Similar Search Results

Estimation of conditional asset pricing models with integrated variables in the beta specification

Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019

We introduce a methodology which deals with possibly integrated variables in the specification of the betas of conditional asset pricing models. In such a case, any model which is directly derived by a polynomial approximation of the functional form of the conditional beta will inherit a...

Persistent link: https://www.econbiz.de/10012138849

A cointegration model of money and wealth

Assenmacher-Wesche, Katrin; Beyer, Andreas - 2020

Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We nd that the elasticities in the money demand and the real wealth relations identi ed previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012150128

Formula I(1) and I(2) : race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models

Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 4, pp. 1-30

This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

Persistent link: https://www.econbiz.de/10011781891

An assessment of house loans cointegration with macro variables in selected euro zone countries

Kupčinskas, Kazys; Paškevičius, Arvydas - In: Mokslo darbai / Vilniaus Universitetas 99 (2020) 2, pp. 39-58

in Germany, France, Spain and Italy from the year 2003 to 2018. We look for the cointegration and causality relationship …

Persistent link: https://www.econbiz.de/10012318168

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

Money velocity and the natural rate of interest

Benati, Luca - 2017

Since World War I, M1 velocity has been, to a close approximation, the permanent component of the short-term nominal rate. This logically implies that, under monetary regimes which cause inflation to be I(0), permanent fluctuations in M1 velocity uniquely reflect, to a close approximation,...

Persistent link: https://www.econbiz.de/10011824315

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

A cointegration model of money and wealth

Assenmacher-Wesche, Katrin; Beyer, Andreas - 2018

Extending the data set used in Beyer (2009) to 2017, we estimate I(1) and I(2) money demand models for euro area M3. After including two broken trends and a few dummies to account for shifts in the variables following the global financial crisis and the ECB's non-standard monetary policy...

Persistent link: https://www.econbiz.de/10011974516

Major international information flows across the safex wheat market

Motengwe, Chris; Pardo, Ángel - In: The South African journal of economics 84 (2016) 4, pp. 636-653

Persistent link: https://www.econbiz.de/10011657091

Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems

Boswijk, Herman Peter; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-17

cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …

Persistent link: https://www.econbiz.de/10011710948