Showing 1 - 10 of 78
We present and estimate a model of short term interest rate dynamics where we incorporate the convergent behavior of interest rates implied by the transition to EMU. We apply this model to data of two EMU countries - Spain and Italy - and compare the performance, in terms of accuracy of bond...
Persistent link: https://www.econbiz.de/10005598203
Persistent link: https://www.econbiz.de/10008047290
We propose a residual-based augmented Dickey-Fuller (ADF) test statistic that allows for detection of stationary cointegration within a system that may contain both I (2) and I (1) observables. The test is also consistent under the alternative of multicointegration, where first differences of...
Persistent link: https://www.econbiz.de/10010891949
In this paper we account for the U.S. Fed's response to money demand shocks by allowing for less-than-complete accommodation in the estimation of the Fed's money supply policy rule. We find a significantly lower degree of money accommodation in the 1979-1982 period, which hints at money...
Persistent link: https://www.econbiz.de/10008522611
Persistent link: https://www.econbiz.de/10008830229
Persistent link: https://www.econbiz.de/10007789303
Persistent link: https://www.econbiz.de/10008047634
This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...
Persistent link: https://www.econbiz.de/10011003228
A new automatic method based on the wavelet and Hilbert transforms for measuring the motor unit action potential (MUAP) duration is presented in this work. A total of 182 MUAPs from two different muscles were analysed. The average MUAP waveform was wavelet-transfomed, and a particular scale of...
Persistent link: https://www.econbiz.de/10005583152
We propose a theoretical method to catch politicians' fiscal attitude concerning deficits and debt based on the analysis of the political discourse. We describe the methodological steps used to obtain it. The methodology is applied to the case of US President during the period 1920 to 2008. The...
Persistent link: https://www.econbiz.de/10005748252