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Monetary policy, global liquidity and commodity price dynamics

Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010

This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...

Persistent link: https://www.econbiz.de/10010208787

Cross-section dependence and the monetary exchange rate model : a panel analysis

Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - 2011

national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and …

Persistent link: https://www.econbiz.de/10010209430

Aggregate output measurements: a common trend approach

Almuzara, Martín; Fiorentini, Gabriele; Sentana, Enrique - 2021

We analyze a model for N different measurements of a persistent latent time series when measurement errors are mean-reverting, which implies a common trend among measurements. We study the consequences of overdifferencing, finding potentially large biases in maximum likelihood estimators of the...

Persistent link: https://www.econbiz.de/10012498150

Dynamic panel modeling of climate change

Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28

standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal …

Persistent link: https://www.econbiz.de/10012265695

Changes in inflation predictability in major Latin American countries

Garcés Díaz, Daniel G. - 2016

Forecasts of inflation in the United States since the mid eighties have had smaller errors than in the past, but those conditional on commonly used variables cannot consistently beat the ones from univariate models. This paper shows through simple modifications to the classical monetary model...

Persistent link: https://www.econbiz.de/10011568466

The perils of counterfactual analysis with integrated processes

Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016

are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …

Persistent link: https://www.econbiz.de/10011579472

Public investment and economic activity in Mexico, 1925-1981

Fonseca, Felipe; Gómez-Zaldívar, Manuel; … - 2019

Mexican economic historiography recognizes the key role that public investment played in the country's economic performance from the post-revolutionary period until the beginning of the economic liberalization that began in the mid-1980s. However, there is no concrete empirical evidence that...

Persistent link: https://www.econbiz.de/10011990903

Are bond markets really overpriced : the case of the US

Clostermann, Jörg; Seitz, Franz - 2005

empirical part consists of a cointegration analysis with an error correction mechanism from the mid 80s until 2005. We are able …

Persistent link: https://www.econbiz.de/10012002995

Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Bernstein, David H.; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 1/6, pp. 1-24

We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of … interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive … asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions …

Persistent link: https://www.econbiz.de/10012025653

The incidence of insurance on economic growth in Italy, France, United Kingdom and Romania

Costache, Bianca - In: Financial studies 22 (2018) 3, pp. 56-65

This research paper is focused on an important topic in the economic literature, more precisely how the insurance sector impacts the overall economic growth. The objective of the study is to identify, analyse and evaluate the effects of the insurance sector on economic growth for three...

Persistent link: https://www.econbiz.de/10011964980