IDEAS home Printed from https://ideas.repec.org/e/c/pwo76.html
   My authors  Follow this author

Juergen Wolters

(deceased)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen, 1999. "Investigating Stability and Linearity of a German M1 Money Demand Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 511-525, Sept.-Oct.

    Mentioned in:

    1. Investigating stability and linearity of a German M1 money demand function (Journal of Applied Econometrics 1999) in ReplicationWiki ()
  2. Author Profile
    1. Jürgen Wolters in Wikipedia (German)

Working papers

  1. Till Strohsal & Christian R. Proaño & Jürgen Wolters, 2017. "Assessing the Cross-Country Interaction of Financial Cycles: Evidence from a Multivariate Spectral Analysis of the US and the UK," IMK Working Paper 182-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.

    Cited by:

    1. Oguzhan Cepni & Yavuz Selim Hacihasanoglu & Muhammed Hasan Yilmaz, 2020. "Credit decomposition and economic activity in Turkey: A wavelet-based approach," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 20(3), pages 109-131.
    2. Christian Menden & Christian R. Proaño, 2017. "Dissecting the financial cycle with dynamic factor models," IMK Working Paper 183-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    3. Santander Quino, Camila Miriam, 2022. "Ciclos económicos y financieros: Una aproximación empírica para Bolivia," Documentos de trabajo 1/2022, Instituto de Investigaciones Socio-Económicas (IISEC), Universidad Católica Boliviana.
    4. Ashe, Sinéad & Egan, Paul, 2023. "Examining financial and business cycle interaction using cross recurrence plot analysis," Finance Research Letters, Elsevier, vol. 51(C).
    5. Martin Mandler & Michael Scharnagl, 2022. "Financial Cycles in Euro Area Economies: A Cross‐Country Perspective Using Wavelet Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 569-593, June.
    6. Mandler, Martin & Scharnagl, Michael, 2022. "Financial cycles across G7 economies: A view from wavelet analysis," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).

  2. Strohsal, Till & Proaño Acosta, Christian & Wolters, Jürgen, 2015. "How do financial cycles interact? Evidence from the US and the UK," SFB 649 Discussion Papers 2015-024, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Krug, Sebastian & Wohltmann, Hans-Werner, 2016. "Shadow banking, financial regulation and animal spirits: An ACE approach," Economics Working Papers 2016-08, Christian-Albrechts-University of Kiel, Department of Economics.
    2. Schüler, Yves S. & Hiebert, Paul P. & Peltonen, Tuomas A., 2020. "Financial cycles: Characterisation and real-time measurement," Journal of International Money and Finance, Elsevier, vol. 100(C).
    3. Mandler, Martin & Scharnagl, Michael, 2022. "Financial cycles across G7 economies: A view from wavelet analysis," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    4. Tihana Škrinjarić & Maja Bukovšak, 2022. "New Indicators of Credit Gap in Croatia: Improving the Calibration of the Countercyclical Capital Buffer," Working Papers 69, The Croatian National Bank, Croatia.
    5. Hiebert, Paul & Jaccard, Ivan & Schüler, Yves, 2018. "Contrasting financial and business cycles: Stylized facts and candidate explanations," Journal of Financial Stability, Elsevier, vol. 38(C), pages 72-80.

  3. Strohsal, Till & Proaño Acosta, Christian & Wolters, Jürgen, 2015. "How do financial cycles interact? Evidence from the US and the UK," SFB 649 Discussion Papers 2015-024, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Krug, Sebastian & Wohltmann, Hans-Werner, 2016. "Shadow banking, financial regulation and animal spirits: An ACE approach," Economics Working Papers 2016-08, Christian-Albrechts-University of Kiel, Department of Economics.
    2. Schüler, Yves S. & Hiebert, Paul P. & Peltonen, Tuomas A., 2020. "Financial cycles: Characterisation and real-time measurement," Journal of International Money and Finance, Elsevier, vol. 100(C).
    3. Mandler, Martin & Scharnagl, Michael, 2022. "Financial cycles across G7 economies: A view from wavelet analysis," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    4. Tihana Škrinjarić & Maja Bukovšak, 2022. "New Indicators of Credit Gap in Croatia: Improving the Calibration of the Countercyclical Capital Buffer," Working Papers 69, The Croatian National Bank, Croatia.
    5. Hiebert, Paul & Jaccard, Ivan & Schüler, Yves, 2018. "Contrasting financial and business cycles: Stylized facts and candidate explanations," Journal of Financial Stability, Elsevier, vol. 38(C), pages 72-80.

  4. Strohsal, Till & Proaño Acosta, Christian & Wolters, Jürgen, 2015. "Characterizing the financial cycle: Evidence from a frequency domain analysis," SFB 649 Discussion Papers 2015-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Eugenio Caverzasi & Alberto Russo, 2018. "Toward a new microfounded macroeconomics in the wake of the crisis," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 27(6), pages 999-1014.
    2. Krug, Sebastian & Wohltmann, Hans-Werner, 2016. "Shadow banking, financial regulation and animal spirits: An ACE approach," Economics Working Papers 2016-08, Christian-Albrechts-University of Kiel, Department of Economics.
    3. Potjagailo, Galina & Wolters, Maik H., 2019. "Global financial cycles since 1880," IMFS Working Paper Series 132, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    4. Kohler, Karsten & Tippet, Ben & Stockhammer, Engelbert, 2022. "House price cycles, housing systems, and growth models," IPE Working Papers 194/2022, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
    5. Pontines, Victor, 2017. "The financial cycles in four East Asian economies," Economic Modelling, Elsevier, vol. 65(C), pages 51-66.
    6. Kilponen, Juha & Verona, Fabio, 2016. "Testing the Q theory of investment in the frequency domain," Bank of Finland Research Discussion Papers 32/2016, Bank of Finland.
    7. Önundur Páll Ragnarsson & Jón Magnús Hannesson & Loftur Hreinsson, 2019. "Financial cycles as early warning indicators - Lessons from the Nordic region," Economics wp80, Department of Economics, Central bank of Iceland.
    8. Iñaki Aldasoro & Stefan Avdjiev & Claudio Borio & Piti Disyatat, 2023. "Global and Domestic Financial Cycles: Variations on a Theme," International Journal of Central Banking, International Journal of Central Banking, vol. 19(5), pages 49-98, December.
    9. Yan, Chuanpeng & Huang, Kevin X.D., 2020. "Financial cycle and business cycle: An empirical analysis based on the data from the U.S," Economic Modelling, Elsevier, vol. 93(C), pages 693-701.
    10. Ruben Tarne & Dirk Bezemer & Thomas Theobald, 2021. "The Effect of borrower-specific Loan-to-Value policies on household debt, wealth inequality and consumption volatility," FMM Working Paper 70-2021, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    11. Schüler, Yves S. & Hiebert, Paul P. & Peltonen, Tuomas A., 2020. "Financial cycles: Characterisation and real-time measurement," Journal of International Money and Finance, Elsevier, vol. 100(C).
    12. Verona, Fabio, 2016. "Time-frequency characterization of the U.S. financial cycle," Bank of Finland Research Discussion Papers 14/2016, Bank of Finland.
    13. Hartwig, Benny & Meinerding, Christoph & Schüler, Yves S., 2021. "Identifying indicators of systemic risk," Journal of International Economics, Elsevier, vol. 132(C).
    14. Christian Menden & Christian R. Proaño, 2017. "Dissecting the financial cycle with dynamic factor models," IMK Working Paper 183-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    15. Milan Christian Wet & Ilse Botha, 2022. "Constructing and Characterising the Aggregate South African Financial Cycle: A Markov Regime-Switching Approach," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 37-67, March.
    16. Jakob Fiedler & Josef Ruzicka & Thomas Theobald, 2019. "The Real-Time Information Content of Financial Stress and Bank Lending on European Business Cycles," IMK Working Paper 198-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    17. Schüler, Yves S., 2020. "On the credit-to-GDP gap and spurious medium-term cycles," Economics Letters, Elsevier, vol. 192(C).
    18. Till Strohsal & Christian R. Proaño & Jürgen Wolters, 2017. "Assessing the Cross-Country Interaction of Financial Cycles: Evidence from a Multivariate Spectral Analysis of the US and the UK," IMK Working Paper 182-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    19. Łukasz Markowski & Aleksandra Ostrowska, 2024. "Synchronizacja cyklu gospodarczego i finansowego w krajach Unii Europejskiej," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 2, pages 178-208.
    20. Hong, Yanran & Li, Pan & Wang, Lu & Zhang, Yaojie, 2023. "New evidence of extreme risk transmission between financial stress and international crude oil markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    21. Karsten Kohler & Engelbert Stockhammer, 2022. "Flexible exchange rates in emerging markets: shock absorbers or drivers of endogenous cycles?," Working Papers PKWP2205, Post Keynesian Economics Society (PKES).
    22. Engelbert Stockhammer & Robert Calvert Jump & Karsten Kohler & Julian Cavallero, 2018. "Short and medium term financial-real cycles: An empirical assessment," FMM Working Paper 29-2018, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    23. Klein, Paul-Olivier & Turk-Ariss, Rima, 2022. "Bank capital and economic activity," Journal of Financial Stability, Elsevier, vol. 62(C).
    24. Ashe, Sinéad & Egan, Paul, 2023. "Examining financial and business cycle interaction using cross recurrence plot analysis," Finance Research Letters, Elsevier, vol. 51(C).
    25. Mundra, Sruti & Bicchal, Motilal, 2024. "Financial cycle comovement with monetary and macroprudential policy and global factors: Evidence from India," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    26. Yang Hu & Yanran Hong & Kai Feng & Jikai Wang, 2023. "Evaluating the Importance of Monetary Policy Uncertainty: The Long- and Short-Term Effects and Responses," Evaluation Review, , vol. 47(2), pages 264-286, April.
    27. Dieckelmann, Daniel, 2020. "Cross-border lending and the international transmission of banking crises," Discussion Papers 2020/13, Free University Berlin, School of Business & Economics.
    28. Kang, Natasha & Marmer, Vadim, 2020. "Modeling Long Cycles," Economics working papers vadim_marmer-2020-3, Vancouver School of Economics, revised 26 Oct 2020.
    29. Dieckelmann, Daniel, 2021. "Market sentiment, financial fragility, and economic activity: The role of corporate securities issuance," Discussion Papers 2021/6, Free University Berlin, School of Business & Economics.
    30. Mandler, Martin & Scharnagl, Michael, 2022. "Financial cycles across G7 economies: A view from wavelet analysis," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    31. Amat Adarov, 2017. "Financial Cycles in Credit, Housing and Capital Markets: Evidence from Systemic Economies," wiiw Working Papers 140, The Vienna Institute for International Economic Studies, wiiw.
    32. Tarne, Ruben & Bezemer, Dirk & Theobald, Thomas, 2022. "The effect of borrower-specific loan-to-value policies on household debt, wealth inequality and consumption volatility: An agent-based analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    33. Siem Jan Koopman & Rutger Lit & Andre Lucas, 2016. "Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S," Tinbergen Institute Discussion Papers 16-051/IV, Tinbergen Institute.
    34. Uch, Raksmey & Miyamoto, Hiroaki & Kakinaka, Makoto, 2021. "Effects of a banking crisis on credit growth in developing countries," Finance Research Letters, Elsevier, vol. 43(C).
    35. Jose Barrales‐Ruiz & Rudiger von Arnim & Mikidadu Mohammed, 2023. "Income distribution and economic activity: A frequency domain causal exploration," Metroeconomica, Wiley Blackwell, vol. 74(2), pages 306-327, May.
    36. Xi, Yue & Zeng, Qing & Lu, Xinjie & Huynh, Toan L.D., 2022. "Oil and renewable energy stock markets: Unique role of extreme shocks," Energy Economics, Elsevier, vol. 109(C).
    37. Borio, Claudio & Drehmann, Mathias & Xia, Fan Dora, 2020. "Forecasting recessions: the importance of the financial cycle," Journal of Macroeconomics, Elsevier, vol. 66(C).
    38. Adél Bosch & Steven F. Koch, 2020. "The South African Financial Cycle and its Relation to Household Deleveraging," South African Journal of Economics, Economic Society of South Africa, vol. 88(2), pages 145-173, June.
    39. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
    40. Amat Adarov, 2018. "Financial Cycles Around the World," wiiw Working Papers 145, The Vienna Institute for International Economic Studies, wiiw.
    41. Milan Christian de Wet, 2021. "Modelling the Australasian Financial Cycle: A Markov-Regime Switching Approach," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 14(1), pages 69-79, June.
    42. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
    43. Marlon Fritz & Thomas Gries & Lukas Wiechers, 2024. "An early indicator for anomalous stock market performance," Quantitative Finance, Taylor & Francis Journals, vol. 24(1), pages 105-118, January.
    44. Tihana Škrinjarić & Maja Bukovšak, 2022. "New Indicators of Credit Gap in Croatia: Improving the Calibration of the Countercyclical Capital Buffer," Working Papers 69, The Croatian National Bank, Croatia.
    45. Paul-Olivier Klein & Rima Turk-Ariss, 2022. "Bank capital and economic activity," Post-Print hal-03955630, HAL.
    46. Xin Tian & Jan Jacobs & Jakob de Haan, 2022. "Alternative Measures for the Global Financial Cycle: Do They Make a Difference?," CESifo Working Paper Series 9730, CESifo.
    47. Adam Cagliarini & Fiona Price, 2017. "Exploring the Link between the Macroeconomic and Financial Cycles," RBA Annual Conference Volume (Discontinued), in: Jonathan Hambur & John Simon (ed.),Monetary Policy and Financial Stability in a World of Low Interest Rates, Reserve Bank of Australia.
    48. Cevik, Emrah Ismail & Gunay, Samet & Zafar, Muhammad Wasif & Destek, Mehmet Akif & Bugan, Mehmet Fatih & Tuna, Fatih, 2022. "The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold," Resources Policy, Elsevier, vol. 79(C).
    49. Strohsal, Till & Proaño Acosta, Christian & Wolters, Jürgen, 2015. "How do financial cycles interact? Evidence from the US and the UK," SFB 649 Discussion Papers 2015-024, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    50. Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
    51. Shengnan Lv & Zeshui Xu & Xuecheng Fan & Yong Qin & Marinko Skare, 2023. "The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 18(1), pages 11-47, March.
    52. Lenarčič, Črt, 2021. "Estimating business and financial cycles in Slovenia," MPRA Paper 109977, University Library of Munich, Germany.
    53. Karsten Kohler & Robert Calvert Jump, 2022. "Estimating Nonlinear Business Cycle Mechanisms with Linear Vector Autoregressions: A Monte Carlo Study," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1077-1100, October.
    54. Greg Farrell & Esti Kemp, 2020. "Measuring the Financial Cycle in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 88(2), pages 123-144, June.
    55. Lin, Boqiang & Su, Tong, 2021. "Do China's macro-financial factors determine the Shanghai crude oil futures market?," International Review of Financial Analysis, Elsevier, vol. 78(C).
    56. Esti Kemp & Rene van Stralen & Alexandros Vardoulakis & Peter J. Wierts, 2018. "The Non-Bank Credit Cycle," Finance and Economics Discussion Series 2018-076, Board of Governors of the Federal Reserve System (U.S.).
    57. Schüler, Yves S., 2018. "On the cyclical properties of Hamilton's regression filter," Discussion Papers 03/2018, Deutsche Bundesbank.
    58. Harendra Behera & Saurabh Sharma, 2022. "Characterizing India’s Financial Cycle," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(2), pages 152-183, June.
    59. Schüler, Yves S. & Peltonen, Tuomas A. & Hiebert, Paul, 2017. "Coherent financial cycles for G-7 countries: Why extending credit can be an asset," ESRB Working Paper Series 43, European Systemic Risk Board.
    60. Meyer-Gohde, Alexander & Tzaawa-Krenzler, Mary, 2023. "Sticky information and the Taylor principle," IMFS Working Paper Series 189, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    61. Moisă ALTĂR & Matei KUBINSCHI & Dinu BARNEA, 2017. "Measuring Financial Cycle Length and Assessing Synchronization using Wavelets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 18-36, September.
    62. Stefan Ederer & Miriam Rehm, 2018. "Making sense of Piketty’s ‘fundamental laws’ in a Post-Keynesian framework," Working Papers PKWP1808, Post Keynesian Economics Society (PKES).
    63. Malgorzata Porada - Rochon, 2020. "The Length of Financial Cycle and its Impact on Business Cycle in Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1278-1290.
    64. Gross, Marco, 2022. "Beautiful cycles: A theory and a model implying a curious role for interest," Economic Modelling, Elsevier, vol. 106(C).
    65. Schüler, Yves S., 2018. "Detrending and financial cycle facts across G7 countries: mind a spurious medium term!," Working Paper Series 2138, European Central Bank.
    66. Hong, Yanran & Ma, Feng & Wang, Lu & Liang, Chao, 2022. "How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test," Resources Policy, Elsevier, vol. 78(C).
    67. Deepal Basak & Mr. Yunhui Zhao, 2018. "Does Financial Tranquility Call for Stringent Regulation?," IMF Working Papers 2018/123, International Monetary Fund.
    68. Mejri, Sami & Aloui, Chaker & Khan, Nasir, 2024. "The gold stock nexus: Assessing the causality dynamics based on advanced multiscale approaches," Resources Policy, Elsevier, vol. 88(C).
    69. Hiebert, Paul & Jaccard, Ivan & Schüler, Yves, 2018. "Contrasting financial and business cycles: Stylized facts and candidate explanations," Journal of Financial Stability, Elsevier, vol. 38(C), pages 72-80.
    70. Scharnagl Michael & Mandler Martin, 2019. "Real and Financial Cycles in Euro Area Economies: Results from Wavelet Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(5-6), pages 895-916, October.
    71. Dalia Mansour-Ibrahim, 2023. "Are the Eurozone Financial and Business Cycles Convergent Across Time and Frequency?," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 389-427, January.
    72. Friedrich Lucke, 2022. "The Great Moderation and the Financial Cycle," Working Papers REM 2022/0238, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.

  5. Strohsal, Till & Proaño Acosta, Christian & Wolters, Jürgen, 2015. "Characterizing the financial cycle: Evidence from a frequency domain analysis," SFB 649 Discussion Papers 2015-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

