ALBERT

All Library Books, journals and Electronic Records Telegrafenberg

X
feed icon rss

Your email was sent successfully. Check your inbox.

An error occurred while sending the email. Please try again.

Proceed reservation?

Export
Filter
  • Articles  (12)
  • Other Sources
  • cointegration  (12)
  • Springer  (12)
  • American Geophysical Union
  • American Institute of Physics (AIP)
  • American Physical Society
  • Annual Reviews
  • Blackwell Publishing Ltd
  • Institute of Physics
  • Oxford University Press
  • 2000-2004
  • 1995-1999  (12)
  • 1970-1974
  • 1955-1959
  • 1945-1949
  • 1935-1939
  • 1998  (12)
  • 1959
  • 1956
  • 1947
  • Economics  (12)
  • Natural Sciences in General
  • Physics
Collection
  • Articles  (12)
  • Other Sources
Source
Keywords
Publisher
  • Springer  (12)
  • American Geophysical Union
  • American Institute of Physics (AIP)
  • American Physical Society
  • Annual Reviews
    • +
Years
  • 2000-2004
  • 1995-1999  (12)
  • 1970-1974
  • 1955-1959
  • 1945-1949
    • +
Year
Topic
  • Economics  (12)
  • Natural Sciences in General
  • Physics
  • 1
    Electronic Resource
    Electronic Resource
    Money demand stability: Evidence from Spain (1998)
    Springer
    Empirical economics 23 (1998), S. 387-400 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Money demand ; cointegration ; stability ; regime shift ; JEL classification: E41 ; C22
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration in models with regime shifts, the empirical evidence on the existence of a structural break in the Spanish long-run demand for broad money (ALP2) is analysed.  The results indicate that shifts affecting the demand for ALP2 in recent years have substantially altered its long-run properties. As to the cause of this structural break, emphasis is placed on the role played by the increasing openness of the Spanish financial system to international markets as obstacles to free capital movements have progressively disappeared.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050027
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    International Convergence of Capital Market Interest Rates (1998)
    Springer
    De economist 146 (1998), S. 257-269 
    Details
    ISSN: 1572-9982
    Keywords: interest rate convergence ; principal components analysis ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article investigates the extent of capital market interest rate convergence among six EU countries on the one hand, and a group of four countries with floating exchange rates - US, Germany, Japan, and Switzerland - on the other. We conclude that interest rate changes within the EU have been and still are converging gradually since 1980. Within the group of free-float currencies, the increase in convergence occurred abruptly around 1980, after which the extent of convergence remained roughly constant. Moreover, the presumed higher influence of US long-term interest rates on the level of German interest rates could not be detected.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1003296928097
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    On the Long Run Effects of Public Capital and Disaggregated Public Capital on Aggregate Output (1998)
    Springer
    International tax and public finance 5 (1998), S. 263-281 
    Details
    ISSN: 1573-6970
    Keywords: Public capital ; cointegration ; VAR model ; error correction model
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We study the cointegration properties of data on aggregate output, five proxies for labor, two proxies for private capital, public capital, and disaggregated public capital for the United States for 1948–1993. We find evidence of multiple cointegrating vectors; we typically find three or four cointegrating vectors depending on which combination of proxies is evaluated. When public capital is disaggregated by type there is less evidence for cointegration. Finally, innovations in public capital have long lasting effects on output, labor, and private capital, and innovations to output, labor, and private capital also have long lasting effects on public capital.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008626025932
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 4
    Electronic Resource
    Electronic Resource
    The demand for broad money in Norway, 1969–1993 (1998)
    Springer
    Empirical economics 23 (1998), S. 339-354 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Money demand ; price/wage formation ; cointegration ; dynamic specification ; conditional models ; error correction ; JEL classification: C22 ; C32 ; E31 ; E41
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway. Broad money is determined endogenously, and monetary balances were exposed to large shocks during the period of financial deregulation in the midst of the 1980s. In the long run these shocks are absorbed, and a long run demand for money relationship is identified in which real money is determined by real income, the relative price on financial assets (the yield spread) and the relative price on goods (the own real interest rate). Money adjusts dynamically to changes in the exchange rate and private wealth. Domestic price inflation is affected by imported inflation including currency depreciation (a pass through effect), domestic cost pressure (unit labour costs), and excess demand in the product market (output gap effect).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050024
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 5
    Electronic Resource
    Electronic Resource
    Stability of money demand in Switzerland: A comparison of the M2 and M3 cases (1998)
    Springer
    Empirical economics 23 (1998), S. 437-454 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Demand for Money ; cointegration ; sequential reduction ; JEL classification: E52; E41; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Long-run parameters of money demand functions for Switzerland's M2 and M3 aggregate are estimated and their stability investigated. For both aggregates a single stable cointegrating vector is found. Around these long-run relationships a single-equation model for Δm2 and a single-equation model for Δcpi is built respectively for M2 and M3, and both estimated models are found to be stable. Testing forecast performance, the Δcpi model seems to be superior to the Δm2 model, providing some positive signs that the M3 model is stable in the sense that it does not suffer from a structural break during the period of estimation.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050030
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 6
    Electronic Resource
    Electronic Resource
    Money demand stability: Evidence from Spain (1998)
    Springer
    Empirical economics 23 (1998), S. 387-400 
    Details
    ISSN: 1435-8921
    Keywords: Money demand ; cointegration ; stability ; regime shift ; E41 ; C22
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration in models with regime shifts, the empirical evidence on the existence of a structural break in the Spanish long-run demand for broad money (ALP2) is analysed. The results indicate that shifts affecting the demand for ALP2 in recent years have substantially altered its long-run properties. As to the cause of this structural break, emphasis is placed on the role played by the increasing openness of the Spanish financial system to international markets as obstacles to free capital movements have progressively disappeared.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01294414
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 7
    Electronic Resource
    Electronic Resource
    Stability of money demand in Switzerland: A comparison of the M2 and M3 cases (1998)
    Springer
