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Functional cointegration : definition and nonparametric estimation

Banerjee, Anurag Narayan; Pitarakis, Jean-Yves - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 5, pp. 507-520

Persistent link: https://www.econbiz.de/10010461196

Functional cointegration : definition and nonparametric estimation

Pitarakis, Jean-Yves; Banerjee, Anurag Narayan - 2012

Persistent link: https://www.econbiz.de/10009672420

A new approach to estimating the natural rate of interest

Benati, Luca - 2021

Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994) proposal to estimate the permanent...

Persistent link: https://www.econbiz.de/10012520193

Cointegration tests and the classical dichotomy

Benati, Luca - 2017

's tests to detect a cointegration relationship significantly deteriorates under two empirically plausible circumstances: (i … ) when, in addition to a cointegration relationship, a system features one or more "nuisance" series - i.e., series driven by … permanent shocks different from those driving the cointegration relationship; and (ii ) when a system features multiple …

Persistent link: https://www.econbiz.de/10011824292

What drives money velocity?

Benati, Luca - 2017

Since World War II, permanent interest rate shocks have driven nearly all of the fluctuations of U.S. M1 velocity, which is cointegrated with the short rate, and most of the long-horizon variation in the velocity of M2-M1. Permanent velocity shocks specific to M2-M1, on the other hand, have...

Persistent link: https://www.econbiz.de/10011824316