    1. Eugenio Caverzasi & Alberto Russo, 2018. "Toward a new microfounded macroeconomics in the wake of the crisis," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 27(6), pages 999-1014.
    2. Krug, Sebastian & Wohltmann, Hans-Werner, 2016. "Shadow banking, financial regulation and animal spirits: An ACE approach," Economics Working Papers 2016-08, Christian-Albrechts-University of Kiel, Department of Economics.
    3. Potjagailo, Galina & Wolters, Maik H., 2019. "Global financial cycles since 1880," IMFS Working Paper Series 132, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    4. Kohler, Karsten & Tippet, Ben & Stockhammer, Engelbert, 2022. "House price cycles, housing systems, and growth models," IPE Working Papers 194/2022, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
    5. Pontines, Victor, 2017. "The financial cycles in four East Asian economies," Economic Modelling, Elsevier, vol. 65(C), pages 51-66.
    6. Kilponen, Juha & Verona, Fabio, 2016. "Testing the Q theory of investment in the frequency domain," Bank of Finland Research Discussion Papers 32/2016, Bank of Finland.
    7. Önundur Páll Ragnarsson & Jón Magnús Hannesson & Loftur Hreinsson, 2019. "Financial cycles as early warning indicators - Lessons from the Nordic region," Economics wp80, Department of Economics, Central bank of Iceland.
    8. Iñaki Aldasoro & Stefan Avdjiev & Claudio Borio & Piti Disyatat, 2023. "Global and Domestic Financial Cycles: Variations on a Theme," International Journal of Central Banking, International Journal of Central Banking, vol. 19(5), pages 49-98, December.
    9. Yan, Chuanpeng & Huang, Kevin X.D., 2020. "Financial cycle and business cycle: An empirical analysis based on the data from the U.S," Economic Modelling, Elsevier, vol. 93(C), pages 693-701.
    10. Ruben Tarne & Dirk Bezemer & Thomas Theobald, 2021. "The Effect of borrower-specific Loan-to-Value policies on household debt, wealth inequality and consumption volatility," FMM Working Paper 70-2021, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    11. Schüler, Yves S. & Hiebert, Paul P. & Peltonen, Tuomas A., 2020. "Financial cycles: Characterisation and real-time measurement," Journal of International Money and Finance, Elsevier, vol. 100(C).
    12. Verona, Fabio, 2016. "Time-frequency characterization of the U.S. financial cycle," Bank of Finland Research Discussion Papers 14/2016, Bank of Finland.
    13. Hartwig, Benny & Meinerding, Christoph & Schüler, Yves S., 2021. "Identifying indicators of systemic risk," Journal of International Economics, Elsevier, vol. 132(C).
    14. Christian Menden & Christian R. Proaño, 2017. "Dissecting the financial cycle with dynamic factor models," IMK Working Paper 183-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    15. Milan Christian Wet & Ilse Botha, 2022. "Constructing and Characterising the Aggregate South African Financial Cycle: A Markov Regime-Switching Approach," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 37-67, March.
    16. Jakob Fiedler & Josef Ruzicka & Thomas Theobald, 2019. "The Real-Time Information Content of Financial Stress and Bank Lending on European Business Cycles," IMK Working Paper 198-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    17. Schüler, Yves S., 2020. "On the credit-to-GDP gap and spurious medium-term cycles," Economics Letters, Elsevier, vol. 192(C).
    18. Till Strohsal & Christian R. Proaño & Jürgen Wolters, 2017. "Assessing the Cross-Country Interaction of Financial Cycles: Evidence from a Multivariate Spectral Analysis of the US and the UK," IMK Working Paper 182-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    19. Łukasz Markowski & Aleksandra Ostrowska, 2024. "Synchronizacja cyklu gospodarczego i finansowego w krajach Unii Europejskiej," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 2, pages 178-208.
    20. Hong, Yanran & Li, Pan & Wang, Lu & Zhang, Yaojie, 2023. "New evidence of extreme risk transmission between financial stress and international crude oil markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    21. Karsten Kohler & Engelbert Stockhammer, 2022. "Flexible exchange rates in emerging markets: shock absorbers or drivers of endogenous cycles?," Working Papers PKWP2205, Post Keynesian Economics Society (PKES).
    22. Engelbert Stockhammer & Robert Calvert Jump & Karsten Kohler & Julian Cavallero, 2018. "Short and medium term financial-real cycles: An empirical assessment," FMM Working Paper 29-2018, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    23. Klein, Paul-Olivier & Turk-Ariss, Rima, 2022. "Bank capital and economic activity," Journal of Financial Stability, Elsevier, vol. 62(C).
    24. Ashe, Sinéad & Egan, Paul, 2023. "Examining financial and business cycle interaction using cross recurrence plot analysis," Finance Research Letters, Elsevier, vol. 51(C).
    25. Mundra, Sruti & Bicchal, Motilal, 2024. "Financial cycle comovement with monetary and macroprudential policy and global factors: Evidence from India," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    26. Yang Hu & Yanran Hong & Kai Feng & Jikai Wang, 2023. "Evaluating the Importance of Monetary Policy Uncertainty: The Long- and Short-Term Effects and Responses," Evaluation Review, , vol. 47(2), pages 264-286, April.
    27. Dieckelmann, Daniel, 2020. "Cross-border lending and the international transmission of banking crises," Discussion Papers 2020/13, Free University Berlin, School of Business & Economics.
    28. Kang, Natasha & Marmer, Vadim, 2020. "Modeling Long Cycles," Economics working papers vadim_marmer-2020-3, Vancouver School of Economics, revised 26 Oct 2020.
    29. Dieckelmann, Daniel, 2021. "Market sentiment, financial fragility, and economic activity: The role of corporate securities issuance," Discussion Papers 2021/6, Free University Berlin, School of Business & Economics.
    30. Mandler, Martin & Scharnagl, Michael, 2022. "Financial cycles across G7 economies: A view from wavelet analysis," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
    31. Amat Adarov, 2017. "Financial Cycles in Credit, Housing and Capital Markets: Evidence from Systemic Economies," wiiw Working Papers 140, The Vienna Institute for International Economic Studies, wiiw.
    32. Tarne, Ruben & Bezemer, Dirk & Theobald, Thomas, 2022. "The effect of borrower-specific loan-to-value policies on household debt, wealth inequality and consumption volatility: An agent-based analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    33. Siem Jan Koopman & Rutger Lit & Andre Lucas, 2016. "Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S," Tinbergen Institute Discussion Papers 16-051/IV, Tinbergen Institute.
    34. Uch, Raksmey & Miyamoto, Hiroaki & Kakinaka, Makoto, 2021. "Effects of a banking crisis on credit growth in developing countries," Finance Research Letters, Elsevier, vol. 43(C).
    35. Jose Barrales‐Ruiz & Rudiger von Arnim & Mikidadu Mohammed, 2023. "Income distribution and economic activity: A frequency domain causal exploration," Metroeconomica, Wiley Blackwell, vol. 74(2), pages 306-327, May.
    36. Xi, Yue & Zeng, Qing & Lu, Xinjie & Huynh, Toan L.D., 2022. "Oil and renewable energy stock markets: Unique role of extreme shocks," Energy Economics, Elsevier, vol. 109(C).
    37. Borio, Claudio & Drehmann, Mathias & Xia, Fan Dora, 2020. "Forecasting recessions: the importance of the financial cycle," Journal of Macroeconomics, Elsevier, vol. 66(C).
    38. Adél Bosch & Steven F. Koch, 2020. "The South African Financial Cycle and its Relation to Household Deleveraging," South African Journal of Economics, Economic Society of South Africa, vol. 88(2), pages 145-173, June.
    39. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
    40. Amat Adarov, 2018. "Financial Cycles Around the World," wiiw Working Papers 145, The Vienna Institute for International Economic Studies, wiiw.
    41. Milan Christian de Wet, 2021. "Modelling the Australasian Financial Cycle: A Markov-Regime Switching Approach," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 14(1), pages 69-79, June.
    42. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
    43. Marlon Fritz & Thomas Gries & Lukas Wiechers, 2024. "An early indicator for anomalous stock market performance," Quantitative Finance, Taylor & Francis Journals, vol. 24(1), pages 105-118, January.
    44. Tihana Škrinjarić & Maja Bukovšak, 2022. "New Indicators of Credit Gap in Croatia: Improving the Calibration of the Countercyclical Capital Buffer," Working Papers 69, The Croatian National Bank, Croatia.
    45. Paul-Olivier Klein & Rima Turk-Ariss, 2022. "Bank capital and economic activity," Post-Print hal-03955630, HAL.
    46. Xin Tian & Jan Jacobs & Jakob de Haan, 2022. "Alternative Measures for the Global Financial Cycle: Do They Make a Difference?," CESifo Working Paper Series 9730, CESifo.
    47. Adam Cagliarini & Fiona Price, 2017. "Exploring the Link between the Macroeconomic and Financial Cycles," RBA Annual Conference Volume (Discontinued), in: Jonathan Hambur & John Simon (ed.),Monetary Policy and Financial Stability in a World of Low Interest Rates, Reserve Bank of Australia.
    48. Cevik, Emrah Ismail & Gunay, Samet & Zafar, Muhammad Wasif & Destek, Mehmet Akif & Bugan, Mehmet Fatih & Tuna, Fatih, 2022. "The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold," Resources Policy, Elsevier, vol. 79(C).
    49. Strohsal, Till & Proaño Acosta, Christian & Wolters, Jürgen, 2015. "How do financial cycles interact? Evidence from the US and the UK," SFB 649 Discussion Papers 2015-024, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    50. Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
    51. Shengnan Lv & Zeshui Xu & Xuecheng Fan & Yong Qin & Marinko Skare, 2023. "The mean reversion/persistence of financial cycles: Empirical evidence for 24 countries worldwide," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 18(1), pages 11-47, March.
    52. Lenarčič, Črt, 2021. "Estimating business and financial cycles in Slovenia," MPRA Paper 109977, University Library of Munich, Germany.
    53. Karsten Kohler & Robert Calvert Jump, 2022. "Estimating Nonlinear Business Cycle Mechanisms with Linear Vector Autoregressions: A Monte Carlo Study," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1077-1100, October.
    54. Greg Farrell & Esti Kemp, 2020. "Measuring the Financial Cycle in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 88(2), pages 123-144, June.
    55. Lin, Boqiang & Su, Tong, 2021. "Do China's macro-financial factors determine the Shanghai crude oil futures market?," International Review of Financial Analysis, Elsevier, vol. 78(C).
    56. Esti Kemp & Rene van Stralen & Alexandros Vardoulakis & Peter J. Wierts, 2018. "The Non-Bank Credit Cycle," Finance and Economics Discussion Series 2018-076, Board of Governors of the Federal Reserve System (U.S.).
    57. Schüler, Yves S., 2018. "On the cyclical properties of Hamilton's regression filter," Discussion Papers 03/2018, Deutsche Bundesbank.
    58. Harendra Behera & Saurabh Sharma, 2022. "Characterizing India’s Financial Cycle," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(2), pages 152-183, June.
    59. Schüler, Yves S. & Peltonen, Tuomas A. & Hiebert, Paul, 2017. "Coherent financial cycles for G-7 countries: Why extending credit can be an asset," ESRB Working Paper Series 43, European Systemic Risk Board.
    60. Meyer-Gohde, Alexander & Tzaawa-Krenzler, Mary, 2023. "Sticky information and the Taylor principle," IMFS Working Paper Series 189, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    61. Moisă ALTĂR & Matei KUBINSCHI & Dinu BARNEA, 2017. "Measuring Financial Cycle Length and Assessing Synchronization using Wavelets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 18-36, September.
    62. Stefan Ederer & Miriam Rehm, 2018. "Making sense of Piketty’s ‘fundamental laws’ in a Post-Keynesian framework," Working Papers PKWP1808, Post Keynesian Economics Society (PKES).
    63. Malgorzata Porada - Rochon, 2020. "The Length of Financial Cycle and its Impact on Business Cycle in Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1278-1290.
    64. Gross, Marco, 2022. "Beautiful cycles: A theory and a model implying a curious role for interest," Economic Modelling, Elsevier, vol. 106(C).
    65. Schüler, Yves S., 2018. "Detrending and financial cycle facts across G7 countries: mind a spurious medium term!," Working Paper Series 2138, European Central Bank.
    66. Hong, Yanran & Ma, Feng & Wang, Lu & Liang, Chao, 2022. "How does the COVID-19 outbreak affect the causality between gold and the stock market? New evidence from the extreme Granger causality test," Resources Policy, Elsevier, vol. 78(C).
    67. Deepal Basak & Mr. Yunhui Zhao, 2018. "Does Financial Tranquility Call for Stringent Regulation?," IMF Working Papers 2018/123, International Monetary Fund.
    68. Mejri, Sami & Aloui, Chaker & Khan, Nasir, 2024. "The gold stock nexus: Assessing the causality dynamics based on advanced multiscale approaches," Resources Policy, Elsevier, vol. 88(C).
    69. Hiebert, Paul & Jaccard, Ivan & Schüler, Yves, 2018. "Contrasting financial and business cycles: Stylized facts and candidate explanations," Journal of Financial Stability, Elsevier, vol. 38(C), pages 72-80.
    70. Scharnagl Michael & Mandler Martin, 2019. "Real and Financial Cycles in Euro Area Economies: Results from Wavelet Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(5-6), pages 895-916, October.
    71. Dalia Mansour-Ibrahim, 2023. "Are the Eurozone Financial and Business Cycles Convergent Across Time and Frequency?," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 389-427, January.
    72. Friedrich Lucke, 2022. "The Great Moderation and the Financial Cycle," Working Papers REM 2022/0238, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.

  6. Christian Dreger & Jürgen Wolters, 2014. "Unconventional Monetary Policy and Money Demand," Discussion Papers of DIW Berlin 1382, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Jung, Alexander & Carcel Villanova, Hector, 2020. "The empirical properties of euro area M3, 1980-2017," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 37-49.
    2. Christian Dreger & Malte Rieth & David Pothier, 2015. "Is Globalization Reducing the Ability of Central Banks to Control Inflation? In-Depth Analysis," DIW Berlin: Politikberatung kompakt, DIW Berlin, German Institute for Economic Research, volume 106, number pbk106.
    3. Muhammad Ahad, 2017. "Financial Development and Money Demand Function: Cointegration, Causality and Variance Decomposition Analysis for Pakistan," Global Business Review, International Management Institute, vol. 18(4), pages 811-824, August.
    4. Raouf Boucekkine & Mohammed Laksaci & Mohamed Touati-Tliba, 2021. "Long-run stability of money demand and monetary policy: the case of Algeria," AMSE Working Papers 2104, Aix-Marseille School of Economics, France.
    5. PELINESCU, Elena & SIMIONESCU, Mihaela, 2014. "Modelling And Predicting The Real Money Demand In Romania," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 1(1), pages 117-124.
    6. Wang, Ling, 2022. "The dynamics of money supply determination under asset purchase programs: A market-based versus a bank-based financial system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    7. Ingrid Groessl & Artur Tarassow, 2018. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201802, University of Hamburg, Department of Socioeconomics.
    8. Belke Ansgar & Dreger Christian, 2019. "Did Interest Rates at the Zero Lower Bound Affect Lending of Commercial Banks? Evidence for the Euro Area," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 239(5-6), pages 841-860, October.
    9. Pateiro-Rodríguez, Carlos & Freire-Seoane, María Jesús & López-Bermúdez, Beatriz & Pateiro-López, Carlos, 2020. "Análisis de la tendencia a la liquidez del agregado monetario M3 en la eurozona: 1997-2018," El Trimestre Económico, Fondo de Cultura Económica, vol. 87(345), pages 171-201, enero-mar.
    10. Christian Dreger & Dieter Gerdesmeier & Barbara Roffia, 2016. "Re-vitalizing Money Demand in the Euro Area: Still Valid at the Zero Lower Bound," Discussion Papers of DIW Berlin 1606, DIW Berlin, German Institute for Economic Research.
    11. Muhammad Arshad Khan & Saima Nawaz, 2018. "Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 57(2), pages 175-202.
    12. Erick Lahura, 2017. "Monetary Aggregates and Monetary Policy in Peru," BCAM Working Papers 1704, Birkbeck Centre for Applied Macroeconomics.
    13. Ufuk CAN & Zeynep Gizem CAN & Süleyman DEĞİRMEN, 2019. "Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği," Istanbul Business Research, Istanbul University Business School, vol. 48(2), pages 218-247, November.
    14. Assenmacher, Katrin & Beyer, Andreas, 2020. "A cointegration model of money and wealth," Working Paper Series 2365, European Central Bank.
    15. César Carrera & Jairo Flores, 2017. "Modelling and forecasting money demand: divide and conquer," Working Papers 91, Peruvian Economic Association.
    16. Jung, Alexander, 2016. "A portfolio demand approach for broad money in the euro area," Working Paper Series 1929, European Central Bank.

  7. Christian Dreger & Jürgen Wolters, 2011. "Money and Inflation in the Euro Area during the Financial Crisis," Discussion Papers of DIW Berlin 1131, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Dreger, Christian & Wolters, Jürgen, 2014. "Money demand and the role of monetary indicators in forecasting euro area inflation," International Journal of Forecasting, Elsevier, vol. 30(2), pages 303-312.
    2. Bofinger, Peter & Ries, Mathias, 2017. "Excess saving and low interest rates: Theory and empirical evidence," CEPR Discussion Papers 12111, C.E.P.R. Discussion Papers.
    3. Barigozzi, Matteo, 2018. "On the stability of euro area money demand and its implications for monetary policy," LSE Research Online Documents on Economics 87283, London School of Economics and Political Science, LSE Library.
    4. Christian Dreger & Jürgen Wolters, 2016. "On the empirical relevance of the Lucas critique: the case of euro area money demand," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 61-82, February.
    5. Chao Chiung Ting, 2018. "Phillips Curve Is a Particular Case that Economists Misinterpret the Correlation between Two Dependent Variables for Causal Relation," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(11), pages 1-70, November.
    6. SVILOKOS, Tonći, 2016. "Does Economic Crisis Affect The Demand For Money: Evidence From Croatia?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 20(3), pages 6-27.

  8. Weber, Enzo & Wolters, Jürgen, 2010. "Risk and Policy Shocks on the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 438, University of Regensburg, Department of Economics.

    Cited by:

    1. Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
    2. Mark Holmes & Jesus Otero & Theodore Panagiotidis, 2015. "The Expectations Hypothesis and Decoupling of Short- and Long-Term US Interest Rates: A Pairwise Approach," Working Paper series 15-31, Rimini Centre for Economic Analysis.
    3. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2021. "The impact of the term spread in US monetary policy from 1870 to 2013," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 230-251.
    4. Huiqing Li & Yang Su, 2021. "The nonlinear causal relationship between short‐ and long‐term interest rates: An empirical assessment of the United States, the United Kingdom, and Japan," International Finance, Wiley Blackwell, vol. 24(3), pages 332-355, December.
    5. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.

  9. Gebhard Kirchgässner & Jürgen Wolters, 2010. "The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank," CESifo Working Paper Series 2928, CESifo.

    Cited by:

    1. Sylvia Kaufmann & Samuel Reynard, 2010. "Discussion: The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 255-267, March.
    2. Christian Dreger & Jürgen Wolters, 2010. "M3 money demand and excess liquidity in the euro area," Public Choice, Springer, vol. 144(3), pages 459-472, September.
    3. Ramos Francia Manuel & Noriega Antonio E. & Rodríguez-Pérez Cid Alonso, 2015. "The Use of Monetary Aggregates as Indicators of the Future Evolution of Consumer Prices: Monetary Growth and Inflation Target," Working Papers 2015-14, Banco de México.
    4. Bacchetta, Philippe, 2017. "The Sovereign Money Initiative in Switzerland: An Economic Assessment," CEPR Discussion Papers 12349, C.E.P.R. Discussion Papers.
    5. Noriega Antonio E. & Ramos Francia Manuel & Rodríguez-Pérez Cid Alonso, 2015. "Money Demand Estimations in Mexico and of its Stability 1986-2010, as well as Some Examples of its Uses," Working Papers 2015-13, Banco de México.

  10. Christian Dreger & Jürgen Wolters, 2010. "Money Demand and the Role of Monetary Indicators in Forecasting Euro Area Inflation," Discussion Papers of DIW Berlin 1064, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2008. "Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank.
    2. Khalfaoui, Rabeh & Padhan, Hemachandra & Tiwari, Aviral Kumar & Hammoudeh, Shawkat, 2020. "Understanding the time-frequency dynamics of money demand, oil prices and macroeconomic variables: The case of India," Resources Policy, Elsevier, vol. 68(C).
    3. Jung, Alexander & Carcel Villanova, Hector, 2020. "The empirical properties of euro area M3, 1980-2017," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 37-49.
    4. Christian Dreger & Malte Rieth & David Pothier, 2015. "Is Globalization Reducing the Ability of Central Banks to Control Inflation? In-Depth Analysis," DIW Berlin: Politikberatung kompakt, DIW Berlin, German Institute for Economic Research, volume 106, number pbk106.
    5. Berger, Helge & Karlsson, Sune & Österholm, Pär, 2023. "A Note of Caution on the Relation between Money Growth and Inflation," Working Papers 2023:9, Örebro University, School of Business.
    6. Jung, Alexander, 2017. "Forecasting broad money velocity," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 421-432.
    7. PELINESCU, Elena & SIMIONESCU, Mihaela, 2014. "Modelling And Predicting The Real Money Demand In Romania," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 1(1), pages 117-124.
    8. ALBULESCU, Claudiu Tiberiu & Pepin, Dominique, 2018. "Monetary Integration, Money-Demand Stability, and the Role of Monetary Overhang in Forecasting Inflation in CEE Countries," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 33(4), pages 841-879.
    9. J. Liu & C.J.M. Kool, 2017. "Monetary dynamics in the euro area: a disaggregate panel approach," Working Papers 17-14, Utrecht School of Economics.
    10. Ellington, Michael & Milas, Costas, 2019. "Global liquidity, money growth and UK inflation," Journal of Financial Stability, Elsevier, vol. 42(C), pages 67-74.
    11. Liu, Jingyang & Kool, Clemens J.M., 2018. "Money and credit overhang in the euro area," Economic Modelling, Elsevier, vol. 68(C), pages 622-633.
    12. David I. Harvey & Stephen J. Leybourne & Emily J. Whitehouse, 2017. "Forecast evaluation tests and negative long-run variance estimates in small samples," Discussion Papers 17/03, University of Nottingham, Granger Centre for Time Series Econometrics.
    13. Peter Kugler & Dr. Samuel Reynard, 2020. "Money, inflation and the financial crisis: the case of Switzerland," Working Papers 2020-16, Swiss National Bank.
    14. Dreger, Christian & Wolters, Jürgen, 2015. "Unconventional monetary policy and money demand," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 40-54.
    15. Barigozzi, Matteo, 2018. "On the stability of euro area money demand and its implications for monetary policy," LSE Research Online Documents on Economics 87283, London School of Economics and Political Science, LSE Library.
    16. Edvinsson, Rodney & Karlsson, Sune & Österholm, Pär, 2023. "Does Money Growth Predict Inflation? Evidence from Vector Autoregressions Using Four Centuries of Data," Working Papers 2023:3, Örebro University, School of Business.
    17. Mouyad Alsamara & Zouhair Mrabet, 2019. "Asymmetric impacts of foreign exchange rate on the demand for money in Turkey: new evidence from nonlinear ARDL," International Economics and Economic Policy, Springer, vol. 16(2), pages 335-356, April.
    18. Lebre DE Freitas, Miguel, 2022. "International currency substitution and the demand for money in the euro area," Economic Modelling, Elsevier, vol. 117(C).
    19. Miguel Lebre de Freitas, 2023. "Forecasting inflation with excess liquidity and excess depreciation: the case of Angola," Economic Change and Restructuring, Springer, vol. 56(1), pages 473-514, February.
    20. Jiao, Xiyu & Pretis, Felix & Schwarz, Moritz, 2024. "Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change," Journal of Econometrics, Elsevier, vol. 239(1).
    21. Claudiu Tiberiu Albulescu & Daniel Goyeau & Cornel Oros, 2015. "On the Long Run Money-Prices Relationship in CEE Countries," Post-Print hal-01257389, HAL.
    22. Christian Dreger & Jürgen Wolters, 2016. "On the empirical relevance of the Lucas critique: the case of euro area money demand," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 61-82, February.
    23. Dreger, Christian & Wolters, Jürgen, 2011. "Money and inflation in the euro area during the financial crisis," Discussion Papers 300, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    24. Christian Dreger & Dieter Gerdesmeier & Barbara Roffia, 2016. "Re-vitalizing Money Demand in the Euro Area: Still Valid at the Zero Lower Bound," Discussion Papers of DIW Berlin 1606, DIW Berlin, German Institute for Economic Research.
    25. Samba Michel Cyrille, 2015. "International Reserves Holdings in the CEMAC Area: Adequacy and Motives," African Development Review, African Development Bank, vol. 27(4), pages 415-427, December.
    26. de Bondt, Gabe J. & Hahn, Elke & Zekaite, Zivile, 2021. "ALICE: Composite leading indicators for euro area inflation cycles," International Journal of Forecasting, Elsevier, vol. 37(2), pages 687-707.
    27. Schabert, Andreas & Christoffel, Kai, 2015. "Interest rates, money, and banks in an estimated euro area model," Working Paper Series 1791, European Central Bank.
    28. César Carrera & Jairo Flores, 2017. "Modelling and forecasting money demand: divide and conquer," Working Papers 91, Peruvian Economic Association.
    29. Peter Kugler & Samuel Reynard, 2022. "Money and inflation in Switzerland," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 158(1), pages 1-13, December.
    30. Xiyu Jiao & Felix Pretis, 2022. "Testing the Presence of Outliers in Regression Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(6), pages 1452-1484, December.

  11. Christian Dreger & Jürgen Wolters, 2009. "Liquidity and Asset Prices: How Strong Are the Linkages?," Working Paper / FINESS 7.4A, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and practice of GVAR modeling," Globalization Institute Working Papers 180, Federal Reserve Bank of Dallas.
    2. Berlemann, Michael & Freese, Julia, 2010. "Monetary policy and real estate prices: A disaggregated analysis for Switzerland," HWWI Research Papers 2-19, Hamburg Institute of International Economics (HWWI).
    3. Christian Pierdzioch, 2012. "Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 87-96, May.
    4. Bienert, Sven & Sebastian, Steffen P. & Just, Tobias, . "Niedrigzinsumfeld und die Auswirkungen auf die Immobilienwirtschaft," Beiträge zur Immobilienwirtschaft, University of Regensburg, Department of Economics, number 8, August.
    5. Nady Rapelanoro, 2016. "Spillover effects of global liquiditys expansion on emerging countries: evidences from a Panel VAR approach," EconomiX Working Papers 2016-17, University of Paris Nanterre, EconomiX.
    6. Xue, Huidan & Li, Chenguang & Wang, Liming, 2018. "The Global Vector Error Correction Model application on the dynamics and drivers of the World Butter Export Prices: Evidence from the U.S., the EU, and New Zealand," 2018 Annual Meeting, August 5-7, Washington, D.C. 273971, Agricultural and Applied Economics Association.
    7. Christian Dreger & Jürgen Wolters, 2016. "On the empirical relevance of the Lucas critique: the case of euro area money demand," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 61-82, February.
    8. Dreger, Christian & Wolters, Jürgen, 2011. "Money and inflation in the euro area during the financial crisis," Discussion Papers 300, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    9. Fennee Chong, 2023. "Housing Price and Interest Rate Hike: A Tale of Five Cities in Australia," JRFM, MDPI, vol. 16(2), pages 1-13, January.

  12. Weber, Enzo & Wolters, Jürgen, 2009. "The US Term Structure and Central Bank Policy," University of Regensburg Working Papers in Business, Economics and Management Information Systems 436, University of Regensburg, Department of Economics.

    Cited by:

    1. Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
    2. Enzo Weber & Jürgen Wolters, 2013. "Risk and Policy Shocks on the US Term Structure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.
    3. Mark Holmes & Jesus Otero & Theodore Panagiotidis, 2015. "The Expectations Hypothesis and Decoupling of Short- and Long-Term US Interest Rates: A Pairwise Approach," Working Paper series 15-31, Rimini Centre for Economic Analysis.
    4. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2021. "The impact of the term spread in US monetary policy from 1870 to 2013," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 230-251.
    5. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.

  13. Christian Dreger & Jürgen Wolters, 2008. "M3 Money Demand and Excess Liquidity in the Euro Area," Working Paper / FINESS 7.1a, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Clemens Kool & Erik de Regt & Tom van Veen, 2013. "Money Overhang, Credit Overhang and Financial Imbalances in the Euro Area," CESifo Working Paper Series 4476, CESifo.
    2. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques," Discussion Papers of DIW Berlin 982, DIW Berlin, German Institute for Economic Research.
    3. Dreger, Christian & Wolters, Jürgen, 2014. "Money demand and the role of monetary indicators in forecasting euro area inflation," International Journal of Forecasting, Elsevier, vol. 30(2), pages 303-312.
    4. Arnold, Ivo J.M. & Roelands, Sebastian, 2010. "The demand for euros," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 674-684, June.
    5. Czudaj, Robert, 2011. "P-star in times of crisis - Forecasting inflation for the euro area," Economic Systems, Elsevier, vol. 35(3), pages 390-407, September.
    6. Liu, Jingyang & Kool, Clemens J.M., 2018. "Money and credit overhang in the euro area," Economic Modelling, Elsevier, vol. 68(C), pages 622-633.
    7. Oliver Hossfeld, 2010. "US Money Demand, Monetary Overhang, and Inflation," Working Papers 2010.4, International Network for Economic Research - INFER.
    8. Dreger, Christian & Wolters, Jürgen, 2009. "Money Velocity and Asset Prices in the Euro Area," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 36(1), pages 51-63.
    9. Barigozzi, Matteo, 2018. "On the stability of euro area money demand and its implications for monetary policy," LSE Research Online Documents on Economics 87283, London School of Economics and Political Science, LSE Library.
    10. Lebre DE Freitas, Miguel, 2022. "International currency substitution and the demand for money in the euro area," Economic Modelling, Elsevier, vol. 117(C).
    11. Christian Dreger & Jürgen Wolters, 2016. "On the empirical relevance of the Lucas critique: the case of euro area money demand," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 61-82, February.
    12. Dreger, Christian & Wolters, Jürgen, 2011. "Money and inflation in the euro area during the financial crisis," Discussion Papers 300, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    13. Alexander C. Jung, 2015. "Does liquidity matter for money demand in euro area countries?," Economics Bulletin, AccessEcon, vol. 35(2), pages 1383-1391.
    14. Wei Liao & Mr. Sampawende J Tapsoba, 2014. "China’s Monetary Policy and Interest Rate Liberalization: Lessons from International Experiences," IMF Working Papers 2014/075, International Monetary Fund.
    15. Maciej Ryczkowski, 2015. "Ewolucja pogladow Miltona Friedmana, a ocena polityki pienieznej Fed i EBC w okresie kryzysu finansowego," Working Papers 168/2015, Institute of Economic Research, revised Dec 2015.
    16. Miguel Lebre de Freitas, 2014. "On inflation and money demand in a portfolio model with shopping costs," NIPE Working Papers 13/2014, NIPE - Universidade do Minho.
    17. Jung, Alexander, 2016. "A portfolio demand approach for broad money in the euro area," Working Paper Series 1929, European Central Bank.

