Search results for " cointegration"
showing 10 items of 15 documents
- EL EFECTO FISHER Y LA PARIDAD DE INTERÉS REAL. EVIDENCIA PARA LA ECONOMÍA ESPAÑOLA
1999
This paper provides an empirical test of the Fisher effect and of the real interest parity. The objetive is to determinate the behavior of the ex-ante real interest that condicionate the intertemporal savings and investment decisions. The method used is the time series properties of the data, which allows to separate estimation of the long-run equilibrium relationship from the nuisance parameters that characterize the short-run dynamics. The results find support inthe long run for a tax-adjusted Fisher hypothesis but not for the real interest parity. En este trabajo se contrasta empíricamente el cumplimiento de la hipótesis de Fisher y de la paridad de interés real para el caso español. El …
A note on nonlinear dynamics in the Spanish term structure of interest rates
2006
Abstract This note applies the methodology to test for threshold cointegration recently proposed by Hansen and Seo (2002) [Hansen, B. E. & Seo, B., (2002). Testing for two-regime threshold cointegration in vector error-correction models. Journal of Econometrics, 110, 293–318] to the Spanish term structure of interest rates during the period 1980:1–2002:12. The evidence suggests that nonlinear cointegration between long and short interest rates is clearly rejected, so that a linear cointegration model would provide an adequate empirical description for the Spanish term structure of interest rate.
Nonlinear dynamics of interest rate and inflation
2004
According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move one-for-one in the long run, which is not consistent with the theoretical models. In this paper we introduce a nonlinear bivariate mixture autoregressive model that seems to fit quarterly US data (1952 Q1 – 2000 Q2) reasonably well. It is found that the three-month treasury bill rate and inflation share a common nonlinear component that explains a large part of their persistence. The real interest rate is devoid of this component, indicating one-for-one m…
The Euro-Dollar Exchange Rate: Is it Fundamental?
2002
In this paper we have applied two approaches to the study of the dollar real exchange rate in relation with the Euro-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus seven developed countries, four of them Euro-area members. Second, we aggregate the European variables and estimate a model for the Euro-dollar real exchange rate using time series techniques. After identification and model selection, the same specification can be adopted in the two cases, in an eclectic model including real interest rate and productivity differentials, together with relative fiscal policy and net foreign asset positions. This…
The euro impact on trade. Long run evidence with structural breaks
2012
In this paper we present new evidence on the euro effect on trade. We use a data set containing all bilateral combinations in a panel of 26 OECD countries during the period 1967-2008. From a methodological point of view, we implement a new generation of tests that allow solving some of the problems derived from the non-stationary nature of the data. To this aim we apply panel tests that account for the presence of cross-section dependence as well as discontinuities in the non-stationary panel data. We test for cointegration between the variables using panel cointegration tests, especially the ones proposed by Banerjee and Carrióni- Silvestre (2010). We also efficiently estimate the long-run…
Is the ‘euro effect’ on trade so small after all? New evidence using gravity equations with panel cointegration techniques
2014
In this paper we present new evidence on the aggregate effect of the euro on trade using data for 26 OECD countries for the period 1967–2008. We strive to fill the gaps present in the previous literature through a second-generation panel cointegration tests and estimators that account for both cross-section dependence in the data and discontinuities in the deterministic and the cointegrating vector in the time dimension. This approach allows us to put the adoption of the euro by EMU members in historical perspective. We argue that the creation of the EMU is best interpreted as a progression of policy changes. Once we control for all of them the euro effect decreases considerably but is stil…
FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME-SERIES ANALYSIS
2009
We analyze the fiscal adjustment process in the United States using a multivariate threshold vector error regression model. The shift from single-equation to multivariate setting adds value both in terms of our economic understanding of the fiscal adjustment process and the forecasting performance of nonlinear models. We find evidence that fiscal authorities intervene to reduce real per capita deficit only when it reaches a certain threshold and that fiscal adjustment takes place primarily by cutting government expenditure. The results of out-of-sample density forecast and probability forecasts suggest that a shift from a univariate autoregressive model to a multivariate model improves fore…
A panel cointegration approach to the estimation of the peseta real exchange rate
2001
Abstract In this paper we estimate different specifications of a model for the determination of the bilateral real exchange rate of the peseta relative to nine European Union members. The model is based on Meese and Rogoff (The Journal of Finance 43 (1988) 933) monetary approach as extended by MacDonald (Journal of International Financial Markets, Institutions and Money 8 (1998) 117). The applied econometric techniques are the recent panel cointegration tests developed by Kao (Journal of Econometrics 90 (1999) 1), McCoskey and Kao (A Monte Carlo comparison of tests for cointegration in panel data. Journal of Propagations in Probability and Statistics 1 (2001) 165) and Pedroni (Oxford Bullet…
Trade Openness and Income: A Tale of Two Regions
2015
In this article we present evidence of the long-run effect of trade openness on income per worker for two regions that have followed different liberalization strategies, namely Asia and Latin America. A model that re-examines these questions is estimated for two panels of Asian and Latin American countries over the 1980-2008 period using a novel empirical approach that accounts for endogeneity as well as for the time series properties of the variables involved. From an econometric point of view, we apply recent panel cointegration techniques based on factor models that account for two additional elements usually neglected in previous empirical literature: cross-dependence and structural bre…
The role of Institutions in explaining wage determination in the Euro Area: a panel cointegration approach
2016
Over the last 15 years, the evolution of labor costs has been very diverse across EMU countries. Since wages have important second-round effects on prices and competitiveness, and EMU countries do not have the tool of the nominal exchange rate to correct for such imbalances, understanding the determinants of the wage is a matter of increasing concern and debate. We estimate the equilibrium wage equation for the Euro Area over the period 1995-2011 using panel cointegration techniques that allow for cross-section dependence and structural breaks. The results show that the equilibrium wage has a positive relation with productivity and negative relation with unemployment, as expected. We also i…