Effet d’imitation (Easterlin, 1995), chances d’accès (Montmarquette & al., 2000 ; Demeulemeester & Rochat, 2001) ou encore prestige social (Demeulemeester & Diebolt, 2008), sont souvent évoqués afin d’expliquer les stratégies individuelles et les conséquences parfois contradictoires...

We analyse the role of house prices in the monetary policy transmission mechanism in Norway, Sweden and the UK using structural VARs. A solution is proposed to the endogeneity problem of identifying shocks to interest rates and house prices by using a combination of short-run and long-run...

The usual Wald test for the Granger non-causality in cointegrated vector autoregressive (VAR) processes is known to have the asymptotically non-standard distribution. There have been proposed a few alternative (inefficient) methods which give the asymptotically standard distribution. However,...

In this paper, we propose a new approach to test the hypothesis of long-run Granger non-causality in cointegrated systems. We circumvent the problem of singularity of the variance-covariance matrix associated with the usual Wald type test by proposing a generalized inverse procedure, and an...

We consider a cointegrating regression in which the integrated regressors are messy in the sense that they contain data that may be mismeasured, missing, observed at mixed frequencies, or have other irregularities that cause the econometrician to observe them with mildly nonstationary noise....

This paper delves into the asymmetries of the exchange rate pass-through on prices in the case of Venezuela, extending the analysis of Mendoza (2004) the prices of goods and services. The data used is monthly for the period 07/90 -12/04. We find that pass-through in services is less than...

This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear deterministic terms. Limiting behavior of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for...

This paper re-examines the Cagan model of German hyperinflation during the 1920s under the twin hypotheses that the system contains variables that are I(2) and that a linear trend is required in the cointegrating relations. Using the recently developed I(2) cointegration analysis developed by...

By estimating bivariate EGARCH (2, 1) models, we find significant short run dynamic relations between stock market and real activity for the UK and the US over the period 1970-2002. There is evidence of significant reciprocal volatility spillovers between the two sectors within a country,...