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Dynamic partial correlation models
D'Innocenzo, Enzo; Lucas, André - 2022
recurrence equations, we establish stationarity, ergodicity, and filter invertibility in the multivariate setting using …
Persistent link: https://www.econbiz.de/10013375366
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Long-term effects of shocks on new opportunity and necessity entrepreneurship
Congregado, Emilio; Fossen, Frank M.; Rubino, Nicola; … - 2024
The dynamics of startup activity are crucial for job creation, innovation, and a competitive economy. Does regional firm formation exhibit hysteresis, such that shocks, including those induced by temporary policy interventions, have permanent effects? Due to the pronounced heterogeneity among...
Persistent link: https://www.econbiz.de/10014517310
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Exchange Rate Mean Reversion within a Target Zone: Evidence from a Country on the Periphery of the ERM
Duarte, António Portugal; Andrade, João Sousa; … - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2009
in the Portuguese exchange rate shows that most of the traditional unit root and stationarity tests point to the …
Persistent link: https://www.econbiz.de/10008496471
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A causality analysis on GDP and air emissions in Norway
Liu, Gang - Statistisk Sentralbyrå, Government of Norway - 2006
This paper conducts Granger-causality tests on real per capita GDP and four types of air emissions (CO2, CO, SO2 and NOx) by using Norwegian data covering the period 1973-2003. The test results indicate that only unidirectional causal relationships exist between GDP and air emissions. For CO2...
Persistent link: https://www.econbiz.de/10004980645
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Economic Integration and the Foreign Exchange
Weber, Enzo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...
Persistent link: https://www.econbiz.de/10005678042
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Time-Deformation Modeling Of Stock Returns Directed By Duration Processes
Feng, Dingan; Song, Peter X.-K.; Wirjanto, Tony S. - Department of Economics, University of Waterloo - 2008
This paper presents a new class of time-deformation (or stochastic volatility) models for stock returns sampled in transaction time and directed by a generalized duration process. Stochastic volatility in this model is driven by an observed duration process and a latent autoregressive process....
Persistent link: https://www.econbiz.de/10005748020
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Is Fiscal Policy Contracyclical in India: An Empirical Analysis
Chakraborty, Pinaki; Chakraborty, Lekha S - Volkswirtschaftliche Fakultät, … - 2006
The paper empirically examines the validity of Keynesian philosophy of contracyclical variation in fiscal policy to the macroeconomic activity in India. The macroeconomic activity is proxied by ‘output gap’ a concept defined to estimate the index of economic activity. Applying Johansen’s...
Persistent link: https://www.econbiz.de/10005616872
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Economic Integration and the Foreign Exchange
Weber, Enzo - Volkswirtschaftliche Fakultät, … - 2007
This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...
Persistent link: https://www.econbiz.de/10005619368
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Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results
Jönsson, Kristian - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005
Abstract: In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We … find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause … standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the …
Persistent link: https://www.econbiz.de/10005645128
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International Evidence on Monetary Neutrality Under Broken Trend Stationary Models
Velazquez, R.; Noriega, A.E.; Soria, L.M. - Econometric Society - 2004
We analyze the issue of the impact of multiple breaks on monetary neutrality results, using annual data on real output and monetary aggregates for Argentina (1884-1996), Australia (1870-1997), Brazil (1912-1995), Canada (1870-2001), Italy (1870-1997), Mexico (1932-2000), Sweeden (1871-1988), and...
Persistent link: https://www.econbiz.de/10005699639