Search results for "Error Correction Model"
showing 7 items of 17 documents
Testing for Government Intertemporal Solvency: A Smooth Transition Error Correction Model Approach
2001
Applied macroeconomists have tested for the government intertemporal solvency condition by either testing for linear stationarity in the total government deficit series or testing for linear cointegration between total government spending and total tax revenues. A number of authors have focused, in particular, on structural breaks in the government deficit process. In this paper, we use a smooth transition error correction model to test and estimate a shift in the adjustment toward a linear cointegration relationship between the government spending to output ratio and the total tax revenues to output ratio. Estimation results show that government authorities react only to large (in absolute…
The P* model and its performance for the Spanish economy
2000
The performance of the P∗ model is tested as an inflation forecaster for the Spanish economy. It is shown that log-run relationships work as expected according to the model and the Quantitative Theory of Money. The Error Correction Model constructed by using the gap between actual prices and the long-term equilibrium price level as an error correction term, offers a consistent explanation for the short-run dynamics in prices. On the other hand, the P∗ approach shows a forecasting ability similar to that presented for other countries in several studies, although the degree of accuracy in the prediction is not specially satisfactory, mainly for the period 1989:3- 1992:3, when the credibility …
La décomposition canonique et la cointégration
1994
This paper has introduced state space models for cointegrated time series. In doing so, the notion of cointegration is slightly generalized. We develop the notion of dynamic aggregation link with error correction model and common trends.
Dynamics of Lending Rates in the Baltic Countries: Influence of Funding Costs of Banks and Risk Factors
2017
In the Baltic countries, lending rates have been among the highest in the euro area mainly reflecting national differences in the market structure as well as relatively strict credit standards applied by banks in response to the changes in their perception of risk. In this context, the deeper econometric analysis could provide additional information about the common and diverging aspects of the dynamics of lending rates in the Baltic countries. Therefore, the aim of the paper to explore the pass-through of funding costs of banks to lending rates in different lending segments in the Baltic countries during the period of 2005–2015 taking in account risk considerations. To reach the set aim, a…
A dynamic analysis of SP 500, FTSE 100 and EURO STOXX 50 indices under different exchange rates.
2018
In this study, we assess the dynamic evolution of short-term correlation, long-term cointe-gration and Error Correction Model (hereafter referred to as ECM)-based long-term Granger causality between each pair of US, UK, and Eurozone stock markets from 1980 to 2015 using the rolling-window technique. A comparative analysis of pairwise dynamic integration and causality of stock markets, measured in common and domestic currency terms, is conducted to evaluate comprehensively how exchange rate fluctuations affect the time-varying integration among the S&P 500, FTSE 100 and EURO STOXX 50 indices. The results obtained show that the dynamic correlation, cointegration and ECM-based long-run Gra…
A Bayesian spatio‐temporal analysis of markets during the Finnish 1860s famine
2022
We develop a Bayesian spatio-temporal model to study pre-industrial grain market integration during the Finnish famine of the 1860s. Our model takes into account several problematic features often present when analysing multiple spatially interdependent time series. For example, compared with the error correction methodology commonly applied in econometrics, our approach allows simultaneous modelling of multiple interdependent time series avoiding cumbersome statistical testing needed to predetermine the market leader as a point of reference. Furthermore, introducing a flexible spatio-temporal structure enables analysing detailed regional and temporal dynamics of the market mechanisms. Appl…
La non stationnarité dans les séries saisonnières. Application au tourisme tunisien
1998
The purpose of the paper is to specify the nature of the seasonal behaviors of tourist stay demand in Tunisia by using recent tools of monthly time series analysis. The available series (tourist expenditures, prices, guest nights, reception capacities,...) are analyzed with the classical theory of demand and the theory of supply induced demand. Empirical results show that these series are generated by non stationary processes which seasonality is stochastic and deterministic. The extent of the maximum likelihood method proposed by Lee (1992) for monthly data emphasizes unit roots and cointegration relationships at some seasonal frequencies. Error correction models are derived for endogenous…