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  • Artikel  (24)
  • C32  (24)
  • Springer  (24)
  • American Physical Society (APS)
  • Blackwell Publishing Ltd
  • 1995-1999  (24)
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  • Wirtschaftswissenschaften  (24)
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  • Springer  (24)
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  • Wirtschaftswissenschaften  (24)
  • 1
    Digitale Medien
    Digitale Medien
    Seasonality and stochastic trends in German consumption and income, 1960.1–1987.4 (1995)
    Springer
    Empirical economics 20 (1995), S. 109-132 
    Details
    ISSN: 1435-8921
    Schlagwort(e): C22 ; C32
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract The quarterly time series of German consumption and income are analyzed with respect to seasonality and stochastic trends. It emerges that both variables can be appropriately described by a periodically integrated autoregression. An implication is that the stochastic trend and the seasonal fluctuations are not independent for each of the univariate series. In order to test for cointegration across the two series, we propose several methods which take account of the relationship between seasons and trends in the univariate series. Some of these methods boil down to extracting the stochastic trend from the univariate series in a first step and to relating these trends using cointegration techniques in a second step. Another method is an extension of the Johansen cointegration testing approach to periodic vector autoregressions. Monte Carlo simulations are used to evaluate the empirical performance of the various methods. The main empirical result is that only in the first quarter there seems to be cointegration between German consumption and income.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01235160
    Standort Signatur Erwartet Verfügbarkeit
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  • 2
    Digitale Medien
    Digitale Medien
    Alcohol content and demand for alcoholic beverages: A system approach (1995)
    Springer
    Empirical economics 20 (1995), S. 75-92 
    Details
    ISSN: 1435-8921
    Schlagwort(e): C32 ; O12
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper examines how alcohol content affects the consumption of alcoholic beverages in Finland. Three different quality hypotheses are studied and compared: Fisher and Shell, Theil, and an additive one. The comparison of the hypotheses is based on quality elasticities implied by the hypotheses. The results show that, under all hypotheses, alcohol content positively affects the demand for alcoholic beverages, and this effect depends negatively on income. The results of the comparison of the hypotheses show that the additive fits the data best. However, the other hypotheses are almost as good: Fisher and Shell's hypothesis better than Theil's. I would like to thank K. Koskela, A. Nyberg, M. Salo, M. Stenius, and I. Suoniemi for their useful comments and suggestions. The author bears sole responsibility for any remaining errors.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01235158
    Standort Signatur Erwartet Verfügbarkeit
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  • 3
    Digitale Medien
    Digitale Medien
    Interest rate linkages in Europe before and after the introduction of the European Monetary System (1995)
    Springer
    Empirical economics 20 (1995), S. 435-454 
    Details
    ISSN: 1435-8921
    Schlagwort(e): E43 ; C32 ; F33
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract In this paper, possible interest rate linkages between the U.S. and Europe and within Europe are investigated with special reference to the EMS. We use three-month domestic money market rates from 1974 to 1979, from 1983 to 1989, and from 1990 to 1994 for Belgium, France, Germany, Italy, the Netherlands, Switzerland, the U.K., and the U.S. For all periods, we find a strong German influence on the development in the other European countries and, for the first two periods, at best a very weak direct influence from the U.S. However, Germany does not dominate the other countries totally. There are significant relations between the EMS member countries which are not influenced by Germany, and there are relations to other EMS members than Germany from outside this system. Revised Version, March 1995. — Earlier versions of this paper wer presented at seminars at the Universities of Zürich, Bielefeld and Leuven, and at the Konstanzer Seminar on Monetary Theory and Monetary Policy. We thank the participants of these seminars as well as two anonymous referees for helpful comments and suggestions. — We gratefully acknowledge financial support from the Deutsche Forschungsgemeinschaft by Grant No. 322 147. We thank Wilhelm-Johannes Jaenicke for performing the computations and Anna Rushing-Jungeilges for editing the paper in English.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01180675
    Standort Signatur Erwartet Verfügbarkeit
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  • 4
