Blar i Arbeidsnotater / Working Papers på emneord "cointegration"
Viser treff 1-12 av 12
-
Assessing Estimates of the Exchange Rate Pass-Through
(Working Papers;12/2007, Working paper, 2007)We investigate optimal horizons for targeting inflation in response to different shocks and their properties under alternative preferences of an inflation-targeting central bank. Our analysis is based on a well specified ... -
Consumption and Population Age Structure
(Working Papers;22/2004, Working paper, 2004)In this paper the effects on aggregate consumption of changes in the age distribution of the population are analysed empirically. Economic theories predict that age influences individuals’ saving and consumption behaviour. ... -
Detecting Imbalances in House Prices: What Goes up Must Come Down?
(Working Papers;11/2016, Working paper, 2016)With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct ... -
Did Us Consumers ”Save for a Rainy Day” Before the Great Recession?
(Working Papers;8/2015, Working paper, 2015)The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions ... -
Econometric Inflation Targeting
(Working Papers;5/1999, Working paper, 1999)Inflation targeting makes the Central Bank’s conditional inflation forecast the operational target for monetary policy. Successful inflation targeting requires knowing the transmission mechanisms to inflation from shocks ... -
Inference in small cointegrated systems: some Monte Carlo results
(Working Papers;9/1991, Working paper, 1991)The Johansen procedure for testing and estimating cointegration models is analysed from a practitioner's perspective. We adress the robustness of the cointegration tests in small samples and with respect to particular types ... -
Large T and Small N: A Three-Step Approach to the Identification of Cointegrating Relationships in Time Series Models with a Small Cross-Sectional Dimension
(Working Papers;15/2004, Working paper, 2004)This paper addresses cointegration in small cross-sectional panel data models. In addition to dealing with cointegrating relationships within the cross-sectional dimension, the paper explicitly addresses the issue of ... -
Regional US House Price Formation: One Model Fits All?
(Working Papers;8/2014, Working paper, 2014)Does a "one model fits all" approach apply to the econometric modeling of regional house price determination? To answer this question, we utilize a panel of 100 US Metropolitan Statistical Areas over the period 1980q1-2010q2. ... -
Testing for a Time-Varying Price-Cost Markup in the Euro Area Inflation Process
(Working Papers;9/2004, Working paper, 2004)Empirical models of inflation often incorporate equilibrium correction effects based upon levels of prices and input costs. Such models assume that the steady-state price-cost markup is constant, but recent research suggests ... -
The consumption function in Norway. Breakdown and reconstruction
(Working Papers;7/1989, Working paper, 1989)In the mid-eighties econometric forecasts and ex post simulations of private consumption in Norway began to show clear signs of "structural breakdown" .This evidence lends itself to two interpretations, distinct in their ... -
Wages and Profitability: Norwegian Manufacturing 1967Q1 - 1998Q2
(Working Papers;7/1999, Working paper, 1999)Economic theories of imperfectely competitive labour markets predict that wages are linked to profits. In spite of this, profit variables are not explicitely specified in empirical models of wage formation that otherwise ... -
Who Was in the Driving Seat in Europe During the Nineties, International Financial Markets or the BUBA?
(Working Papers;20/2004, Working paper, 2004)The purpose of this paper is to reexamine empirically the relationship between long-term interest rates in well integrated financial markets. The analysis focuses on long-term interest rates in the US and Germany and has ...