  14. Christian Dreger & Jürgen Wolters, 2008. "Money Velocity and Asset Prices in the Euro Area," Working Paper / FINESS 7.1b, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Christian Dreger & J¨¹rgen Wolters, 2011. "Liquidity and Asset Prices: How Strong are the Linkages?," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 43-52, February.
    2. Mehrotra, Aaron & Ponomarenko, Alexey, 2010. "Wealth effects and Russian money demand," BOFIT Discussion Papers 13/2010, Bank of Finland Institute for Emerging Economies (BOFIT).
    3. Jung, Alexander & Carcel Villanova, Hector, 2020. "The empirical properties of euro area M3, 1980-2017," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 37-49.
    4. Karl‐Friedrich Israel & Gunther Schnabl, 2024. "Alternative measures of price inflation and the perception of real income in Germany," The World Economy, Wiley Blackwell, vol. 47(2), pages 618-636, February.
    5. El-Shagi, Makram & Giesen, Sebastian, 2013. "Money and inflation: Consequences of the recent monetary policy," Journal of Policy Modeling, Elsevier, vol. 35(4), pages 520-537.
    6. Jordan KJOSEVSKI & Mihail PETKOVSKI, 2017. "Are The Determinants Of Money Demand Stable In Selected Countries From Southeastern Europe?," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 84-96, December.
    7. Jung, Alexander, 2017. "Forecasting broad money velocity," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 421-432.
    8. Dreger, Christian & Wolters, Jürgen, 2014. "Money demand and the role of monetary indicators in forecasting euro area inflation," International Journal of Forecasting, Elsevier, vol. 30(2), pages 303-312.
    9. J. Liu & C.J.M. Kool, 2017. "Monetary dynamics in the euro area: a disaggregate panel approach," Working Papers 17-14, Utrecht School of Economics.
    10. I. Biefang-Frisancho Mariscal & P.G.A. Howells, 2012. "Income velocity and non-GDP transactions in the UK," International Review of Applied Economics, Taylor & Francis Journals, vol. 26(1), pages 97-110, March.
    11. Ingrid Groessl & Artur Tarassow, 2018. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201802, University of Hamburg, Department of Socioeconomics.
    12. Dreger, Christian & Wolters, Jürgen, 2015. "Unconventional monetary policy and money demand," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 40-54.
    13. Nautz, Dieter & Rondorf, Ulrike, 2010. "The (in)stability of money demand in the Euro Area: Lessons from a cross-country analysis," SFB 649 Discussion Papers 2010-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    14. Dreger, Christian & Kholodilin, Konstantin A., 2013. "An early warning system to predict speculative house price bubbles," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 7, pages 1-26.
    15. Ahmad Baharumshah & Siew-Voon Soon, 2015. "Demand for broad money in Singapore: does wealth matter?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(3), pages 557-573, July.
    16. Dreger, Christian & Wolters, Jürgen, 2011. "Money and inflation in the euro area during the financial crisis," Discussion Papers 300, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    17. el-Shagi, Makram & Giesen, Sebastian & Kelly, Logan J., 2011. "The Quantity Theory Revisited: A New Structural Approach," IWH Discussion Papers 7/2011, Halle Institute for Economic Research (IWH).
    18. Beyer, Andreas, 2009. "A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth," Working Paper Series 1111, European Central Bank.
    19. Michael Patrick Curran & Scott J. Dressler, 2019. "Preference Heterogeneity, Inflation, and Welfare," Villanova School of Business Department of Economics and Statistics Working Paper Series 40, Villanova School of Business Department of Economics and Statistics.
    20. Christian Dreger & Konstantin A. Kholodilin, 2011. "An Early Warning System to Predict the House Price Bubbles," Discussion Papers of DIW Berlin 1142, DIW Berlin, German Institute for Economic Research.
    21. Christian Dreger & Dieter Gerdesmeier & Barbara Roffia, 2016. "Re-vitalizing Money Demand in the Euro Area: Still Valid at the Zero Lower Bound," Discussion Papers of DIW Berlin 1606, DIW Berlin, German Institute for Economic Research.
    22. Kjosevski Jordan & Petkovski Mihail & Naumovska Elena, 2016. "The Stability of Long-Run Money Demand in Western Balkan Countries: An Empirical Panel Investigation," South East European Journal of Economics and Business, Sciendo, vol. 11(2), pages 61-70, December.
    23. El-Shagi, Makram & Giesen, Sebastian & Kelly, Logan J., 2012. "Monetary Policy in a World Where Money (Also) Matters," IWH Discussion Papers 6/2012, Halle Institute for Economic Research (IWH).
    24. Christian Dreger & Jürgen Wolters, 2009. "Geldpolitik und Vermögensmärkte," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 78(1), pages 56-65.
    25. El-Shagi, Makram & Giesen, Sebastian, 2010. "Money and Inflation: The Role of Persistent Velocity Movements," IWH Discussion Papers 2/2010, Halle Institute for Economic Research (IWH).

  15. Christian Dreger & Jürgen Wolters, 2006. "Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models," Discussion Papers of DIW Berlin 561, DIW Berlin, German Institute for Economic Research.

    Cited by:

    1. Christian Dreger & Jürgen Wolters, 2010. "M3 money demand and excess liquidity in the euro area," Public Choice, Springer, vol. 144(3), pages 459-472, September.
    2. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2008. "Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank.
    3. Mierzejewski, Fernando, 2007. "An actuarial approach to short-run monetary equilibrium," MPRA Paper 2424, University Library of Munich, Germany.
    4. Kaufmann, Sylvia & Kugler, Peter, 2005. "Does Money Matter for Inflation in the Euro Area?," Working papers 2005/09, Faculty of Business and Economics - University of Basel.
    5. Setzer, Ralph & Wolff, Guntram B., 2009. "Money demand in the euro area: new insights from disaggregated data," MPRA Paper 17483, University Library of Munich, Germany.
    6. Christian Dreger & Jürgen Wolters, 2007. "Instabile Geldnachfrage im Euroraum?," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 76(4), pages 85-95.
    7. Kai Carstensen & Jan Hagen & Oliver Hossfeld & Abelardo Salazar Neaves, 2009. "Money Demand Stability And Inflation Prediction In The Four Largest Emu Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 73-93, February.
    8. Arnold, Ivo J.M. & Roelands, Sebastian, 2010. "The demand for euros," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 674-684, June.
    9. Setzer, Ralph & van den Noord, Paul & Wolff, Guntram B., 2011. "Heterogeneity in money holdings across euro area countries: The role of housing," European Journal of Political Economy, Elsevier, vol. 27(4), pages 764-780.
    10. Salvatore Capasso & Oreste Napolitano, 2012. "Testing for the stability of money demand in Italy: has the Euro influenced the monetary transmission mechanism?," Applied Economics, Taylor & Francis Journals, vol. 44(24), pages 3121-3133, August.
    11. Dreger, Christian & Wolters, Jürgen, 2009. "Money Velocity and Asset Prices in the Euro Area," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 36(1), pages 51-63.
    12. Boriss Siliverstovs, 2007. "Dynamic Modelling of the Demand for Money in Latvia," Discussion Papers of DIW Berlin 703, DIW Berlin, German Institute for Economic Research.
    13. Mr. Helge Berger & Mr. Thomas Harjes & Mr. Emil Stavrev, 2008. "The ECB’s Monetary Analysis Revisited," IMF Working Papers 2008/171, International Monetary Fund.
    14. Berger, Helge & Harjes, Thomas & Stavrev, Emil, 2008. "The ECB's monetary analysis revisited," Discussion Papers 2008/14, Free University Berlin, School of Business & Economics.
    15. Mierzejewski, Fernando, 2006. "Liquidity preference as rational behaviour under uncertainty," MPRA Paper 2771, University Library of Munich, Germany.
    16. Sylvia Kaufmann, 2007. "Capturing the Link between M3 Growth and Inflation in the Euro Area – An Econometric Model to Produce Conditional Inflation Forecasts," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 93-108.
    17. Nuno Alves, 2007. "Is the euro area M3 abandoning us?," Working Papers w200720, Banco de Portugal, Economics and Research Department.
    18. Jung, Alexander, 2016. "A portfolio demand approach for broad money in the euro area," Working Paper Series 1929, European Central Bank.

  16. Hassler, Uwe & Wolters, Jürgen, 2005. "Autoregressive distributed lag models and cointegration," Discussion Papers 2005/22, Free University Berlin, School of Business & Economics.

    Cited by:

    1. Ibrahima Coulibaly & Jebaraj Asirvatham, 2021. "Does Human Capital Mitigate Resource Curse? Evidence in the Short- and Long-Run," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(10), pages 157-157, September.
    2. Georgios Bertsatos & Plutarchos Sakellaris & Mike G. Tsionas, 2022. "Extensions of the Pesaran, Shin and Smith (2001) bounds testing procedure," Empirical Economics, Springer, vol. 62(2), pages 605-634, February.
    3. Wang, Wei-Zheng & Liu, Lan-Cui & Liao, Hua & Wei, Yi-Ming, 2021. "Impacts of urbanization on carbon emissions: An empirical analysis from OECD countries," Energy Policy, Elsevier, vol. 151(C).
    4. Muhammad Shahbaz & Vassilios Papavassiliou & Amine Lahiani & David Roubaud, 2023. "Are we moving towards decarbonisation of the global economy? Lessons from the distant past to the present," Post-Print hal-03573208, HAL.
    5. Bo Zhou & Lei Jiang, 2022. "Unsustainable Urban Development Based on Temporary Workers: A Study on the Changes of Immigration in Macau between 1992 and 2019," Land, MDPI, vol. 11(11), pages 1-19, November.
    6. Ramón Valencia-Romero & José C. Trejo-García & Humberto Ríos-Bolívar, 2023. "Wheat Import Demand in Mexico: Evidence of Quantile Cointegration," Agriculture, MDPI, vol. 13(5), pages 1-19, April.
    7. Frey, Gregory E. & Chamberlain, James L. & Prestemon, Jeffrey P., 2018. "The potential for a backward-bending supply curve of non-timber forest products: An empirical case study of wild American ginseng production," Forest Policy and Economics, Elsevier, vol. 97(C), pages 97-109.
    8. Sebastian Kripfganz & Daniel C. Schneider, 2023. "ardl: Estimating autoregressive distributed lag and equilibrium correction models," Stata Journal, StataCorp LP, vol. 23(4), pages 983-1019, December.
    9. Marcus Box & Karl Gratzer & Xiang Lin, 2020. "Destructive entrepreneurship in the small business sector: bankruptcy fraud in Sweden, 1830–2010," Small Business Economics, Springer, vol. 54(2), pages 437-457, February.
    10. Ma, Debin & Chen, Shuo, 2020. "States and Wars: China’s Long March towards Unity and its Consequences, 221 BC – 1911 AD," CEPR Discussion Papers 15187, C.E.P.R. Discussion Papers.
    11. Jorge E. Galán & Javier Mencía, 2018. "Empirical assessment of alternative structural methods for identifying cyclical systemic risk in Europe," Working Papers 1825, Banco de España.
    12. Douch Mohamed & Solomon Binyam, 2018. "Status or Security: The Case of the Middle East and North Africa Region," Peace Economics, Peace Science, and Public Policy, De Gruyter, vol. 24(3), pages 1-12, September.
    13. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
    14. Abdalwali Lutfi & Maryam Ashraf & Waqas Ahmad Watto & Mahmaod Alrawad, 2022. "Do Uncertainty and Financial Development Influence the FDI Inflow of a Developing Nation? A Time Series ARDL Approach," Sustainability, MDPI, vol. 14(19), pages 1-11, October.
    15. Rasmus Kattai & John Lewis, 2005. "Hooverism, Hyperstabilisation or Halfway-House? Describing Fiscal Policy in Central and Eastern European EU Members," Bank of Estonia Working Papers 2005-05, Bank of Estonia, revised 10 Oct 2005.
    16. Mndzebele, Mancoba Knowledge, 2021. "The key determinants of food inflation in the Kingdom of Eswatini," Research Theses 334768, Collaborative Masters Program in Agricultural and Applied Economics.
    17. Gancho Ganchev & Ivan Todorov, 2021. "Taxation, government spending and economic growth: The case of Bulgaria," Journal of Tax Reform, Graduate School of Economics and Management, Ural Federal University, vol. 7(3), pages 255-266.
    18. Koester, Gerrit B. & Priesmeier, Christoph, 2012. "Estimating dynamic tax revenue elasticities for Germany," Discussion Papers 23/2012, Deutsche Bundesbank.
    19. Swanepoel, Christie & Fliers, Philip, 2021. "The fuel of unparalleled recovery: Monetary policy in South Africa between 1925 and 1936," QUCEH Working Paper Series 21-05, Queen's University Belfast, Queen's University Centre for Economic History.
    20. Konstantin A. Kholodilin & Julien Licheron, 2017. "Macroeconomic Effects of Rental Housing Regulations: The Case of Germany in 1950-2015," Discussion Papers of DIW Berlin 1649, DIW Berlin, German Institute for Economic Research.
    21. Eleftherios Giovanis & Oznur Ozdamar, 2022. "The impact of climate change on budget balances and debt in the Middle East and North Africa (MENA) region," Climatic Change, Springer, vol. 172(3), pages 1-27, June.
    22. Gumede, Vusi & Bila, Santos, 2022. "Applying the National Income Identity Approach in Examining Determinants of Economic Growth in South Africa," African Journal of Economic Review, African Journal of Economic Review, vol. 10(2), April.
    23. Mobeen Ur Rehman & Syed Muhammad Amir Shah, 2016. "Does Bilateral Market and Financial Integration Explains International Co-Movement Patterns 1," IJFS, MDPI, vol. 4(2), pages 1-13, May.
    24. Adelina-Andreea Siriteanu & Erika-Maria Doacă, 2023. "Application of ARDL modelling in global structural shocks and their dynamic impact on FDI," Journal of Financial Studies, Institute of Financial Studies, vol. 14(8), pages 181-191, May.
    25. Shuo, Chen & Ma, Debin, 2020. "States and Wars: China’s Long March towards Unity and its Consequences, 221 BC – 1911 AD," CAGE Online Working Paper Series 505, Competitive Advantage in the Global Economy (CAGE).
    26. Ingrid Groessl & Artur Tarassow, 2018. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201802, University of Hamburg, Department of Socioeconomics.
    27. Raghbendra Jha & Varsha S. Kulkarni, 2015. "Inflation, its volatility and the inflation-growth tradeoff in India," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 10(3), pages 350-361, July.
    28. Stefano Mainardi, 2018. "Fishing vessel efficiency, skipper skills and hake price transmission in a small island economy," Review of Agricultural, Food and Environmental Studies, Springer, vol. 99(3), pages 215-251, December.
    29. Dreger, Christian & Wolters, Jürgen, 2015. "Unconventional monetary policy and money demand," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 40-54.
    30. Sopp, Heiko, 2018. "Interest rate pass-through to the rates of core deposits: A new perspective," Discussion Papers 25/2018, Deutsche Bundesbank.
    31. Virmantas Kvedaras, 2005. "Explanation of Economic Growth Differences in the CEE Countries: Importance of the BOP Constraint," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 48-65, July.
    32. Garfa Kamel, 2012. "How Synchronized is the Mena Region with Advanced Economies? Evidence from an Autoregressive Distributed Lag Models," Scientific Annals of Economics and Business, Sciendo, vol. 59(1), pages 239-256, July.
    33. Sebastian Kripfganz & Daniel C. Schneider, 2019. "Response surface regressions for critical value bounds and approximate p-values in equilibrium correction models," Discussion Papers 1901, University of Exeter, Department of Economics.
    34. Garfa, Kamel, 2011. "MENA aggregate cycle and world conjuncture: Episodes of volatility and symmetry, and an ADL cointegration test," MPRA Paper 32247, University Library of Munich, Germany, revised Mar 2011.
    35. Michieka, Nyakundi M., 2017. "Do changes in oil prices affect welfare programs? Evidence from Kern County," Energy Economics, Elsevier, vol. 66(C), pages 116-121.
    36. Angel Manuel Benitez Rodriguez & Ian Michael Trotter, 2019. "Climate change scenarios for Paraguayan power demand 2017–2050," Climatic Change, Springer, vol. 156(3), pages 425-445, October.
    37. Uddin, Gazi Salah & Hasan, Md. Bokhtiar & Phoumin, Han & Taghizadeh-Hesary, Farhad & Ahmed, Ali & Troster, Victor, 2023. "Exploring the critical demand drivers of electricity consumption in Thailand," Energy Economics, Elsevier, vol. 125(C).
    38. Heppi Millia & Muh. Syarif & Pasrun Adam & Manat Rahim & Gamsir Gamsir & Rostin Rostin, 2021. "The Effect of Export and Import on Economic Growth in Indonesia," International Journal of Economics and Financial Issues, Econjournals, vol. 11(6), pages 17-23.
    39. Changjun Zheng & Probir Kumar Bhowmik & Niluthpaul Sarker, 2019. "Industry-Specific and Macroeconomic Determinants of Non-Performing Loans: A Comparative Analysis of ARDL and VECM," Sustainability, MDPI, vol. 12(1), pages 1-17, December.
    40. Ruba Abdullah Aljarallah, 2020. "The Economic Impacts of Natural Resource Dependency in Gulf Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 36-52.
    41. Manuela Alcañiz & Marc Estévez & Miguel Santolino, 2023. ""Risk of hospitalization of diagnosed COVID-19 cases during the pandemic: a time-series analsys to unveil short- and long-run dynamics"," IREA Working Papers 202313, University of Barcelona, Research Institute of Applied Economics, revised Oct 2023.
    42. Bazán-Palomino, Walter, 2023. "The increased interest in Bitcoin and the immediate and long-term impact of Bitcoin volatility on global stock markets," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 1080-1095.
    43. Kim, GwanSeon & Choi, Sun-Ki & Seok, Jun Ho, 2020. "Does biomass energy consumption reduce total energy CO2 emissions in the US?," Journal of Policy Modeling, Elsevier, vol. 42(5), pages 953-967.
    44. Ambachew Mekonnen Sisay, 2011. "Determinants of private investment in Ethiopia: a time series study," Ethiopian Journal of Economics, Ethiopian Economics Association, vol. 19(1), September.
    45. Nowak-Lehmann D., Felicitas & Martínez-Zarzoso, Inmaculada & Cardozo, Adriana & Herzer, Dierk & Klasen, Stephan, 2011. "Does Aid translate into Bilateral Trade? Findings for Recipient Countries," Proceedings of the German Development Economics Conference, Berlin 2011 61, Verein für Socialpolitik, Research Committee Development Economics.
    46. Philipp Poyntner, 2016. "Beschäftigungseffekte von Arbeitszeitverkürzung," Wirtschaft und Gesellschaft - WuG, Kammer für Arbeiter und Angestellte für Wien, Abteilung Wirtschaftswissenschaft und Statistik, vol. 42(4), pages 665-684.
    47. Hamdi El Asli & Lakhmaiss Hamid & Afif Zineb & Azeroual Mohamed, 2024. "Impact of, Human Capital, Economic Factors, Energy Consumption, and Urban Growth on Environmental Sustainability in Morocco: An ARDL Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 14(2), pages 656-668, March.
    48. Jin, Wei & Shi, Xunpeng & Zhang, Lin, 2021. "Energy transition without dirty capital stranding," Energy Economics, Elsevier, vol. 102(C).
    49. Joe Garmondyu Greaves, 2018. "Investigating Saving and Investment Relationship: Evidence from an Autoregressive Distributed Lag Bounds Testing Approach in Liberia," International Journal of Economics and Financial Issues, Econjournals, vol. 8(4), pages 89-104.
    50. Muhammad Arshad Khan & Saima Nawaz, 2018. "Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 57(2), pages 175-202.
    51. Alexander Mayer, 2022. "Estimation and inference in adaptive learning models with slowly decreasing gains," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 720-749, September.
    52. Nadja Dwenger, 2014. "User Cost Elasticity of Capital Revisited," Economica, London School of Economics and Political Science, vol. 81(321), pages 161-186, January.
    53. Tirfi, Abera Gayesa & Oyekale, Abayomi Samuel, 2021. "Maize Output Supply Response to Climatic and Other Input Variables in Ethiopia," Asian Journal of Agriculture and Rural Development, Asian Economic and Social Society (AESS), vol. 11(04), January.
    54. Jörg Döpke & Karsten Müller & Lars Tegtmeier, 2023. "Moments of cross‐sectional stock market returns and the German business cycle," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 52(2), July.
    55. João Braz Pinto & João Sousa Andrade, 2015. "A Monetary Analysis of the Liquidity Trap," GEMF Working Papers 2015-06, GEMF, Faculty of Economics, University of Coimbra.
    56. Philip Agyei Peprah & Yao Hongxing & Jean Baptiste Bernard Pea-Assounga, 2019. "Regional Foreign Direct Investment Potential in Selected African Countries," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(10), pages 66-76, October.
    57. Dionysios Kyriakopoulos & John Yfantopoulos & Theodoros V. Stamatopoulos, 2022. "Social Security Payments and Financialization: Lessons from the Greek Case," JRFM, MDPI, vol. 15(12), pages 1-24, December.
    58. Soojin Park & Prida Erni Kesuma & Man Cho, 2021. "Did Financial Consumers Benefit from the Digital Transformation? An Empirical Investigation," IJFS, MDPI, vol. 9(4), pages 1-18, October.
    59. Mario Arturo Ruiz Estrada & Evangelos Koutronas & Ross Knippenberg, 2016. "The Mega Distributed Lag Model," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(2), June.
    60. Claus-Friedrich Laaser & Klaus Schrader, 2005. "Baltic Trade with Europe: Back to the Roots?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 15-37, July.
    61. Morten Hansen, 2005. "The Irish Growth Miracle: Can Latvia Replicate?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 3-14, July.
    62. John Kibara Manyeki & Balázs Kotosz, 2017. "Empirical Analysis of the Wagner Hypothesis of Government Expenditure Growth in Kenya: ARDL Modelling Approach," Theory Methodology Practice (TMP), Faculty of Economics, University of Miskolc, vol. 13(02), pages 45-57.
    63. Bazán-Palomino, Walter & Svogun, Daniel, 2023. "On the drivers of technical analysis profits in cryptocurrency markets: A Distributed Lag approach," International Review of Financial Analysis, Elsevier, vol. 86(C).
    64. Arhan S. Ertan & Gürbüz Kıran, 2021. "Global financial environment or monetary transmission mechanism? The (special) dynamics of Turkey's external deficit after 2002," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4054-4076, July.
    65. Jakub Odehnal & Jiří Neubauer & Lukáš Dyčka & Tereza Ambler, 2020. "Development of Military Spending Determinants in Baltic Countries—Empirical Analysis," Economies, MDPI, vol. 8(3), pages 1-18, August.
    66. Ionuț Nica & Nora Chiriță & Camelia Delcea, 2023. "Towards a Sustainable Future: Economic Cybernetics in Analyzing Romania’s Circular Economy," Sustainability, MDPI, vol. 15(19), pages 1-36, October.
    67. Jorge E. Galán & Javier Mencía, 2021. "Model-based indicators for the identification of cyclical systemic risk," Empirical Economics, Springer, vol. 61(6), pages 3179-3211, December.
    68. Ambachew, Mekonnen Sisay, 2011. "Determinants of Private Investment in Ethiopia: a Time Series Study," Ethiopian Journal of Economics, Ethiopian Economics Association, vol. 19(1), pages 180-180, September.

  17. Wolters, Jürgen & Hassler, Uwe, 2005. "Unit root testing," Discussion Papers 2005/23, Free University Berlin, School of Business & Economics.

    Cited by:

    1. Rotimi Ayoade Ogunjumo, 2024. "Investigating The Effect Of An Underdeveloped Financial Sector On Non-Oil Export In Nigeria," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 69(240), pages 107-130, January –.
    2. Kappler, Marcus, 2006. "Panel Tests for Unit Roots in Hours Worked," ZEW Discussion Papers 06-022, ZEW - Leibniz Centre for European Economic Research.
    3. Böckers, Veit & Heimeshoff, Ulrich, 2012. "The extent of European power markets," DICE Discussion Papers 50, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    4. Joerg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," CESifo Working Paper Series 1565, CESifo.
    5. Artur Da Silva Lopes, 2004. "Deterministic Seasonality In Dickey-Fuller Tests: Should We Care?," Royal Economic Society Annual Conference 2004 75, Royal Economic Society.
    6. Hassler Uwe & Wolters Jürgen, 2009. "Hysteresis in Unemployment Rates? A Comparison between Germany and the US," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 229(2-3), pages 119-129, April.
    7. Matei Demetrescu, 2009. "Panel unit root testing and the martingale difference hypothesis for German stocks," Economics Bulletin, AccessEcon, vol. 29(3), pages 1749-1759.

  18. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the bank of France's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/23, Free University Berlin, School of Business & Economics.

