (i)...

Persistent link: https://www.econbiz.de/10009205056

"Google it!" Forecasting the US unemployment rate with a Google job search index

D'Amuri, Francesco; FD; Marcucci, Juri; JM - Volkswirtschaftliche Fakultät, … - 2009

In this paper we suggest the use of an internet job-search indicator (Google Index, GI) as the best leading indicator to predict the US unemployment rate. We perform a deep out-of-sample comparison of many forecasting models. With respect to the previous literature we concentrate on the monthly...

Persistent link: https://www.econbiz.de/10008472252

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