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Stock Prices and Economic Fluctuations:A Markov Switching Structural VectorAutoregressive Analysis
Lanne, Markku; Luetkepohl, Helmut - CESifo - 2008
investigate different identification schemes for bi-variate systems comprising U.S. stock prices and total factor productivity …. The former variable is viewed as reflecting expectations of economic agents about future productivity. It is found that … used for total factor productivity. …
Persistent link: https://www.econbiz.de/10005405830
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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
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Terms of Trade, Catch-up, and Home Market Effect: The Example of Japan
Urban, Dieter M. - CESifo - 2007
interdependencies between the terms of trade and economic growth are offered: the home market effect and the productivity shock effect …. These two effects are testedagainst each other in a cointegration analysis for Japan and the US from 1957 until 1997. Income …
Persistent link: https://www.econbiz.de/10005405944
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Exchange Rate Dynamics: Where is the Saddle Path?
Cheung, Yin-Wong; Gardeazabal, Javier; Vázquez, Jesús - CESifo - 2004
Persistent link: https://www.econbiz.de/10005405963
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MIMIC Models, Cointegration and Error Correction: An Application to the French Shadow Economy
Bühn, Andreas; Schneider, Friedrich - CESifo - 2008
differences. Arguably, this shortcoming is rooted in the lack of an appropriate MIMIC model which considers cointegration among … variables. This paper develops a MIMIC model which estimates the cointegration equilibrium relationship and the error correction …
Persistent link: https://www.econbiz.de/10005406427
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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
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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
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Infrastructure and Growth: Empirical Evidence
Egert, Balazs; Kozluk, Tomasz; Sutherland, Douglas - CESifo - 2009
Investment in network infrastructure can boost long-term economic growth in OECD countries. Moreover, infrastructure investment can have a positive effect on growth that goes beyond the effect of the capital stock because of economies of scale, the existence of network externalities competition...
Persistent link: https://www.econbiz.de/10005013038
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Sustainability and Determinants of Italian Public Deficits before and after Maastricht
Galli, Emma; Padovano, Fabio - CESifo - 2005
Italian budget performance to test for sustainability; second, we confront the results of a cointegration-vector error …
Persistent link: https://www.econbiz.de/10005094367
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Inequality and the US Import Demand Function
Katsimi, Margarita; Moutos, Thomas - CESifo - 2006
results are robust to alternative methods of estimating cointegration equations. …
Persistent link: https://www.econbiz.de/10005094392