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The Sustainability of Fiscal Policy in Italy: A Long-Term Perspective

Bartoletto, Silvana; Chiarini, Bruno; Marzano, Elisabetta - CESifo - 2012

debt and its ratio to GDP. Second, exploiting unit root analysis and cointegration, we test for the sustainability of …

Persistent link: https://www.econbiz.de/10010548150

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

Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?

Caporale, Guglielmo Maria; Hanck, Christoph - CESifo - 2006

(possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage …

Persistent link: https://www.econbiz.de/10005765840

Common Trends and Common Cycles among Interest Rates of the G7-Countries

Lindenberg, Nannette; Westermann, Frank - CESifo - 2009

operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration …

Persistent link: https://www.econbiz.de/10005405925

The Fisher/Cobb-Douglas Paradox, Factor Shares, and Cointegration

Chirinko, Robert S.; Mallick, Debdulal - CESifo - 2007

This note uses insights from cointegration analysis to reexamine two separate but related issues concerning the … estimation of production function parameters. Fisher (1971) documented a paradox in estimating substitution elasticities -- the … by Caballero, 1994) that rely on cointegration to recover production function parameters. …

Persistent link: https://www.econbiz.de/10005196274

Measuring the Integration of Staple Food Markets in Sub-Saharan Africa: Heterogeneous Infrastructure and Cross Border Trade in the East African Community

Ihle, Rico; Cramon-Taubadel, Stephan von; Zorya, Sergiy - CESifo - 2011

This analysis employs cointegration methods and semiparametric regression in order to assess the integration of maize …

Persistent link: https://www.econbiz.de/10008914284

Fiscal Sustainability of the German Laender - Time Series Evidence

Burret, Heiko T.; Feld, Lars P.; Köhler, Ekkehard A. - CESifo - 2014

]run relation between expenditures and revenues in a cointegration analysis within each Land. The results provide evidence against …

Persistent link: https://www.econbiz.de/10011067196

Do Better Capitalized Banks Lend Less? Long-Run Panel Evidence from Germany

Buch, Claudia M.; Prieto, Esteban - CESifo - 2012

between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of …

Persistent link: https://www.econbiz.de/10010552440

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013

This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...

Persistent link: https://www.econbiz.de/10010636593

Carbon Content of Electricity Futures in Phase II of the EU ETS

Fell, Harrison; Hintermann, Beat; Vollebergh, Herman R. J. - CESifo - 2013

We estimate the relationship between electricity, fuel and carbon prices in Germany, France, the Netherlands, the Nord Pool market and Spain, using one-year futures for base and peak load prices for the years 2009-2012, corresponding to physical settlement during the second market phase of the...

Persistent link: https://www.econbiz.de/10010877729