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The empirics of Canadian government securities yields

Akram, Tanweer; Das, Anupam - 2020

applies both the cointegration technique and Granger causality within the vector error correction (VEC) framework. The …

Persistent link: https://www.econbiz.de/10012610172

Flattening of the Phillips Curve: Estimations and consequences for economic policy

Kromphardt, Jürgen; Logeay, Camille - In: Intervention. European Journal of Economics and … 08 (2011) 1, pp. 43-67

We test the hypothesis that the long-term Phillips curve is downward sloping and has become flatter in the last 10 to 15 years. Controlling for the most important other factors influencing the inflation rate, we estimate cointegrations and test whether a "break" in the Phillips curve can be...

Persistent link: https://www.econbiz.de/10014363111

Bayesian Prediction with a Cointegrated Vector Autoregression

Villani, Mattias - 1999

vector autoregression is presented. The large degree of uncertainty in the choise of the cointegration vectors is … incorporated into the analysis through a prior distribution on the cointegration vectors which allows the forecaster to … different cointegration vectors are weighted together in an optimal way. The ideas of Litterman (1980) are adapted for the prior …

Persistent link: https://www.econbiz.de/10010321334

Inference in Vector Autoregressive Models with an Informative Prior on the Steady State

Villani, Mattias - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10010321341

Do better capitalized banks lend less? Long-run panel evidence from Germany

Buch, Claudia M.; Prieto, Esteban - 2012

between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of …

Persistent link: https://www.econbiz.de/10010283577

Do better capitalized banks lend less? : long-run panel evidence from Germany

Buch, Claudia M.; Prieto, Esteban - 2012

between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of …. -- bank capital ; business loans ; cointegration …

Persistent link: https://www.econbiz.de/10009570042

Regional interest rate pass-through in Italy

Montagnoli, Alberto; Napolitano, Oreste; Siliverstovs, … - 2012

This paper estimates the pass-through and speed of adjustment of Italian regional interest rates to changes in the money market rate for the period 1998Q1-2009Q4. Our main findings suggest that the markup for the lending rates that banks charge are generally higher in the South than in the...

Persistent link: https://www.econbiz.de/10009578159

Bank-lending standards, the cost channel and inflation dynamics

Kaufmann, Sylvia; Scharler, Johann - 2009

If firms borrow working capital to finance production, then nominal interest rates have a direct influence on inflation dynamics, which appears to be the case empirically. However, interest rates may only partly mirror the cost of working capital. In this paper we explore the role of bank...

Persistent link: https://www.econbiz.de/10009239701

Bank-lending standards, loan growth and the business cycle in the Euro area

Kaufmann, Sylvia; Scharler, Johann - 2013

We study the relationship between bank lending standards, loan growth and the business cycle in the euro area and the US within a vector error correciton model using Bayesian estimation methods. To deal with the short data series available for the euro area, we exploit information from the...

Persistent link: https://www.econbiz.de/10010197600

Anomalous empirical evidence on money long-run super-neutrality and the vertical long-run Phillips curve

Vaona, Andrea - 2016

Money long-run super-neutrality and the vertical long-run Phillips curve are two widely shared beliefs in the economics profession and among economic policy-makers. The present survey is devoted to anomalous empirical evidence which challenges this view. We consider a variety of studies,...

Persistent link: https://www.econbiz.de/10011456445