Results 131 to 140 of about 23,114,135 (294)
Taylor Rule Deviations Across Horizons: A Practical Tool for Monetary Policy
Journal of Money, Credit and Banking, EarlyView.Abstract We propose “Taylor rule yields” across horizons for the United States. Applying the standard Taylor rule to expected paths of inflation and the output gap, we construct a sequence of short‐term rates under neutral monetary policy stances, whose average defines the Taylor rule yield at each horizon.
MASAZUMI HATTORI +2 more
wiley +1 more source
3-Step Analysis of Public Finances Sustainability: the Case of the European Union [PDF]
We use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the meanreverting behaviour of general government expenditure and revenue ratios.
António Afonso, Christophe Rault
core
Macroprudential Policy in the Euro Area
Journal of Money, Credit and Banking, EarlyView.Abstract This paper examines the development and impact of macroprudential policies in the euro area. We construct a novel index that captures the stance of macroprudential policy, and we highlight its main stylized facts since the inception of the euro in 1999. We combine a narrative approach and a structural VAR method to show that both unanticipated
ÁLVARO FERNÁNDEZ‐GALLARDO +1 more
wiley +1 more source
The Monetary Policy–Commodities Nexus: A Survey
Journal of Economic Surveys, EarlyView.ABSTRACT This survey synthesizes evidence on the bidirectional links between commodity markets and monetary policy. On the commodities‐to‐policy side, we review how shocks to energy, food, and metals pass through to inflation, inflation expectations, economic activity, and financial stability in state‐dependent ways that vary by shock type, exposure ...
Martin T. Bohl +2 more
wiley +1 more source
The Fisher/Cobb-Douglas Paradox, Factor Shares, and Cointegration [PDF]
This note uses insights from cointegration analysis to reexamine two separate but related issues concerning the estimation of production function parameters.
Debdulal Mallick, Robert S. Chirinko
core
Econometrics at the Extreme: From Quantile Regression to QFAVAR1
Journal of Economic Surveys, EarlyView.ABSTRACT This paper surveys quantile modelling from its theoretical origins to current advances. We organize the literature and present core econometric formulations and estimation methods for: (i) cross‐sectional quantile regression; (ii) quantile time series models and their time series properties; (iii) quantile vector autoregressions for ...
Stéphane Goutte +4 more
wiley +1 more source
Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend [PDF]
When analysing macro economic data it is often of relevance to allow for structural breaks in the statistical analysis. In particular cointegration analysis in the presence of structural breaks could be of interest.
Bent Nielsen
core
Nonparametric Detection of a Time‐Varying Mean
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a nonparametric portmanteau test for detecting changes in the unconditional mean of a univariate time series which may display either long or short memory. Our approach is designed to have power against, among other things, cases where the mean component of the series displays abrupt level shifts, deterministic trending behaviour ...
Fabrizio Iacone, A. M. Robert Taylor
wiley +1 more source
Recent Advances in Cointegration Analysis
, 2004 http://www.iue.it/PUB/ECO2004-12 ...
openaire +4 more sources
What do we really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic [PDF]
We assess the sustainability of public finances in the EU15 using stationarity and cointegration analysis. Specifically, we use panel unit root tests of the first and second generation allowing in some cases for structural breaks.
António Afonso, Christophe Rault
core +6 more sources