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Applied Cointegration Analysis in the Mirror of Macroeconomic Theory

Vredin, Anders - 2013

Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a … theoretical model to scrutinize common procedures in applied cointegration analysis. Monte Carlo experiments show that (1) some … tests of the cointegration vectors do not work well on series generated by an equilibrium business cycle model; (2 …

Persistent link: https://www.econbiz.de/10013095882

Sectoral Trends and Cycles in Germany

Cheung, Yin-Wong; Westermann, Frank - 2021

, the adjusted data offer a weaker evidence on the cointegration relationship between a) the sectoral output indexes, b …

Persistent link: https://www.econbiz.de/10013320888

Global liquidity and commodity prices uncertainty using SFAVEC model

Kyei-Mensah, Justice - In: Research in globalization 8 (2024), pp. 1-17

This paper examines the impact of global liquidity on global commodity prices and asset prices in some major developing and developed economies. Specifically, the global liquidity on global commodity prices and asset prices is investigated using data from six major developing and emerging...

Persistent link: https://www.econbiz.de/10015047800

A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market

Krolzig, Hans-Martin; Marcellino, Massimiliano; Mizon, … - 2014

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...

Persistent link: https://www.econbiz.de/10014133300

Dynamic hysteresis effects

Li, Mengheng; Mendieta-Muñoz, Ivan - 2024

We study how the output gap affects potential output over time-i.e., the dynamic hysteresis effect. To do so, we introduce novel unobserved components (UC) models that consider hysteresis as a sequence of lagged effects, thus separating the long-run recession-induced adverse effects from other...

Persistent link: https://www.econbiz.de/10014483593

Does a Cointegrating M2 Demand Relation Really Exist in the United States?

Miyao, Ryuzo - 1998

This paper reexamines evidence on M2 demand cointegration in the postwar United States. Equilibrium relations between M …:4 based on three different testing methods. For earlier subsamples, mixed results are obtained suggesting both cointegration … and no cointegration. For the full sample, however, virtually no evidence supports cointegration. Accordingly, a M2 error …

Persistent link: https://www.econbiz.de/10014108634

The Austrian Business Cycle : A Vector Error-Correction Model with Commercial and Industrial Loans

Mulligan, Robert F. - 2007

, employing the Johansen-Juselius (1990) test for cointegration. Because the Austrian school views economic activity as a …

Persistent link: https://www.econbiz.de/10014222796

Business Cycle and Markov Switching Models with Distributed Lags : A Comparison between US and Euro Area

Billio, Monica - 2014

Business cycle models are often investigated by using reduced form time series models, other than (or in alternative to) structural highly grounded in economic theory models. Reduced form VARMA with fixed parameters play a key role in business cycle analysis, but it is often found that by their...

Persistent link: https://www.econbiz.de/10013049942

Expansionary Fiscal Contractions and Equilibrium Indeterminacy : A Case Study for Germany

Lucke, Bernd - 2005

fluctuations as well as for systematic consumption effects of government policy in either direction. Cointegration tests and Euler …

Persistent link: https://www.econbiz.de/10014060755

A stable demand for money despite financial crisis: The case of Venezuela

Bjørnland, Hilde C. - 2003

This paper investigates the demand for broad money in Venezuela, over a period of financial crisis and substantial exchange rate fluctuations. The analysis shows that there exist a long run relationship between real money, real income, inflation, the exchange rate and the domestic interest rate,...

Persistent link: https://www.econbiz.de/10010284393