Showing 1 - 10 of 25
This paper investigates exchange rate pass-through in Singapore using band-pass spectral regression techniques, allowing for asymmetric effects over the business cycle. First stage pass-through is estimated to be complete and relatively quick, confirming existing views that the exchange rate...
Persistent link: https://www.econbiz.de/10009151220
Persistent link: https://www.econbiz.de/10005160724
Band spectral regression with deterministic and stochastic trends is considered. It is shown that conventional trend removal by regression in the time domain prior to bank spectral regression leads to biased and inconsistent estimates of the parameters in a model with frequency dependent...
Persistent link: https://www.econbiz.de/10005566223
Persistent link: https://www.econbiz.de/10005566237
This paper reexamines the permanent income hypothesis (PIH) in the frequency domain. Using a simple model, we demonstrate that the PIH implies the marginal propensity to consume (MPC) out of zero frequency income is unity. The PIH also implies that the MPC out of transitory (or high frequency)...
Persistent link: https://www.econbiz.de/10005463988
This paper develops an asymptotic theory for residual based tests for cointegration. These tests involve procedures that are designed to detect the presence of a unit root in the residuals of (cointegrating) regressions among the levels of economic time series. Attention is given to the...
Persistent link: https://www.econbiz.de/10005464065
No abstract received.
Persistent link: https://www.econbiz.de/10004977572
Evidence to support the Gibson paradox is often given in the form of a simple correlation between the nominal interest rate and the log of price level, or in the form of a simple linear regression between these two variables. Authors then show, using standard procedures of statistical inference,...
Persistent link: https://www.econbiz.de/10005764849
Band spectral regression with deterministic and stochastic trends is considered. It is shown that conventional trend removal by regression in the time domain prior to band spectral regression leads to biased and inconsistent estimates of the parameters in a model with frequency dependent...
Persistent link: https://www.econbiz.de/10004990758
This paper identifies and describes the key features of Australian business cycles during the period 1959-2002. In particular, we identify the chronologies in Australia's classical cycle (expansions and contractions in the level of output) and growth cycle (periods of above-trend and below-trend...
Persistent link: https://www.econbiz.de/10005654897