    Cited by:

    1. Boom, Anette, 2004. ""Download for Free" - When Do Providers of Digital Goods Offer Free Samples?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 70, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    2. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the Reichsbank's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/22, Free University Berlin, School of Business & Economics.
    3. Guillaume Bazot & Michael Bordo & Eric Monnet, 2016. "International shocks and the balance sheet of the Bank of France under the classical gold standard," Post-Print hal-04288225, HAL.

  19. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the Reichsbank's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/22, Free University Berlin, School of Business & Economics.

    Cited by:

    1. Boom, Anette, 2004. ""Download for Free" - When Do Providers of Digital Goods Offer Free Samples?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 70, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    2. Guillaume Bazot & Michael Bordo & Eric Monnet, 2016. "International shocks and the balance sheet of the Bank of France under the classical gold standard," Post-Print hal-04288225, HAL.

  20. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the Bank of England's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/27, Free University Berlin, School of Business & Economics.

    Cited by:

    1. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the Reichsbank's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/22, Free University Berlin, School of Business & Economics.
    2. Guillaume Bazot & Michael Bordo & Eric Monnet, 2016. "International shocks and the balance sheet of the Bank of France under the classical gold standard," Post-Print hal-04288225, HAL.

  21. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Monetary policy in Austria-Hungary, 1876 - 1913: An econometric analysis of the determinants of the Central Bank's discount rate and the liquidity ratio," Discussion Papers 2004/24, Free University Berlin, School of Business & Economics.

    Cited by:

    1. Di Martino Paolo & Bagliano Fabio, 2022. "A dissonant violin in the international orchestra? Discount rate policy in Italy (1894-1913)," Working papers 077, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    2. Richard C.K. Burdekin & Kris James Mitchener & Marc D. Weidenmier, 2011. "Irving Fisher and Price-Level Targeting in Austria: Was Silver the Answer?," NBER Working Papers 17123, National Bureau of Economic Research, Inc.
    3. Boom, Anette, 2004. ""Download for Free" - When Do Providers of Digital Goods Offer Free Samples?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 70, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
    4. Marc Flandreau & Stefano Ugolini, 2011. "Where It All Began: Lending of Last Resort and the Bank of England During the Overend, Gurney Panic of 1866," Working Papers 0007, European Historical Economics Society (EHES).
    5. Kris James Mitchener & Marc D. Weidenmier, 2010. "Searching for Irving Fisher," NBER Working Papers 15670, National Bureau of Economic Research, Inc.
    6. Mitchener, Kris James & Weidenmier, Marc D, 2013. "Searching for Irving Fisher," CAGE Online Working Paper Series 133, Competitive Advantage in the Global Economy (CAGE).
    7. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the Bank of England's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/27, Free University Berlin, School of Business & Economics.
    8. Marc Flandreau & Stefano Ugolini, 2013. "Where It All Began: Lending of Last Resort and Bank of England Monitoring During the Overend-Gurney Panic of 1866," Post-Print hal-01293916, HAL.
    9. Morys, Matthias, 2013. "Discount rate policy under the Classical Gold Standard: Core versus periphery (1870s–1914)," Explorations in Economic History, Elsevier, vol. 50(2), pages 205-226.

  22. Helmut Lütkepohl & Jürgen Wolters, 2001. "The Transmission of German Monetary Policy in the Pre-Euro Period," CESifo Working Paper Series 604, CESifo.

    Cited by:

    1. Helmut Lütkepohl & Ralf Brüggemann, 2006. "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702.
    2. El-Shagi, Makram & Giesen, Sebastian, 2013. "Money and inflation: Consequences of the recent monetary policy," Journal of Policy Modeling, Elsevier, vol. 35(4), pages 520-537.
    3. Brüggemann, Ralf, 2006. "Finite sample properties of impulse response intervals in SVECMs with long-run identifying restrictions," SFB 649 Discussion Papers 2006-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. Nowak-Lehmann D., Felicitas & Herzer, Dierk & Siliverstovs, Boriss, 2005. "Export-Led Growth in Chile: Assessing the Role of Export Composition in Productivity Growth," Proceedings of the German Development Economics Conference, Kiel 2005 20, Verein für Socialpolitik, Research Committee Development Economics.
    5. Christian Dreger & Jürgen Wolters, 2007. "Instabile Geldnachfrage im Euroraum?," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 76(4), pages 85-95.
    6. Holtemöller Oliver, 2003. "Money Stock, Monetary Base and Bank Behavior in Germany / Geldmenge, Geldbasis und Bankenverhalten in Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 223(3), pages 257-278, June.
    7. Kai Carstensen & Jan Hagen & Oliver Hossfeld & Abelardo Salazar Neaves, 2009. "Money Demand Stability And Inflation Prediction In The Four Largest Emu Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 73-93, February.
    8. Christian Müller-Kademann, 2009. "Biased Estimation in a Simple Extension of a Standard Error Correction Model," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 145(I), pages 37-60, March.
    9. I. Biefang-Frisancho Mariscal & P.G.A. Howells, 2012. "Income velocity and non-GDP transactions in the UK," International Review of Applied Economics, Taylor & Francis Journals, vol. 26(1), pages 97-110, March.
    10. Uluc Aysun & Ryan Brady & Adam Honig, 2009. "Financial Frictions and Monetary Transmission Strength: A Cross-Country Analysis," Working papers 2009-24, University of Connecticut, Department of Economics, revised Jun 2010.
    11. Dierk Herzer & Rainer Klump, 2006. "Poverty, Government Transfers, and the Business Cycle: Evidence for the United States," Ibero America Institute for Econ. Research (IAI) Discussion Papers 141, Ibero-America Institute for Economic Research.
    12. Dierk Herzery & Holger Strulik & Sebastian Vollmer, 2010. "The Long-run Determinants of Fertility: One Century of Demographic Change 1900-1999," PGDA Working Papers 6310, Program on the Global Demography of Aging.
    13. Jacopo Cimadomo & Agnès Bénassy-Quéré, 2012. "Changing Patterns of Fiscal Policy Multipliers in Germany, the UK and the US," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00966144, HAL.
    14. Tiwari, Aviral Kumar & Dutta, Subhendu & Dash, Aruna Kumar, 2017. "Testing of the Seasonal Unit Root Hypothesis in the Price Indices of Agricultural Commodities in India," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 14(2), December.
    15. Nicholas Apergis & Sofia Eleftheriou & Dimitrios Voliotis, 2017. "Asymmetric Spillover Effects between Agricultural Commodity Prices and Biofuel Energy Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 7(1), pages 166-177.
    16. Carstensen Kai & Hansen Gerd, 2004. "Inflationäre Schocks in Deutschland: Eine Common Trends Analyse / Inflationary Shocks in Germany: A Common Trends Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(3), pages 271-291, June.
    17. Pahlavani, M., 2005. "Sources Of Economic Growth In Iran: A Cointegration Analysis In The Presence Of Structural Breaks, 1960-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(4).
    18. Joseph P. Byrne & Roger Perman, 2006. "Unit Roots and Structural Breaks: A Survey of the Literature," Working Papers 2006_10, Business School - Economics, University of Glasgow.
    19. Carstensen, Kai, 2004. "Is European Money Demand Still Stable?," Kiel Working Papers 1179, Kiel Institute for the World Economy (IfW Kiel).
    20. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, October.
    21. Eleftheriou, Maria, 2009. "Monetary policy in Germany: A cointegration analysis on the relevance of interest rate rules," Economic Modelling, Elsevier, vol. 26(5), pages 946-960, September.
    22. Andrew Hughes Hallett & Christian Richter, 2009. "Has there been any structural convergence in the transmission of European monetary policies?," International Economics and Economic Policy, Springer, vol. 6(2), pages 85-101, July.
    23. Dreger, Christian & Wolters, Jürgen, 2010. "Investigating M3 money demand in the euro area," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 111-122, February.
    24. Christian MÜLLER, 2010. "Interpretation of Cointegration Coefficients - A Paradox, a Solution and Empirical Evidence," EcoMod2004 330600100, EcoMod.
    25. Paolo PAESANI, 2003. "Will the Monetary Pillar Stay? A Few Lessons from the UK," Economics Working Papers ECO2003/10, European University Institute.
    26. Apergis, Nicholas & Bowden, Nicholas & Payne, James E., 2015. "Downstream integration of natural gas prices across U.S. states: Evidence from deregulation regime shifts," Energy Economics, Elsevier, vol. 49(C), pages 82-92.
    27. Agnès Bénassy-Quéré & Jacopo Cimadomo, 2006. "Changing Patterns of Domestic and Cross-Border Fiscal Policy Multipliers in Europe and the US," Working Papers 2006-24, CEPII research center.
    28. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, April.
    29. El-Shagi, Makram & Giesen, Sebastian, 2010. "Money and Inflation: The Role of Persistent Velocity Movements," IWH Discussion Papers 2/2010, Halle Institute for Economic Research (IWH).
    30. Christian Dreger & Jürgen Wolters, 2006. "Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models," Discussion Papers of DIW Berlin 561, DIW Berlin, German Institute for Economic Research.
    31. Mohsen Mehrara & Abbas Ali Rezaei, 2014. "The Long Run Relationship between Government Revenue and Expenditure in Iran: A Co integration Analysis in the Presence of Structural Breaks," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(5), pages 288-301, May.

  23. Nielsen, Hannah & Tullio, Giuseppe & Wolters, Jürgen, 2000. "Currency substitution and the stability of the Italian demand for money before the entry into the monetary union, 1972 - 1998," SFB 373 Discussion Papers 2000,66, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Kai Carstensen & Jan Hagen & Oliver Hossfeld & Abelardo Salazar Neaves, 2009. "Money Demand Stability And Inflation Prediction In The Four Largest Emu Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 73-93, February.
    2. Mike Artis & Andreas Beyer, 2004. "Issues in Money Demand: The Case of Europe," Journal of Common Market Studies, Wiley Blackwell, vol. 42(4), pages 717-736, November.
    3. Kumar, Saten & Webber, Don J., 2010. "Australasian money demand stability: Application of structural break tests," MPRA Paper 27569, University Library of Munich, Germany.
    4. Rao, B. Bhaskara & Kumar, Saten, 2010. "Error-Correction Based Panel Estimates of the Demand for Money of Selected Asian Countries with the Extreme Bounds Analysis," MPRA Paper 27263, University Library of Munich, Germany.

  24. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of Bootstrap Confidence Intervals for Impulse Responses of German Monetary Systems," CEPR Discussion Papers 2208, C.E.P.R. Discussion Papers.

    Cited by:

    1. Shuba Srinivasan & Oliver J. Rutz & Koen Pauwels, 2016. "Paths to and off purchase: quantifying the impact of traditional marketing and online consumer activity," Journal of the Academy of Marketing Science, Springer, vol. 44(4), pages 440-453, July.
    2. Elías Albagli I. & Pablo García S. & Jorge Restrepo L., 2004. "Evaluating Labor Market Flexibility in Chile from an International Perspective," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 7(2), pages 27-46, August.
    3. Helmut Lütkepohl & Ralf Brüggemann, 2006. "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702.
    4. Aviral Kumar Tiwari, 2011. "A structural VAR analysis of renewable energy consumption, real GDP and CO2 emissions: Evidence from India," Economics Bulletin, AccessEcon, vol. 31(2), pages 1793-1806.
    5. Pontines, Victor, 2017. "The financial cycles in four East Asian economies," Economic Modelling, Elsevier, vol. 65(C), pages 51-66.
    6. Lütkepohl, Helmut & Wolters, Jürgen, 2003. "Transmission Of German Monetary Policy In The Pre-Euro Period," Macroeconomic Dynamics, Cambridge University Press, vol. 7(5), pages 711-733, November.
    7. Mehrotra, Aaron, 2009. "The case for price level or inflation targeting--What happened to monetary policy effectiveness during the Japanese disinflation?," Japan and the World Economy, Elsevier, vol. 21(3), pages 280-291, August.
    8. Helmut Herwartz & Martin Plödt, 2016. "Simulation Evidence on Theory-based and Statistical Identification under Volatility Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(1), pages 94-112, February.
    9. Vincent R. Nijs & Shuba Srinivasan & Koen Pauwels, 2007. "Retail-Price Drivers and Retailer Profits," Marketing Science, INFORMS, vol. 26(4), pages 473-487, 07-08.
    10. Strohsal, Till & Proaño, Christian R. & Wolters, Jürgen, 2015. "Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113143, Verein für Socialpolitik / German Economic Association.
    11. Hernando Vargas Herrera & Franz Hamann & Andrés González, 2010. "Efectos de la política monetaria sobre las tasas de interés de los créditos hipotecarios en Colombia," Borradores de Economia 592, Banco de la Republica de Colombia.
    12. Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Papers 14-21, University of Mannheim, Department of Economics.
    13. Markku Lanne, Helmut Luetkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," Economics Working Papers ECO2006/23, European University Institute.
    14. Brüggemann, Ralf, 2006. "Finite sample properties of impulse response intervals in SVECMs with long-run identifying restrictions," SFB 649 Discussion Papers 2006-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    15. Berg, Tim Oliver, 2010. "Cross-country evidence on the relation between stock prices and the current account," MPRA Paper 23976, University Library of Munich, Germany.
    16. Lanne, Markku & Lütkepohl, Helmut, 2010. "Structural Vector Autoregressions With Nonnormal Residuals," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 159-168.
    17. Ralf Brueggemann & Helmut Leutkepohl, 2000. "Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System," Econometric Society World Congress 2000 Contributed Papers 0821, Econometric Society.
    18. Lütkepohl, Helmut, 2008. "Problems related to over-identifying restrictions for structural vector error correction models," Economics Letters, Elsevier, vol. 99(3), pages 512-515, June.
    19. Soo Khoon Goh, 2005. "New empirical evidence on the effects of capital controls on composition of capital flows in Malaysia," Applied Economics, Taylor & Francis Journals, vol. 37(13), pages 1491-1503.
    20. Jesús Crespo Cuaresma & Markus Eller & Aaron Mehrotra, 2011. "The Economic Transmission of Fiscal Policy Shocks from Western to Eastern Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 44-68.
    21. Burkhard Heer & Andreas Irmen & Bernd Süssmuth, 2022. "Explaining the Decline in the US Labor Share: Taxation and Automation," CESifo Working Paper Series 9775, CESifo.
    22. Kirstin Hubrich & Peter J. G. Vlaar, 2000. "Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy," Econometric Society World Congress 2000 Contributed Papers 1802, Econometric Society, revised 08 Nov 2000.
    23. Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
    24. Tuck Cheong Tang, 2006. "Japan's balancing item: do timing errors matter?," Applied Economics Letters, Taylor & Francis Journals, vol. 13(2), pages 81-87.
    25. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, vol. 4(3), pages 307-339, August.
    26. Mei-yin Lin & Hui-hua Wang, 2009. "What Causes the Volatility of the Balancing Item?," Economics Bulletin, AccessEcon, vol. 29(4), pages 2738-2748.
    27. Corsetti, Giancarlo & Konstantinou, Panagiotis, 2009. "What Drives US Foreign Borrowing? Evidence on External Adjustment to Transitory and Permanent Shocks," CEPR Discussion Papers 7134, C.E.P.R. Discussion Papers.
    28. Helmut Lütkepohl, 2012. "Reducing Confidence Bands for Simulated Impulse Responses," Discussion Papers of DIW Berlin 1235, DIW Berlin, German Institute for Economic Research.
    29. Barhoumi Karim, 2009. "How Structural Macroeconomic Shocks Can Explain Exchange Rate Pass-Through in Developing Countries: A Common Trend Approach," Global Economy Journal, De Gruyter, vol. 9(2), pages 1-37, June.
    30. Chen, Huayi & Shi, Huai-Long & Zhou, Wei-Xing, 2024. "Carbon volatility connectedness and the role of external uncertainties: Evidence from China," Journal of Commodity Markets, Elsevier, vol. 33(C).
    31. Elías Albagli & Pablo García & Jorge Restrepo, 2004. "Labor Market Rigidity and Structural Shocks: An Open-Economy Approach for International Comparisons," Working Papers Central Bank of Chile 263, Central Bank of Chile.
    32. Fabio L. Mattos & Rodrigo Lanna Franco da Silveira, 2018. "The Expansion of the Brazilian Winter Corn Crop and Its Impact on Price Transmission," IJFS, MDPI, vol. 6(2), pages 1-17, April.
    33. Tuck Cheong Tang, 2006. "The influences of economic openness on Japan's balancing item: an empirical note," Applied Economics Letters, Taylor & Francis Journals, vol. 13(1), pages 7-10.
    34. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
    35. Valter Giacinto, 2010. "On vector autoregressive modeling in space and time," Journal of Geographical Systems, Springer, vol. 12(2), pages 125-154, June.
    36. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
    37. Aparicio, Diego & Bertolotto, Manuel I., 2020. "Forecasting inflation with online prices," International Journal of Forecasting, Elsevier, vol. 36(2), pages 232-247.
    38. Argentesi Elena & Lütkepohl Helmut & Motta Massimo, 2010. "Acquisition of Information and Share Prices: An Empirical Investigation of Cognitive Dissonance," German Economic Review, De Gruyter, vol. 11(3), pages 381-396, August.
    39. Anna Staszewska, 2006. "Representing Uncertainty about Response Paths: the Use of Heuristic Optimisation Methods," Computing in Economics and Finance 2006 379, Society for Computational Economics.
    40. Herzer, Dierk & Nowak-Lehmann, Felicitas & Dreher, Axel & Klasen, Stephan & Martinez-Zarzoso, Inmaculada, 2015. "Comment on Lof, Mekasha, and Tarp (2014)," World Development, Elsevier, vol. 70(C), pages 389-396.
    41. Paul Gaggl & Serguei Kaniovski & Klaus Prettner & Thomas Url, 2009. "The short and long-run interdependencies between the Eurozone and the USA," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(2), pages 209-227, May.
    42. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, October.
    43. Eleftheriou, Maria, 2009. "Monetary policy in Germany: A cointegration analysis on the relevance of interest rate rules," Economic Modelling, Elsevier, vol. 26(5), pages 946-960, September.
    44. Gerhard Fenz & Martin Schneider, 2008. "Transmission of business cycle shocks between the US and the euro area," Working Papers 145, Oesterreichische Nationalbank (Austrian Central Bank).
    45. Franz Ramsauer & Aleksey Min & Michael Lingauer, 2019. "Estimation of FAVAR Models for Incomplete Data with a Kalman Filter for Factors with Observable Components," Econometrics, MDPI, vol. 7(3), pages 1-43, July.
    46. Guido Traficante & Guglielmo Forges Davanzati, 2018. "La restrizione del credito in uno schema di teoria monetaria della produzione: il caso italiano," Moneta e Credito, Economia civile, vol. 71(283), pages 211-233.
    47. Bampi, Rodrigo E. & Colombo, Jefferson A., 2021. "Heterogeneous effects of foreign exchange appreciation on industrial output: Evidence from disaggregated manufacturing data," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 431-451.
    48. Horváth, Csilla & Wieringa, Jaap E., 2003. "Combining time series and cross sectional data for the analysis of dynamic marketing systems," Research Report 03F13, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    49. Aviral Kumar TIWARI & Suresh K G & Mihai MUTAȘCU, 2015. "A Structural VAR analysis of Fiscal shocks on current accounts in Greece," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(604), A), pages 5-20, Autumn.
    50. Arthur Grimes & David C. Maré & Melanie Morten, 2007. "Adjustment in Local Labour and Housing Markets," Working Papers 07_10, Motu Economic and Public Policy Research.
    51. Gyntelberg, Jacob & Hördahl, Peter & Ters, Kristyna & Urban, Jörg, 2018. "Price discovery in euro area sovereign credit markets and the ban on naked CDS," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 106-125.
    52. Mehrotra, Aaron, 2005. "Exchange and interest rate channels during a deflationary era: evidence from Japan, Hong Kong and China," BOFIT Discussion Papers 17/2005, Bank of Finland Institute for Emerging Economies (BOFIT).
    53. Taiwo Peace Ogun, 2010. "Infrastructure and Poverty Reduction: Implications for Urban Development in Nigeria," WIDER Working Paper Series wp-2010-043, World Institute for Development Economic Research (UNU-WIDER).
    54. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]," MPRA Paper 8602, University Library of Munich, Germany.
    55. Lieb, Lenard & Smeekes, Stephan, 2017. "Inference for Impulse Responses under Model Uncertainty," Research Memorandum 022, Maastricht University, Graduate School of Business and Economics (GSBE).
    56. Schreiber, Sven & Wolters, Jurgen, 2007. "The long-run Phillips curve revisited: Is the NAIRU framework data-consistent?," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 355-367, June.
    57. Gbatu, Abimelech Paye & Wang, Zhen & Wesseh, Presley K. & Tutdel, Isaac Yak Repha, 2017. "The impacts of oil price shocks on small oil-importing economies: Time series evidence for Liberia," Energy, Elsevier, vol. 139(C), pages 975-990.
    58. Ann Cavlovic & Kathleen Day, "undated". "Equalization and the Incentives for Growth: An Empirical Investigation of the "Tax-Back" Effect," Working Papers-Department of Finance Canada 2003-23, Department of Finance Canada.

  25. Nautz, Dieter & Wolters, Jürgen, 1998. "The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the US and Germany," SFB 373 Discussion Papers 1998,78, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Martin T. Bohl & Pierre L. Siklos, 2004. "The Bundesbank's Inflation Policy and Asymmetric Behavior of the German Term Structure," Review of International Economics, Wiley Blackwell, vol. 12(3), pages 495-508, August.
    2. Ruth, Karsten, 2004. "Interest rate reaction functions for the euro area Evidence from panel data analysis," Discussion Paper Series 1: Economic Studies 2004,33, Deutsche Bundesbank.
    3. Kosfeld Reinhold, 2002. "Asset Price Channel and Financial Markets / Vermögenstheoretischer Transmissionsmechanismus und Finanzmärkte," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(4), pages 440-462, August.
    4. Holtemöller, Oliver, 2002. "Further VAR evidence for the effectiveness of a credit channel in Germany," SFB 373 Discussion Papers 2002,66, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    5. Jaenicke, Johannes, 2001. "Price and hedging policy: The case of an intertemporarily risk averse bank," Economics Letters, Elsevier, vol. 71(3), pages 391-396, June.
    6. Kremer, Manfred, 1999. "Die Kapitalmarktzinsen in Deutschland und den USA: Wie eng ist der Zinsverbund? Eine Anwendung der multivariaten Kointegrationsanalyse," Discussion Paper Series 1: Economic Studies 1999,02, Deutsche Bundesbank.
    7. Boris Hofmann, 2006. "EMU and the transmission of monetary policy: evidence from business lending rates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 33(4), pages 209-229, September.

  26. Brüggemann, I. & Wolters, J., 1996. "Money and Prices in Germany. Empirical Results for 1962 to 1994," SFB 373 Discussion Papers 1996,34, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Moersch, Mathias & Nautz, Dieter, 1998. "The monetary model of the exchange rate: A structural interpretation," SFB 373 Discussion Papers 1998,6, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of bootstrap confidence intervals for impulse responses of German monetary systems," SFB 373 Discussion Papers 1999,29, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    3. Clostermann Jörg & Seitz Franz, 2002. "Money, Inflation and Growth in Germany. A Vector-Error-Correction-P-Star Model / Der Zusammenhang zwischen Geldmenge, Output und Preisen in Deutschland. Ein Vektorfehlerkorrektur-P-Star-Ansatz," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 222(6), pages 641-655, December.

  27. Wolters, Jürgen & Teräsvirta, Timo & Lütkepohl, Helmut, 1996. "Modelling the Demand for M3 in the unified Germany," SSE/EFI Working Paper Series in Economics and Finance 113, Stockholm School of Economics.

