The budget elasticities derived in this study indicate that a 1% deviation of GDP from the long-term growth potential causes a purely cyclical change of 0.38% of GDP in Austria's budget balance. The predominance of progressive income taxation in Austria is reflected in the estimated elasticity...

The standard Vector Error Correction Model (VECM) approach to investigating the underlying dynamics of economic variables assumes a constant co-integration space. This paper relaxes this assumption by implementing a regime switching VECM that allows for shifts in both the drift and the long-run...

A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...

Historic analysis of the inflation hedging properties of stocks produced anomalous results, with equities often appearing to offer a perverse hedge against inflation. This has been attributed to the impact of real and monetary shocks to the economy, which influence both inflation and asset...

This paper investigates to what extent Russian households have been able to protect their consumption against income shocks during the transition and in what manner the ability to smooth consumption is related to poverty risk. We use data from the Russian Longitudinal Monitoring Survey...

In recent years, extensive literature on the Environmental Kuznets Curve lead- ing to optimistic policy conclusions has attracted great attention. However, the underlying cross-section estimations are not very reliable. Accordingly, this contribution uses time series data for a single country...

Impulse response and forecast error variance matrix asymptotics are developed for VAR models with some roots at or near unity and some cointegration. For such models, it is shown that impulse responses that are estimated from an unrestricted VAR are inconsistent at long horizons and tend to...

This paper studies the properties of maximum likelihood estimates of co-integrated systems. Alternative formulations of such models are considered including a new triangular system error correction mechanism. It is shown that full system maximum likelihood brings the problem of inference within...

This paper derives exact finite sample distributions of maximum likelihood estimators of the cointegrating coefficients in error correction models. The distributions are derived for the leading case where the variables in the system are independent random walks. But important aspects of the...

Historic analysis of the inflation hedging properties of stocks has produced anomalous results, with stocks often appearing to offer a perverse hedge against inflation. This has been attributed to the impact of real and monetary shocks to the economy, which influence both inflation and asset...