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  • C32  (42)
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  • Economics  (42)
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  • Springer  (42)
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  • Economics  (42)
  • 1
    Electronic Resource
    Electronic Resource
    A dynamic specification of an AIDS import allocation model (1993)
    Springer
    Empirical economics 18 (1993), S. 57-73 
    Details
    ISSN: 1435-8921
    Keywords: C12 ; C32 ; C52 ; F14
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper we use the first-order autoregressive scheme in order to introduce dynamics into the AIDS model. We also consider the theoretical restrictions of additivity, homogeneity and symmetry, and use two different specifications of the covariance matrix. We estimate the models using import allocation data for the UK 1952–1979 of five EEC countries and test different specifications against each other.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01238879
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  • 2
    Electronic Resource
    Electronic Resource
    Seasonality in macroeconomic time series (1993)
    Springer
    Empirical economics 18 (1993), S. 321-335 
    Details
    ISSN: 1435-8921
    Keywords: Deterministic or stochastic seasonality ; seasonal integration ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Recently, the seasonal characteristics of macroeconomic time series have drawn a lot of attention. It has been argued that the seasonal component of many macroeconomic time series constitutes a major part of the series measured as a proportion of the variance. In addition it has been found that the seasonal component of most macroeconomic time series is constant and best “explained” by seasonal dummies. Specifically it is often found that a Christmas boom is followed by a beginning of the year trough. Based on quarterly and monthly macroeconomic time series from a large number of countries this paper shows that many macroeconomic time series have seasonal components that are changing over time. Furthermore, the Christmas boom and especially the 1st quarter trough is not found nearly as often as one might expect.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205406
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  • 3
    Electronic Resource
    Electronic Resource
    New developments in time series econometrics: An overview (1993)
    Springer
    Empirical economics 18 (1993), S. 557-564 
    Details
    ISSN: 1435-8921
    Keywords: C1 ; C22 ; C32 ; C52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205411
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  • 4
    Electronic Resource
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    Usefulness of linear transformations in multivariate time-series analysis (1993)
    Springer
    Empirical economics 18 (1993), S. 567-593 
    Details
    ISSN: 1435-8921
    Keywords: C32 ; C51
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Much progress has been made in recent years in multivariate time-series analysis. In this paper we summarize some of the methodological developments that are particularly relevant to empirical economics and highlight especially the usefulness of linear transformations in analyzing multivariate time series. The topics considered include vector ARMA models, principal component analysis, scalar component models, canonical correlation analyses, co-integration, and unit-root tests. We illustrate the methods considered by an example using Taiwan's interest-rate series and provide critiques of these developments.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205412
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  • 5
    Electronic Resource
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    Adjustment costs and time-to-build in factor demand in the U.S. manufacturing industry (1993)
    Springer
    Empirical economics 18 (1993), S. 639-671 
    Details
    ISSN: 1435-8921
    Keywords: factor demand models ; adjustment costs ; gestation lags ; C32 ; C5 ; E22
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In order to explain cyclical behavior of factor demand, the static neoclassical model of the firm has been extended to include either adjustment costs (e.g. Lucas (1967)) or time-to-build considerations as in Kydland and Prescott (1982). This paper presents an intertemporal factor demand model which accounts for adjustment costs and gestation lags. The closed form solution of the model is a highly restricted vector ARMA-process that is estimated using quarterly data for the manufacturing industry in the U.S., 1960–1988. The main conclusion is that both sources of dynamics of factor demand are identifiable and found to be empirically of importance.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205415
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  • 6
    Electronic Resource
    Electronic Resource
    Does exchange rate volatility hinder export growth? (1994)
    Springer
    Empirical economics 19 (1994), S. 371-396 
    Details
    ISSN: 1435-8921
    Keywords: C32 ; F31
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The paper examines the impact of exchange rate volatility on trade using an ARCH-in-mean model. The advantages of this statistical approach vis-a-vis earlier approaches is that it provides more efficient coefficient estimates and avoids the problem of spurious regressions. Exchange rate volatility was found to have a negative impact on Canadian and Japanese exports to the United States and on Australian exports to the world. For Sweden, the United Kingdom and the Netherlands, the relationship was found to be positive. The magnitude of the impact of a 10% increase in exchange rate volatility on export volumes was found to range from a reduction of 7.4% (Canada) to an increase of 5% (Sweden). The results indicate that exports invoiced in the importer's currency are affected negatively by exchange rate volatility, and exports invoiced in the exporter's currency are affected positively. A partial equilibrium, profit maximization model is derived to support these findings.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205944
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  • 7
    Electronic Resource
    Electronic Resource
    Mechanical detrending by Hodrick-Prescott filtering: A note (1994)
    Springer
    Empirical economics 19 (1994), S. 493-500 
    Details
    ISSN: 1435-8921
