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Konsumausgaben und Aktienmarktentwicklung in Deutschland: Ein kointegriertes vektorautoregressives Modell
Nastansky, Andreas; Strohe, Hans Gerhard - Lehrstuhl für Statistik und Ökonometrie, Wirtschafts- … - 2011
Vektorfehlerkorrekturmodelle (VECM) erlauben es, Abhängigkeiten zwischen den Veränderungen mehrerer potenziell endogener Variablen simultan zu modellieren. Die Idee, ein langfristiges Gleichgewicht gleichzeitig mit kurzfristigen Veränderungen zu modellieren, lässt sich vom...
Persistent link: https://www.econbiz.de/10009278233
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo; Ciferri, Davide; Girardi, Alessandro - Dipartimento di Economia, Università degli Studi di Perugia - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10008691640
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Bank lending to the production sector: credit crunch or extra-credit?
Di Giulio, Daniele - Volkswirtschaftliche Fakultät, … - 2009
, even though a considerable slowdown in bank lending has been recorded, there has not been a credit crunch. After a first …’s demand for bank loans. An Error Correction Model (ECM) is used – estimated for the pre-crisis period (1998.Q2 – 2007.Q2) and … applied to loans. To test the robustness of the results obtained in the first specification of the model, we remove the …
Persistent link: https://www.econbiz.de/10008727903
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Inflation Adjustment in the Open Economy: An I(2) Analysis of UK Prices
Bowdler, Christopher; Nielsen, Heino Bohn - Department of Economics, Oxford University - 2003
We analyse a cointegrated VAR comprising UK data on consumer prices, unit labour costs, import prices and real consumption growth. The nominal variables, treated as I(2) here, form a linearly homogeneous relation, suggesting a transformation of the system to one comprising inflation and relative...
Persistent link: https://www.econbiz.de/10010604928
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PPP Despite Real Shocks: An Empirical Analysis of the Norwegian Real Exchange Rate
Akram, Qaisar Farooq - Department of Economics, Oxford University - 2000
Despite the emerging consensus on the validity of purchasing power parity (PPP) between trading countries in the long run, empirical evidence in favour of the PPP theory is scarce in data predominantly exposed to real shocks. This paper tests for PPP between Norway and its trading partners using...
Persistent link: https://www.econbiz.de/10010605226
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Geometric and long run aspects of Granger causality
Al-Sadoon, Majid M. - Department of Economics and Business, Universitat … - 2013
of long run Granger non-causality, (ii) cointegration is a special case of long run Granger non-causality along a …
Persistent link: https://www.econbiz.de/10010611566
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Cointegration Analysis in the Case of I(2) – General Overview
Majsterek, Michał - In: Central European Journal of Economic Modelling and … 4 (2012) 4, pp. 215-252
The presented paper aims to analyse both statistical and economic aspects of the model with I(2) variables. The statistical foundations of such models are introduced. The enlargement of possible statistical interpretation is discussed. The economic interpretation of both VECM parameters and...
Persistent link: https://www.econbiz.de/10010666293
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Economic policy uncertainty : persistence and cross-country linkages
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020
countries is examined applying a fractional cointegration method which tests for the possible existence of a long …
Persistent link: https://www.econbiz.de/10012219127
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Detecting Imbalances in House Prices : What Goes Up Must Come Down?
Anundsen, André K. - 2016
With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct indicators of housing market imbalances for the US, Finland and Norway....
Persistent link: https://www.econbiz.de/10012982595
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A SVECM Model of the UK Economy and the Term Premium
Dungey, Mardi H.; Vehbi, Tugrul - 2011
specifically accounts for the mixed nature of the data and cointegration between some variables. Using this framework the estimated …
Persistent link: https://www.econbiz.de/10014179268