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Petrodollars and Imports of Oil Exporting Countries

Beck, Roland - 2009

including a large cross section of oil exporting countries, we show with a panel cointegration analysis that import demand in …

Persistent link: https://www.econbiz.de/10012765191

Budgetary and External Imbalances Relationship : A Panel Data Diagnostic

Afonso, António; Rault, Christophe - 2021

, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship … panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and …We assess the cointegration relationship between current account and budget balances, and effective real exchange rates …

Persistent link: https://www.econbiz.de/10013316457

Cointegration in Panel Data with Breaks and Cross-Section Dependence

Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2021

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power …

Persistent link: https://www.econbiz.de/10013317662

Security fungibility and the cost of capital: evidence from global bonds

Miller, Darius P.; Puthenpurackal, John J. - 2005

This paper examines the potential benefits of security fungibility by conducting the first comprehensive analysis of Global bonds. Unlike other debt securities, Global bonds’ fungibility allows them to be placed simultaneously in bond markets around the world; they trade, clear and settle...

Persistent link: https://www.econbiz.de/10011604472

Financial factors in economic fluctuations

Christiano, Lawrence; Rostagno, Massimo; Motto, Roberto - 2010

We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...

Persistent link: https://www.econbiz.de/10011605238

Financial Factors in Economic Fluctuations

Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo - 2021

Persistent link: https://www.econbiz.de/10013316211

Non-linear dynamics in the euro area demand for M1

Calza, Alessandro; Zaghini, Andrea - 2006

This paper investigates possible non-linearities in the dynamics of the euro area demand for the narrow aggregate M1. A long-run money demand relationship is firstly estimated over a sample period covering the last three decades. While the parameters of the relationship are jointly stable, there...

Persistent link: https://www.econbiz.de/10011604638

Public debt and long-term interest rates: the case of Germany, Italy and the USA

Paesani, Paolo; Strauch, Rolf; Kremer, Manfred - 2006

The debate on the sustainability of public finances is closely related to the analysis of the financial and macroeconomic consequences of government debt accumulation. Focusing on the USA, Germany and Italy over the 1983-2003 period, the central issue addressed in this paper is how the...

Persistent link: https://www.econbiz.de/10011604702

Modelling loans to non-financial corporations in the euro area

Kok, Christoffer; Marqués-Ibáñez, David; Rossi, Carlotta - 2009

We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics...

Persistent link: https://www.econbiz.de/10011605035

A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth

Beyer, Andreas - 2009

In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...

Persistent link: https://www.econbiz.de/10011605157