    Keywords: C32 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The Hodrick-Prescott filter is widely used to extract cyclical movements about trend in macroeconomic time series. The filter is based on the assumption that nonstationary movements in time series are captured by smooth and slowly changing trends. This note shows that applying the Hodrick-Prescott filter to time series with stochastic trends may extract cyclical movements which are entirely spurious.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205950
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  • 8
    Electronic Resource
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    BVAR models with economic priors: An application to the propagation of U.S. regional cycles to Canada (1994)
    Springer
    Empirical economics 19 (1994), S. 675-690 
    Details
    ISSN: 1435-8921
    Keywords: C11 ; C32 ; C53 ; E32 ; F15 ; O18
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract To overcome the over-parameterization problems typically associated with the estimation of large VAR systems, Litterman (1979, 1986) and Doan, Litterman, and Sims (1984) have proposed the inclusion ofstatistical a priori information. In this paper, we investigate how economica priori information based on regional input-output tables and trade flows statistics could help estimate a large U.S.-Canadian regional model. Instead of relying on the usual Choleski factorization, we present the variance decomposition based on a national-regional unobservable variables model. Using monthly series (total employment, 1966:1-1986:12) on five Canadian regions and four U.S. ones, we are able to characterize the north-south propagation mechanism.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205823
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  • 9
    Electronic Resource
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    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
    Keywords: C22 ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01235160
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  • 10
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    Alcohol content and demand for alcoholic beverages: A system approach (1995)
    Springer
    Empirical economics 20 (1995), S. 75-92 
    Details
    ISSN: 1435-8921
    Keywords: C32 ; O12
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01235158
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  • 11
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    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
    Keywords: E43 ; C32 ; F33
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01180675
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  • 12
    Electronic Resource
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    Cointegration, common features, and persistence in U.S. farm output (1996)
    Springer
    Empirical economics 21 (1996), S. 459-473 
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    ISSN: 1435-8921
    Keywords: C32 ; E32 ; Q11
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01179867
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  • 13
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    US oil consumption, oil prices, and the macroeconomy (1996)
    Springer
    Empirical economics 21 (1996), S. 317-334 
    Details
    ISSN: 1435-8921
    Keywords: Q43 ; C32 ; E63 ; E65
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01179861
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  • 14
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    Real wages, quantity constraints and equilibrium unemployment: Belgium, 1955–1988 (1996)
    Springer
    Empirical economics 21 (1996), S. 427-457 
    Details
    ISSN: 1435-8921
    Keywords: C32 ; C52 ; E24
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01179866
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  • 15
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    Money and inflation in Germany: A cointegration analysis (1996)
    Springer
    Empirical economics 21 (1996), S. 601-616 
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    ISSN: 1435-8921
    Keywords: Money ; Inflation ; Causality ; Cointegration ; C32 ; E31 ; E52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01180704
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  • 16
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    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 
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    ISSN: 1435-8921
    Keywords: C32 ; E20
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01188167
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  • 17
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    The pricing of time-varying beta (1997)
    Springer
    Empirical economics 22 (1997), S. 345-363 
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    ISSN: 1435-8921
    Keywords: APT ; beta ; (G)ARCH ; Systematic Risk ; C32 ; G12
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01208828
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  • 18
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    Estimation of a German money demand system – a long-run analysis (1999)
    Springer
    Empirical economics 24 (1999), S. 77-99 
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    ISSN: 1435-8921
    Keywords: Key words: Money demand ; Fisher effect ; interest rate spread ; German monetary policy ; Johansen procedure ; JEL classifications: E41 ; E43 ; C32 ; C51 ; C52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050045
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  • 19
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    Money demand, the Cagan model, testing rational expectations vs adaptive expectations: The case of Turkey (1999)
    Springer
    Empirical economics 24 (1999), S. 415-426 
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    ISSN: 1435-8921
    Keywords: Key words: Adaptive expectations ; cointegration ; hyperinflation ; inflation tax ; money demand ; rational expectations ; unit root ; JEL classifications: E41 ; C32 ; C12
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper estimates the Cagan type demand for money function for Turkish economy during the period 1986:1–1995:3 and tests whether Cagan's specification fits the Turkish data using an econometric technique assuming that forecasting errors are stationary. This paper also tests the hypothesis that monetary policy was implemented in aiming to maximize the inflation tax revenue. Finally, the Cagan model is estimated with the additional assumption of rational expectations for Turkey for the considered period.
