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A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...
Persistent link: https://www.econbiz.de/10005861271
Okun's Law postulates an inverse relationship between movements of the unemployment rate and the real gross domestic product (GDP). Empirical estimates for US data indicate that a two to three percent GDP growth rate above the natural or average GDP growth rate causes unemployment to decrease by...
Persistent link: https://www.econbiz.de/10005841654
In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an econometric model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional...
Persistent link: https://www.econbiz.de/10005846814
We study the empirical behaviour of semi-parametric log-periodogram estimation forlong memory models when the true …
Persistent link: https://www.econbiz.de/10009302607
Recent developments in the oil and gas industry suggest that investment behaviour is not necessarilychangeless over time. We propose a micro-econometric procedure to investigate the stability ofinvestment behaviour. Applying system GMM methods on a panel data set for 253 oil and gas...
Persistent link: https://www.econbiz.de/10009305225
The literature shows that for most UK industries privatization might be necessary but is not sufficient to produce economic benefits. Often prior changes in management or later changes in market structure and regulation have larger impacts than privatization itself. We ask what changes around...
Persistent link: https://www.econbiz.de/10009354096
Recent work on U.S. data calls into question the ability of simple Phillips curvemodels to forecast inflation. This paper asks whether there is similar evidence of abreakdown in the forecasting ability of Phillips curve models in other OECD countries.The results suggests that the ability of a...
Persistent link: https://www.econbiz.de/10009360845
Controllability of longer-term interest rates requires that the persis-tence of their deviations from the central bank's policy rate (i.e. thepolicy spreads) remains suffciently low. This paper applies fractionalintegration techniques to assess the persistence of policy spreads ofeuro area money...
Persistent link: https://www.econbiz.de/10005865428
This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...
Persistent link: https://www.econbiz.de/10005865451
This paper investigates the intraday response of T-bond futures pricesto surprises in headline figures of U.S. macroeconomic reports. Analyzing thetime series properties and the information content of the macroeconomic newsflow, the paper seeks an answer to the question, what determines the...
Persistent link: https://www.econbiz.de/10005865824