Search Results - subject:"Time Variation"

Local projections in unstable environments : how effective is fiscal policy?

Inoue, Atsushi; Rossi, Barbara; Wang, Yiru - 2022

Persistent link: https://www.econbiz.de/10013166413

Revisiting fiscal deficit sustainability in South Africa

Ndoricimpa, Arcade - In: Journal of Economic and Administrative Sciences 40 (2022) 5, pp. 1169-1191

level relationship between spending and revenue, the study uses cointegration tests which allow capturing time-variation in … revenue. It is important to allow for time-variation in the cointegrating slope coefficient, especially when it has been … hardly treated in the empirical literature on fiscal deficit sustainability. Allowing for time-variation in the cointegrating …

Persistent link: https://www.econbiz.de/10015349690

The Time Variation of Liquidity Risk on US Stock Markets

Ludwig, Michael - In: Credit and Capital Markets – Kredit und Kapital 51 (2018) 2, pp. 205-225

illiquid portfolios. The results support the effects of a flight-to-liquidity. The time variation of liquidity betas induces …

Persistent link: https://www.econbiz.de/10014522095

The behaviour of the equity yield and its relation with the bond yield: The role of inflation

McMillan, David G. - In: International Journal of Financial Studies 6 (2018) 4, pp. 1-18

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield-which was previously greater than the bond yield-declined, while the...

Persistent link: https://www.econbiz.de/10011996138

Choosing Prior Hyperparameters: With Applications To Time-Varying Parameter Models

Wang, Mu-Chun - 2018

residuals governing time variation in the parameters. The choice of these hyperparameters is crucial because their influence is …

Persistent link: https://www.econbiz.de/10011892126

Private and public risk sharing in the euro area

Cimadomo, Jacopo; Furtuna, Oana; Giuliodori, Massimo - 2018

This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...

Persistent link: https://www.econbiz.de/10011916852