    Cited by:

    1. Christian Dreger & Jürgen Wolters, 2010. "M3 money demand and excess liquidity in the euro area," Public Choice, Springer, vol. 144(3), pages 459-472, September.
    2. Lütkepohl, Helmut & Wolters, Jürgen, 2003. "Transmission Of German Monetary Policy In The Pre-Euro Period," Macroeconomic Dynamics, Cambridge University Press, vol. 7(5), pages 711-733, November.
    3. Frank Browne & Gabriel Fagan & Jerome Henry, 2005. "Money Demand in EU Countries: A Survey," Macroeconomics 0503004, University Library of Munich, Germany.
    4. Svensson, Lars E. O., 1999. "Monetary policy issues for the Eurosystem," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 51(1), pages 79-136, December.
    5. Abbas Valadkhani, 2005. "Modelling Demand For Broad Money In Australia," Australian Economic Papers, Wiley Blackwell, vol. 44(1), pages 47-64, March.
    6. Volker W. Wieland, 1999. "Monetary policy, parameter uncertainty and optimal learning," Finance and Economics Discussion Series 1999-48, Board of Governors of the Federal Reserve System (U.S.).
    7. Mawuli Segnon & Rangan Gupta & Stelios Bekiros & Mark E. Wohar, 2018. "Forecasting US GNP growth: The role of uncertainty," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(5), pages 541-559, August.
    8. Philip Arestis & Malcolm Sawyer, 2001. "Will the Euro Bring Economic Crisis to Europe?," Palgrave Macmillan Books, in: Philip Arestis & Michelle Baddeley & John McCombie (ed.), What Global Economic Crisis?, chapter 5, pages 78-103, Palgrave Macmillan.
    9. El-Shagi, Makram & Giesen, Sebastian, 2013. "Money and inflation: Consequences of the recent monetary policy," Journal of Policy Modeling, Elsevier, vol. 35(4), pages 520-537.
    10. Mariá Dolores Gadea & José Mariá Serrano-Sanz, 2002. "The hidden economy in Spain - A monetary estimation, 1964-1998," Empirical Economics, Springer, vol. 27(3), pages 499-527.
    11. Koen Pauwels & Shuba Srinivasan, 2004. "Who Benefits from Store Brand Entry?," Marketing Science, INFORMS, vol. 23(3), pages 364-390, July.
    12. Imke Brüggemann & Dieter Nautz, 1997. "Money growth volatility and the demand for money in Germany: Friedman’s volatility hypothesis revisited," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(3), pages 523-537, September.
    13. Holtemöller Oliver, 2003. "Money Stock, Monetary Base and Bank Behavior in Germany / Geldmenge, Geldbasis und Bankenverhalten in Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 223(3), pages 257-278, June.
    14. Lee, Chien-Chiang & Chen, Pei-Fen & Chang, Chun-Ping, 2007. "Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 293-302.
    15. Kai Carstensen & Jan Hagen & Oliver Hossfeld & Abelardo Salazar Neaves, 2009. "Money Demand Stability And Inflation Prediction In The Four Largest Emu Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 73-93, February.
    16. Julian Ramajo & Miguel A. Marquez, 1998. "Structural change in regional economies: A varying coefficients econometric modeling approach," ERSA conference papers ersa98p189, European Regional Science Association.
    17. Kirstin Hubrich & Peter J. G. Vlaar, 2000. "Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy," Econometric Society World Congress 2000 Contributed Papers 1802, Econometric Society, revised 08 Nov 2000.
    18. Stéphane Guéné, 2001. "Agrégats et politique monétaires dans la zone euro," Economie & Prévision, La Documentation Française, vol. 147(1), pages 187-201.
    19. Caner, M. & Kilian, L., 2001. "Size distortions of tests of the null hypothesis of stationarity: evidence and implications for the PPP debate," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 639-657, October.
    20. Oliver Hossfeld, 2010. "US Money Demand, Monetary Overhang, and Inflation," Working Papers 2010.4, International Network for Economic Research - INFER.
    21. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, vol. 4(3), pages 307-339, August.
    22. Dreger, Christian & Wolters, Jürgen, 2009. "Money Velocity and Asset Prices in the Euro Area," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 36(1), pages 51-63.
    23. Gerberding, Christina & Seitz, Franz & Worms, Andreas, 2007. "Money-based interest rate rules: lessons from German data," Discussion Paper Series 1: Economic Studies 2007,06, Deutsche Bundesbank.
    24. Ivo Arnold, 2003. "A Regional Analysis of German Money Demand Around Reunification with Implications for EMU," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 30(1), pages 63-80, March.
    25. Carstensen Kai & Hansen Gerd, 2004. "Inflationäre Schocks in Deutschland: Eine Common Trends Analyse / Inflationary Shocks in Germany: A Common Trends Analysis," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(3), pages 271-291, June.
    26. Carstensen, Kai, 2004. "Is European Money Demand Still Stable?," Kiel Working Papers 1179, Kiel Institute for the World Economy (IfW Kiel).
    27. Nautz, Dieter & Rondorf, Ulrike, 2010. "The (in)stability of money demand in the Euro area," Discussion Papers 2010/17, Free University Berlin, School of Business & Economics.
    28. Heimonen, Kari, 2008. "Substituting a substitute currency," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 66-84.
    29. Dreger, Christian & Wolters, Jürgen, 2011. "Money and inflation in the euro area during the financial crisis," Discussion Papers 300, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    30. Arize, Augustine C. & Malindretos, John & Ghosh, Dilip, 2015. "Purchasing power parity-symmetry and proportionality: Evidence from 116 countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 69-85.
    31. Arize, A. C. & Malindretos, John & Grivoyannis, Elias C., 2005. "Inflation-rate volatility and money demand: Evidence from less developed countries," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 57-80.
    32. Luis Eduardo Arango & Andrés González, 1999. "A Nonlinear Specification Of Demand For Narrow Money In Colombia," Borradores de Economia 1894, Banco de la Republica.
    33. Dreger, Christian & Wolters, Jürgen, 2010. "Investigating M3 money demand in the euro area," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 111-122, February.
    34. Ante Babić, 2000. "The Monthly Transaction Money Demand in Croatia," Working Papers 5, The Croatian National Bank, Croatia.
    35. Henry, Olan T. & Shields, Kalvinder, 2004. "Is there a unit root in inflation?," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 481-500, September.
    36. Avouyi-Dovi, S. & Diop, A. & Fonteny, E-C. & Gervais, E. & Jacquinot, P. & Mésonnier, J-S. & Sahuc, J-G., 2003. "Estimation d’une fonction de demande de monnaie pour la zone euro : une synthèse des résultats," Bulletin de la Banque de France, Banque de France, issue 111, pages 47-72.
    37. El-Shagi, Makram & Giesen, Sebastian, 2010. "Money and Inflation: The Role of Persistent Velocity Movements," IWH Discussion Papers 2/2010, Halle Institute for Economic Research (IWH).
    38. Christian Dreger & Jürgen Wolters, 2006. "Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models," Discussion Papers of DIW Berlin 561, DIW Berlin, German Institute for Economic Research.

  28. Lütkepohl, Helmut & Teräsvirta, Timo & Wolters, Jürgen, 1995. "Investigating Stability and Linearity of a German M1 Money Demand Function," SSE/EFI Working Paper Series in Economics and Finance 64, Stockholm School of Economics.

    Cited by:

    1. Christian Dreger & Jürgen Wolters, 2010. "M3 money demand and excess liquidity in the euro area," Public Choice, Springer, vol. 144(3), pages 459-472, September.
    2. Luis E. Arango & Andrés González, 2000. "A Nonlinear Specification of Demand for Cash in Colombia," Money Affairs, CEMLA, vol. 0(2), pages 207-226, July-Dece.
    3. Diego Winkelried Quezada, 2003. "Indicadores adelantados de la inflación en el Perú," Monetaria, CEMLA, vol. 0(4), pages 345-382, octubre-d.
    4. Fredj Jawadi & Ricardo M. Sousa, 2012. "Money Demand in the euro area, the US and the UK:Assessing the Role of Nonlinearity," NIPE Working Papers 22/2012, NIPE - Universidade do Minho.
    5. Andreas Röthig & Carl Chiarella, 2007. "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(8), pages 719-737, August.
    6. Youngsoo Bae & Robert M. de Jong, 2007. "Money demand function estimation by nonlinear cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 767-793.
    7. Silika Prohl, 2010. "Test of Fiscal Sustainability and Causality Hypotheses for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(II), pages 481-506, June.
    8. Q.Farooq Akram & Øyvind Eitrheim & Lucio Sarno, 2006. "Non-linear Dynamics in Output, Real Exchange Rates and Real Money Balances: Norway, 1830-2003," Contributions to Economic Analysis, in: Nonlinear Time Series Analysis of Business Cycles, pages 333-377, Emerald Group Publishing Limited.
    9. Brannolte Cord & Kim Jeong-Ryeol & Hansen Gerd, 1999. "Nonlinear Error Correction Modeling in German Interest Rates / Ein nichtlineares Fehlerkorrekturmodell für die deutsche Zinsstruktur," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 219(3-4), pages 271-283, June.
    10. Sarantis, Nicholas, 2001. "Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence," International Journal of Forecasting, Elsevier, vol. 17(3), pages 459-482.
    11. Alfred A. Haug & Julie Tam, 2001. "A Closer Look at Long Run Money Demand," Working Papers 2002_09, York University, Department of Economics, revised Sep 2002.
    12. Lee, Chien-Chiang & Chen, Pei-Fen & Chang, Chun-Ping, 2007. "Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 293-302.
    13. Dreger, Christian & Wolters, Jürgen, 2014. "Money demand and the role of monetary indicators in forecasting euro area inflation," International Journal of Forecasting, Elsevier, vol. 30(2), pages 303-312.
    14. Martha Misas Arango & Enrique López Enciso & Pablo Querubín Borrero, 2002. "La inflación en Colombia: una aproximación desde las redes neuronales," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 20(41-42), pages 143-214, June.
    15. Achim Zeileis & Friedrich Leisch & Christian Kleiber & Kurt Hornik, 2005. "Monitoring structural change in dynamic econometric models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 99-121, January.
    16. Agustín G. Cartens & Alejandro M. Werner, 2000. "Mexico's Monetary Policy Framework Under a Floating Exchange Rate Regime," Money Affairs, CEMLA, vol. 0(2), pages 113-165, July-Dece.
    17. Wang, Rudan & Morley, Bruce & Stamatogiannis, Michalis P., 2019. "Forecasting the exchange rate using nonlinear Taylor rule based models," International Journal of Forecasting, Elsevier, vol. 35(2), pages 429-442.
    18. Quispe Misaico, Zenon, 2000. "Monetary policy in a dollarised economy: The case of Peru," MPRA Paper 35530, University Library of Munich, Germany.
    19. Guglielmo M. Caporale & Luis A. Gil‐Alana, 2004. "Testing for Seasonal Fractional Roots in German Real Output," German Economic Review, Verein für Socialpolitik, vol. 5(3), pages 319-333, August.
    20. Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
    21. Dreger, Christian & Wolters, Jürgen, 2009. "Money Velocity and Asset Prices in the Euro Area," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 36(1), pages 51-63.
    22. Christian Ferrada K. & Mario Tagle E., 2014. "Estimación Reciente de la Demanda de Dinero en Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 17(3), pages 86-109, December.
    23. Dumitru, Ionut, 2002. "Money Demand in Romania," MPRA Paper 10629, University Library of Munich, Germany.
    24. Ahmad, Saad, 2016. "A multiple threshold analysis of the Fed's balancing act during the Great Moderation," Economic Modelling, Elsevier, vol. 55(C), pages 343-358.
    25. Omar A Mendoza Lugo, 2008. "The differential impact of real interest rates and credit availability on private investment: evidence from Venezuela," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 501-537, Bank for International Settlements.
    26. Héctor A. Valle S., 2003. "Pronósticos de inflación para Guatemala hechos con modelos ARIMA y VAR," Monetaria, CEMLA, vol. 0(4), pages 407-428, octubre-d.
    27. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
    28. Hwang, Sunjoo, 2020. "Financial Development and Economic Growth in Korea," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 42(1), pages 31-56.
    29. Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004.
    30. A. J. Khadaroo, 2003. "A smooth transition regression equation of the demand for UK M0," Applied Economics Letters, Taylor & Francis Journals, vol. 10(12), pages 769-773.
    31. Luis Eduardo Arango & Andrés González, 1999. "A Nonlinear Specification Of Demand For Narrow Money In Colombia," Borradores de Economia 1894, Banco de la Republica.
    32. Austin, Darran & Ward, Bert & Dalziel, Paul, 2007. "The demand for money in China 1987-2004: A non-linear modelling approach," China Economic Review, Elsevier, vol. 18(2), pages 190-204.
    33. Alfred A. Haug & Julie Tam, 2007. "A Closer Look At Long‐Run U.S. Money Demand: Linear Or Nonlinear Error‐Correction With M0, M1, Or M2?," Economic Inquiry, Western Economic Association International, vol. 45(2), pages 363-376, April.
    34. Nakashima, Kiyotaka, 2008. "An Extremely Low Interest Rate Policy and the Shape of the Japanese Money Demand Function: A Nonlinear Cointegration Approach," MPRA Paper 70689, University Library of Munich, Germany.
    35. Nautz, Dieter & Offermanns, Christian J., 2006. "Does the Euro follow the German Mark? Evidence from the monetary model of the exchange rate," European Economic Review, Elsevier, vol. 50(5), pages 1279-1295, July.
    36. Deborah Gefang, 2012. "Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(1), pages 131-151, February.
    37. Dreger, Christian & Wolters, Jürgen, 2010. "Investigating M3 money demand in the euro area," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 111-122, February.
    38. Kumar, Saten, 2011. "Financial reforms and money demand: Evidence from 20 developing countries," Economic Systems, Elsevier, vol. 35(3), pages 323-334, September.
    39. Sahin, Afsin, 2013. "Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey," MPRA Paper 46851, University Library of Munich, Germany.
    40. Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, July.
    41. Roberto Golinelli & Sergio Pastorello, 2002. "Modelling the demand for M3 in the Euro area," The European Journal of Finance, Taylor & Francis Journals, vol. 8(4), pages 371-401.
    42. Claudia Arguedas & Jorge Requena, 2003. "La dolarización en Bolivia: una estimación de la elasticidad de sustitución entre monedas," Monetaria, CEMLA, vol. 0(4), pages 383-406, octubre-d.
    43. Helmut Herwartz & Jordi Sardà & Bernd Theilen, 2016. "Money demand and the shadow economy: empirical evidence from OECD countries," Empirical Economics, Springer, vol. 50(4), pages 1627-1645, June.
    44. Jiranyakul, Komain & Opiela, Timothy, 2014. "An Empirical Test of Money Demand in Thailand from 1993 to 2012," MPRA Paper 54162, University Library of Munich, Germany.
    45. Chen, Show-Lin & Tsai, Li-Ju & Wu, Jyh-Lin, 2004. "A revisit to liquidity effects--evidence from a non-linear approach," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 501-517, September.
    46. Scharnagl, Michael, 1996. "Geldmengenaggregate unter Berücksichtigung struktureller Veränderungen an den Finanzmärkten," Discussion Paper Series 1: Economic Studies 1996,02, Deutsche Bundesbank.
    47. Jesús R. González García, 2003. "La dinámica del consumo privado en México: un análisis de cointegración con cambios de régimen," Monetaria, CEMLA, vol. 0(4), pages 429-449, octubre-d.
    48. Christian Dreger & Jürgen Wolters, 2006. "Investigating M3 Money Demand in the Euro Area: New Evidence Based on Standard Models," Discussion Papers of DIW Berlin 561, DIW Berlin, German Institute for Economic Research.
    49. Saikkonen, Pentti & Choi, In, 2000. "Cointegrating smooth transition regressions with applications to the Asian currency crisis," SFB 373 Discussion Papers 2000,98, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

  29. Lütkepohl, Helmut & Moryson, Martin & Wolters, Jürgen, 1994. "Stabilitaetsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansaetze zur Modellierung variierender Regressionskoeffizienten," SFB 373 Discussion Papers 1994,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Michel Peytrignet & Christof Stahel, 1998. "Stability of money demand in Switzerland: A comparison of the M2 and M3 cases," Empirical Economics, Springer, vol. 23(3), pages 437-454.
    2. Lutkepohl, Helmut & Saikkonen, Pentti, 1997. "Impulse response analysis in infinite order cointegrated vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 127-157, November.
    3. Scharnagl, Michael, 1996. "Monetary aggregates with special reference to structural changes in the financial markets," Discussion Paper Series 1: Economic Studies 1996,02e, Deutsche Bundesbank.
    4. Markus Ebner & Thorsten Neumann, 2005. "Time-Varying Betas of German Stock Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 29-46, June.
    5. Scharnagl, Michael, 1996. "Geldmengenaggregate unter Berücksichtigung struktureller Veränderungen an den Finanzmärkten," Discussion Paper Series 1: Economic Studies 1996,02, Deutsche Bundesbank.

  30. Jürgen WOLTERS, 1992. "Persistence and Seasonality in output and Employment of the Federal Republic of Germany," Discussion Papers (REL - Recherches Economiques de Louvain) 1992043, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

    Cited by:

    1. Yang, Lijian & Park, Byeong U. & Xue, Lan & Hardle, Wolfgang, 2006. "Estimation and Testing for Varying Coefficients in Additive Models With Marginal Integration," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1212-1227, September.
    2. Franses, Philip Hans, 1995. "The effects of seasonally adjusting a periodic autoregressive process," Computational Statistics & Data Analysis, Elsevier, vol. 19(6), pages 683-704, June.

Articles

  1. Till Strohsal & Christian R. Proaño & Jürgen Wolters, 2019. "Assessing the cross-country interaction of financial cycles: evidence from a multivariate spectral analysis of the USA and the UK," Empirical Economics, Springer, vol. 57(2), pages 385-398, August.
    See citations under working paper version above.
  2. Strohsal, Till & Proaño, Christian R. & Wolters, Jürgen, 2019. "Characterizing the financial cycle: Evidence from a frequency domain analysis," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 568-591.
    See citations under working paper version above.
  3. Dreger, Christian & Wolters, Jürgen, 2015. "Unconventional monetary policy and money demand," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 40-54.
    See citations under working paper version above.
  4. Dreger, Christian & Wolters, Jürgen, 2014. "Money demand and the role of monetary indicators in forecasting euro area inflation," International Journal of Forecasting, Elsevier, vol. 30(2), pages 303-312.
    See citations under working paper version above.
  5. Enzo Weber & Jürgen Wolters, 2013. "Risk and Policy Shocks on the US Term Structure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.
    See citations under working paper version above.
  6. Enzo Weber & Jürgen Wolters, 2012. "The US term structure and central bank policy," Applied Economics Letters, Taylor & Francis Journals, vol. 19(1), pages 41-45, January.
    See citations under working paper version above.
  7. Christian Dreger & J¨¹rgen Wolters, 2011. "Liquidity and Asset Prices: How Strong are the Linkages?," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 43-52, February.
    See citations under working paper version above.
  8. Gebhard Kirchgässner & Jürgen Wolters, 2010. "The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 146(I), pages 221-253, March.
    See citations under working paper version above.
  9. Dreger, Christian & Wolters, Jürgen, 2010. "Investigating M3 money demand in the euro area," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 111-122, February.

    Cited by:

    1. Christian Dreger & Jürgen Wolters, 2010. "M3 money demand and excess liquidity in the euro area," Public Choice, Springer, vol. 144(3), pages 459-472, September.
    2. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2008. "Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank.
    3. Sy Hoa Ho & Jamel Saadaoui, 2021. "Symmetric and asymmetric effects of exchange rates on money demand : empirical evidence from Vietnam," Post-Print hal-03196678, HAL.
    4. Jung, Alexander & Carcel Villanova, Hector, 2020. "The empirical properties of euro area M3, 1980-2017," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 37-49.
    5. Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.
    6. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques," Discussion Papers of DIW Berlin 982, DIW Berlin, German Institute for Economic Research.
    7. Luca Gattini & Huw Pill & Ludger Schuknecht, 2015. "A global perspective on inflation and propagation channels," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(3), pages 50-76, May.
    8. Chien-Chiang Lee & An-Hsing Chang, 2013. "Revisiting the demand for money function: evidence from the random coefficients approach," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1491-1502, September.
    9. Setzer, Ralph & Wolff, Guntram B., 2009. "Money demand in the euro area: new insights from disaggregated data," MPRA Paper 17483, University Library of Munich, Germany.
    10. Helmi Hamdi & Ali Said & Rashid Sbia, 2015. "Empirical Evidence on the Long-Run Money Demand Function in the Gulf Cooperation Council Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 603-612.
    11. Farhan Abdi Omar & Abdishakur Mohamed Hussein, 2020. "The Stability of Money Demand Function: Evidence from South Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 10(5), pages 16-22.
    12. Franz Seitz & Markus A. Schmidt, 2014. "Money In Modern Macro Models: A Review of the Arguments," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 156-174.
    13. Frauke Dobnik, 2013. "Long-run money demand in OECD countries: what role do common factors play?," Empirical Economics, Springer, vol. 45(1), pages 89-113, August.
    14. Cavallo, Antonella & Ribba, Antonio, 2015. "Common macroeconomic shocks and business cycle fluctuations in Euro area countries," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 377-392.
    15. Dreger, Christian & Wolters, Jürgen, 2014. "Money demand and the role of monetary indicators in forecasting euro area inflation," International Journal of Forecasting, Elsevier, vol. 30(2), pages 303-312.
    16. J. Liu & C.J.M. Kool, 2017. "Monetary dynamics in the euro area: a disaggregate panel approach," Working Papers 17-14, Utrecht School of Economics.
    17. Kai Carstensen & Jan Hagen & Oliver Hossfeld & Abelardo Salazar Neaves, 2009. "Money Demand Stability And Inflation Prediction In The Four Largest Emu Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 73-93, February.
    18. Vittorio Daniele & Pasquale Foresti & Oreste Napolitano, 2017. "The stability of money demand in the long-run: Italy 1861–2011," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 11(2), pages 217-244, May.
    19. Arnold, Ivo J.M. & Roelands, Sebastian, 2010. "The demand for euros," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 674-684, June.
    20. Marcus Scheiblecker, 2012. "Modelling Short-run Money Demand for the USA," WIFO Working Papers 442, WIFO.
    21. Setzer, Ralph & van den Noord, Paul & Wolff, Guntram B., 2011. "Heterogeneity in money holdings across euro area countries: The role of housing," European Journal of Political Economy, Elsevier, vol. 27(4), pages 764-780.
    22. Ellington, Michael & Milas, Costas, 2019. "Global liquidity, money growth and UK inflation," Journal of Financial Stability, Elsevier, vol. 42(C), pages 67-74.
    23. Oliver Hossfeld, 2010. "US Money Demand, Monetary Overhang, and Inflation," Working Papers 2010.4, International Network for Economic Research - INFER.
    24. El-Shazly, Alaa, 2016. "Structural breaks and monetary dynamics: A time series analysis," Economic Modelling, Elsevier, vol. 53(C), pages 133-143.
    25. Ingrid Groessl & Artur Tarassow, 2018. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201802, University of Hamburg, Department of Socioeconomics.
    26. Dreger, Christian & Wolters, Jürgen, 2015. "Unconventional monetary policy and money demand," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 40-54.
    27. Barigozzi, Matteo, 2018. "On the stability of euro area money demand and its implications for monetary policy," LSE Research Online Documents on Economics 87283, London School of Economics and Political Science, LSE Library.
    28. Nautz, Dieter & Rondorf, Ulrike, 2010. "The (in)stability of money demand in the Euro Area: Lessons from a cross-country analysis," SFB 649 Discussion Papers 2010-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    29. Chen-Huan Shieh & Shou-Hsiang Liu & Chung-Ching Lee, 2017. "How Stable is the Money Demand in Taiwan?," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 3(5), pages 54-64, 05-2017.
    30. Lebre DE Freitas, Miguel, 2022. "International currency substitution and the demand for money in the euro area," Economic Modelling, Elsevier, vol. 117(C).
    31. Schreiber, Sven, 2013. "(When) does money growth help to predict Euro-area inflation at low frequencies?," Discussion Papers 2013/10, Free University Berlin, School of Business & Economics.
    32. Christian Dreger & Jürgen Wolters, 2016. "On the empirical relevance of the Lucas critique: the case of euro area money demand," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 61-82, February.
    33. de la Horra, Luis P. & de la Fuente, Gabriel & Perote, Javier, 2019. "The drivers of Bitcoin demand: A short and long-run analysis," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 21-34.
    34. Roberto Santis, 2015. "Quantity theory is alive: the role of international portfolio shifts," Empirical Economics, Springer, vol. 49(4), pages 1401-1430, December.
    35. Dreger, Christian & Wolters, Jürgen, 2011. "Money and inflation in the euro area during the financial crisis," Discussion Papers 300, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    36. Christian Dreger & Dieter Gerdesmeier & Barbara Roffia, 2016. "Re-vitalizing Money Demand in the Euro Area: Still Valid at the Zero Lower Bound," Discussion Papers of DIW Berlin 1606, DIW Berlin, German Institute for Economic Research.
    37. Jeanne, O., 2012. "Fiscal challenges to monetary dominance in the euro area: a theoretical perspective," Financial Stability Review, Banque de France, issue 16, pages 143-150, April.
    38. Błażejowski, Marcin & Kufel, Paweł & Kufel, Tadeusz & Kwiatkowski, Jacek & Osińska, Magdalena, 2018. "Model selection for modeling the demand for narrow money in transitional economies," MPRA Paper 90458, University Library of Munich, Germany.
    39. Sahin, Afsin, 2013. "Estimating Money Demand Function by a Smooth Transition Regression Model: An Evidence for Turkey," MPRA Paper 46851, University Library of Munich, Germany.
    40. Luca Sessa, 2012. "Economic (in)stability under monetary targeting," Temi di discussione (Economic working papers) 858, Bank of Italy, Economic Research and International Relations Area.
    41. Nicholas Apergis, 2015. "Long-run estimates of money demand: new evidence from East Asian countries and the presence of structural breaks," Applied Economics, Taylor & Francis Journals, vol. 47(31), pages 3276-3291, July.
    42. Michael Scharnagl & Christina Gerberding & Franz Seitz, 2010. "Should Monetary Policy Respond to Money Growth? New Results for the Euro Area," International Finance, Wiley Blackwell, vol. 13(3), pages 409-441, December.
    43. Matteo Barigozzi & Antonio Conti, 2010. "On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis," Working Papers ECARES ECARES 2010-022, ULB -- Universite Libre de Bruxelles.
    44. Ivo J. M. Arnold, 2022. "Monetary overhang in times of covid: evidence from the euro area," Applied Economics, Taylor & Francis Journals, vol. 54(35), pages 4030-4042, July.
    45. Dobnik, Frauke, 2011. "Long-run Money Demand in OECD Countries – Cross-Member Cointegration," Ruhr Economic Papers 237, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

  10. Christian Dreger & Jürgen Wolters, 2010. "M3 money demand and excess liquidity in the euro area," Public Choice, Springer, vol. 144(3), pages 459-472, September.
    See citations under working paper version above.
  11. Hassler Uwe & Wolters Jürgen, 2009. "Hysteresis in Unemployment Rates? A Comparison between Germany and the US," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 229(2-3), pages 119-129, April.

