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What causes household debt to increase in South Africa?

Meniago, Christelle; Mukuddem-Petersen, Janine; … - In: Economic Modelling 33 (2013) C, pp. 482-492

affected by positive changes in consumer price index, gross domestic product and household consumption. Also, house prices and …

Persistent link: https://www.econbiz.de/10010738002

US inflation and consumption: A long-term perspective with a level shift

Paradiso, Antonio; Casadio, Paolo; Rao, B. Bhaskara - In: Economic Modelling 29 (2012) 5, pp. 1837-1849

This article examines the existence and stability of the consumption function in the United States of America (US … analysis of the life-cycle of the consumption function with wealth effects: 1) a shift level break in the cointegrating … more stable for the critical sub-samples than traditional consumption function models. …

Persistent link: https://www.econbiz.de/10010597501

Determinants of household saving: Cointegrated evidence from Pakistan (1975–2011)

Ismail, Aisha; Rashid, Kashif - In: Economic Modelling 32 (2013) C, pp. 524-531

and various socio-economic and demographic variables is analyzed by applying Johansen cointegration analysis. Furthermore …

Persistent link: https://www.econbiz.de/10010664387

Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models

Scheiblecker, Marcus - In: Economic Modelling 31 (2013) C, pp. 511-517

This study proposes a cumulative error correction model where the summing weights follow a geometrically decreasing function of prior deviations from the equilibrium and are estimated from the data. It is shown that this approach nests both the traditional error correction model – where no...

Persistent link: https://www.econbiz.de/10010636324

Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models

Chevallier, Julien - In: Economic Modelling 28 (2011) 6, pp. 2634-2656

This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...

Persistent link: https://www.econbiz.de/10010577077

Dynamic Modeling Under Linear-Exponential Loss

Anatolyev, Stanislav - 2008

We develop a methodology of parametric modeling of time series dynamics when the underlying loss function is linear-exponential (Linex). We propose to directly model the dynamics of the conditional expectation that determines the optimal predictor. The procedure hinges on the exponential quasi...

Persistent link: https://www.econbiz.de/10014054441

Macroeconomic effects of fiscal policy changes: A case of South Africa

Akanbi, Olusegun Ayodele - In: Economic Modelling 35 (2013) C, pp. 771-785

This study develops comprehensive full-sector macro-econometric models for the South African economy with the aim of explaining and providing the macroeconomic effects of fiscal policy changes in the country. The models are applied to test the effectiveness of fiscal policy actions in an...

Persistent link: https://www.econbiz.de/10010719385

Consumption and precautionary saving: An empirical analysis under both financial and environmental risks

Baiardi, Donatella; Manera, Matteo; Menegatti, Mario - In: Economic Modelling 30 (2013) C, pp. 157-166

This paper studies the empirical relationship between consumption and saving under two different sources of uncertainty …

Persistent link: https://www.econbiz.de/10010608252

Open source information, investor attention, and asset pricing

Zhang, Wei; Shen, Dehua; Zhang, Yongjie; Xiong, Xiong - In: Economic Modelling 33 (2013) C, pp. 613-619

In this paper, we advocate the search frequency of stock name in Baidu Index as a novel and direct proxy for investor attention. Firstly, empirical results show that the quantified investor attention is a desired explanatory variable for abnormal return even trading volume is considered....

Persistent link: https://www.econbiz.de/10010737996

Structural models, information and inherited restrictions

Lady, George M.; Buck, Andrew J. - In: Economic Modelling 28 (2011) 6, pp. 2820-2831

The derived structural estimates of the system βY=γZ+δU impose identifying restrictions on the reduced form estimates ex post. Some or all of the derived structural estimates are presented as evidence of the model's efficacy. In fact, the reduced form inherits a great deal of information from...

Persistent link: https://www.econbiz.de/10011048702