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Elasticities of Regional and Local Administrations Expenditures - the Portuguese case

Mourão, Paulo Reis - Núcleo de Investigação em Políticas Económicas … - 2005

This work analyses the evolution of real public expenditures of local and regional administrations (LRA), in Portugsl, in the period after the Second World War. It also aims to estimate the elasticities associated to determinants, which explain the found growth. As most relevant results, it is...

Persistent link: https://www.econbiz.de/10005572449

Residual-based tests for cointegration and multiple regime shifts

Gabriel, Vasco J.; Sola, Martin; Psaradakis, Zacharias - Núcleo de Investigação em Políticas Económicas … - 2002

In this paper we examine the properties of several cointegration tests when long run parameters are subject to multiple … shifts, resorting to Monte Carlo methods. We assume that the changes in cointegration regimes are governed by a unobserved … cointegration with the usual procedures is a quite unreliable task, since the performance of the tests is poor for a number of …

Persistent link: https://www.econbiz.de/10005572451

Tests for the Null Hypothesis of Cointegration: a Monte Carlo Comparison

Gabriel, Vasco J. - Núcleo de Investigação em Políticas Económicas … - 2001

The aim of this paper is to compare the relative performance of several tests for the null hypothesis of cointegration …

Persistent link: https://www.econbiz.de/10005572452

A simple method for testing cointegration subject to regime changes

Gabriel, Vasco J.; Sola, Martin; Psaradakis, Zacharias - Núcleo de Investigação em Políticas Económicas … - 2001

In this paper, we propose a simple method for testing cointegration in models that allow for multiple shifts in the …

Persistent link: https://www.econbiz.de/10005572465

The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market

Aono, Kohei; Iwaisako, Tokuo - Institute of Economic Research, Hitotsubashi University - 2008

The first contribution of this paper, following the works of Lettau and Ludvigson (2001a,b), is construction of the Japanese consumption-wealth ratio data series and to examine whether it explains Japanese stock market data. We find that the consumption-wealth ratio does not predict future stock...

Persistent link: https://www.econbiz.de/10005574141

Electricity Demand Analysis Using Cointegration and ARIMA Modelling: A case study of Turkey

Erdogdu, Erkan - Volkswirtschaftliche Fakultät, … - 2007

part of the endeavors to avoid the so-called “energy crisis”. Using cointegration analysis and autoregressive integrated …

Persistent link: https://www.econbiz.de/10008557082

Macroeconomic outcomes and the relative position of Argentina’s economy: 1875-2000

Sanz Villarroya, Isabel - Facultad de Economía y Empresa, Universidad de Zaragoza - 2007

This paper attempts to investigate the main factors behind Argentina’s economic decline comparing its evolution to that of Australia and Canada. With this objective, we have constructed a reduced index of economic freedom which captures and summarises the main political macroeconomic outcomes...

Persistent link: https://www.econbiz.de/10008642245

Exchange Rate Pass-through in Nigeria: Evidence from a Vector Error Correction Model

Aliyu, Shehu Usman Rano; Yakub, Ma'aji Umar; Sanni, … - Volkswirtschaftliche Fakultät, … - 2009

The paper investigates the degree of exchange rate pass-through to import and consumer prices in Nigeria between 1986Q1 and 2007Q4 on the basis of vector error correction methodology. Results reveal that exchange rate pass-through in Nigeria is low, slightly higher in the import than in the...

Persistent link: https://www.econbiz.de/10008642708

Testing for rational bubbles in a co-explosive vector autoregression

Engsted, Tom; Nielsen, Bent - Economics Group, Nuffield College, University of Oxford - 2010

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are...

Persistent link: https://www.econbiz.de/10008643684

Nonlinearities in the dynamics of the euro area demand for M1

Calza, Alessandro; Zaghini, Andrea - Banca d'Italia - 2008

The paper finds evidence of non-linearities in the dynamics of the euro-area demand for the narrow aggregate M1. A long-run money demand relationship is first estimated over a sample period covering the last three decades. While the parameters of the relationship are jointly stable, there are...

Persistent link: https://www.econbiz.de/10005113659