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The economic transmission of fiscal policy shocks from Western to Eastern Europe

Crespo Cuaresma, Jesús; Eller, Markus; Mehrotra, Aaron - 2011

This paper studies the transmission of a foreign fiscal policy shock (assumed to be generated in Germany) to key macroeconomic variables in five Central and Eastern European economies (CEE-5). We use quarterly data from 1995 to 2009 and estimate an open economy structural vector autoregressive...

Persistent link: https://www.econbiz.de/10012148631

(Non-)Keynesian effects of fiscal austerity: New evidence from a large sample

Afonso, António; Alves, José; Huart, Florence - 2021

We empirically assess whether a usually expected negative response of private consumption and private investment to a fiscal consolidation is reversed. We focus on a large sample of 174 countries between 1970 and 2018. We also employ three alternative measures of the Cyclically Adjusted Primary...

Persistent link: https://www.econbiz.de/10012507653

Effect of Government Expenditure on GDP in the Turkish Economy

Simsek, E.; Orhan, M.; Macit, F. - In: International Econometric Review (IER) 9 (2017) 2, pp. 69-76

The objective of this article is to investigate the effect of government expenditure on GDP in Turkey from 2000Q1-2015Q4 by the superexogeneity test. As a consequence of satisfying both conditions of weak exogeneity and structural invariance, government expenditure is super exogenous to GDP...

Persistent link: https://www.econbiz.de/10012610967

Non-linear dynamics in the euro area demand for M1

Calza, Alessandro; Zaghini, Andrea - 2006

This paper investigates possible non-linearities in the dynamics of the euro area demand for the narrow aggregate M1. A long-run money demand relationship is firstly estimated over a sample period covering the last three decades. While the parameters of the relationship are jointly stable, there...

Persistent link: https://www.econbiz.de/10011604638

A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth

Beyer, Andreas - 2009

In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...

Persistent link: https://www.econbiz.de/10011605157

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

Is Double Trouble? – How to Combine Cointegration Tests

Bayer, Christian; Hanck, Christoph - 2008

This paper suggests a combination procedure to exploit the imperfect correlation of cointegration tests to develop a … conflict. Moreover it avoids the size distortion inherent in separately applying multiple tests for cointegration to the same … data set. We apply our test to 143 data sets from published cointegration studies. There, in one third of all cases single …

Persistent link: https://www.econbiz.de/10010264719

Why a diversified portfolio should include African assets

Alagidede, Paul; Panagiotidis, Theodore; Zhang, Xu - 2010

cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have …We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock …

Persistent link: https://www.econbiz.de/10010273679

Measuring the strength of cointegration and Granger-causality

Atukeren, Erdal - 2003

testing for Granger-causality and cointegration tests. This approach provides a measure for the strength (decisiveness) of … causality and cointegration between the variables of interest. As an illustration of our methodology, we reexamine the case of …

Persistent link: https://www.econbiz.de/10010285929

Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory

dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64

cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend …

Persistent link: https://www.econbiz.de/10010289485