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Identification based on higher moments has drawn increasing theoretical attention and been widely adopted in empirical practice in macroeconometrics in the last two decades. This article reviews two parallel strands of the literature: identification strategies based on heteroskedasticity and...
Persistent link: https://www.econbiz.de/10014480567
This paper examines the impact of demographic factors on saving, investment, and external balances. We derive a number of semi-structural equations from national accounting principle and the principle that external balances for the world as a whole must sum to zero. The resulting equations...
Persistent link: https://www.econbiz.de/10010277752
This paper contributes to the debate on the role of money in monetary policy by analyzing the information content of money in forecasting euro-area inflation. We compare the predictive performance within and among various classes of structural and empirical models in a consistent framework using...
Persistent link: https://www.econbiz.de/10010299146
This manual describes the usage of the accompanying freely available software package for estimation and testing in the fractionally cointegrated vector autoregressive (VAR) model.
Persistent link: https://www.econbiz.de/10010290417
In this paper we will use a status-preference framework, together with a standard cost of adjustment investment function, to study the dynamics of the small open economy current account balance. We demonstrate that the transitional dynamics of the economy is characterized by two speeds of...
Persistent link: https://www.econbiz.de/10010292761
In this paper we analyze the implications of status-preference, modeled as relative wealth, for the current account in a small open economy framework with capital stock dynamics. We demonstrate that the transitional dynamics of the economy is characterized by two distinct speeds of adjustment: a...
Persistent link: https://www.econbiz.de/10010292781
This paper analyzes the role of nominal assets in ranking intertemporal budget policies in a growing open economy. The budget policies are ranked in terms of the public's intertemporal stock of tax liabilities. Our main result is that, in a small open economy, the valuation of private and public...
Persistent link: https://www.econbiz.de/10010292787
The present value model of the current account has been very popular, as it provides an optimal benchmark to which actual current account series have often been compared. We show why persistence in observed current account data makes the estimated optimal series very sensitive to small-sample...
Persistent link: https://www.econbiz.de/10010295267
The current accounts of most EU member states in central and eastern Europe have been showing growing deficits in recent years. According to panel estimates the deficits can be attributed primarily to factors characteristic for the stage of development, ie the relative income level and high...
Persistent link: https://www.econbiz.de/10010295777
We investigate for 26 OECD economies if their current account imbalances are driven by stochastic trends. Standard ADF results are contrasted with tests accounting for the bounded support of the current account. Neglecting the latter feature might give misleading results in the sense that ADF...
Persistent link: https://www.econbiz.de/10010296260