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    URL: http://dx.doi.org/10.1007/s001810050064
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  • 20
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    Endogenous technical progress, R&D periods and durations of business cycles (1995)
    Springer
    Journal of evolutionary economics 5 (1995), S. 341-368 
    Details
    ISSN: 1432-1386
    Keywords: New technology ; R&D period ; Duration of cycle ; Economic growth ; C32 ; C41 ; E32 ; O41
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract How do growth and cycles interact? Endogenous growth and business cycle theories are integrated to explain business cycles over different frequencies, especially at lower frequencies, on the balanced growth path. A new variable-R&D time period-broadens the concept of intertemporal substitution and determines the durations of the medium and long cycles. As a result, the evolution of technology is separated from short-run shocks. A more promising new invention shrinks the R&D period since waiting is costly, which pushes up the level of economic activity and causes a boom, while a less promising new invention does the opposite. The level of economic activity in turn affects the near-term growth rate. Thus, a recession is not caused by a negative shock as in the standard real business cycle models, but can be associated with a positive, though lower, growth rate of technology. The results capture the major features of U.S. data in both time and frequency domains.
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    URL: http://dx.doi.org/10.1007/BF01194366
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  • 21
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    Tax and spend or spend and tax? An empirical investigation for Austria (1995)
    Springer
    Empirica 22 (1995), S. 127-149 
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    ISSN: 1573-6911
    Keywords: Public finance ; tax and spend ; structural var ; time series analysis ; C12 ; C13 ; C15 ; C32 ; E60 ; H60
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The aim of this contribution is to discriminate between the rivallingspend and tax andtax and spend hypotheses in order to check empirically the relationship between government spending and taxation decisions in Austria. For that purpose, the authors estimate a tri-variate structural VAR Model of Austria's public sector that, besides expenditures and revenues, includes aggregate income as an additional variable. They implement impulse-response functions and frequency domain techniques in order to identify the causal relation between government outlays and receipts. The budget making process is interpreted as an error correction model which allows to estimate to what extent revenues and expenditures are adjusted whenever the government sees its long run budget constraint violate. The empirical findings strongly support the spend and tax view that budget decision-making is significantly dominated by the expenditure side in Austria.
