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Eine exemplarische Anwendung der regionalisierten Preisniveau-Daten des BBSR auf die Einkommensverteilung für die Jahre 2005 bis 2008

Goebel, Jan; Krause, Peter; Frick, Joachim R.; Grabka, … - 2010

Die 1990 eingeführte Wirtschafts- und Währungsunion der BRD mit der DDR und schließlich die deutsche Wiedervereinigung war und ist für jede Statistik, die versucht die Lebensverhältnisse in Ost und West zu vergleichen, eine große Herausforderung. In seinem einleitenden Teil dokumentiert...

Persistent link: https://www.econbiz.de/10011600926

Do survey indicators let us see the business cycle? A frequency decomposition

Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

Persistent link: https://www.econbiz.de/10011506652

Financial markets as a complex system: A short time scale perspective

Marschinski, Robert; Matassini, Lorenzo - 2001

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

Persistent link: https://www.econbiz.de/10010301759

Integration of financial markets and national price levels: the role of exchange rate volatility

Hoffmann, Mathias; Tillmann, Peter - 2008

How does international financial integration affect national price levels? To analyze this question, this paper formulates a two-country open economy sticky-price model under either segmented or complete asset markets. It is shown that the effect of financial integration, i.e. moving from...

Persistent link: https://www.econbiz.de/10010295879

Latent variable analysis and partial correlation graphs for multivariate time series

Fried, Roland; Didelez, Vanessa - 2003

We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables … underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs …

Persistent link: https://www.econbiz.de/10010306285

The dynamics of real exchange rates: A reconsideration

Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

Persistent link: https://www.econbiz.de/10010289015

Random Matrix Theory and the Evolution of Business Cycle Synchronisation, 1886-2006

Ormerod, Paul - 2008

business cycle convergence literature rely upon the estimation of an empirical correlation matrix of time series data of … observations, a reliable determination of the correlation matrix may prove to be problematic. The structure of the correlation … matrix may be dominated by noise rather than by true information. Random matrix theory was developed in physics to overcome …

Persistent link: https://www.econbiz.de/10010295268

Random Matrix Theory and Macro-Economic Time-Series: An Illustration Using the Evolution of Business Cycle Synchronisation, 1886-2006

Ormerod, Paul - In: Economics: The Open-Access, Open-Assessment E-Journal 2 (2008) 2008-26, pp. 1-10

The aim of this paper is to show that random matrix theory (RMT) can be a useful addition to the economist?s tool … of the correlation matrix. However due to the finite size of both the number of variables and the number of observations …, a reliable determination of the correlation matrix may prove to be problematic. The structure of the correlation matrix …

Persistent link: https://www.econbiz.de/10010295323

Can we identify Balassa-Samuelson effects with measures of product variety?

Frensch, Richard; Schmillen, Achim - 2010

The Balassa-Samuelson hypothesis - i.e. that real exchange rates between each pair of countries increase with the tradables sector productivities ratio between these countries, and decrease with their non-tradables sector productivities ratio - has been one of the most prominent frameworks in...

Persistent link: https://www.econbiz.de/10010281883

Terms of trade and exchange rate regimes in developing countries

Broda, Christian - 2002

Since Friedman (1953), an advantage often attributed to flexible exchange rate regimes over fixed regimes is their ability to insulate more effectively the economy against real shocks. I use a post-Bretton Woods sample (1973-96) of seventy-five developing countries to assess whether the...

Persistent link: https://www.econbiz.de/10010283477