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The Rate of Return on Everything, 1870-2015
Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; … - 2018
This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the...
Persistent link: https://www.econbiz.de/10011815792
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The present value model of U.S. stock prices revisited: Long-run evidence with structural breaks, 1871-2012
Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017
regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …
Persistent link: https://www.econbiz.de/10011745804
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Credit crunches from occasionally binding bank borrowing constraints
Holden, Tom D.; Levine, Paul; Swarbrick, Jonathan M. - 2018
We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints, and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings. However, even moderately large...
Persistent link: https://www.econbiz.de/10011963647
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Credit crunches from occasionally binding bank borrowing constraints
Holden, Tom D.; Levine, Paul; Swarbrick, Jonathan M. - 2017
We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints, and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings. However, even moderately large...
Persistent link: https://www.econbiz.de/10011719158
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Common trends and common cycles among interest rates of the G7-countries
Lindenberg, Nannette; Westermann, Frank - 2009
operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …
Persistent link: https://www.econbiz.de/10010264545
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A Kalman filter approach to Fisher effect: Evidence from Nigeria
Asemota, Omorogbe J.; Bala, Dahiru A. - In: CBN Journal of Applied Statistics 02 (2011) 1, pp. 71-91
interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time …-series properties of the variables. Using Co-integration and Kalman filter methodologies, the study did not find evidence of a full …
Persistent link: https://www.econbiz.de/10011482557
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Common trends and common cycles among interest rates of the G7-countries
Lindenberg, Nannette; Westermann, Frank - 2009
operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …
Persistent link: https://www.econbiz.de/10010289307
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Are bond markets really overpriced: The case of the US
Clostermann, Jörg; Seitz, Franz - 2005
empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able …
Persistent link: https://www.econbiz.de/10012058558
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The interaction between stock prices and interest rates in Turkey: Empirical evidence from ARDL bounds test cointegration
Tursoy, Turgut - In: Financial Innovation 5 (2019) 1, pp. 1-12
Turkey's financial markets for the period of 2001 M1 - 2017 M4. Cointegration analysis is investigated using the … autoregressive-distributed lag bounds (ARDL Bounds) test and vector autoregressive cointegration. Additionally, cointegrating … Cointegration test results show that, dynamically, both prices are significantly related to each other. The cointegrating equation …
Persistent link: https://www.econbiz.de/10012602804
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Explaining the US bond yield conundrum
Bandholz, Harm; Clostermann, Jörg; Seitz, Franz - 2007
model of interest rate determination. The empirical part consists of a cointegration analysis with an error correction …
Persistent link: https://www.econbiz.de/10010308389