    Empirical economics 23 (1998), S. 437-454 
    Details
    ISSN: 1435-8921
    Keywords: Demand for Money ; cointegration ; sequential reduction ; E52 ; E41 ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Long-run parameters of money demand functions for Switzerland's M2 and M3 aggregate are estimated and their stability investigated. For both aggregates a single stable cointegrating vector is found. Around these long-run relationships a single-equation model for Δm2 and a single-equation model for Δcpi is built respectively for M2 and M3, and both estimated models are found to be stable. Testing forecast performance, the Δcpi model seems to be superior to the Δm2 model, providing some positive signs that the M3 model is stable in the sense that it does not suffer from a structural break during the period of estimation.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01294417
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 8
    Electronic Resource
    Electronic Resource
    Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK (1998)
    Springer
    Empirical economics 23 (1998), S. 267-294 
    Details
    ISSN: 1435-8921
    Keywords: Exogeneity ; causality ; invariance ; cointegration ; co-breaking ; impulse responses ; money demand ; E41 ; C52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Since the objective of economic policy is to change target variables in the DGP, when economic policy analysis uses an econometric model, it is important that the model delivers reliable inferences about policy responses in the DGP. This requires that the model be congruent and encompassing, and hence exogeneity, causality, cointegration, co-breaking, and invariance all play major roles. We discuss these roles in linear cointegrated VARs, prior to illustrating their importance in a bivariate model of money and interest rates in the UK over the last century.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01294408
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 9
    Electronic Resource
    Electronic Resource
    The demand for broad money in Norway, 1969–1993 (1998)
    Springer
    Empirical economics 23 (1998), S. 339-354 
    Details
    ISSN: 1435-8921
    Keywords: Money demand ; price/wage formation ; cointegration ; dynamic specification ; conditional models ; error correction ; C22 ; C32 ; E31 ; E41
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway. Broad money is determined endogenously, and monetary balances were exposed to large shocks during the period of financial deregulation in the midst of the 1980s. In the long run these shocks are absorbed, and a long run demand for money relationship is identified in which real money is determined by real income, the relative price on financial assets (the yield spread) and the relative price on goods (the own real interest rate). Money adjusts dynamically to changes in the exchange rate and private wealth. Domestic price inflation is affected by improted inflation including currency depreciation (a pass through effect), domestic cost pressure (unit labour costs), and excess demand in the product market (output gap effect).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01294411
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 10
    Electronic Resource
    Electronic Resource
    Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK (1998)
    Springer
    Empirical economics 23 (1998), S. 267-294 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Exogeneity ; causality ; invariance ; cointegration ; co-breaking ; impulse responses ; money demand ; JEL classifications: E41 ; C52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Since the objective of economic policy is to change target variables in the DGP, when economic policy analysis uses an econometric model, it is important that the model delivers reliable inferences about policy responses in the DGP. This requires that the model be congruent and encompassing, and hence exogeneity, causality, cointegration, co-breaking, and invariance all play major roles. We discuss these roles in linear cointegrated VARs, prior to illustrating their importance in a bivariate model of money and interest rates in the UK over the last century.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050021
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 11
    Electronic Resource
    Electronic Resource
    Step Interventions and Market Integration: Tests in the U.S., U.K., and Australian Property Markets (1998)
    Springer
    The journal of real estate finance and economics 16 (1998), S. 91-123 
    Details
    ISSN: 1573-045X
    Keywords: structural breaks ; unit roots ; cointegration
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Market integration implies the existence of some long-run equilibrium relationship between markets such that movements in one market are transmitted to movements in another. It is an interesting observation of much of the literature regarding a possible relationship between real estate and stock markets that there is relatively scant attention given to the possible existence of structural breaks and the impact that such breaks may have on tests for market integration. Other research has shown that failure to take into account structural breaks in various macroeconomic data series may have yielded misleading results on cointegration (in particular, unit root tests on individual series). In this article we examine the issue of whether the stock market and real estate markets are stationary or nonstationary in the presence of structural breaks. We adopt the techniques of Perron (1989), Zivot and Andrews (1992), and Perron and Vogelsang (1992). Each of these tests is based on different assumptions and therefore may yield differing results. In general, the results do not support cointegration of domestic property and equity markets or cointegration of markets internationally.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1007741516833
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 12
    Electronic Resource
    Electronic Resource
    Exchange rate, inflation and unemployment in East European economies: the case of Poland and Hungary* (1998)
    Springer
    Economic change & restructuring 31 (1998), S. 29-55 
    Details
    ISSN: 1574-0277
    Keywords: cointegration ; structural break ; modelling transition economies
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The aim of the paper is to model the impact of exchange rate on both inflation and unemployment variables in economies which are characterized by important structural changes, i.e. a transition phase moving from centralized economies towards market economies. This phenomenon, which is common to the East European countries, stressed different effects both for what concerns the behaviour of economic agents and for what concerns fiscal and monetary measures adopted by governments and aiming to keep under control the inflation–unemployment trade off. Time series relationships between these variables are investigated within an econometric model. Economic theory and the available data on the hypothetically relevant variables, along with the consideration of the main facts occurred in the period under study, characterize our information set. It is found that single equation analysis yields inefficient inference relative to the whole system analysis, and important structural changes are detected which reflect possible breaks in the structure of the economic system along with a change in economic policy.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1003290919164
    Location Call Number Expected Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
Close ⊗
This website uses cookies and the analysis tool Matomo. More information can be found here...