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Money-multiplier shocks
Benati, Luca; Ireland, Peter N. - 2017
Persistent link: https://www.econbiz.de/10011712889
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Cointegration tests and the classical dichotomy
Benati, Luca - 2017
's tests to detect a cointegration relationship significantly deteriorates under two empirically plausible circumstances: (i … ) when, in addition to a cointegration relationship, a system features one or more "nuisance" series - i.e., series driven by … permanent shocks different from those driving the cointegration relationship; and (ii ) when a system features multiple …
Persistent link: https://www.econbiz.de/10011824292
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Could the bubble in U.S. house prices have been detected in real time?
Benati, Luca - 2017
I explore whether time-series methods exploiting the long-run equilibrium properties of the housing market might have detected the disequilibrium in U.S. house prices which pre-dated the Great Recession as it was building up. Based on real-time data, I show that a VAR in levels identified as in...
Persistent link: https://www.econbiz.de/10011824294
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Money velocity and the natural rate of interest
Benati, Luca - 2017
Since World War I, M1 velocity has been, to a close approximation, the permanent component of the short-term nominal rate. This logically implies that, under monetary regimes which cause inflation to be I(0), permanent fluctuations in M1 velocity uniquely reflect, to a close approximation,...
Persistent link: https://www.econbiz.de/10011824315
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What drives money velocity?
Benati, Luca - 2017
Since World War II, permanent interest rate shocks have driven nearly all of the fluctuations of U.S. M1 velocity, which is cointegrated with the short rate, and most of the long-horizon variation in the velocity of M2-M1. Permanent velocity shocks specific to M2-M1, on the other hand, have...
Persistent link: https://www.econbiz.de/10011824316
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Money velocity and the natural rate of interest
Benati, Luca - 2020
M1 velocity is, approximately, the permanent component of the short-term rate. This implies that agents-in deciding how much wealth to allocate to non interest bearing M1, as opposed to interest-bearing assets-almost uniquely react to permanent shocks to the opportunity cost, essentially...
Persistent link: https://www.econbiz.de/10012390026
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A new approach to estimating the natural rate of interest
Benati, Luca - 2021
Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994) proposal to estimate the permanent...
Persistent link: https://www.econbiz.de/10012520193
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Forecasting global temperatures by exploiting cointegration with radiative forcing
Benati, Luca - 2023
cointegration with the Joint Radiative Forcing (JRF) of the drivers of climate change. Under a ‘no change’ scenario, the most … evidence suggests that previous cointegration-based studies of climate change suffer from model mis-specification. …
Persistent link: https://www.econbiz.de/10014303938
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A new approach to estimating the natural rate of interest
Benati, Luca - 2022
Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994a) proposal to estimate the permanent...
Persistent link: https://www.econbiz.de/10013362282
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Cointegration tests and the classical dichotomy
Benati, Luca - 2017
's tests to detect a cointegration relationship significantly deteriorates under two empirically plausible circumstances: (i … ) when, in addition to a cointegration relationship, a system features one or more "nuisance" series - i.e., series driven by … permanent shocks different from those driving the cointegration relationship; and (ii ) when a system features multiple …
Persistent link: https://www.econbiz.de/10012112071