Showing 1 - 10 of 93
Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration …
Persistent link: https://www.econbiz.de/10005382491
This paper examines price and inflation convergence between three European countries (Italy, Spain and the U.K.) and a European average and, alternatively, between them and Germany from the beginning of the 80's.
Persistent link: https://www.econbiz.de/10005382306
This paper estimates the Cagan type demand for money function for Turkish economy during the period 1986:1-1995:3 and tests whether Cagan's specification fits the Turkish data using an econometric technique assuming that forecasting errors are stationary. This paper also tests the hypothesis...
Persistent link: https://www.econbiz.de/10005612895
Augmented Dickey Fuller (ADF) and Kalman filter convergence tests are applied to annual GDPs per head to 16 industrialised countries from 1890 to 1989. Results favour convergence towards the US with a structural break following the Second World War. Estimates suggest that steady-states were...
Persistent link: https://www.econbiz.de/10005382148
In this paper we estimate a continuous time macro-econometric model of the Czech economy. The model is built as a system of twelve non-linear differential equations. We illustrate how the model can be used to determine the nominal equilibrium exchange rate of the Czech koruna in a macro-economic...
Persistent link: https://www.econbiz.de/10005166686
We test the bank lending channel of monetary policy in Africa and examine the role of bank cost efficiency in this relationship. We use the stochastic metafrontier approach to estimate cost efficiency scores of 447 commercial banks in Africa. The Fixed Effect (FE) estimator is used as the...
Persistent link: https://www.econbiz.de/10013322709
We investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the course of the 1996–2010 time period through the use of a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate whether the response of GDP...
Persistent link: https://www.econbiz.de/10010794002
This article estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates their linkages in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The...
Persistent link: https://www.econbiz.de/10010593390
This paper provides two specification tests for the system of spatial autoregressive model of order m . We derive the theoretical limit distributions and show in a detailed Monte Carlo simulation study that the tests result in reasonable sized testing procedures with large power. In the...
Persistent link: https://www.econbiz.de/10015193267
This paper takes a panel cointegration approach to the estimation of short- and long-run exchange rate pass … establish. Resorting to novel tests for panel cointegration, we find support for the equilibrium relationship hypothesis …
Persistent link: https://www.econbiz.de/10014504130