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    URL: http://dx.doi.org/10.1007/BF01384650
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  • 22
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    Dynamic Volatility Trading Strategies in the Currency Option Market (2000)
    Springer
    Review of derivatives research 4 (2000), S. 133-154 
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    ISSN: 1573-7144
    Keywords: implied volatility ; GARCH model ; delta ; straddle-hedge ; trading strategies ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The conditional volatility of foreign exchangerates can be predicted using GARCH models or implied volatilityextracted from currency options. This paper investigates whetherthese predictions are economically meaningful in trading strategiesthat are designed only to trade volatility risk. First, thisarticle provides new evidence on the issue of information contentof implied volatility and GARCH volatility in forecasting futurevariance. In an artificial world without transaction costs bothdelta-neutral and straddle trading stratgies lead to significantpositive profits, regardless of which volatility prediction methodis used. Specifically, the agent using the Implied StochasticVolatility Regression method (ISVR) earns larger profits thanthe agent using the GARCH method. Second, it suggests that thecurrency options market is informationally efficient. After accountingfor transaction costs, which are assumed to equal one percentof option prices, observed profits are not significantly differentfrom zero in most trading strategies. Finally, these strategiesoffered returns have higher Sharpe ratio and lower correlationwith several major asset classes. Consequently, hedge funds andinstitutional investors who are seeking alternative ``marketneutral'' investment methods can use volatility trading to improvethe risk-return profile of their portfolio through diversification.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1009638225908
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  • 23
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    Parameter constancy in cointegrating regressions (1993)
    Springer
    Empirical economics 18 (1993), S. 675-706 
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    ISSN: 1435-8921
    Keywords: C22 ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper proposes an approach to testing for coefficient stability in cointegrating regressions in time series models. The test statistic considered is the one-sided version of the Lagrange Multiplier (LM) test. Its limit distribution is non-standard but is nuisance parameter free and can be represented in terms of a stochastic bridge process which is tied down like a Brownian bridge but relies on a random rather than a deterministic fraction to do so. The approach provides a test of the null hypothesis of cointegration against specific directions of departure from the null; subset coefficient stability tests are also available. A small simulation studies the size and power properties of these tests and an empirical illustration to Australian data on consumption, disposable income, inflation and money is provided.
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    URL: http://dx.doi.org/10.1007/BF01205416
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  • 24
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    Seasonal cointegration, common seasonals, and forecasting seasonal series (1993)
    Springer
    Empirical economics 18 (1993), S. 761-776 
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    ISSN: 1435-8921
    Keywords: C32 ; C15 ; E17
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Seasonal cointegration generalizes the idea of cointegration to processes with unit roots at frequencies different from 0. Here, “common seasonals,” also a dual notion of common trends, is adopted for the seasonal case. The features are demonstrated in exemplary models for German and U.K. data. An evaluation of the predictive value of accounting for seasonal cointegration shows that seasonal cointegration may be difficult to exploit to improve predictive accuracy even in cases where seasonal non-cointegration is clearly rejected on statistical grounds. The findings from the real-world examples are corroborated by Monte Carlo simulation.
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    A note on Johansen's cointegration procedure when trends are present (1993)
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    Empirical economics 18 (1993), S. 777-789 
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    ISSN: 1435-8921
    Keywords: Cointegration ; Vector Autoregressive Models ; Hypothesis Testing ; Unit Roots ; Nonstationary Time Series ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This note discusses some issues that arise when Johansen's (1991) framework is used to analyze cointegrating relationships among variables with deterministic linear time trends. We cistinguish “stochastic” and “deterministic” cointegration, arguing that stochastic cointegration is sufficient for the existence of an error correction representation and that it is often the hypothesis of interest in empirical applications. We show that Johansen's (1991) method, which includes only a constant term in the estimated regession system, does not allow for stochastic cointegration. We propose to modify Johansen's method by including a vector of deterministic linear trends in the estimated model. We present tabulated critical values of the maximal eigenvalue and trace statistics appropriate for this case. We discuss the circumstances under which our modification may be useful.
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    Long-run relations between private and public sector wages in Sweden (1994)
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    Empirical economics 19 (1994), S. 343-360 
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    ISSN: 1435-8921
    Keywords: C32 ; E24 ; J31
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Using a maximum likelihood cointegration approach we find two long-run relationships between central government, local government, and private sector wages in Sweden. This means that there is one common trend for the three sectoral wages. Private sector wages are weakly exogenous for the estimation of the long-run relationships. This suggests that the private sector is the wage leader. Testing linear restrictions on the estimated cointegrating space, we reject stationarity for the three relative wages using likelihood ratio-tests. The hypotheses of homogeneity for the two cointegrating vectors, i.e., that wages do not diverge in the long run, is also rejected.
