Title:The Relative Dynamics of the Current Account and Investment in the G7-Economies
Author(s):HOFFMANN, MathiasDate:2001Type of Publication:ArticleAbstract:This paper contributes to the empirics of the intertemporal approach to the current account. We use a cointegrated VAR framework to identify permanent and transitory components of country-specific and global shocks. Our ...
Title:The Reliability of Real Time Estimates of the Euro Area Output Gap
Author(s):MARCELLINO, Massimiliano; MUSSO, AlbertoDate:2011Type of Publication:ArticleAbstract:This paper provides evidence on the reliability of euro area real-time output gap estimates. A genuine real-time data set for the euro area is used, including vintages of several sets of euro area output gap estimates ...
Title:Representations of I(2) Cointegrated Systems Using the Smith-Mcmillan Form
Author(s):HALDRUP, Niels; SALMON, MarkDate:1998Type of Publication:ArticleAbstract:This paper presents a discussion of cointegration amongst I(2) variables and provides a synthesis of various ways I(2) cointegrated systems may be characterized and represented. Following Yoo (1986), Engle and Yoo (1991) ...
Title:Residual Autocorrelation Testing for Vector Error Correction Models
Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2006Type of Publication:ArticleAbstract:In applied time series analysis, checking for autocorrelation in a fitted model is a routine diagnostic tool. Therefore it is useful to know the asymptotic and small sample properties of the standard tests for the case ...
Title:Responsive Pricing
Author(s):COURTY, Pascal; PAGLIERO, MarioDate:2008Type of Publication:ArticleAbstract:Abstract We study the efficiency property of responsive pricing, a scheme that proposes to increase prices as a function of the level of capacity utilization in environments where traditional allocation schemes (e.g. ...
Title:Risk Aversion, Wealth, and Background Risk
Author(s):GUISO, Luigi; PAIELLA, MonicaDate:2008Type of Publication:ArticleAbstract:We use household survey data to construct a direct measure of absolute risk aversion based on the maximum price a consumer is willing to pay for a risky security. We relate this measure to consumer's endowments and attributes ...
Title:Risk Preference and Indirect Utility in Portfolio-Choice Problems
Author(s):ROY, Santanu; WAGENVOORT, Rien J.L.M.Date:1996Type of Publication:ArticleAbstract:We consider a portfolio-choice problem with one risky and one safe asset, where the utility function exhibits decreasing absolute risk aversion (DARA). We show that the indirect utility function of the portfolio-choice ...
Title:A Robust Algorithm for Parameter Estimation in Smooth Transition Autoregressive Models
Author(s):BEKIROS, Stelios D.Date:2009Type of Publication:ArticleAbstract:Finding a precise estimate for the smoothness parameter of LSTAR models is notoriously difficult. This paper introduces a robust estimation method for the transition and autoregressive parameters of STAR models, comprising ...
Title:Rolling Back the Public Sector: Differential Effects on Employment, Investment, and Growth
Author(s):VAN DER PLOEG, FrederickDate:2006Type of Publication:ArticleAbstract:The macroeconomic effects of different ways of rolling back the welfare state are analysed. Cutting public spending on market goods induces a lower interest rate, a higher wage, a lower capital stock, and a fall in employment. ...
Title:Sectoral Survey-based Confidence Indicators for Europe
Author(s):CARRIERO, Andrea; MARCELLINO, MassimilianoDate:2011Type of Publication:ArticleAbstract:We analyse a novel dataset of Business and Consumer Surveys, using dynamic factor techniques, to produce composite coincident indices (CCIs) at the sectoral level for the European countries and for Europe. Surveys are ...
Title:Security: New Threats and New Strategies
Author(s):KRATOCHWIL, Friedrich; PETROVSKY, Vladimir; LANC, ErwinDate:2003Type of Publication:ArticleAbstract:Among many goals which governments and individuals always pursue, the broadest and most common is security. It is the basic context in which most other values are enjoyed, in the expectation that they will last for a long ...