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| Registros recuperados: 16 | |
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| Cook, Steven. |
| The recently examined durability-asymmetry hypothesis of Cook (1999) is re-evaluated using the diagnostic tests of time deformation proposed by Stock (1987, 1988). An application of these tests to disaggregated data on U.S. consumers’ expenditure provides further support for this hypothesis, with the findings given an economic interpretation in terms of variables evolving at differing speeds over different phases of the business cycle. Additionally, building upon the studies of Cover (1992), Karras (1996) and Rhee and Rich (1995), recent research by Arden et al. (2000) has shown the relaxation of the assumptions of linearity and symmetry typically employed in macroeconometric models to result in monetary policy having clear asymmetric effects on the... |
| Tipo: Journal Article |
Palavras-chave: Time deformation; Asymmetry; Non-linearity; Consumers’ expenditure; Consumer/Household Economics; C12; E32. |
| Ano: 2003 |
URL: http://purl.umn.edu/43990 |
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| Dreger, Christian; Schumacher, Christian. |
| This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate and multivariate models. These models are based on regression techniques and considerably smaller data sets. Out-of-sample forecasts show that the prediction errors of the factor model are smaller than the errors of the rival models. However, these advantages are not statistically significant, as a test for equal forecast accuracy shows. Therefore, the efficiency gains of using a large data set with this kind of factor models seem to be limited. Diese Arbeit... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Factor models; Principal components; Forecasting accuracy; International Development; E32; C51; C43. |
| Ano: 2002 |
URL: http://purl.umn.edu/26321 |
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| Kang, Sammo; Kim, Soyoung; Wang, Yunjong; Yoon, Deok Ryong. |
| Japan and Korea are close countries in terms of economic interaction as well as geography. To quantify the impact of changes in the yen-dollar exchange rate on the Korean economy before and after the crisis in 1997, the sample period has been divided into two sub-periods and the causal relationships examined by using vector autoregression analysis. Our estimates show that while the response of Korean industrial production to changes in the yen-dollar exchange rate was not significant during the pre-crisis period, it became significant during the post-crisis period. The forecast error variance decomposition also confirms that the yen-dollar exchange rate shocks have almost negligible explanatory power with regards to Korean industrial production during the... |
| Tipo: Working or Discussion Paper |
Palavras-chave: International Relations/Trade; E32; F36; F41. |
| Ano: 2003 |
URL: http://purl.umn.edu/26297 |
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| Miljkovic, Dragan; Paul, Rodney. |
| This study examines the causes of the countercyclicality of the trade balance in the three major sectors of the U.S. economy: services, manufacturing, and agriculture. These results are compared with the results pertinent to the U.S. economy as a whole. At the macroscopic level, Sachs’ hypothesis seems to explain the countercyclicality of the trade balance, while results are mixed across individual sectors. The services sector may be explained by Sachs’ hypothesis, while results for the manufacturing sector are more consistent with the real business cycle hypothesis. The results for the agricultural sector, however, cannot be explained by either hypothesis. |
| Tipo: Journal Article |
Palavras-chave: Decomposition of variance; Real business cycle; Trade balance; Agribusiness; International Relations/Trade; F4; E32. |
| Ano: 2008 |
URL: http://purl.umn.edu/47271 |
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| Wagner, Joachim. |
| This paper uses an unbalanced panel data set for exporting firms from manufacturing industries in one German federal state, Lower Saxony, to investigate the micro-structure of the recent export boom. Looking at data for 1995/96 to 2001/02 it is demonstrated that a considerable number of plants starts and stops exporting in each year, but that most of the export dynamics is due to positive and negative changes of exports in plants that continue to export. A small fraction made of four to five percent of all exporting plants is responsible for around 70 to 80 percent of the gross increase in exports. Firms with expanding and contracting exports are found simultaneously in all broad sectors, technology classes and firm size classes. Patterns of export... |
| Tipo: Working or Discussion Paper |
Palavras-chave: Exports; Business cycle; Establishment panel data; International Relations/Trade; F14; E32. |
| Ano: 2003 |
URL: http://purl.umn.edu/26134 |
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| Yelten, E. Sibel. |
| This paper analyzes the ad hoc decision of three Asian countries to peg their currency to the U.S. dollar prior to the Asian crisis. It uses the Sjaastad model to estimate the optimal basket weights for Thailand, Korea, and Singapore. The analysis in this paper differs from the optimal basket research since we are not searching for an ad hoc optimal basket; rather, the basket is the solution to the problem. For Thailand and Korea, the correct weights of the dollar in the basket are estimated to be 44 and 65 percent, respectively, which differ significantly from the actual weight of 100 percent for the U.S. dollar in their currency basket prior to the 1997 Asian crisis. Singapore, with a weight of 85 percent for the U.S. currency, is closer to a dollar peg,... |
| Tipo: Journal Article |
Palavras-chave: Optimum currency area; Asian crisis; Exchange rate basket; Currency peg; Financial Economics; E32; F31. |
| Ano: 2003 |
URL: http://purl.umn.edu/43998 |
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| Mela, Giulio; Longhitano, Davide; Povellato, Andrea. |
| Interest towards farmland market has been increasing in recent years. In developing countries there is rising concern about land being purchased by foreign investors, while in the developed world the debate is centred on whether agricultural factors are still the main determinants of land values or not. This work assesses the determinants of land values in Italy using panel data techniques during the time span 1992-2010. In Italy farmland values have historically been influenced more by natural characteristics of the land than agricultural prices. However, lately non-agricultural factors have been increasing their importance. We find that agricultural prices only slightly affect average land values in Italy. Main determinants of land prices are the yield... |
| Tipo: Presentation |
Palavras-chave: Farmland prices; Land market; Panel data models; Farmland values determinants; Risk and Uncertainty; C23; E32; Q24.. |
| Ano: 2012 |
URL: http://purl.umn.edu/122479 |
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| Registros recuperados: 16 | |
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