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    German stock market dynamics (1994)
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    Empirical economics 19 (1994), S. 397-418 
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    ISSN: 1435-8921
    Keywords: C32 ; G15
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article estimates generalized ARCH (GARCH) models for German stock market indices returns, using weekly and monthly data, various GARCH specifications and (non)normal error densities, and a variety of diagnostic checks. German stock return series exhibit significant levels of second-order dependence. Our results clearly demonstrate that for both weekly as well as monthly return series the Student-t distribution is superior to the standard normal distribution. In particular, the estimated GARCH-t models appear to be reasonably successful in accounting for both observed leptokurtosis and conditional heteroskedasticity from German stock return movements.
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    International spillovers in an endogenous growth model (1994)
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    Empirical economics 19 (1994), S. 501-515 
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    ISSN: 1435-8921
    Keywords: O11 ; O41 ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper suggests and tests a simple stochastic growth model with international technological links, where growth could be driven either by exogenous or endogenous accumulation of technological knowledge. The main prediction of the model is that per capita output in different countries are cointegrated. The model is tested on data for 15 industrialized countries over the period 1870–1985 and the results show that the model is rejected for most countries, but that it might be valid for the continental European countries. (JEL O11, O41, C32)
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    A reexamination of the consumption function using frequency domain regressions (1994)
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    Empirical economics 19 (1994), S. 595-609 
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    ISSN: 1435-8921
    Keywords: Spectral Regression ; Co-integrated System ; Permanent Income Hypothesis ; C32 ; E21
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper reexamines the permanent income hypothesis (PIH) in the frequency domain. In contrast to some time domain tests, our frequency domain approach provides an explicit and natural test ofboth the permanentand transitory implications of the PIH for jointly nonstationary consumption and income data. Using a simple theoretical model, we demonstrate that the PIH implies the marginal propensity to consume (MPC) out of zero frequency income is unity. The PIHalso implies that the theoretical MPC out of transitory (or high frequency) income is smaller than the long-run MPC. These theoretical restrictions are natural implications of Friedman's hypothesis that agents consume out of permanent or low frequency income and (dis)save out of transitory or high frequency income. We test this full set of restrictions directly using spectral regression techniques. Under our set of assumptions, the derived disposable income process is shown to have a unit root and to be cointegrated with consumption. We therefore employ a systems spectral regression procedure that accommodates stochastic trends in the consumption and income series as well as the joint dependence in these series. In view of the relatively recent development of these systems spectral estimators, we also conduct Monte Carlo simulations across both low and high frequencies to assess properties of the estimator relative to established single equation techniques. New empirical estimates of the consumption function and tests of the PIH based on systems spectral regression methods are reported for U.S. aggregate consumption and income data over the period 1948–1993. The empirical results provide some evidence for the theoretical implications of the PIH.
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    Is the Bundesbank different from other central banks: A study based onP * (1994)
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    Empirical economics 19 (1994), S. 691-707 
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    ISSN: 1435-8921
    Keywords: C32 ; E31 ; E51 ; E52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract An important question for the future of European Monetary Union is whether the central banks of the European member states are fundamentally similar or are there real differences between them. Much casual evidence seems to suggest that the Bundesbank is fundamentally different in its method of operation from the other central banks. This paper attempts to find econometric evidence which may clarify this situation. It proceeds by drawing on theP * literature, which models the determination of inflation, and recent developments in the cointegration literature which allows a more complete treatment of causality than has hitherto been possible. It is argued that there does appear to be evidence that the Bundesbank operates in a qualitatively different way from the other Banks.