    Cited by:

    1. Pedro Clavijo-Cortes, 2021. "How persistent is unemployment in major Latin American economies?," Economics Bulletin, AccessEcon, vol. 41(2), pages 342-360.
    2. Vosseler, Alexander, 2016. "Bayesian model selection for unit root testing with multiple structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 616-630.

  12. Christian Dreger & Jürgen Wolters, 2009. "Money velocity and asset prices in the euro area," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(1), pages 51-63, February.
    See citations under working paper version above.
  13. Christian Dreger & Jürgen Wolters, 2009. "Geldpolitik und Vermögensmärkte," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 78(1), pages 56-65.

    Cited by:

    1. Berlemann, Michael & Freese, Julia, 2010. "Monetary policy and real estate prices: A disaggregated analysis for Switzerland," HWWI Research Papers 2-19, Hamburg Institute of International Economics (HWWI).
    2. Berlemann, Michael & Freese, Julia & Knoth, Sven, 2012. "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," Working Paper 124/2012, Helmut Schmidt University, Hamburg.

  14. Dao, Chi-Mai & Wolters, Jürgen, 2008. "Common stochastic volatility trends in international stock returns," International Review of Financial Analysis, Elsevier, vol. 17(3), pages 431-445, June.

    Cited by:

    1. Ng, Andrew Cheuk-Yin & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2011. "Modeling investment guarantees in Japan: A risk-neutral GARCH approach," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 20-26, January.
    2. Maghyereh, Aktham I. & Awartani, Basel & Hilu, Khalil Al, 2015. "Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 123-138.
    3. Gilles de Truchis & Benjamin Keddad, 2014. "Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities," Working Papers 2014-382, Department of Research, Ipag Business School.
    4. Singh, Priyanka & Kumar, Brajesh & Pandey, Ajay, 2010. "Price and volatility spillovers across North American, European and Asian stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 55-64, January.
    5. Keef, Stephen P. & Khaled, Mohammed & Zhu, Hui, 2009. "The dynamics of the Monday effect in international stock indices," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 125-133, June.
    6. Awartani, Basel & Maghyereh, Aktham I. & Shiab, Mohammad Al, 2013. "Directional spillovers from the U.S. and the Saudi market to equities in the Gulf Cooperation Council countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 224-242.
    7. Gilles Truchis & Benjamin Keddad, 2016. "Long-Run Comovements in East Asian Stock Market Volatility," Open Economies Review, Springer, vol. 27(5), pages 969-986, November.
    8. Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Zeitun, Rami & Rehman, Mobeen Ur, 2017. "Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach," Emerging Markets Review, Elsevier, vol. 32(C), pages 130-147.

  15. Schreiber, Sven & Wolters, Jurgen, 2007. "The long-run Phillips curve revisited: Is the NAIRU framework data-consistent?," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 355-367, June.

    Cited by:

    1. Claudia Fontanari, & Antonella Palumbo & Chiara Salvatori, 2019. "Potential Output in Theory and Practice: A Revision and Update of Okun`s Original Method," Working Papers Series 93, Institute for New Economic Thinking.
    2. Smith, Ron P. & Pesaran, Mohammad Hashem, 2007. "Monetary Policy Transmission and the Phillips Curve in a Global Context," Kiel Working Papers 1366, Kiel Institute for the World Economy (IfW Kiel).
    3. Jan Gottschalk & Ulrich Fritsche, 2005. "The New Keynesian Model and the Long-Run Vertical Phillips Curve: Does It Hold for Germany?," Discussion Papers of DIW Berlin 521, DIW Berlin, German Institute for Economic Research.
    4. Shahbaz, Muhammad & Islam , Faridul & Shabbir, Muhammad Shahbaz, 2012. "Phillips Curve in a Small Open Economy: A Time Series Exploration of North Cyprus," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 35(4), pages 113-130, December.
    5. Mohammad Khanssa & Wafaa Nasser & Abbas Mourad, 2018. "An Econometric Analysis of Inflation and Unemployment in Lebanon: A Vector Error Correction Model (VECM)," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(2), pages 133-141, February.
    6. Stamatiou, Pavlos & Dritsaki, Chaido, 2019. "The Phillips Curve: Unemployment Dynamics and Nairu Estimates of Poland’s Economy," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 72(3), pages 281-312.
    7. Vijay VICTOR & Maria FEKETE FARKAS & Florence JEESON, 2018. "Inflation unemployment dynamics in Hungary – A structured cointegration and vector error correction model approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(615), S), pages 195-204, Summer.
    8. Andrea Vaona, 2015. "Inflation gifts restrictions for structural VARs: evidence from the US," Working Papers 16/2015, University of Verona, Department of Economics.
    9. Graham, Liam & Snower, Dennis J., 2008. "Hyperbolic Discounting and the Phillips Curve," IZA Discussion Papers 3477, Institute of Labor Economics (IZA).
    10. Dees, Stephane & Pesaran, M. Hashem & Smith, L. Vanessa & Smith, Ron P., 2008. "Identification of New Keynesian Phillips Curves from a Global Perspective," IZA Discussion Papers 3298, Institute of Labor Economics (IZA).
    11. Bill Russell & Anindya Banerjee & Issam Malki & Natalia Ponomareva, 2011. "A Multiple Break Panel Approach To Estimating United States Phillips Curves," Dundee Discussion Papers in Economics 252, Economic Studies, University of Dundee.
    12. Fitzenberger, Bernd & Franz, Wolfgang & Bode, Oliver, 2007. "The Phillips Curve and NAIRU Revisited: New Estimates for Germany," ZEW Discussion Papers 07-070, ZEW - Leibniz Centre for European Economic Research.
    13. Ahrens, Steffen & Snower, Dennis J., 2014. "Envy, guilt, and the Phillips curve," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 69-84.
    14. Ihtisham Ul Haq & Alam Khan & Ejaz Ahmed, 2012. "Phillips Curve or Locus Critique: Time Series Evidence from Pakistan," Journal of Economics and Behavioral Studies, AMH International, vol. 4(4), pages 190-193.
    15. Andrea Vaona, 2015. "Anomalous empirical evidence on money long-run super-neutrality and the vertical long-run Phillips curve," Working Papers 17/2015, University of Verona, Department of Economics.
    16. Bozani, Vasiliki & Drydakis, Nick, 2011. "Studying the NAIRU and its Implications," IZA Discussion Papers 6079, Institute of Labor Economics (IZA).
    17. Ismael, Mohanad & Sadeq, Tareq, 2016. "Does Phillips Exist in Palestine? An Empirical Evidence," MPRA Paper 70245, University Library of Munich, Germany.
    18. Paolo Paruolo & Riccardo Girardi, 2010. "Wages and prices in Europe before and after the onset of the Monetary Union," Economics and Quantitative Methods qf1009, Department of Economics, University of Insubria.
    19. Mohammed Aït Lahcen, 2017. "Informality and the long run Phillips curve," ECON - Working Papers 248, Department of Economics - University of Zurich, revised Dec 2018.
    20. Valerija Botric, 2012. "NAIRU estimates for Croatia," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 30(1), pages 163-180.
    21. Carnazza, Giovanni & Liberati, Paolo & Sacchi, Agnese, 2020. "The cyclically-adjusted primary balance: A novel approach for the euro area," Journal of Policy Modeling, Elsevier, vol. 42(5), pages 1123-1145.
    22. Mihaela Simionescu, 2014. "Testing The Existence And Stability Of Phillips Curve In Romania," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 10(1), pages 67-74.
    23. Driver, Ciaran & Muñoz-Bugarin, Jair, 2010. "Capital investment and unemployment in Europe: Neutrality or not?," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 492-496, March.
    24. Antonella Palumbo, 2008. "I metodi di stima del PIL potenziale tra fondamenti di Teoria economica e Contenuto empirico," Departmental Working Papers of Economics - University 'Roma Tre' 0092, Department of Economics - University Roma Tre.

  16. Giuseppe Tullio & Jürgen Wolters, 2007. "Monetary Policy in Austria–Hungary, 1876–1913: An Econometric Analysis of the Determinants of the Central Bank’s Discount Rate and the Liquidity Ratio," Open Economies Review, Springer, vol. 18(5), pages 521-537, November.
    See citations under working paper version above.
  17. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
    See citations under working paper version above.
  18. Uwe Hassler & Jürgen Wolters, 2006. "Autoregressive distributed lag models and cointegration," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 59-74, March.
    See citations under working paper version above.
  19. Hannah Nielsen & Giuseppe Tullio & Jürgen Wolters, 2004. "Currency substitution and the stability of the Italian demand for money before the entry into the monetary union, 1972–1998," International Economics and Economic Policy, Springer, vol. 1(1), pages 73-85, March.
    See citations under working paper version above.
  20. Lütkepohl, Helmut & Wolters, Jürgen, 2003. "Transmission Of German Monetary Policy In The Pre-Euro Period," Macroeconomic Dynamics, Cambridge University Press, vol. 7(5), pages 711-733, November.
    See citations under working paper version above.
  21. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 2001. "Comparison Of Bootstrap Confidence Intervals For Impulse Responses Of German Monetary Systems," Macroeconomic Dynamics, Cambridge University Press, vol. 5(1), pages 81-100, February.
    See citations under working paper version above.
  22. Giuseppe Tullio & Jürgen Wolters, 2000. "Interest Rate Linkages Between the US and the UK During the Classical Gold Standard," Scottish Journal of Political Economy, Scottish Economic Society, vol. 47(1), pages 61-71, February.

    Cited by:

    1. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Monetary policy in Austria-Hungary, 1876 - 1913: An econometric analysis of the determinants of the Central Bank's discount rate and the liquidity ratio," Discussion Papers 2004/24, Free University Berlin, School of Business & Economics.
    2. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the bank of France's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/23, Free University Berlin, School of Business & Economics.
    3. Angelos Kanas & Georgios Tsiotas, 2005. "Real interest rates linkages between the USA and the UK in the postwar period," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 251-262.
    4. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the Reichsbank's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/22, Free University Berlin, School of Business & Economics.
    5. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the Bank of England's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/27, Free University Berlin, School of Business & Economics.

  23. Dieter Nautz & Jürgen Wolters, 1999. "The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the U.S. and Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 397-412, September.
    See citations under working paper version above.
  24. Lutkepohl, Helmut & Terasvirta, Timo & Wolters, Jurgen, 1999. "Investigating Stability and Linearity of a German M1 Money Demand Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 511-525, Sept.-Oct.
    See citations under working paper version above.
  25. JØrgen Wolters & Helmut LØtkepohl, 1998. "Money demand in Europe: Editors' preface," Empirical Economics, Springer, vol. 23(3), pages 263-266.

    Cited by:

    1. Budina, Nina & Maliszewski, Wojciech & de Menil, Georges & Turlea, Geomina, 2006. "Money, inflation and output in Romania, 1992-2000," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 330-347, March.

  26. Jurgen Wolters, 1998. "Cointegration and German bond yields," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 497-502.

    Cited by:

    1. Strohsal, Till & Weber, Enzo, 2011. "Mean-variance cointegration and the expectations hypothesis," SFB 649 Discussion Papers 2011-007, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Jorge de Andrés Sánchez, 2004. "Un Análisis de la Curva de Rendimientos en el Mercado de Deuda Pública Española a Medio y Largo Plazo en el Período 1993-2004," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 3, pages 1-30, October.
    3. Minoas Koukouritakis & Leo Michelis, 2006. "The Term Structure of Interest Rates in the European Union," Working Papers 0611, University of Crete, Department of Economics.
    4. Minoas Koukouritakis & Leo Michelis, 2008. "The term structure of interest rates in the 12 newest EU countries," Applied Economics, Taylor & Francis Journals, vol. 40(4), pages 479-490.
    5. Bauer, Dietmar & Wagner, Martin, 2009. "Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1954-1973, April.
    6. Ayşen ARAÇ, 2015. "Nonlinear Dynamics in Term Structure of Interest Rates: Evidence from the Euro Area," Sosyoekonomi Journal, Sosyoekonomi Society, issue 23(26).
    7. Nehls, Hiltrud, 2006. "Der Zins-Pass-Through deutscher Geschäftsbankengruppen," RWI Schriften, RWI - Leibniz-Institut für Wirtschaftsforschung, volume 78, number 78.

  27. JØrgen Wolters & Helmut LØtkepohl, 1998. "A money demand system for German M3," Empirical Economics, Springer, vol. 23(3), pages 371-386.

    Cited by:

    1. Bernd Hayo, 2000. "The demand for money in Austria," Empirical Economics, Springer, vol. 25(4), pages 581-603.
    2. Lütkepohl, Helmut & Wolters, Jürgen, 2003. "Transmission Of German Monetary Policy In The Pre-Euro Period," Macroeconomic Dynamics, Cambridge University Press, vol. 7(5), pages 711-733, November.
    3. Haug, Alfred A. & Karagedikli, Ozer & Ranchhod, Satish, 2005. "Monetary policy transmission mechanisms and currency unions: A vector error correction approach to a Trans-Tasman currency union," Journal of Policy Modeling, Elsevier, vol. 27(1), pages 55-74, February.
    4. Dierk Herzer, 2005. "Does Trade Increase Total Factor Productivity: Cointegration Evidence for Chile," Ibero America Institute for Econ. Research (IAI) Discussion Papers 115, Ibero-America Institute for Economic Research.
    5. Nowak-Lehmann D., Felicitas & Herzer, Dierk & Siliverstovs, Boriss, 2005. "Export-Led Growth in Chile: Assessing the Role of Export Composition in Productivity Growth," Proceedings of the German Development Economics Conference, Kiel 2005 20, Verein für Socialpolitik, Research Committee Development Economics.
    6. Budina, Nina & Maliszewski, Wojciech & de Menil, Georges & Turlea, Geomina, 2006. "Money, inflation and output in Romania, 1992-2000," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 330-347, March.
    7. Miller, Stephen M. & Martins, Luis Filipe & Gupta, Rangan, 2019. "A Time-Varying Approach Of The Us Welfare Cost Of Inflation," Macroeconomic Dynamics, Cambridge University Press, vol. 23(2), pages 775-797, March.
    8. Herzer, Dierk & Nowak-Lehmann D., Felicitas, 2006. "Export Diversification, Externalities and Growth: Evidence for Chile," Proceedings of the German Development Economics Conference, Berlin 2006 12, Verein für Socialpolitik, Research Committee Development Economics.
    9. Kai Carstensen & Jan Hagen & Oliver Hossfeld & Abelardo Salazar Neaves, 2009. "Money Demand Stability And Inflation Prediction In The Four Largest Emu Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 56(1), pages 73-93, February.
    10. Herzer, Dierk & Nunnenkamp, Peter, 2013. "Private Donations, Government Grants, Commercial Activities, and Fundraising: Cointegration and Causality for NGOs in International Development Cooperation," World Development, Elsevier, vol. 46(C), pages 234-251.
    11. GARCIA-HIERNAUX, Alfredo & CERNO, Leonel, 2006. "Empirical Evidence For A Money Demand Function: A Panel Data Analysis Of 27 Countries In 1988-98," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1).
    12. Kirstin Hubrich & Peter J. G. Vlaar, 2000. "Germany and the Euro Area: Differences in the Transmission Process of Monetary Policy," Econometric Society World Congress 2000 Contributed Papers 1802, Econometric Society, revised 08 Nov 2000.
    13. Dierk Herzery & Holger Strulik & Sebastian Vollmer, 2010. "The Long-run Determinants of Fertility: One Century of Demographic Change 1900-1999," PGDA Working Papers 6310, Program on the Global Demography of Aging.
    14. Imke Brüggemann, 2003. "Measuring Monetary Policy in Germany: A Structural Vector Error Correction Approach," German Economic Review, Verein für Socialpolitik, vol. 4(3), pages 307-339, August.
    15. Dierk Herzer & Nowak-Lehnmann Felicitas, 2006. "What does export diversification do for growth? An econometric analysis," Applied Economics, Taylor & Francis Journals, vol. 38(15), pages 1825-1838.
    16. Ivo Arnold, 2003. "A Regional Analysis of German Money Demand Around Reunification with Implications for EMU," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 30(1), pages 63-80, March.
    17. Kumar, Saten & Webber, Don J., 2010. "Australasian money demand stability: Application of structural break tests," MPRA Paper 27569, University Library of Munich, Germany.
    18. Michael Graff, 2008. "The Quantity Theory of Money in Historical Perspective," KOF Working papers 08-196, KOF Swiss Economic Institute, ETH Zurich.
    19. Jane Binner & Rakesh Bissoondeeal & Thomas Elger & Alicia Gazely & Andrew Mullineux, 2005. "A comparison of linear forecasting models and neural networks: an application to Euro inflation and Euro Divisia," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 665-680.
    20. Brüggemann, Ralf, 2002. "On the small sample properties of weak exogeneity tests in cointegrated VAR models," SFB 373 Discussion Papers 2002,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    21. Eleftheriou, Maria, 2009. "Monetary policy in Germany: A cointegration analysis on the relevance of interest rate rules," Economic Modelling, Elsevier, vol. 26(5), pages 946-960, September.
    22. Benkwitz, Alexander & Lütkepohl, Helmut & Wolters, Jürgen, 1999. "Comparison of bootstrap confidence intervals for impulse responses of German monetary systems," SFB 373 Discussion Papers 1999,29, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    23. Kirstin Hubrich & Peter Vlaar, 2004. "Monetary transmission in Germany: Lessons for the Euro area," Empirical Economics, Springer, vol. 29(2), pages 383-414, May.
    24. Håvard Hungnes, 2005. "Identifying Structural Breaks in Cointegrated VAR Models," Discussion Papers 422, Statistics Norway, Research Department.
    25. Ernst Baltensperger & Thomas Jordan & Marcel Savioz, 2001. "The demand for M3 and inflation forecasts: An empirical analysis for Switzerland," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 137(2), pages 244-272, June.
    26. Błażejowski, Marcin & Kufel, Paweł & Kufel, Tadeusz & Kwiatkowski, Jacek & Osińska, Magdalena, 2018. "Model selection for modeling the demand for narrow money in transitional economies," MPRA Paper 90458, University Library of Munich, Germany.
    27. Rao, B. Bhaskara & Kumar, Saten, 2010. "Error-Correction Based Panel Estimates of the Demand for Money of Selected Asian Countries with the Extreme Bounds Analysis," MPRA Paper 27263, University Library of Munich, Germany.
    28. Magdalena Osinska & Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel & Jacek Kwiatkowski, 2020. "Narrow Money Demand in Indonesia and in Other Transitional Economies – Model Selection and Forecasting," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1291-1311.
    29. Matteo Barigozzi & Antonio Conti, 2010. "On the Sources of Euro Area Money Demand Stability. A Time-Varying Cointegration Analysis," Working Papers ECARES ECARES 2010-022, ULB -- Universite Libre de Bruxelles.
    30. Dierk Herzer & Felicitas Nowak-Lehmann D., 2004. "Export Diversification, Externalities and Growth," Ibero America Institute for Econ. Research (IAI) Discussion Papers 099, Ibero-America Institute for Economic Research.

  28. Jürgen Wolters & Timo Teräsvirta & Helmut Lütkepohl, 1998. "Modeling The Demand For M3 In The Unified Germany," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 399-409, August.
    See citations under working paper version above.
  29. Tullio, Giuseppe & Wolters, Jurgen, 1996. "Was London the Conductor of the International Orchestra or Just the Triangle Player? An Empirical Analysis of Asymmetries in Interest Rate Behaviour during the Classical Gold Standard, 1876-1913," Scottish Journal of Political Economy, Scottish Economic Society, vol. 43(4), pages 419-443, September.

    Cited by:

    1. Di Martino Paolo & Bagliano Fabio, 2022. "A dissonant violin in the international orchestra? Discount rate policy in Italy (1894-1913)," Working papers 077, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    2. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the bank of France's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/23, Free University Berlin, School of Business & Economics.
    3. Bordo, Michael D. & Schwartz, Anna J., 1999. "Monetary policy regimes and economic performance: The historical record," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 3, pages 149-234, Elsevier.
    4. Paul Hallwood & Ronald MacDonald, 2008. "International Money and Finance," Working papers 2008-02, University of Connecticut, Department of Economics.
    5. A'Hearn, Brian & Woitek, Ulrich, 2001. "More international evidence on the historical properties of business cycles," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 321-346, April.
    6. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the Reichsbank's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/22, Free University Berlin, School of Business & Economics.
    7. Tullio, Guiseppe & Wolters, Jürgen, 2004. "Domestic and international determinants of the Bank of England's liquidity ratios during the classical gold standard, 1876 - 1913: An econometric analysis," Discussion Papers 2004/27, Free University Berlin, School of Business & Economics.
    8. Paul Hallwood & Ronald MacDonald & Ian W. Marsh, 2000. "An Assessment of the Causes of the Abandonment of the Gold Standard by the U.S. in 1933," Southern Economic Journal, John Wiley & Sons, vol. 67(2), pages 448-459, October.

  30. Kirchgassner, Gebhard & Wolters, Jurgen, 1995. "Interest Rate Linkages in Europe before and after the Introduction of the European Monetary System: Some Empirical Results," Empirical Economics, Springer, vol. 20(3), pages 435-454.

    Cited by:

    1. Christian Jochum & Gebhard Kirchgässner & Mariusz Platek, 1999. "A long-run relationship between Eastern European stock markets? Cointegration and the 1997/98 crisis in emerging markets," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 454-479, September.
    2. J. James Reade & Ulrich Volz, 2011. "When You Got Nothing, You Got Nothing to Lose – Regional Monetary Integration and Policy Independence," Chapters, in: Ulrich Volz (ed.), Regional Integration, Economic Development and Global Governance, chapter 12, Edward Elgar Publishing.
    3. Giorgio Canarella & Stephen Miller & Stephen Pollard, 2011. "The Global Financial Crisis and Stochastic Convergence in the Euro Area," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(3), pages 315-333, August.
    4. Minoas Koukouritakis, 2016. "Eurozone Debt Crisis and Bond Yields Convergence: Evidence from the New EU Countries," Working Papers 1606, University of Crete, Department of Economics.
    5. Hassler Uwe & Werkmann Verena, 2014. "Multiple Comparisons and Joint Significance in Panel Unit Root Testing with Evidence on International Interest Rate Linkage," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 234(1), pages 23-43, February.
    6. M. Frömmel & R. Kruse, 2009. "Interest rate convergence in the EMS prior to European Monetary Union," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/610, Ghent University, Faculty of Economics and Business Administration.
    7. Reade, J. James & Volz, Ulrich, 2011. "Leader of the pack? German monetary dominance in Europe prior to EMU," Economic Modelling, Elsevier, vol. 28(1), pages 239-250.
    8. Gerd Hansen, 1996. "The domestic term structure and international interest rate linkages: A cointegration analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 132(4), pages 675-689, December.
    9. Devine, Máiréad, 1997. "The Cointegration of International Interest rates," Research Technical Papers 1/RT/97, Central Bank of Ireland.
    10. Kremer, Manfred, 1999. "Die Kapitalmarktzinsen in Deutschland und den USA: Wie eng ist der Zinsverbund? Eine Anwendung der multivariaten Kointegrationsanalyse," Discussion Paper Series 1: Economic Studies 1999,02, Deutsche Bundesbank.
    11. Lars P. Feld, 2017. "In memoriam: Gebhard Kirchgässner (April 15, 1948–April 1, 2017)," Public Choice, Springer, vol. 172(3), pages 305-310, September.

  31. Hassler, Uwe & Wolters, Jurgen, 1995. "Long Memory in Inflation Rates: International Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 37-45, January.

