Linear dynamic equilibrium correction mechanisms are shown to follow from the discretisation of continuous processes with steady-state solutions.

Linear dynamic equilibrium correction mechanisms are shown to follow from the discretisation of continuous economic processes with steady-state solutions. In addition, the proposed procedure provides testable restrictions on the coefficients of the dynamic econometric model.

The paper focused on measuring efficiency of investment strategies and portfolio optimization based on dynamic portfolio formation using the global minimum variance approach in a region of central European countries. The paper analyses DCC GARCH model, which was employed in order to obtain...

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major structural reforms over the last 25 years. We allow for...

This paper estimates Okun's law in the EU15 countries between 1980 and 2018. It employs three different versions of the law with a focus on the dynamic part of the relationship. We find that the negative relationship between unemployment and output holds for most countries and is fairly stable...

This paper analyses two issues that were characteristic of the global growth processes of the 1980s and 1990s (i) an important diffusion process of a new general purpose technology (GPT) and (ii) a speed-up of catching-up of a sub-group of developing economies (South East Asia, later China and...

The European Union beef market regulation is largely influenced by the Common Agricultural Policy (CAP). With the 1992 CAP reform, there was a partial shift by the EU from product price support to a more direct form of income support by way of direct payments. For beef there was a move to direct...

This paper specifies and estimates a hybrid monetary policy base reaction function for the Dominican Republic (DR). The estimated reactions suggest that the Central Bank has been biased towards targeting the gap between the parallel and official exchange rates, apparently doing so in a more...

In the mid-eighties econometric forecasts and ex post simulations of private consumption in Norway began to show clear signs of "structural breakdown" .This evidence lends itself to two interpretations, distinct in their implications for econometric modelling of aggregate consumption. On the one...