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Equilibrium real effective exchange rates and real exchange rate misalignments : time series vs. panel estimates

Hossfeld, Oliver - 2010

panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel …-of-sample performance prior to comparing it to two final panel specifications. Robustness of the results is supported by recently introduced … cross-sectionally augmented panel unit root tests by Pesaran (2007) and bootstrapped error correction-based panel …

Persistent link: https://www.econbiz.de/10011374380

Real Interest Rate Parity in OECD Countries : New Evidence from Time Series and Panel Cointegration Techniques

Magonis, George - 2016

countries our findings suggest the existence of a structural break. The panel results are also in favour of the RIRP …

Persistent link: https://www.econbiz.de/10013007999

To Pool or Not to Pool : What Is a Good Strategy for Parameter Estimation and Forecasting in Panel Regressions?

Wang, Wendun - 2018

This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data …

Persistent link: https://www.econbiz.de/10012927647

Does wage rigidity make firms riskier? : evidence from long-horizon return predictability

Favilukis, Jack; Lin, Xiaoji - 2012

We explore the relationship between sticky wages and risk. Like operating leverage, sticky wages are a source of risk for the firm. Firms, industries, regions, or times with especially high or rigid wages are especially risky. If wages are sticky, then wage growth should negatively forecast...

Persistent link: https://www.econbiz.de/10009697776

Trend dominance in macroeconomic fluctuations

Shibayama, Katsuyuki - 2015

This paper investigates multivariate Beveridge-Nelson decomposition of key macro aggregate data. We find (a) inflation seems to be dominated by its trend component, and, perhaps as a result of this, the short-term interest rate is also trend dominated; and (b) consumption also seems to be...

Persistent link: https://www.econbiz.de/10011342928

Cyclical consumption

Berger, Tino; Pozzi, Lorenzo - 2023

Recessions and expansions are often caused or reinforced by developments in private consumption - the largest component of aggregate demand - which, as a result, varies over the business cycle. As such, an accurate measurement of the cyclical component of consumption and an understanding of its...

Persistent link: https://www.econbiz.de/10014380708

Return Predictability : Learning from the Cross-Section

Penasse, Julien - 2017

Long histories of returns are needed but often lacking when estimating the equity premium. This paper studies stock return predictability from the perspective of a Bayesian investor who has access to international data. Learning across countries arises whenever this investor believes that...

Persistent link: https://www.econbiz.de/10012972060

The relationship between prices and output in the UK and the US

Caporale, Guglielmo Maria; Claudio-Quiroga, Gloria; … - 2021

This paper analyses the relationship between CPI and real GDP in both the US and the UK using fractional integration and long-range dependence techniques. All series appear to be highly trended and to exhibit high degrees of integration and persistence, especially in the case of CPI. Since the...

Persistent link: https://www.econbiz.de/10012494781

Consumer preferences and the reliability of Euler equation tests of capital mobility : some simulation-based evidence

Buch, Claudia M.; Döpke, Jörg; Pierdzioch, Christian - 2002

The globalization of international financial markets has renewed interest in the measurement of capital mobility. Consumption-based tests such as the Euler equation test are commonly used. These tests, however, are derived under restrictive assumptions on consumer behavior. In this paper, we ask...

Persistent link: https://www.econbiz.de/10011475881

Frequency aspects of information transmission in a network of three Western equity markets

Schmidbauer, Harald; Rösch, Angi; Uluceviz, Erhan - 2016

Cycles in the behavior of stock markets have been widely documented. There is an increasing body of literature on whether stock markets anticipate business cycles or its turning points. Several recent studies assert that financial integration impacts positively on business cycle comovements of...

Persistent link: https://www.econbiz.de/10011609909

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