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Forecasting the real output using fractionally integrated techniques

Gil-Alaña, Luis A. - 2001

The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of …-mean-reverting. The forecasting properties of the selected models for each country are also examined at the end of the article. -- Long …

Persistent link: https://www.econbiz.de/10009613608

Stabilization policy and business cycle phases in Europe : a Markov Switching VAR analysis

Beine, Michel; Candelon, Bertrand; Sekkat, Khalid - 1999

Most of the empirical studies dealing with international business cycles have disregarded the credibility issues that play an important role in the decision to join or not a monetary union. Most of empirical applications based on asymmetric shocks have failed to account for these aspects. In...

Persistent link: https://www.econbiz.de/10009582416

Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

Persistent link: https://www.econbiz.de/10009617950

The dynamics of implied volatilities : a common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - 2001

It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied volatilities. This approach, however, is likely to result in a loss of...

Persistent link: https://www.econbiz.de/10009613597

Money and banks : some theory and empirical evidence for Germany

Holtemöller, Oliver - 2002

in Germany in the period of monetary targeting from 1975 to 1998 is estimated. The implications of the theoretical model …. -- monetary policy ; Endogenous money ; industrial organization approach to banking theory ; money multiplier ; vector error …

Persistent link: https://www.econbiz.de/10009620766

Nonlinear GARCH models for highly persistent volatility

Lanne, Markku; Saikkonen, Pentti - 2002

persistence and exhibit poor forecasting ability. Our main emphasis is on models that are similar to previously introduced smooth … related to relatively infrequent changes in regime. U sing the theory of Markov chains we provide sufficient conditions for … conventional GARCH models especially in longer term forecasting. …

Persistent link: https://www.econbiz.de/10009621424

On model based seasonal adjustment procedures

Breitung, Jörg - 1998

In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model formulation and the careful specification and adjustment...

Persistent link: https://www.econbiz.de/10009574877

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

Fractional integration and business cycle features

Candelon, Bertrand; Gil-Alaña, Luis A. - 2001

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

Persistent link: https://www.econbiz.de/10009614295

Testing of fractional cointegration in macroeconomic time series

Gil-Alaña, Luis A. - 2000

We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the...

Persistent link: https://www.econbiz.de/10009612018