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Consumption and wealth in the long run : an integrated unobserved component approach
Gardberg, Malin; Pozzi, Lorenzo - 2018 - Revision: September 2018
The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly … relationship between consumption, assets and earnings (i.e., the variable "cay"). The evidence in favor of a stable cointegrating … unobserved component model applied to US data over the period 1951Q4-2016Q4. The regression of consumption on assets and earnings …
Persistent link: https://www.econbiz.de/10011844588
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Macroeconomic regimes, technological shocks and employment dynamics
Ferraresi, Tommaso; Roventini, Andrea; Semmler, Willi - 2016
In this work, we investigate the interrelations among technology, output and employment in the different states of the U.S. economy (recessions vs. expansions). More precisely, we estimate different threshold vector autoregression (TVAR) models with TFP, hours, and GDP, employing the latter as...
Persistent link: https://www.econbiz.de/10011483831
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Business cycle accounting for the German fiscal stimulus program during the Great Recession
Fehrle, Daniel; Huber, Johannes A. - 2020
wedges to the variables government consumption, durables, investment, labor, net exports, and efficiency. The results suggest … consumption wedge and in particular the durables wedge acted counter-cyclical. We attribute the latter to an internationally … government consumption. We introduce a strategy for likelihood maximization, which reliably and quickly locates the maximum …
Persistent link: https://www.econbiz.de/10012253072
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Identifying shocks via time-varying volatility
Lewis, Daniel J. - 2018
An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the residual covariance across time if the structural shocks exhibit heteroskedasticity (Rigobon (2003), Sentana and Fiorentini (2001)). However, the path of residual covariances is...
Persistent link: https://www.econbiz.de/10011926201
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Identifying key macroeconomic shocks to Canadian GDP
Sayeed, Jamil - 2020
This paper seeks to identify the largest two shocks that can explain the movement in Canadian GDP for the period 1981Q1 to 2011Q4. I employ a very flexible identification method proposed by Uhlig (2003) that allows us to identify the key shocks from the time series data without imposing any...
Persistent link: https://www.econbiz.de/10012437729
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Turkish Monetary Policy and Components of Aggregate Demand : A VAR Analysis with Sign Restrictions Model
Berument, Hakan - 2018
expansionary monetary policy stimulates output through consumption and investment in the short-run. However, expansionary monetary …
Persistent link: https://www.econbiz.de/10012915160
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Testing Random Walk Hypothesis : An Empirical Analysis of National Stock Exchange Indices
Singh, Gurmeet - 2017
This paper investigates weak form of efficiency in Indian equity market. For this purpose, informational efficiency of National Stock Exchange of Indian's indices i.e. NIFTY, bank NIFTY and IT NIFTY is examined. The NSE indices returns under the study do not confirm to normal distribution. The...
Persistent link: https://www.econbiz.de/10012955131
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Testing the random walk hypothesis for leading cryptocurrencies
Palamalai, Srinivasan; Kumar, K. Krishna; Maity, Bipasha - In: Borsa Istanbul Review 21 (2021) 3, pp. 256-268
Despite the rise in markets for cryptocurrencies at an outstanding pace, with consistently high trading volume and market capitalization, the increasing volatility of the virtual currencies raise various concerns. One of the major concerns is regarding (in)efficiency, viz. whether there exist...
Persistent link: https://www.econbiz.de/10012816801
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Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland - eine Anmerkung
Meier, Carsten-Patrick - 2000
This note shows that German real GDP follows a trend-stationary process. Both tests which have trend-stationarity as …
Persistent link: https://www.econbiz.de/10010265453
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Engle & Granger cointegration test for gdp and public consumption in the Republic of North Macedonia
Ivanovski, Zoran; Ivanovska, Nadica; Korunovska, Vesna - In: UTMS journal of economics / University of Tourism and … 13 (2022) 2, pp. 214-220
In this paper, we test cointegration between GDP and Public consumption of the Republic of North Macedonia, for … cointegration test results confirms that GDP and Public consumption of the Republic of North Macedonia are not cointegrated and can …
Persistent link: https://www.econbiz.de/10013489691