    Digitale Medien
    Digitale Medien
    Cointegration, common features, and persistence in U.S. farm output (1996)
    Springer
    Empirical economics 21 (1996), S. 459-473 
    Details
    ISSN: 1435-8921
    Schlagwort(e): C32 ; E32 ; Q11
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper determines the persistence of shocks to U.S. farm output at the sectoral and sub-sectoral level using a disaggregated vector autoregression framework. The persistence is measured under models that impose short-run common feature and long-run cointegration restrictions. The sub-sectoral outputs are found to have a relatively high degree of comovement in the short-run and a relatively low degree of comovement in the long-run. The common feature and cointegration restrictions are found to improve the precision of persistence and cross-persistence estimates. Subsectoral persistence shows considerable variation; persistence in Poultry & Eggs sub-sector is nearly three times the persistence in the Fruits & Nuts sub-sector. Two sub-sectors that share long-run common trends, Food Grains and Feed, Hay & Forage, also have significant cross-persistence, implying technological spillovers.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01179867
    Standort Signatur Erwartet Verfügbarkeit
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  • 5
    Digitale Medien
    Digitale Medien
    US oil consumption, oil prices, and the macroeconomy (1996)
    Springer
    Empirical economics 21 (1996), S. 317-334 
    Details
    ISSN: 1435-8921
    Schlagwort(e): Q43 ; C32 ; E63 ; E65
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract Since the oil price shock of 1973–74, researchers have waged an intense debate regarding the connection between the U.S. energy sector and national income. Studies examining the relationship between oil prices, oil consumption, and real output have produced remarkably mixed results. In particular, the two most widely cited investigations by Darby and Hamilton come to dramatically different conclusions concerning the effect of oil shocks on economic activity. To date, however, studies of this issue have been either correlation based and thus void of causality inferences, have used overly restrictive bivariate causality techniques, or covered periods that exclude major oil price disruptions. This paper analyzes a quarterly multivariate VAR model to investigate the existence and direction of causality between oil prices, oil consumption, real output, and several other key macroeconomic policy variables. Among the key findings is that oil price shocks are not a major cause of U.S. business cycles. Moreover, our findings also suggest that both oil prices and real output cause significant changes in oil consumption without feedback. These results support the contention that a systematic U.S. conservation policy would not significantly impair real economic activity.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01179861
    Standort Signatur Erwartet Verfügbarkeit
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  • 6
    Digitale Medien
    Digitale Medien
    Real wages, quantity constraints and equilibrium unemployment: Belgium, 1955–1988 (1996)
    Springer
    Empirical economics 21 (1996), S. 427-457 
    Details
    ISSN: 1435-8921
    Schlagwort(e): C32 ; C52 ; E24
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper examines the determinants of equilibrium wage and unemployment rates in Belgium within the framework of a quantity rationing, right-to-manage model with decentralised wage-setting. Empirical results are obtained by first using the Johansen maximum-likelihood procedure for the analysis of cointegration among the variables of interest. The information from this stage is then used to estimate a three equation econometric model explaining the wage share, the unemployment rate and the capital gap. The slowdown in world trade is depicted as the most important factor explaining the rise in unemployment in Belgium, with dampening effects due to wage control policies imposed in the eighties. Because we obtain only two cointegrating relations, for three endogenous variables, our results are compatible with the hypothesis of path dependency and multiple equilibria.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01179866
    Standort Signatur Erwartet Verfügbarkeit
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  • 7
    Digitale Medien
    Digitale Medien
    Money and inflation in Germany: A cointegration analysis (1996)
    Springer
    Empirical economics 21 (1996), S. 601-616 
    Details
    ISSN: 1435-8921
    Schlagwort(e): Money ; Inflation ; Causality ; Cointegration ; C32 ; E31 ; E52