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    Wage setting, taxes and demand for labour: Multivariate analysis of cointegrating relations (1995)
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    Empirical economics 20 (1995), S. 271-297 
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    ISSN: 1435-8921
    Keywords: E24 ; E62 ; C32 ; C12
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract A 10-dimensional vector space is defined which is in accordance with a model of wage setting and demand for labour specified in a bargaining framework. Structural restrictions identifying the long-run relations of interest are specified. Restrictions which characterize wage-seting and labour demand schedules are imposed and tested, first separately and then jointly. The FIML procedure proposed in Johansen and Juselius (1990) is applied. Generally, restrictions satisfying the condition for formal identification pass the tests at a fairly high signficance level. The plausibility of resulting cointegrating relations applies not only to the signs but also to the magnitudes of the coefficients. The relations show up almost identically in partial and joint analysis. They do not appear to be sensitive to the choice between four or three cointegrating relations in the system. Finally, the relations are hardly influenced at all by alterative conjectures concerning endogeneity of various tax rates. The results indicate that there has been a considerable degree of real wage resistance in action in Finland.
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    Expectations and interest rates on mortgage loans (1995)
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    Empirical economics 20 (1995), S. 667-680 
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    ISSN: 1435-8921
    Keywords: E43 ; G21 ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We examine the role of expectations for interest rates on mortgage loans. Our empirical results, based on cointegration tests, indicate a violation of the expectations hypothesis on the German loan market. In contrast to the capital market, a failure of the expectations hypothesis on the loan market cannot be attributed to the market segmentation hypothesis. Using a simple two-period model, we can show that the deviation from the expectations hypothesis is stronger than on the capital market and such that it confirms the common practice of choosing between loans with variable or fixed interest rates.
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    Aggregate and regional disaggregate fluctuations (1996)
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    Empirical economics 21 (1996), S. 137-159 
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    ISSN: 1435-8921
    Keywords: Aggregate disturbance ; business cycle ; distribution dynamics ; regional fluctuation ; stochastic kernel ; C32 ; C33 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper models fluctuations in regional disaggregates as a nonstationary, dynamically evolving distribution. Doing so enables study of the dynamics of aggregate fluctuations jointly with those of the rich cross-section of regional disaggregates. For the US, the leading state—regardless of which it happens to be—contains strong predictive power for aggregate fluctuations. This effect is difficult to understand if only aggregate disturbances affect aggregate business cycles through aggregate propagation mechanisms. Instead, a better picture might be one of a “wave” of regional dynamics, rippling across the national economy.
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    Small sample properties of Canonical Cointegrating Regressions (1996)
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    Empirical economics 21 (1996), S. 235-253 
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    ISSN: 1435-8921
    Keywords: Canonical cointegrating regression ; powers ; empirical sizes ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Monte Carlo simulations are performed to examine small sample properties of Canonical Cointegrating Regressions (CCR). The first data generation process is designed to generate both cointegrated and non-cointegrated systems with normal disturbances. If the near-observational equivalence of the stationary and the integrated processes is not significant, both powers and empirical sizes of CCR tests are acceptable. The second data generation process is based on the error correction model. Cointegrated systems with various fat-tailed disturbances are generated and analyzed. The empirical sizes of CCR tests with studentt disturbances and GARCH disturbances are found to be reasonable under certain restrictions. The last data generation process is a generalized least squares (GLS) process that incorporates heteroskedasticity into the error correction model. Again, the empirical sizes of CCR tests are reasonable.
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    The engine of growth or its handmaiden? (1996)
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    Empirical economics 21 (1996), S. 77-110 
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    ISSN: 1435-8921
    Keywords: Export-led growth ; time series ; causality ; F14 ; F43 ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper presents an analysis of time-series data for the countries in the Summers-Heston (1991) data set, in an attempt to ascertain the evidence for or against the export-led growth hypothesis. We find that standard methods of detecting export-led growth using Granger-causality tests may give misleading results if imports are not included in the system being analyzed. For this reason, our main statistical tool is the measure of conditional linear feedback developed by Geweke (1984), which allows us to examine the relationship between export growth and income growth while controlling for the growth of imports. These measures have two additional features which make them attractive for our work. First, they go beyond meredetection of evidence for export-led growth, to provide a measurement of itsstrength. Second, they enable us to determine the temporal pattern of the response of income to exports. In some cases export-led growth is a long-run phenomenon, in the sense that export promotion strategies adopted today have their strongest effect after eight to 16 years. In other cases the opposite is true; exports have their greatest influence in the short run (less than four years). We find modest support for the export-led growth hypothesis, if “support” is taken to mean a unidirectional causal ordering. Conditional on import growth, we find a causal ordering from export growth to income growth in 30 of the 126 countries analyzed; 25 have the reverse ordering. Using a weaker notion of “support”—stronger conditional feedback from exports to income than vice versa, 65 of the 126 countries support the export-led growth hypothesis, although the difference in strength is small. Finally, we find that for the “Asian Tiger” countries of the Pacific Rim, the relationship between export growth and output growth becomes clearer when conditioned on human capital and investment growth as well as import growth.
