Regarding inflation as being a monetary phenomenon in the long-run is a widely-held view in modern macro economics. We analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a supposed equilibrium price level (P-star), which...

A rich literature has established the importance of global funding conditions (‘globalliquidity’) for the international financial system (e.g. Borio, McCauley, and McGuire2011). In particular, Eickmeier, Gambacorta, and Hofmann (2014) made an important contribution by presenting a structural...

We conceptualize global liquidity as global monetary policy and credit componentsby means of a large-scale dynamic factor model. Going beyond previous work, we de-compose aggregate credit components into credit supply and demand flows directed atbusinesses, households and governments. We show...

To infer on functional dependence of regression parameters, a new, factor based bootstrap approach is introduced that is robust under various forms of heteroskedastic error terms. Modeling the functional coefficient parametrically, the bootstrap approximation of an F-statistic is shown to hold...

What does the saving-investment (SI) relation really measure and how should the SI relation be measured? These are two of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allows to...

This article investigates the empirical relationship between monetary policy in the United States (US) and international equity, bond and real estate security markets for the sample period 01/1994 to 12/2007. The empirical results suggest that equity markets close to the US have a statistically...