Narrow search
Showing 1 - 10 of 3,094
Cover Image
International business cycle spillovers
Yilmaz, Kamil - 2009
We apply Diebold-Yilmaz spillover index methodology to monthly industrial production indices to study business cycle interdependence among G-6 industrialized countries since 1958. The business cycle spillover index fluctuates substantially over time, increasing especially after the 1973-75,...
Persistent link: https://www.econbiz.de/10010277269
Cover Image
The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
Schreiber, Sven - 2011 - this version: February 2011
The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in...
Persistent link: https://www.econbiz.de/10009530402
Cover Image
Regional and outward economic integration in South-East Asia
Weber, Enzo - 2007
synchrony in the GDPs. According tests for cointegration and common serial correlation features reveal a high degree of …
Persistent link: https://www.econbiz.de/10010263684
Cover Image
Inflation as a function of labor force change rate: cointegration test for the USA
Kitov, Ivan; Kitov, Oleg; Dolinskaya, Svetlana - Volkswirtschaftliche Fakultät, … - 2007
) and has a perfect parsimony - only one predictor. The relationship is tested for cointegration. Both variables are … methods of cointegration testing are applied - the Engle-Granger one based on the unit root test of the residuals including a … variety of specification tests and the Johansen cointegration rank test based on the VAR representation. Both approaches …
Persistent link: https://www.econbiz.de/10005836346
Cover Image
In dubio pro CES - Supply estimation with mis-specified technical change
León-Ledesma, Miguel A.; McAdam, Peter; Willman, Alpo - 2010
Capital-labor substitution and total factor productivity (TFP) estimates are essential features of growth and income distribution models. In the context of a Monte Carlo exercise embodying balanced and near balanced growth, we demonstrate that the estimation of the substitution elasticity can be...
Persistent link: https://www.econbiz.de/10011605221
Cover Image
In dubio pro CES : supply estimation with mis-specified technical change
León-Ledesma, Miguel A.; McAdam, Peter; Willman, Alpo - 2010
Capital-labor substitution and total factor productivity (TFP) estimates are essential features of growth and income distribution models. In the context of a Monte Carlo exercise embodying balanced and near balanced growth, we demonstrate that the estimation of the substitution elasticity can be...
Persistent link: https://www.econbiz.de/10003972670
Cover Image
Non-balanced growth and production technology estimation
León-Ledesma, Miguel A.; McAdam, Peter; Willman, Alpo - 2012
Capital-labor substitution and TFP estimates are essential features of many economic models. Such models typically embody a balanced growth path. This often leads researchers to estimate models imposing stringent prior choices on technical change. We demonstrate that estimation of the...
Persistent link: https://www.econbiz.de/10009532064
Cover Image
Interpreting the great moderation : changes in the volatility of economic activity at the macro and micro levels
Davis, Steven J. (contributor); Kahn, James A. (contributor) - 2008
We review evidence on the Great Moderation together with evidence about volatility trends at the micro level to develop a potential explanation for the decline in aggregate volatility since the 1980s and its consequences. The key elements are declines in firm-level volatility and aggregate...
Persistent link: https://www.econbiz.de/10003781571
Cover Image
Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S.
Gubler, Matthias; Hertweck, Matthias S. - 2011
This paper develops a 9-dimensional SVAR to investigate the sources of the U.S. business cycle. We extend the standard set of identified shocks to include unexpected changes in commodity prices. Our main result is that commodity price shocks are a very important driving force of macroeconomic...
Persistent link: https://www.econbiz.de/10011390656
Cover Image
The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10010325871