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Economic policy uncertainty : persistence and cross-country linkages
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020
countries is examined applying a fractional cointegration method which tests for the possible existence of a long …
Persistent link: https://www.econbiz.de/10012219127
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Symmetry and separability in two-country cointegrated VAR models : representation and testing
Krolzig, Hans-Martin; Heinlein, Reinhold - 2013
five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …
Persistent link: https://www.econbiz.de/10010228330
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On the use of multivariate cointegration analysis in residential energy demand modelling
Madlener, Reinhard - 1996
The present paper shows how cointegration analysis within a multivariate framework may be applied for the estimation of … energy demand over the period 1970 to 1993. The explanatory variables used are real energy price, real disposable income, and … traditional VAR model in first differences investigated as a rival model. -- energy demand elasticities ; cointegration ; system …
Persistent link: https://www.econbiz.de/10009697459
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Structural Heterogeneity or Asymmetric Shocks? Poland and the Euro Area Through the Lens of a Two-Country DSGE Model
Kolasa, Marcin - 2011
This paper presents a two-country model linking Poland and the euro area and applies it for assessment of heterogeneity across these two regions. Overall, our results can be seen as rather inconclusive about the differences in parameters describing agents' decision-making in Poland and in the...
Persistent link: https://www.econbiz.de/10013130695
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Cross-section dependence and the monetary exchange rate model : a panel analysis
Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - 2011
national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and …
Persistent link: https://www.econbiz.de/10010209430
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Spend-and-tax adjustments and the sustainability of the government's intertemporal budget constraint
Legrenzi, Gabriella Deborah; Milas, Costas - 2010
We apply non-linear error-correction models to the empirical testing of the sustainability of the government's intertemporal budget constraint. Our empirical analysis, based on Italy, shows that the Italian government is meeting its intertemporal budget constraint, in spite of the high levels of...
Persistent link: https://www.econbiz.de/10003936661
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An econometric analysis of emission trading allowances
Paolella, Marc S. (contributor); Taschini, Luca (contributor) - 2006
World power and gas markets have a natural relationship with global tradable carbon permits markets, including the U.S. Clean Air Act Amendments and the EU Emissions Trading Scheme, the latter officially launched in January 2005. Electric utilities operate their power plants based in part on the...
Persistent link: https://www.econbiz.de/10003394343
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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2012
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markovswitching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with 'mild' and 'severe'...
Persistent link: https://www.econbiz.de/10009511771
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...
Persistent link: https://www.econbiz.de/10009725481
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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720726