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Stability of the demand for real narrow money in lndonesia
Anglingkusumo, Reza - 2005
The stability of the demand for real Ml in Indonesia is empirically examinedusing quarterly data between 1981 and 2002 …
Persistent link: https://www.econbiz.de/10011343266
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Banks, money, and the zero lower bound on deposit rates
Kumhof, Michael; Wang, Xuan - 2020
We develop a New Keynesian model where all payments between agents require bank deposits through deposits-in-advance constraints, bank deposits are created through disbursement of bank loans, and banks face a convex lending cost. At the zero lower bound on deposit rates (ZLBD), changes in policy...
Persistent link: https://www.econbiz.de/10012262361
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Inflation stabilization, fiscal deficits and public debt management in Poland
Wijnbergen, Sweder van; Budina, Nina - 1999
Poland edged towards hyperinflation towards the latter half of 1989,but inflation fell dramatically after drastic reformswere enacted in January of 1990. We analyse the consistency betweenfiscal deficits and inflation targets and assess Poland's domestic and foreign debt management policies and...
Persistent link: https://www.econbiz.de/10011301167
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Bias correction in the dynamic panel data model with a nonscalar disturbance covariance matrix
Bun, Maurice J. G. - 2001
Approximation formulae are developed for the bias of ordinary andgeneralized Least Squares Dummy Variable (LSDV) estimators in dynamicpanel data models. Results from Kiviet (1995, 1999) are extended tohigher-order dynamic panel data models with general covariancestructure. The focus is on...
Persistent link: https://www.econbiz.de/10011313930
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A cointegration analysis of agricultural, energy and bio-fuel spot and futures prices
Allen, David E.; Chang, Chia-Lin; McAleer, Michael; … - 2016
This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …
Persistent link: https://www.econbiz.de/10011479769
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Optimal hedging with the Vector Autoregressive model
Gatarek, Lukasz; Johansen, Søren - 2014
with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …
Persistent link: https://www.econbiz.de/10010244526
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Spurious regression, cointegration, and near cointegration : a unifying approach
Haldrup, Niels; Jansson, Michael - 1999
cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …
Persistent link: https://www.econbiz.de/10011300555
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Do income disparities dissipate across the US states? : experimenting with a Vector Error Correction Model
Alexiadis, Stilianos; Eleftheriou, Konstantinos; … - 2013
This paper examines the long-run trends in per-capita income across the US states (1929-2005). Our analysis advocates and implements a Vector Error Correction Model (VECM), in order to investigate whether disparities in per-capita income embody a stable long-run relation. The empirical...
Persistent link: https://www.econbiz.de/10010224805
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Modelling the effects of oil prices on global fertilizer prices and volatility
Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-chung; … - 2013
Persistent link: https://www.econbiz.de/10009724819
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Robust bootstrap inference for linear time-varying coefficient models : some Monte Carlo evidence
Lin, Yicong; Song, Mingxuan - 2023
. Additionally, we consider situations where the regressors exhibit unit roots, thus delving into a nonlinear cointegration framework …
Persistent link: https://www.econbiz.de/10014335549