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper analyses the relation between money and inflation in Germany in a cost-push/demand-pull model of an open small economy by means of cointegration methods. The full-information-maximum-likelihood method of Johansen as well as structural methods are applied to datasubsets and the full data set. The focus of the paper is on tests for overidentifying restrictions and for weak and strong exogeneity within these data sets. The result of the paper is that the money stock, the price level and gross national product are endogenous whereas the interest rate and the real import price are both weakly and strongly exogenous. By means of the price cointegration relation we illustrate how monetary targeting should react to imported inflation.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01180704
    Standort Signatur Erwartet Verfügbarkeit
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  • 8
    Digitale Medien
    Digitale Medien
    Substitution elasticities between durable and nondurable goods in the United States: New evidence from the dynamic Laurent system (1997)
    Springer
    Empirical economics 22 (1997), S. 1-13 
    Details
    ISSN: 1435-8921
    Schlagwort(e): C32 ; E20
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract This paper uses the dynamic Laurent demand system to jointly estimate the service flows from durable and nondurable goods. The parameter estimates are used to obtain the Morishima elasticity of substitution between goods for the United States from 1960:1 to 1991:4. One of the significant results of this study is that the Morishima elasticities of substitution vary over time instead of being constant. This result implies that the use of the CES functional form gives a poor approximation of the demand system for the data used in this paper. Another important result is that consumers adjust to their long-run equilibrium holding of consumption goods slowly rather than quickly.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01188167
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  • 9
    Digitale Medien
    Digitale Medien
    The pricing of time-varying beta (1997)
    Springer
    Empirical economics 22 (1997), S. 345-363 
    Details
    ISSN: 1435-8921
    Schlagwort(e): APT ; beta ; (G)ARCH ; Systematic Risk ; C32 ; G12
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract We generalize an asset pricing model based on the Arbitrage Pricing Theory (APT) allowing beta to be time-varying. Making beta a random variable adds flexibility to the model because permits a non-linear relation between individual returns and the set of factors, and accounts for the effect of possible omitted variables. We integrate the conditional APT with a general linear stochastic process for beta. We analyze the behavior of the conditional expected return, the conditional variance and conditional covariance of individual asset returns as functions of the conditional moments of beta. On considering time-varying betas we introduce another source of uncertainty (risk) independent of the factors. We need to disentangle if this extra risk is systematic or non-systematic. To this end, we introduce a modified conditional APT model that rationalizes why the time variation of beta may represent extra systematic risk. For a sample of individual stocks, we test the hypothesis of time-varying beta and the feasibility of the modified conditional APT. We present a test for time-varying beta based on the conditional second moments of returns. We find that there is strong evidence against constancy of betas in favor of a random coefficient model, and that the time variation of beta is due to non-systematic behavior of the firms and investors should be able to diversify this risk away.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF01208828
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  • 10
    Digitale Medien
    Digitale Medien
    Estimation of a German money demand system – a long-run analysis (1999)
    Springer
    Empirical economics 24 (1999), S. 77-99 
    Details
    ISSN: 1435-8921
    Schlagwort(e): Key words: Money demand ; Fisher effect ; interest rate spread ; German monetary policy ; Johansen procedure ; JEL classifications: E41 ; E43 ; C32 ; C51 ; C52
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Wirtschaftswissenschaften
    Notizen: Abstract. This study presents a multivariate analysis of the stability of long-run relationships between variables that influence the conduct and transmission process of the German monetary policy. The initial VAR comprises the variables real money M3, real GNP, the inflation rate, a long-term and a weighted short-term interest rate. A multivariate approach has been chosen, as this allows for more than one cointegration relationship and to test restrictions on the cointegration space. In contrast to most other studies on German monetary policy, three stable and economically plausible cointegration relationships are obtained simultaneously within the framework of the Johansen procedure: a money demand relationship, a long-run Fisher effect and a long-run relationship between the short- and the long-term interest rate. It is apparent that the structural break of German reunification can be modelled incorporating dummy variables in the model.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s001810050045
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