    Cited by:

    1. Franses, Ph.H.B.F. & Ooms, M. & Bos, C.S., 1998. "Long memory and level shifts: re-analysing inflation rates," Econometric Institute Research Papers EI 9811, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Morten Ø. Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration," Working Paper 1189, Economics Department, Queen's University.
    3. Carlos Barros & Luis Gil-Alana, 2012. "Inflation forecasting in Angola: a fractional approach," CEsA Working Papers 103, CEsA - Centre for African and Development Studies.
    4. John Barkoulas & Christopher Baum & Mustafa Caglayan, 1999. "Fractional monetary dynamics," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1393-1400.
    5. Philipp Sibbertsen & Robinson Kruse, 2009. "Testing for a break in persistence under long‐range dependencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 263-285, May.
    6. Uwe Hassler & Matei Demetrescu & Adina Tarcolea, 2011. "Asymptotic normal tests for integration in panels with cross-dependent units," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(2), pages 187-204, June.
    7. Maria Caporale, Guglielmo & A. Gil-Alana, Luis, 2011. "Multi-Factor Gegenbauer Processes and European Inflation Rates," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 26, pages 386-409.
    8. Claudio Morana & Fabio Cesare Bagliano, 2007. "Inflation and monetary dynamics in the USA: a quantity-theory approach," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 229-244.
    9. Luis Alberiko Gil-Alaña & Olanrewaju L. Shittu & OlaOluwa S. Yaya, 2011. "Long memory, strcutural breaks and mean shifts in the inflation rates in Nigeria," NCID Working Papers 04/2011, Navarra Center for International Development, University of Navarra.
    10. Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends in unobserved components models," Papers 2005.03988, arXiv.org, revised May 2020.
    11. Belbute, José, 2013. "Does final demand for energy in Portugal exhibit long memory?," MPRA Paper 45717, University Library of Munich, Germany.
    12. Kanchana Nadarajah & Gael M Martin & Donald S Poskitt, 2019. "Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach," Monash Econometrics and Business Statistics Working Papers 7/19, Monash University, Department of Econometrics and Business Statistics.
    13. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
    14. Zeynel Abidin Ozdemir, 2010. "Dynamics Of Inflation, Output Growth And Their Uncertainty In The Uk: An Empirical Analysis," Manchester School, University of Manchester, vol. 78(6), pages 511-537, December.
    15. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    16. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2022. "Globalization, long memory, and real interest rate convergence: a historical perspective," Empirical Economics, Springer, vol. 63(5), pages 2331-2355, November.
    17. Robinson Kruse & Philipp Sibbertsen, 2010. "Long memory and changing persistence," CREATES Research Papers 2010-42, Department of Economics and Business Economics, Aarhus University.
    18. Lanouar Charfeddine & Dominique Guegan, 2012. "Breaks or long memory behavior: An empirical investigation," PSE-Ecole d'économie de Paris (Postprint) hal-01314013, HAL.
    19. Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
    20. Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: A fractionally integrated SETAR model," Post-Print halshs-00185369, HAL.
    21. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 301-315, November.
    22. Andros Gregoriou & Alexandros Kontonikas, 2006. "Inflation Targeting And The Stationarity Of Inflation: New Results From An Estar Unit Root Test," Bulletin of Economic Research, Wiley Blackwell, vol. 58(4), pages 309-322, October.
    23. Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard, 2011. "About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis," Hannover Economic Papers (HEP) dp-469, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    24. Joseph E. Gagnon, 1997. "Inflation regimes and inflation expectations," International Finance Discussion Papers 581, Board of Governors of the Federal Reserve System (U.S.).
    25. Imene Mootamri & Mohamed Boutahar & Anne Peguin-Feissolle, 2008. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Post-Print halshs-00390134, HAL.
    26. John Barkoulas & Christopher Baum & Gurkan Oguz, 1998. "Stochastic long memory in traded goods prices," Applied Economics Letters, Taylor & Francis Journals, vol. 5(3), pages 135-138.
    27. Jesus Gonzalo & Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
    28. Manuel Gomez & Daniel Ventosa-Santaularia, 2007. "Inflation and breaks: the validity of the Dickey-Fuller test," Department of Economics and Finance Working Papers EM200601, Universidad de Guanajuato, Department of Economics and Finance.
    29. Palma, Wilfredo & Bondon, Pascal, 2003. "On the eigenstructure of generalized fractional processes," Statistics & Probability Letters, Elsevier, vol. 65(2), pages 93-101, November.
    30. Jinquan Liu & Tingguo Zheng & Jianli Sui, 2008. "Dual long memory of inflation and test of the relationship between inflation and inflation uncertainty," Psychometrika, Springer;The Psychometric Society, vol. 3(2), pages 240-254, June.
    31. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    32. Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, University Library of Munich, Germany.
    33. Guglielmo Maria Caporale & Luis Alberiko Gil‐Alana & Tommaso Trani, 2022. "On the persistence of UK inflation: A long‐range dependence approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 439-454, January.
    34. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
    35. Krishnankutty, Raveesh & Tiwari, Aviral Kumar, 2011. "Are the Bombay stock Exchange Sectoral indices of Indian stock market cointegrated? Evidence using fractional cointegration test," MPRA Paper 48590, University Library of Munich, Germany, revised 20 Dec 2011.
    36. van Dijk, Dick & Franses, Philip Hans & Paap, Richard, 2002. "A nonlinear long memory model, with an application to US unemployment," Journal of Econometrics, Elsevier, vol. 110(2), pages 135-165, October.
    37. Hyung, Namwon & Franses, Philip Hans & Penm, Jack, 2006. "Structural breaks and long memory in US inflation rates: Do they matter for forecasting?," Research in International Business and Finance, Elsevier, vol. 20(1), pages 95-110, March.
    38. Laura Mayoral, 2005. "The persistence of inflation in OECD countries: A fractionally integrated approach," Economics Working Papers 958, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2005.
    39. K. Nadarajah & Gael M. Martin & D.S. Poskitt, 2014. "Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes," Monash Econometrics and Business Statistics Working Papers 18/14, Monash University, Department of Econometrics and Business Statistics.
    40. Fredrik N. G. Andersson & Yushu Li, 2020. "Are Central Bankers Inflation Nutters? An MCMC Estimator of the Long-Memory Parameter in a State Space Model," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 529-549, February.
    41. Luis Alberiko Gil-Alaña & Shinhye Chang & Mehmet Balcilar & Goodness C. Aye & Rangan Gupta, 2015. "Persistence of precious metal prices: a fractional integration approach with structural breaks," NCID Working Papers 06/2015, Navarra Center for International Development, University of Navarra.
    42. Meller, Barbara & Nautz, Dieter, 2012. "Inflation persistence in the Euro area before and after the European Monetary Union," Economic Modelling, Elsevier, vol. 29(4), pages 1170-1176.
    43. Charles S. Bos & Philip Hans Franses & Marius Ooms, 2001. "Inflation, Forecast Intervals and Long Memory Regression Models," Tinbergen Institute Discussion Papers 01-029/4, Tinbergen Institute.
    44. Kon Lai, 1997. "On the disparate evidence on trend stationarity in inflation rates: a reappraisal," Applied Economics Letters, Taylor & Francis Journals, vol. 4(5), pages 305-309.
    45. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Long Memory and Fractional Integration in High-Frequency British Pound / Dollar Spot Exchange Rates," Faculty Working Papers 02/11, School of Economics and Business Administration, University of Navarra.
    46. L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society.
    47. Mateo Isoardi & Luis A. Gil-Alana, 2019. "Inflation in Argentina: Analysis of Persistence Using Fractional Integration," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 45(2), pages 204-223, April.
    48. Taner Yigit, 2007. "Inflation Targeting : An Indirect Approach to Assess the Direct Impact," Working Papers 0706, Department of Economics, Bilkent University.
    49. Hassler, Uwe & Hosseinkouchack, Mehdi, 2014. "Effect of the order of fractional integration on impulse responses," Economics Letters, Elsevier, vol. 125(2), pages 311-314.
    50. David Demery & Nigel Duck, 2002. "Cointegration-based tests of the New Keynesian Model of inflation," Bristol Economics Discussion Papers 02/541, School of Economics, University of Bristol, UK.
    51. Costas Milas & Theologos Dergiades & Theodore Panagiotidis & Georgios Papapanagiotou, 2024. "An assessment of inflation targeting," Working Paper series 24-12, Rimini Centre for Economic Analysis.
    52. Rinke, Saskia & Busch, Marie & Leschinski, Christian, 2017. "Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates," Hannover Economic Papers (HEP) dp-584, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    53. Ramos-Requena, J.P. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A., 2017. "Introducing Hurst exponent in pair trading," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 488(C), pages 39-45.
    54. Terence Tai-Leung, Chong, 1998. "Estimating the Differencing Parameter Via the Partial Autocorrelation Function," Departmental Working Papers _088, Chinese University of Hong Kong, Department of Economics.
    55. Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS ds010101, Universidad Carlos III de Madrid. Departamento de Estadística.
    56. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009. "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers 03/09, School of Economics and Business Administration, University of Navarra.
    57. Lee, Jin, 2005. "Estimating memory parameter in the US inflation rate," Economics Letters, Elsevier, vol. 87(2), pages 207-210, May.
    58. Christopher F. Baum & John Barkoulas & Mustafa Caglayan, 1996. "Persistence in International Inflation Rates," Boston College Working Papers in Economics 333., Boston College Department of Economics.
    59. Gadea, Maria Dolores & Sabate, Marcela & Serrano, Jose Maria, 2004. "Structural breaks and their trace in the memory: Inflation rate series in the long-run," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 117-134, April.
    60. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2018. "Monetary policy shocks, inflation persistence, and long memory," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 117-127.
    61. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
    62. Richard T. Baillie & Young Wook Han & Tae‐Go Kwon, 2002. "Further Long Memory Properties of Inflationary Shocks," Southern Economic Journal, John Wiley & Sons, vol. 68(3), pages 496-510, January.
    63. Luis A. Gil-Alana, 2006. "Fractional integration and structural breaks at unknown periods of time," Faculty Working Papers 16/06, School of Economics and Business Administration, University of Navarra.
    64. Michael J Moore; & Maurice Roche, 1995. "Liquidity in the Forward Exchange Market," Economics Department Working Paper Series n580795, Department of Economics, National University of Ireland - Maynooth.
    65. Man, K. S., 2003. "Long memory time series and short term forecasts," International Journal of Forecasting, Elsevier, vol. 19(3), pages 477-491.
    66. Epaminondas Panas & Vassilia Ninni, 2010. "The Distribution of London Metal Exchange Prices: A Test of the Fractal Market Hypothesis," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 192-210.
    67. Mark J. Jensen, 1999. "An Approximate Wavelet MLE of Short- and Long-Memory Parameters," Computing in Economics and Finance 1999 1243, Society for Computational Economics.
    68. Boubaker Heni & Canarella Giorgio & Gupta Rangan & Miller Stephen M., 2017. "Time-varying persistence of inflation: evidence from a wavelet-based approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.
    69. Arteche, Josu & Orbe, Jesus, 2009. "Using the bootstrap for finite sample confidence intervals of the log periodogram regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1940-1953, April.
    70. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
    71. Jozef Barunik & Lukas Vacha, 2023. "The Dynamic Persistence of Economic Shocks," Papers 2306.01511, arXiv.org.
    72. Mohamed Boutahar, 2010. "Behaviour of skewness, kurtosis and normality tests in long memory data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(2), pages 193-215, June.
    73. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Persistence and Structural Breaks: The Experience of Inflation Targeting Countries and the US," Working papers 2016-11, University of Connecticut, Department of Economics.
    74. Smallwood Aaron D, 2005. "Joint Tests for Non-linearity and Long Memory: The Case of Purchasing Power Parity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-30, June.
    75. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, October.
    76. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2015. "Modelling African inflation rates: nonlinear deterministic terms and long-range dependence," Applied Economics Letters, Taylor & Francis Journals, vol. 22(5), pages 421-424, March.
    77. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    78. Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, September.
    79. Ahdi Ajmi & Adnen Ben Nasr & Mohamed Boutahar, 2008. "Seasonal Nonlinear Long Memory Model for the US Inflation Rates," Computational Economics, Springer;Society for Computational Economics, vol. 31(3), pages 243-254, April.
    80. Leïla Nouira & Mohamed Boutahar & Vêlayoudom Marimoutou, 2009. "The effect of tapering on the semiparametric estimators for nonstationary long memory processes," Statistical Papers, Springer, vol. 50(2), pages 225-248, March.
    81. Juan José Echavarría S. & Enrique López E. & Martha Misas A., 2010. "La persistencia estadística de la inflación en Colombia," Borradores de Economia 7573, Banco de la Republica.
    82. Uwe Hassler & Francesc Marmol & C. Velasco, 2000. "Fractional Cointegrating Regression In The Presence Of Linear Time Trends," Computing in Economics and Finance 2000 138, Society for Computational Economics.
    83. Ooms, M. & Hassler, U., 1996. "A Note on the Effect of Seasonal Dummies on the Periodogram Regression," Econometric Institute Research Papers EI 9629-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    84. John Barkoulas & Christopher F. Baum, 2003. "Long-Memory Forecasting of U.S. Monetary Indices," Boston College Working Papers in Economics 558, Boston College Department of Economics.
    85. Godday Uwawunkonye Ebuh & Afees Salisu & Victor Oboh & Nuruddeen Usman, 2023. "A test for the contributions of urban and rural inflation to inflation persistence in Nigeria," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 16(2), pages 222-246, May.
    86. Uwe Hassler, 2011. "Estimation of fractional integration under temporal aggregation," Post-Print hal-00815563, HAL.
    87. Robinson Kruse & Christoph Wegener, 2019. "Explosive behaviour and long memory with an application to European bond yield spreads," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 139-153, February.
    88. Christophe Andre & Mehmet Balcilar & Tsangyao Chang & Luis Alberiko Gil-Alana & Rangan Gupta, 2018. "Current account sustainability in G7 and BRICS: Evidence from a long-memory model with structural breaks," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 27(6), pages 638-654, August.
    89. Martins, Luis F. & Rodrigues, Paulo M.M., 2014. "Testing for persistence change in fractionally integrated models: An application to world inflation rates," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 502-522.
    90. Wilfredo Palma & Ngai Hang Chan, 2005. "Efficient Estimation of Seasonal Long‐Range‐Dependent Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 863-892, November.
    91. Kramer, Walter & Hassler, Uwe, 1998. "Limiting efficiency of OLS vs. GLS when regressors are fractionally integrated," Economics Letters, Elsevier, vol. 60(3), pages 285-290, September.
    92. Richard T. Baille & Claudio Morana, 2009. "Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach," ICER Working Papers - Applied Mathematics Series 06-2009, ICER - International Centre for Economic Research.
    93. Georgios P. Kouretas & Mark E. Wohar, 2012. "The dynamics of inflation: a study of a large number of countries," Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2001-2026, June.
    94. Luis A. Gil-Alana & Andrea Mervar & James E. Payne, 2017. "The stationarity of inflation in Croatia: anti-inflation stabilization program and the change in persistence," Economic Change and Restructuring, Springer, vol. 50(1), pages 45-58, February.
    95. Uwe Hassler & Barbara Meller, 2014. "Detecting multiple breaks in long memory the case of U.S. inflation," Empirical Economics, Springer, vol. 46(2), pages 653-680, March.
    96. Strohsal, Till & Winkelmann, Lars, 2015. "Assessing the anchoring of inflation expectations," Journal of International Money and Finance, Elsevier, vol. 50(C), pages 33-48.
    97. Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2018. "Long-Memory Modeling and Forecasting: Evidence from the U.S. Historical Series of Inflation," Working Papers 201869, University of Pretoria, Department of Economics.
    98. Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73.
    99. Granville, Brigitte & Zeng, Ning, 2019. "Time variation in inflation persistence: New evidence from modelling US inflation," Economic Modelling, Elsevier, vol. 81(C), pages 30-39.
    100. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
    101. Benjamin J. C. Kim & David Karemera, 2006. "Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 369-380.
    102. Anju Bala & Kapil Gupta, 2020. "Examining The Long Memory In Stock Returns And Liquidity In India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 25-43.
    103. Baillie, Richard T. & Morana, Claudio, 2012. "Adaptive ARFIMA models with applications to inflation," Economic Modelling, Elsevier, vol. 29(6), pages 2451-2459.
    104. Heni Boubaker, 2016. "A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 693-731, December.
    105. Jayadev, Arjun, 2006. "Differing preferences between anti-inflation and anti-unemployment policy among the rich and the poor," Economics Letters, Elsevier, vol. 91(1), pages 67-71, April.
    106. Katsumi Shimotsu, 2006. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Paper 1061, Economics Department, Queen's University.
    107. Meller, Barbara & Nautz, Dieter, 2009. "The impact of the European Monetary Union on inflation persistence in the Euro area," SFB 649 Discussion Papers 2009-037, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    108. Cheung, Ying Lun, 2020. "Nonstationarity-extended Whittle estimation with discontinuity: A correction," Economics Letters, Elsevier, vol. 187(C).
    109. Ben Nasr, Adnen & Trabelsi, Abdelwahed, 2005. "Seasonal and Periodic Long Memory Models in the In�ation Rates," MPRA Paper 22690, University Library of Munich, Germany, revised 03 Feb 2006.
    110. Ooms, Marius & Hassler, Uwe, 1997. "On the effect of seasonal adjustment on the log-periodogram regression," Economics Letters, Elsevier, vol. 56(2), pages 135-141, October.
    111. Uwe Hassler & Francesc Marmol & Carlos Velasco, 2008. "Fractional cointegration in the presence of linear trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1088-1103, November.
    112. Giovanni Caggiano & Efrem Castelnuovo, 2008. "Long Memory and Non-Linearities in International Inflation," "Marco Fanno" Working Papers 0076, Dipartimento di Scienze Economiche "Marco Fanno".
    113. Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009. "Forecasting long memory time series under a break in persistence," CREATES Research Papers 2009-53, Department of Economics and Business Economics, Aarhus University.
    114. Richard T. Baillie & George Kapetanios, 2005. "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers 528, Queen Mary University of London, School of Economics and Finance.
    115. Dräger, Lena & Kolaiti, Theoplasti & Sibbertsen, Philipp, 2020. "Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory," Hannover Economic Papers (HEP) dp-675, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, revised Feb 2021.
    116. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2017. "Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques," Discussion Papers of DIW Berlin 1667, DIW Berlin, German Institute for Economic Research.
    117. Tobias Hartl, 2020. "Macroeconomic Forecasting with Fractional Factor Models," Papers 2005.04897, arXiv.org.
    118. Mboya, Mwasi & Sibbertsen, Philipp, 2022. "Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory," Hannover Economic Papers (HEP) dp-705, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    119. Bob Nobay & Ivan Paya & David A. Peel, 2007. "Inflation Dynamics in the US -A Nonlinear Perspective," FMG Discussion Papers dp601, Financial Markets Group.
    120. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho.
    121. Paul, R.K., 2014. "Forecasting Wholesale Price of Pigeon Pea Using Long Memory Time-Series Models," Agricultural Economics Research Review, Agricultural Economics Research Association (India), vol. 27(2).
    122. Pan, Ming-Shiun & Liu, Y. Angela, 1999. "Fractional cointegration, long memory, and exchange rate dynamics," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 305-316, September.
    123. Conrad, C. & Karanasos, M., 2005. "On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach," Japan and the World Economy, Elsevier, vol. 17(3), pages 327-343, August.
    124. Mark J. Jensen, 2009. "The Long-Run Fisher Effect: Can It Be Tested?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(1), pages 221-231, February.
    125. Cheng-Feng Lee & Ching-Chuan Tsong, 2012. "A revisit on real interest rate parity hypothesis -- simulation evidence from efficient unit root tests," Applied Economics, Taylor & Francis Journals, vol. 44(24), pages 3089-3099, August.
    126. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Trinidad Segovia, J.E., 2013. "Measuring the self-similarity exponent in Lévy stable processes of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5330-5345.
    127. Shimotsu, Katsumi, 2002. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Economics Discussion Papers 8844, University of Essex, Department of Economics.
    128. Pierre L Siklos, 2010. "Relative Price Shocks, Inflation Expectations, and the Role of Monetary Policy," RBA Annual Conference Volume (Discontinued), in: Renée Fry & Callum Jones & Christopher Kent (ed.),Inflation in an Era of Relative Price Shocks, Reserve Bank of Australia.
    129. Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends and cycles in macroeconomic time series," Papers 2005.05266, arXiv.org, revised May 2020.
    130. Mustapha Belkhouja & Mohamed Boutahar, 2009. "Structural Change and Long Memory in the Dynamic of U.S. Inflation Process," Computational Economics, Springer;Society for Computational Economics, vol. 34(2), pages 195-216, September.
    131. Aaron Smallwood, 2004. "Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity," Computing in Economics and Finance 2004 23, Society for Computational Economics.
    132. Basma Bekdache & Christopher F. Baum, 2000. "A re-evaluation of empirical tests of the Fisher hypothesis," Boston College Working Papers in Economics 472, Boston College Department of Economics.
    133. Lovcha, Yuliya & Pérez Laborda, Àlex, 2013. "A fractionally integrated approach to monetary policy and inflation dynamics," Working Papers 2072/211795, Universitat Rovira i Virgili, Department of Economics.
    134. Haldrup, Niels & Nielsen, Morten Orregaard, 2007. "Estimation of fractional integration in the presence of data noise," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3100-3114, March.
    135. Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November.
    136. Hassler Uwe & Demetrescu Matei, 2005. "Spurious Persistence and Unit Roots due to Seasonal Differencing: The Case of Inflation Rates / Künstliche Persistenz und Einheitswurzeln infolge saisonaler Differenzen: Das Beispiel Inflationsraten," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(4), pages 413-426, August.
    137. Liu, Jian & Cheng, Cheng & Yang, Xianglin & Yan, Lizhao & Lai, Yongzeng, 2019. "Analysis of the efficiency of Hong Kong REITs market based on Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
    138. M. Shelton Peiris & Manabu Asai, 2016. "Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited," Econometrics, MDPI, vol. 4(3), pages 1-21, September.
    139. Seong Yeon Chang & Pierre Perron, 2017. "Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses," Econometrics, MDPI, vol. 5(1), pages 1-26, January.
    140. Mohamed Boutahar, 2006. "Limiting distribution of the least squaresestimates in polynomial regression with longmemory noises," Working Papers halshs-00409571, HAL.
    141. Franses,Philip Hans & Dijk,Dick van & Opschoor,Anne, 2014. "Time Series Models for Business and Economic Forecasting," Cambridge Books, Cambridge University Press, number 9780521817707, October.
    142. Franses, Philip Hans & Ooms, Marius, 1997. "A periodic long-memory model for quarterly UK inflation," International Journal of Forecasting, Elsevier, vol. 13(1), pages 117-126, March.
    143. Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor & Francis Journals, vol. 17(2), pages 95-116.
    144. Jesús Clemente & María Dolores Gadea & Antonio Montañés & Marcelo Reyes, 2017. "Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries," Econometrics, MDPI, vol. 5(1), pages 1-17, February.
    145. Vasilios Plakandaras & Periklis Gogas & Rangan Gupta & Theophilos Papadimitriou, 2015. "US inflation dynamics on long-range data," Applied Economics, Taylor & Francis Journals, vol. 47(36), pages 3874-3890, August.
    146. Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
    147. Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias, 2013. "ECB monetary policy surprises: identification through cojumps in interest rates," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79721, Verein für Socialpolitik / German Economic Association.
    148. Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005. "Long-memory dynamics in a SETAR model - applications to stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 391-406, December.
    149. Cheung, Yin-Wong & Chung, Sang-Kuck, 2009. "A Long Memory Model with Mixed Normal GARCH for US Inflation Data," Santa Cruz Department of Economics, Working Paper Series qt2202s99q, Department of Economics, UC Santa Cruz.
    150. Davide Delle Monache & Stefano Grassi & Paolo Santucci de Magistris, 2017. "Does the ARFIMA really shift?," CREATES Research Papers 2017-16, Department of Economics and Business Economics, Aarhus University.
    151. Grassi, Stefano & Santucci de Magistris, Paolo, 2014. "When long memory meets the Kalman filter: A comparative study," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 301-319.
    152. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
    153. Antonakakis, Nikolaos & Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2016. "Is inflation persistence different in reality?," Economics Letters, Elsevier, vol. 148(C), pages 55-58.
    154. López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.
    155. Saeed Heravi & Kerry Patterson, 2005. "Optimal And Adaptive Semi‐Parametric Narrowband And Broadband And Maximum Likelihood Estimation Of The Long‐Memory Parameter For Real Exchange Rates," Manchester School, University of Manchester, vol. 73(2), pages 165-213, March.
    156. Hassler, Uwe, 2012. "Impulse responses of antipersistent processes," Economics Letters, Elsevier, vol. 116(3), pages 454-456.
    157. Yin-Wong Cheung & Sang-Kuck Chung, 2011. "A Long Memory Model with Normal Mixture GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 517-539, November.
    158. Belkhouja, Mustapha & Mootamri, Imene, 2016. "Long memory and structural change in the G7 inflation dynamics," Economic Modelling, Elsevier, vol. 54(C), pages 450-462.
    159. Georgios Bampinas & Panagiotis Konstantinou & Theodore Panagiotidis, 2021. "Reassessing the inflation uncertainty‐inflation relationship in the tails," Bulletin of Economic Research, Wiley Blackwell, vol. 73(4), pages 508-534, October.
    160. Wang, Xuerui & Li, Xiangyu & Li, Shaoting, 2022. "Point and interval forecasting system for crude oil price based on complete ensemble extreme-point symmetric mode decomposition with adaptive noise and intelligent optimization algorithm," Applied Energy, Elsevier, vol. 328(C).
    161. Linzert Tobias, 2004. "Sources of German Unemployment: Evidence from a Structural VAR Model / Die Hintergründe deutscher Arbeitslosigkeit: Evidenz von einem Strukturellen VAR," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(3), pages 317-336, June.
    162. Russell Smyth, 2012. "Are fluctuations in energy variables permanent or transitory? A survey of the literature on the integration properties of energy consumption and production," Monash Economics Working Papers 04-12, Monash University, Department of Economics.
    163. Agnieszka Leszczynska & Katarzyna Hertel, 2013. "Inflation persistence – a disaggregated approach," EcoMod2013 5692, EcoMod.
    164. Robert A. Connolly & Z. Nuray Güner & Kenneth N. Hightower, 2007. "Evidence on the Extent and Potential Sources of Long Memory in U.S. Treasury Security Returns and Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 689-702, March.
    165. Sibbertsen, Philipp & Wenger, Kai & Wingert, Simon, 2020. "Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series," Hannover Economic Papers (HEP) dp-676, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    166. Luis A. Gil-Alana, 2005. "Testing and forecasting the degree of integration in the US inflation rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(3), pages 173-187.
    167. Arteche, J. & Orbe, J., 2005. "Bootstrapping the log-periodogram regression," Economics Letters, Elsevier, vol. 86(1), pages 79-85, January.
    168. Mohamed Boutahar & Mustapha Belkhouja, 2007. "Le Changement Structurel Dans Un Environnement Mémoire Longue," Working Papers halshs-00352610, HAL.
    169. Chen, Shyh-Wei & Hsu, Chi-Sheng, 2016. "Threshold, smooth transition and mean reversion in inflation: New evidence from European countries," Economic Modelling, Elsevier, vol. 53(C), pages 23-36.
    170. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2013. "Asymmetric and Time-Varying Causality between Inflation and Inflation Uncertainty in G-7 Countries," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 1-42, February.
    171. Sánchez Granero, M.A. & Trinidad Segovia, J.E. & García Pérez, J., 2008. "Some comments on Hurst exponent and the long memory processes on capital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5543-5551.
    172. Chih-Chiang Hsu, 2000. "Long Memory or Structural Change: Testing Method and Empirical Examination," Econometric Society World Congress 2000 Contributed Papers 0867, Econometric Society.
    173. Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Targeting: New Evidence from Fractional Integration and Cointegration," Working papers 2016-08, University of Connecticut, Department of Economics.
    174. Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias, 2013. "ECB monetary policy surprises: Identification through cojumps in interest rates," SFB 649 Discussion Papers 2013-038, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    175. Uwe Hassler & Marc-Oliver Pohle, 2019. "Forecasting under Long Memory and Nonstationarity," Papers 1910.08202, arXiv.org.
    176. Chu Shiou-Yen & Shane Christopher, 2017. "Using the hybrid Phillips curve with memory to forecast US inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-16, September.
    177. Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    178. Linzert, Tobias, 2001. "Sources of German unemployment: evidence from a structural VAR model," ZEW Discussion Papers 01-41, ZEW - Leibniz Centre for European Economic Research.
    179. A. Gómez-Águila & J. E. Trinidad-Segovia & M. A. Sánchez-Granero, 2022. "Improvement in Hurst exponent estimation and its application to financial markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-21, December.
    180. Li, Ruixue & Wang, Jiang & Chen, Yingyuan, 2018. "Effect of the signal filtering on detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 446-453.
    181. Steigerwald, Douglas G., 1996. "Purchasing power parity, unit roots, and dynamic structure," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 343-357, February.
    182. Guillermo Ferreira & Jorge Mateu & Jose A. Vilar & Joel Muñoz, 2021. "Bootstrapping regression models with locally stationary disturbances," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(2), pages 341-363, June.
    183. Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2019. "A novel approach to detect volatility clusters in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    184. Linzert, Tobias & Winkelmann, Lars & Bibinger, Markus, 2014. "ECB monetary policy surprises: identification through cojumps in interest rates," Working Paper Series 1674, European Central Bank.
    185. G. K. Randolph TAN, 2004. "Long Memory in Import and Export Price Inflation and Persistence of Shocks to the Terms of Trade," Econometric Society 2004 Far Eastern Meetings 732, Econometric Society.
    186. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
    187. Morana Claudio, 2002. "Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(3), pages 1-40, November.
    188. Abidin Ozdemir, Zeynel & Fisunoglu, Mahir, 2008. "On the inflation-uncertainty hypothesis in Jordan, Philippines and Turkey: A long memory approach," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 1-12.
    189. Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2007. "An exponential FISTAR model applied to the US real effective exchange rate," Working Papers halshs-00353836, HAL.
    190. Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.
    191. Borja Balparda & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2017. "The fisher relationship in Nigeria," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(2), pages 343-353, April.
    192. Luis A. Gil-Alana & Yadollah Dadgar & Rouhollah Nazari, 2019. "Iranian inflation: peristence and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(2), pages 398-408, April.