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    Seasonal cointegration analysis of German consumption function (1997)
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    Empirical economics 22 (1997), S. 205-231 
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    ISSN: 1435-8921
    Keywords: Seasonal Cointegration ; Vector Autoregression ; Consumption Function ; C22 ; C32 ; E21
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The main purpose of this paper is to investigate the West-German consumption process depending on wealth and income with seasonal cointegration techniques using the framework of vector autoregressive models to capture the seasonal pattern of the series. The vector autoregressive models are the basis of a dynamic analysis by impulse response functions where the asymptotic distributions of the estimators are given. In the empirical part of the paper evidence is found for seasonal and nonseasonal cointegration relations among the variables. The response functions of consumption and income show a strong influence of wealth innovations. Moreover, income and consumption reactions present outstanding seasonal pattern.
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    The demand for broad money in Norway, 1969–1993 (1998)
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    Empirical economics 23 (1998), S. 339-354 
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    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).
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    Stability of money demand in Switzerland: A comparison of the M2 and M3 cases (1998)
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    Empirical economics 23 (1998), S. 437-454 
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    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.
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    Changing monetary transmission mechanisms within the EU (1998)
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    Empirical economics 23 (1998), S. 455-481 
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    ISSN: 1435-8921
    Keywords: Cointegration ; long-run impact ; money demand ; IS-LM ; monetary policy ; capital liberalization ; C32 ; E41 ; E52
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The paper presents a comparative analysis of monetary transmission mechanisms and changes in them after the “secondERM” in March 1983. The empirical model investigates the determination of money, income, prices, and interest rates in Germany, Denmark, and Italy based on the cointegratedVAR model. It provides empirical results on the macroeconomic effects of joining theERM and financial deregulation.
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    The demand for broad money in Norway, 1969–1993 (1998)
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    Empirical economics 23 (1998), S. 339-354 
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    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).
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    A money demand system for German M3 (1998)
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    Empirical economics 23 (1998), S. 371-386 
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    ISSN: 1435-8921
    Keywords: Cointegration analysis ; impulse response analysis ; monetary policy ; money demand ; structural vector autoregressive model ; C32 ; E52 ; E41
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract A small macroeconomic model is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a vector error correction model for M3, GNP, an inflation rate and an interest rate spread variable to represent opportunity costs of holding money. Furthermore, import price inflation is added as an exogenous variable. The model is used to analyze the relation between money growth and inflation by means of an impulse response analysis.
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    The demand for money in Austria (2000)
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    Empirical economics 25 (2000), S. 581-603 
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    ISSN: 1435-8921
    Keywords: Key words: monetary economics ; money demand ; Austria ; European Monetary Union ; JEL classification: E41 ; C32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. In this paper, the demand for real money M1, M2, and M3 is estimated for Austria over the time period 1965–96. The modelling takes place within the framework of a small vector autoregression. To estimate the demand for money, two-equation error-correction models are constructed, which contain the short-run dynamics and the long-run economic equilibrium. It is found that a stable money demand exists for all monetary aggregates. The long-run equilibrium of M1, after accounting for a structural break in 1979, can be characterised as a classical type of money demand, with no interest rate effects and an elasticity of one for real GDP. In the case of M2 and M3, we find a unit coefficient on income and a significantly negative influence of a long-term interest rate. The statistical properties of the estimated short-run money demand equations – considering in-sample and out-of-sample tests – are generally very good.
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