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Spend-and-tax adjustments and the sustainability of the government's intertemporal budget constraint

Legrenzi, Gabriella Deborah; Milas, Costas - 2010

We apply non-linear error-correction models to the empirical testing of the sustainability of the government's intertemporal budget constraint. Our empirical analysis, based on Italy, shows that the Italian government is meeting its intertemporal budget constraint, in spite of the high levels of...

Persistent link: https://www.econbiz.de/10010266076

Did US Consumers 'Save for a Rainy Day' Before the Great Recession?

Anundsen, André Kallåk; Nymoen, Ragnar - 2015

consumption and by exploring the direction of Granger causality between the two series. We also give evidence that house price …

Persistent link: https://www.econbiz.de/10010531814

Economic Policy Uncertainty: Persistence and Cross-Country Linkages

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020

This paper provides new evidence on the stochastic behaviour of the EPU (Economic Policy Uncertainty (EPU) index constructed by Baker et al. (2016) in six of the biggest economies (Canada, France, Japan, US, Ireland, and Sweden) over the period from January 1985 to October 2019. In particular,...

Persistent link: https://www.econbiz.de/10012227629

Economic Policy Uncertainty : Persistence and Cross-Country Linkages

Aikins Abakah, Emmanuel Joel - 2020

Persistent link: https://www.econbiz.de/10012833734

Uncertainty Across Volatility Regimes

Angelini, Giovanni; Bacchiocchi, Emanuele; Caggiano, … - 2017

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in the empirical literature on uncertainty: (i) Does...

Persistent link: https://www.econbiz.de/10011794138

Investigating the U.S. oil-macroeconomy nexus using rolling impulse responses

Gronwald, Marc - 2009

This paper is concerned with the apparent change in the U.S. oil price-macroeconomy relationship. It is investigated to what extent this change can be accounted for by the large oil price surges witnessed in the 1970s. The innovative approach of rolling impulse responses is applied and both the...

Persistent link: https://www.econbiz.de/10010265987

Monetary policy analysis in real-time: Vintage combination from a real-time dataset

Altavilla, Carlo; Ciccarelli, Matteo - 2011

This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data...

Persistent link: https://www.econbiz.de/10010274753

The nature of financial and real business cycles: The great moderation and banking sector pro-cyclicality

Egert, Balazs; Sutherland, Douglas - 2012

This paper takes a fresh look at the nature of financial and real business cycles in OECD countries using annual data series and shorter quarterly and monthly economic indicators. It first analyses the main characteristics of the cycle, including the length, amplitude, asymmetry and changes of...

Persistent link: https://www.econbiz.de/10010282057

Political Tension and Stock Markets in the Arabian Peninsula

Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - 2018

This note investigates the effects of the recent political tensions in the Arabian peninsula on the linkages between the stock markets of the leading GCC countries by estimating a VAR-GARCH (1,1) model at a weekly frequency. The results indicate that the June 2017 crisis lowered stock market...

Persistent link: https://www.econbiz.de/10011932091

Bitcoin and web search query dynamics: is the price driving the hype or is the hype driving the price?

Süssmuth, Bernd - 2019

search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is … relatively high frequencies ranging from two to five months. In the other direction, causality runs from the cryptocurrency price … measure for the relevant frequency bands with significant causality ranges from slightly more than one month to about four …

Persistent link: https://www.econbiz.de/10012052781