Search Results - subject:"changing persistence"

Testing for a break in the persistence in yield spreads of EMU government bonds

Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - 2013

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...

Persistent link: https://www.econbiz.de/10010332628

Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds

Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2013

Persistent link: https://www.econbiz.de/10010769217

Testing for a rational bubble under long memory

FRÖMMEL, M.; KRUSE, R. - Faculteit Economie en Bedrijfskunde, Universiteit Gent - 2011

We analyze the time series properties of the S&P500 dividend-price ratio in the light of long memory, structural breaks and rational bubbles. We find an increase in the long memory parameter in the early 1990s by applying a recently proposed test by Sibbertsen and Kruse (2009). An application of...

Persistent link: https://www.econbiz.de/10009392924

Long memory and changing persistence

Kruse, Robinson; Sibbertsen, Philipp - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010

We study the empirical behaviour of semi-parametric log-periodogram estimation forlong memory models when the true process exhibits a change in persistence. Simulationresults confirm theoretical arguments which suggest that evidence for long memory islikely to be found...

Persistent link: https://www.econbiz.de/10009302607

Long memory and changing persistence

Kruse, Robinson; Sibbertsen, Philipp - 2010

We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for long memory is likely to be found. A recently proposed...

Persistent link: https://www.econbiz.de/10010289004

On European monetary integration and the persistence of real effective exchange rates

Kruse, Robinson - School of Economics and Management, University of Aarhus - 2010

This paper deals with the possibility of changing persistence in European real effective exchange rates as initially … analyzed by Gadea and Gracia (2009). By applying a CUSUM of squares-based test for constant versus changing persistence with …

Persistent link: https://www.econbiz.de/10008542708

Long memory and changing persistence

Kruse, Robinson; Sibbertsen, Philipp - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2010

We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for long memory is likely to be found. A recently proposed...

Persistent link: https://www.econbiz.de/10008483841

Long memory and changing persistence

Kruse, Robinson; Sibbertsen, Philipp - School of Economics and Management, University of Aarhus - 2010

We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for long memory is likely to be found. A recently proposed...

Persistent link: https://www.econbiz.de/10008462031

The dynamic effects of shocks to wages and prices in the United States and the euro area

Duarte, Rita; Marques, Carlos Robalo - European Central Bank - 2009

This paper investigates the dynamics of aggregate wages and prices in the UnitedStates (US) and the Euro Area (EA) with a special focus on persistence of real wages,wage and price inflation. The analysis is conducted within a structural vector errorcorrectionmodel, where the structural shocks...

Persistent link: https://www.econbiz.de/10005866514

Interest rate convergence in the EMS prior to European Monetary Union

Frömmel, Michael; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2009

changing persistence. This allows us to estimate the exact date of full convergence from the data. A change in persistence … (EMS) in a framework of changing persistence. This allows us to estimate the exact date of full convergence from the data … rates, convergence, changing persistence, EMS, EMU JEL-Classification: C22, F33, F36 ⁄We would like to thank Tom Engsted for …

Persistent link: https://www.econbiz.de/10005025508