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Did US consumers ‘save for a rainy day’ before the Great Recession?

Anundsen, André K.; Nymoen, Ragnar - Norges Bank - 2015

The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...

Persistent link: https://www.econbiz.de/10011277155

Did US Consumers 'Save for a Rainy Day' Before the Great Recession?

Anundsen, André Kallåk; Nymoen, Ragnar - CESifo - 2015

The ‘saving for a rainy day’ hypothesis implies that households’ saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...

Persistent link: https://www.econbiz.de/10011278934

Economic theory and econometric dynamics in modelling wages and prices in the United Kingdom

Fisher, Paul G.; BÅrdsen, Gunnar - In: Empirical Economics 24 (1999) 3, pp. 483-507

We show that a "competing claims" model of imperfect competition can explain the movements of wages and prices in the United Kingdom, using quarterly data covering 1976-93. We argue that careful attention both to economic theory and to the interaction between dynamics and identification is...

Persistent link: https://www.econbiz.de/10005382262

Multicointegration in US Consumption Data

Siliverstovs, Boriss - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

Persistent link: https://www.econbiz.de/10005018683

Inference in the Presence of Stochastic and Deterministic Trends

Chevillon, Guillaume - ESSEC Business School - 2007

taken into account in finite samples. We analyze the ubiquitous Likelihood Ratio test for the rank of cointegration in …

Persistent link: https://www.econbiz.de/10005021614

The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies

Alexandra, Carol; Dimitriu, Anca - Henley Business School, University of Reading - 2002

This paper presents two applications of cointegration based trading strategies: a classic index tracking strategy and a …, the portfolio optimisation is based on cointegration rather than correlation. The first strategy aims to replicate a … the applicability of the cointegration technique to asset allocation, pioneered by Lucas (1997) and Alexander (1999), and …

Persistent link: https://www.econbiz.de/10005357667

A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds

Alexander, Carol; Dimitriu, Anca - Henley Business School, University of Reading - 2004

We present a detailed study of portfolio optimisation based on cointegration, a statistical tool that here exploits a … properties of cointegration optimal equity portfolios with those of portfolios optimised on the tracking error variance. From an … eleven year out of sample performance analysis we find that for simple index tracking the additional feature of cointegration …

Persistent link: https://www.econbiz.de/10005146622

Some Pretesting Issues on Testing for Granger Noncausality

Giles, Judith A.; Mirza, Sadaf - Department of Economics, University of Victoria - 1999

roots and cointegration. Sequential testing methods are examined; these test for cointegration and use either a differenced … cointegration can result in severe over-rejections of the noncausal null while overfitting suffers less size distortion with often …

Persistent link: https://www.econbiz.de/10005260596

On the determinants of the inflation rate in Colombia: a disequilibrium market approach

Otero, Jesus; Ramirez, Manuel - UNIVERSIDAD DEL ROSARIO - 2002

We investigate the inflation rate in Colombia in terms of excess money, excess demand, deviations from PPP, and wage inflation. In contrast to previous results for a group of industrial economias, we find that domestic factors are a far more powerful influence on inflation than are external...

Persistent link: https://www.econbiz.de/10005262997

The Exchange Rate and Two Price Inflations in Poland in the Period 1999-2009. Do Globalization and Balassa-Samuelson Effect Matter?

Kelm, Robert - In: Central European Journal of Economic Modelling and … 2 (2010) 4, pp. 315-349

The abrupt depreciation of the zloty during the subprime crisis and fast-rising prices are serious problems, because Poland, having to fulfil five Maastricht criteria, makes the dependence of her domestic inflation on price increases in the EU countries the central point of the discussion about...

Persistent link: https://www.econbiz.de/10009364356