Similar Search Results

Natural and Neutral Real Interest Rates : Past and Future

Obstfeld, Maurice - National Bureau of Economic Research - 2023

This paper surveys the decline in real interest rates in advanced and emerging economies over the past several decades, linking that process to a range of global factors that have operated with different force in different periods. The paper argues that estimates of long-run equilibrium real...

Persistent link: https://www.econbiz.de/10014447270

FCI-star

Caballero, Ricardo J.; Caravello, Tomás E.; Simsek, Alp - National Bureau of Economic Research - 2025

Monetary policy transmits through broad financial conditions--interest rates, asset prices, credit spreads and exchange rates--rather than through the policy rate alone. Yet current frameworks remain anchored around r*, the neutral interest rate. We introduce FCI*, the neutral level of financial...

Persistent link: https://www.econbiz.de/10015421903

A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities

Chen, Fei - 2012

We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority...

Persistent link: https://www.econbiz.de/10012460581

Low-Frequency Econometrics

Müller, Ulrich K. - 2015

Many questions in economics involve long-run or trend variation and covariation in time series. Yet, time series of typical lengths contain only limited information about this long-run variation. This paper suggests that long-run sample information can be isolated using a small number of...

Persistent link: https://www.econbiz.de/10012457105

Continuous-Time Linear Models

Cochrane, John H. - 2012

models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction …

Persistent link: https://www.econbiz.de/10012460479

Low-Frequency Robust Cointegration Testing

Müller, Ulrich - 2009

Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...

Persistent link: https://www.econbiz.de/10012463358

Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Cheung, Yin-Wong - 1997

estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following …, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …

Persistent link: https://www.econbiz.de/10012472881

Estimating Sectoral Cycles Using Cointegration and Common Features

Engle, Robert F. - 1993

output from first principles. Cointegration and common features (cycles) tests are performed and sectoral output data seem to …

Persistent link: https://www.econbiz.de/10012474413

Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share

Brown, Scott J. - 1990

This paper tests for cointegration between regional output of an industry and national output of the same industry. An … equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting … using the shift and share framework often acts as if cointegration does not exist. Data analysis on broad industrial sectors …

Persistent link: https://www.econbiz.de/10012475744

On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics

McCallum, Bennett T. - 1983

A number of recent studies have attempted to test propositions concerning "long runt" economic relationships by means of frequency-domain time series techniques that concentrate attention on low frequency co-movements of variables.The present paper emphasizes that many of these propositions...

Persistent link: https://www.econbiz.de/10012477939