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There are a number of econometrics tools to deal with the different type of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011499608
Extending the data set used in Beyer (2009) to 2017, we estimate I(1) and I(2) money demand models for euro area M3. After including two broken trends and a few dummies to account for shifts in the variables following the global financial crisis and the ECB's non-standard monetary policy...
Persistent link: https://www.econbiz.de/10011974516
There are a number of econometrics tools to deal with the different types of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011554319
Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We nd that the elasticities in the money demand and the real wealth relations identi ed previously in Beyer (2009) have remained remarkably stable throughout the...
Persistent link: https://www.econbiz.de/10012150128
Persistent link: https://www.econbiz.de/10013260145
This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12....
Persistent link: https://www.econbiz.de/10010207061
This research uses a cointegration VAR model to study the contemporaneous long-run dynamics of theimpact of Foreign … model was appropriately identified using AIC information criteria and the VECM model has exactly one cointegration relation …
Persistent link: https://www.econbiz.de/10011477457
these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic … cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the …
Persistent link: https://www.econbiz.de/10014043638
-stationary variables. Focusing on cointegration issues, some methodological aspects ere discussed, attempting to integrate coherently the … several steps of the modelling strategy. These range from unit to cointegration testing and to testing for instability in the … cointegration vector. An empirical example with Portuguse data tries to illustrate the usefulness of this approach, where a simple …
Persistent link: https://www.econbiz.de/10014194994
on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …
Persistent link: https://www.econbiz.de/10014203187