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The quantity theory of money, 1870-2020

Jung, Alexander - 2024

cointegration tests show that the long-run relationship between excess money growth and inflation holds if longer runs of data are …

Persistent link: https://www.econbiz.de/10014558771

Natural Rate Doubts

Farmer, Roger E A - C.E.P.R. Discussion Papers - 2000

This paper provides evidence for a low frequency relationship between unemployment, inflation and the nominal interest rate. I show that in the United States from 1959.1 to 1991.3, the unemployment rate, the inflation rate and the federal funds rate can be modelled as non stationary time series...

Persistent link: https://www.econbiz.de/10005792534

On the Temporal Causal Relationship between Macroeconomic Variables: Empirical Evidence from India

P., Srinivasan; M., Kalaivani - Volkswirtschaftliche Fakultät, … - 2013

bounds test for cointegration, Johansen and Juselius (1990) multivariate cointegration test, Granger causality …

Persistent link: https://www.econbiz.de/10011112036

Economia sintetica

Vildosola, Luis - EconWPA - 1998

Theoretical study identifying one modality with conditions necesary for the financial stabilization of an inherently unstable system; and 5040 other unstable dynamic modes. It draws on knowledge made available by the academic field of Control Engineering.

Persistent link: https://www.econbiz.de/10005125628

A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators

Panopoulou, E. - Department of Economics, National University of Ireland - 2005

This paper attempts a resolution of the Fisher effect puzzle in terms of estimator choice. Using both short-term and long-term interest rates for 14 OECD countries, we find ample evidence supporting the existence of a long-run Fisher effect in which interest rates move oneto- one with inflation....

Persistent link: https://www.econbiz.de/10005656667

residual-Based Tests for Cointegration in Models with Regime Shifts

w. Gregory, Allan; Hansen, Bruce E. - 1992

In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose augmented … Dickey-Fuller (ADF) and Phillips type tests designed to test the null of no cointegration against the alternative of … cointegration in the presence of a possible regime shift. In particular we consider cases where the intercept and/or slope …

Persistent link: https://www.econbiz.de/10011940524

residual-Based Tests for Cointegration in Models with Regime Shifts

Gregory, Allan w.; Hansen, Bruce E. - Economics Department, Queen's University - 1992

Persistent link: https://www.econbiz.de/10005688254

Productivity and the Natural Rate of Unemployment

Slacalek, Jiri - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2004

I propose an econometric model that improves upon existing methods of estimating the natural rate of unemployment (NAIRU) by using information contained in the trend of productivity growth. My approach enhances the recently proposed model of Staiger, Stock and Watson (1997) in several respects....

Persistent link: https://www.econbiz.de/10004963765

State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade

Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011

employing the Kalman filter. The time-varying cointegration parameters suggest that the security measures indeed impacted price …

Persistent link: https://www.econbiz.de/10010356541

A state-space approach to time-varying reduced-rank regression

Brune, Barbara; Scherrer, Wolfgang; Bura, Efstathia - In: Econometric reviews 41 (2022) 8, pp. 895-917

Persistent link: https://www.econbiz.de/10013364916