  32. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May.

    Cited by:

    1. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
    2. Nuruddeen Usman & Kodili Nwanneka & Nduka, 2023. "Announcement Effect of COVID-19 on Cryptocurrencies," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 3(3), pages 1-4.
    3. Luis A. Gil-Alana & James Payne & David Loomis, 2010. "Does energy consumption by the US electric power secto exhibit long memory behaviour?," Faculty Working Papers 04/10, School of Economics and Business Administration, University of Navarra.
    4. Luis A. Gil-Alana & Rangan Gupta, 2013. "Persistence and Cycles in Historical Oil Prices Data," Working Papers 201375, University of Pretoria, Department of Economics.
    5. Galán-Gutiérrez, Juan Antonio & Martín-García, Rodrigo, 2021. "Cointegration between the structure of copper futures prices and Brexit," Resources Policy, Elsevier, vol. 71(C).
    6. Uwe Hassler & Matei Demetrescu & Adina Tarcolea, 2011. "Asymptotic normal tests for integration in panels with cross-dependent units," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(2), pages 187-204, June.
    7. Juan Infante & Marta Rio & Luis A. Gil-Alana, 2023. "Measuring Persistence in the US Equity Gender Diversity Index," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 167(1), pages 175-182, June.
    8. Luis A. Gil-Alana & Juncal Cunado & Rangan Gupta, 2015. "Persistence, Mean-Reversion and Non-Linearities in Infant Mortality Rates," Working Papers 201574, University of Pretoria, Department of Economics.
    9. Luis Alberiko Gil-Alana & Antonio Moreno, 2006. "Technology Shocks and Hours Worked: A Fractional Integration Perspective," Faculty Working Papers 03/06, School of Economics and Business Administration, University of Navarra.
    10. João Ricardo Faria & Juan Carlos Cuestas & Luis Gil-Alana & Estefania Mourelle, 2021. "Self-employment by gender in the EU: convergence and clusters," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(3), pages 717-741, August.
    11. Krämer, Walter, 1997. "Kointegration von Aktienkursen," Technical Reports 1997,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    12. Cuñado, J. & Gil-Alana, L.A. & Perez de Gracia, F., 2012. "Testing for persistent deviations of stock prices to dividends in the Nasdaq index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4675-4685.
    13. Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2009. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77562, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    14. George, Halkos & Ilias, Kevork, 2005. "Το Υπόδειγμα Τυχαίου Περιπάτου Με Αυτοπαλίνδρομα Σφάλματα [The random walk model with autoregressive errors]," MPRA Paper 33312, University Library of Munich, Germany.
    15. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
    16. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2015. "Infant mortality rates: time trends and fractional integration," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 589-602, March.
    17. Limam Imed, 2003. "Is Long Memory a Property of Thin Stock Markets? International Evidence Using Arab Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 1(3), pages 56-71, December.
    18. Jesús Tomás Monge Moreno & Manuel Monge, 2023. "Coronavirus, Vaccination and the Reaction of Consumer Sentiment in The United States: Time Trends and Persistence Analysis," Mathematics, MDPI, vol. 11(8), pages 1-8, April.
    19. Lima, Luiz Renato & Notini, Hilton Hostalácio & Reis Gomes, Fábio Augusto, 2010. "Empirical Evidence on Convergence Across Brazilian States," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 64(2), June.
    20. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2017. "Central Bank Policy Rates: Are they Cointegrated?," CESifo Working Paper Series 6389, CESifo.
    21. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2015. "The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis," Discussion Papers of DIW Berlin 1486, DIW Berlin, German Institute for Economic Research.
    22. Carlos P. Barros & Luis A. Gil-Alana, 2013. "The Housing Markets in Spain and Portugal: Evidence of Persistence," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 19-32, November.
    23. Hector Carcel & Luis A. Gil-Alana, 2018. "Inflation analysis in the Central American Monetary Council," Empirical Economics, Springer, vol. 54(2), pages 547-565, March.
    24. Jesus Gonzalo & Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
    25. Benjamin M. Tabak, 2007. "Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(3), pages 231-246, November.
    26. Guglielmo Caporale & Luis Gil-Alana, 2016. "Persistence and cyclical dependence in the monthly euribor rate," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 157-171, January.
    27. Monge, Manuel & Cristóbal, Enrique, 2021. "Terrorism and the behavior of oil production and prices in OPEC," Resources Policy, Elsevier, vol. 74(C).
    28. Monge, Manuel & Gil-Alana, Luis A., 2021. "Lithium industry and the U.S. crude oil prices. A fractional cointegration VAR and a Continuous Wavelet Transform analysis," Resources Policy, Elsevier, vol. 72(C).
    29. Carcel Hector & Gil-Alana Luis A. & Madigu Godfrey, 2015. "Inflation Convergence in the East African Community: A Fractional Integration and Cointegration Study," Global Economy Journal, De Gruyter, vol. 15(4), pages 507-524, December.
    30. Bisaglia, Luisa & Procidano, Isabella, 2002. "On the power of the Augmented Dickey-Fuller test against fractional alternatives using bootstrap," Economics Letters, Elsevier, vol. 77(3), pages 343-347, November.
    31. Christian Fischer & Luis Gil-Alana, 2009. "The nature of the relationship between international tourism and international trade: the case of German imports of Spanish wine," Applied Economics, Taylor & Francis Journals, vol. 41(11), pages 1345-1359.
    32. Bond, Derek & Harrison, Michael J & O’Brien, Edward J., 2006. "Testing for Long Memory and Nonlinear Time Series: A Demand for Money Study," Research Technical Papers 2/RT/06, Central Bank of Ireland.
    33. Abdou Kâ Diongue & Dominique Guegan, 2008. "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00259225, HAL.
    34. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 364-375, October.
    35. Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047, July.
    36. George A. Vamvoukas, 2007. "Trade Liberalization and Economic Expansion: A Sensitivity Analysis," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 5(1), pages 71-88.
    37. Marmol, Francesc, 1998. "Searching for fractional evidence using combined unit root tests," DES - Working Papers. Statistics and Econometrics. WS 10613, Universidad Carlos III de Madrid. Departamento de Estadística.
    38. Francis X. Diebold & Glenn D. Rudebusch, 2001. "Five questions about business cycles," Economic Review, Federal Reserve Bank of San Francisco, pages 1-15.
    39. Guglielmo Maria Caporale & Luis A. Gil-Alana & C. James Orlando, 2015. "Linkages between the US and European Stock Markets: A Fractional Cointegration Approach," CESifo Working Paper Series 5523, CESifo.
    40. Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko & Puertolas, Francisco, 2024. "Modelling profitability of private equity: A fractional integration approach," Research in International Business and Finance, Elsevier, vol. 67(PA).
    41. Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
    42. Rolando Peláez, 2012. "The housing bubble in real-time: the end of innocence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 36(1), pages 211-225, January.
    43. Kramer, Walter, 1998. "Fractional integration and the augmented Dickey-Fuller Test," Economics Letters, Elsevier, vol. 61(3), pages 269-272, December.
    44. Pérez, Ana, 2001. "Modelos de memoria larga para series económicas y financieras," DES - Documentos de Trabajo. Estadística y Econometría. DS ds010101, Universidad Carlos III de Madrid. Departamento de Estadística.
    45. Manuel Monge & Ana Lazcano, 2022. "Commodity Prices after COVID-19: Persistence and Time Trends," Risks, MDPI, vol. 10(6), pages 1-20, June.
    46. Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2014. "The relationship between oil prices and the Nigerian stock market. An analysis based on fractional integration and cointegration," Energy Economics, Elsevier, vol. 46(C), pages 328-333.
    47. Luis A. Gil-Alana & OlaOluwa S. Yaya, 2021. "Testing fractional unit roots with non-linear smooth break approximations using Fourier functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 48(13-15), pages 2542-2559, November.
    48. Guglielmo Maria Caporale & Marinko Skare, 2014. "Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis," Discussion Papers of DIW Berlin 1395, DIW Berlin, German Institute for Economic Research.
    49. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor & Francis Journals, vol. 20(2), pages 217-234.
    50. Agnese, Pablo & Garcia-del-Barrio, Pedro & Gil-Alana, Luis A. & de Gracia, Fernando Perez, 2023. "Precious Metal Prices: A Tale of Four U.S. Recessions," IZA Discussion Papers 16012, Institute of Labor Economics (IZA).
    51. C. P. Barros & Luis A. Gil-Alana, 2015. "Investment and saving in Angola and the Feldstein-Horioka puzzle," Applied Economics, Taylor & Francis Journals, vol. 47(44), pages 4793-4800, March.
    52. Jim Granato & Melody Lo & M. C. Sunny Wong, 2006. "Testing Monetary Policy Intentions in Open Economies," Southern Economic Journal, John Wiley & Sons, vol. 72(3), pages 730-746, January.
    53. Barros, Carlos Pestana & Gil-Alana, Luis A. & Payne, James E., 2011. "An analysis of oil production by OPEC countries: Persistence, breaks, and outliers," Energy Policy, Elsevier, vol. 39(1), pages 442-453, January.
    54. OlaOluwa S. Yaya & Nurudeen Abu & Tayo P. Ogundunmade, 2021. "Economic policy uncertainty in G7 countries: evidence of long-range dependence and cointegration," Economic Change and Restructuring, Springer, vol. 54(2), pages 541-556, May.
    55. Eisinga, Rob & Franses, Philip Hans & Ooms, Marius, 1999. "Forecasting long memory left-right political orientations," International Journal of Forecasting, Elsevier, vol. 15(2), pages 185-199, April.
    56. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Asl, Mahdi Ghaemi & Jalalifar, Saba, 2021. "Financing the green projects: Market efficiency and volatility persistence of green versus conventional bonds, and the comparative effects of health and financial crises," International Review of Financial Analysis, Elsevier, vol. 78(C).
    57. Mehmet Balcilar & Zeynel Abidin Ozdemir & Esin Cakan, 2015. "Structural Breaks, Long Memory, or Unit Roots in Stock Prices: Evidence from Emerging Markets," International Econometric Review (IER), Econometric Research Association, vol. 7(1), pages 13-33, April.
    58. Manmohan S. Kumar & Tatsuyoshi Okimoto, 2007. "Dynamics of Persistence in International Inflation Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1457-1479, September.
    59. Luis A. Gil-Alana & Rangan Gupta & Olanrewaju I. Shittu & OlaOluwa S. Yaya, 2016. "Market Efficiency of Baltic Stock Markets: A Fractional Integration Approach," Working Papers 201617, University of Pretoria, Department of Economics.
    60. Luis A. Gil-Alana & Sakiru Adebola Solarin & Rangan Gupta, 2021. "Productivity and GDP: International Evidence of Persistence and Trends Over 130 Years of Data," Working Papers 202170, University of Pretoria, Department of Economics.
    61. Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2633-2654, October.
    62. Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018. "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper 90518, University Library of Munich, Germany.
    63. Luis A. Gil-Alana & Rolando Pelaez, 2008. "The Persistence of Earnings per Share," Faculty Working Papers 08/08, School of Economics and Business Administration, University of Navarra.
    64. Monge, Manuel, 2021. "U.S. historical initial jobless claims. Is it different with the coronavirus crisis? A fractional integration analysis," International Economics, Elsevier, vol. 167(C), pages 88-95.
    65. Goodness C. Aye & Luis A. Gil-Alana & Rangan Gupta & Mark Wohar, 2016. "The Efficiency of the Art Market: Evidence from Variance Ratio Tests, Linear and Nonlinear Fractional Integration Approaches," Working Papers 201610, University of Pretoria, Department of Economics.
    66. OlaOluwa S. Yaya & Xuan Vinh Vo & Ahamuefula E. Ogbonna & Adeolu O. Adewuyi, 2022. "Modelling cryptocurrency high–low prices using fractional cointegrating VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 489-505, January.
    67. George Halkos & Ilias Kevork, 2005. "A comparison of alternative unit root tests," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(1), pages 45-60.
    68. Yaya, OlaOluwa S. & Ling, Pui Kiew & Furuoka, Fumitaka & Rose Ezeoke, Chinyere Mary & Jacob, Ray Ikechukwu, 2019. "Can West African countries catch up with Nigeria? Evidence from smooth nonlinearity method in fractional unit root framework," International Economics, Elsevier, vol. 158(C), pages 51-63.
    69. Luis A. Gil-Alana & Trilochan Tripathy, 2016. "Long Range Dependence in the Indian Stock Market: Evidence of Fractional Integration, Non-Linearities and Breaks," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(2), pages 199-215, December.
    70. Luis A. Gil-Alana & Guglielmo M. Caporale, 2008. "Modelling the US, the UK and Japanese unemployment rates. Fractional integrationand structural breaks," Faculty Working Papers 11/08, School of Economics and Business Administration, University of Navarra.
    71. Hassler, Uwe & Breitung, Jörg, 2002. "A Residual-Based LM Test for Fractional Cointegration," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37318, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    72. L. Achy, 2003. "Parity reversion persistence in real exchange rates: middle income country case," Applied Economics, Taylor & Francis Journals, vol. 35(5), pages 541-553.
    73. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach," CESifo Working Paper Series 8674, CESifo.
    74. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Robert Mudida, 2015. "Testing the Marshall–Lerner Condition in Kenya," South African Journal of Economics, Economic Society of South Africa, vol. 83(2), pages 253-268, June.
    75. John Goddard & David Mcmillan & John Wilson, 2008. "Dividends, prices and the present value model: firm-level evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 14(3), pages 195-210.
    76. Francis Ahking, 2010. "Non-parametric tests of real exchange rates in the post-Bretton Woods era," Empirical Economics, Springer, vol. 39(2), pages 439-456, October.
    77. Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    78. Dolado, Juan J. & Marmol, Francesc, 1997. "On the properties of the Dickey-Pantula test against fractional alternatives," Economics Letters, Elsevier, vol. 57(1), pages 11-16, November.
    79. Candelon, Bertrand & Dupuy, Arnaud & Gil-Alana, Luis A., 2008. "The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?," IZA Discussion Papers 3571, Institute of Labor Economics (IZA).
    80. Franco, G.C. & Reisen, V.A. & Alves, F.A., 2013. "Bootstrap tests for fractional integration and cointegration: A comparison study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 87(C), pages 19-29.
    81. Kramer, Walter & Marmol, Francesc, 2004. "The power of residual-based tests for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 82(1), pages 63-69, January.
    82. Wang, Fang, 2023. "Do emerging art market segments have their own price dynamics? Evidence from the Chinese art market," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 318-331.
    83. Oluwasegun B. Adekoya, 2021. "Persistence and efficiency of OECD stock markets: linear and nonlinear fractional integration approaches," Empirical Economics, Springer, vol. 61(3), pages 1415-1433, September.
    84. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 331-352.
    85. V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.
    86. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
    87. Aloui, Chaker & Mabrouk, Samir, 2010. "Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models," Energy Policy, Elsevier, vol. 38(5), pages 2326-2339, May.
    88. Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "Crude oil price behaviour before and after military conflicts and geopolitical events," Energy, Elsevier, vol. 120(C), pages 79-91.
    89. Basma Bekdache & Christopher F. Baum, 2000. "A re-evaluation of empirical tests of the Fisher hypothesis," Boston College Working Papers in Economics 472, Boston College Department of Economics.
    90. Guglielmo Maria Caporale & Luis A. Gil-Alana & OlaOluwa Simon Yaya, 2022. "Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields," CESifo Working Paper Series 9554, CESifo.
    91. Ooms, M. & Franses, Ph.H.B.F., 1998. "A seasonal periodic long memory model for monthly river flows," Econometric Institute Research Papers EI 9842, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    92. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Awe, Olushina O., 2017. "Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach," Resources Policy, Elsevier, vol. 53(C), pages 117-124.
    93. Juan Carlos Cuestas & Luis A. Gil-Alana, 2011. "Unemployment hysteresis, structural changes, non-linearities and fractional integration in European transition economies," Working Papers 2011005, The University of Sheffield, Department of Economics, revised Feb 2011.
    94. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2021. "The Relationship between Prices and Output in the UK and the US," CESifo Working Paper Series 8970, CESifo.
    95. Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter, 2015. "A test of the null of integer integration against the alternative of fractional integration," Journal of Econometrics, Elsevier, vol. 187(1), pages 217-237.
    96. Sakiru Adebola Solarin & Luis A. Gil-Alana & Carmen Lafuente, 2020. "Persistence of the Misery Index in African Countries," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 147(3), pages 825-841, February.
    97. Carlos Pestana Barros & Luis Gil-Alana, 2006. "Eta: A Persistent Phenomenon," Defence and Peace Economics, Taylor & Francis Journals, vol. 17(2), pages 95-116.
    98. Margherita Gerolimetto & Stefano Magrini, 2017. "On the power of the simulation-based ADF test in bounded time series," Economics Bulletin, AccessEcon, vol. 37(1), pages 539-552.
    99. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2022. "Commodity and financial markets’ fear before and during COVID-19 pandemic: Persistence and causality analyses," Resources Policy, Elsevier, vol. 76(C).
    100. Yugang He & Xiaodan Gao & Renhong Wu & Yinhui Wang & Baek-Ryul Choi, 2021. "How Does Sustainable Rural Tourism Cause Rural Community Development?," Sustainability, MDPI, vol. 13(24), pages 1-20, December.
    101. Jurgen Wolters, 1998. "Cointegration and German bond yields," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 497-502.
    102. Luis A. Gil-Alana & Rangan Gupta & Fernando Perez de Gracia, 2016. "Persistence, mean reversion and non-linearities in the US housing prices over 1830--2013," Applied Economics, Taylor & Francis Journals, vol. 48(34), pages 3244-3252, July.
    103. Berta Marcos Ceron & Manuel Monge, 2023. "Consumer Sentiment and Luxury Behavior in the United States before and after COVID-19: Time Trends and Persistence Analysis," Mathematics, MDPI, vol. 11(16), pages 1-14, August.
    104. Yaya, OlaOluwa S. & Gil-Alana, Luis A., 2014. "The persistence and asymmetric volatility in the Nigerian stock bull and bear markets," Economic Modelling, Elsevier, vol. 38(C), pages 463-469.
    105. Hassler Uwe & Wolters Jürgen, 2009. "Hysteresis in Unemployment Rates? A Comparison between Germany and the US," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 229(2-3), pages 119-129, April.
    106. Diego Romero‐Ávila & Carlos Usabiaga, 2007. "Unit Root Tests, Persistence, and the Unemployment Rate of the U.S. States," Southern Economic Journal, John Wiley & Sons, vol. 73(3), pages 698-716, January.
    107. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Non-Linearities and Persistence in US Long-Run Interest Rates," CESifo Working Paper Series 8744, CESifo.
    108. Luis Alberiko Gil-Alana & Francisco Puertolas-Montanes, 2023. "Profitability of private equity: mean reversion and transitory shocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 458-471, June.
    109. Christian Fischer & Luis Alberiko Gil-Alana, 2005. "The Nature of the Relationship between International Tourism and International Trade: The Case of Ge," Faculty Working Papers 15/05, School of Economics and Business Administration, University of Navarra.
    110. Yaya, OlaOluwa Simon & Gil-Alana, Luis Alberiko & Carcel, Hector, 2015. "Testing fractional persistence and non-linearities in the natural gas market: An application of non-linear deterministic terms based on Chebyshev polynomials in time," Energy Economics, Elsevier, vol. 52(PA), pages 240-245.
    111. Jürgen Wolters & Uwe Hassler, 2006. "Unit root testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
    112. Yaya, OlaOluwa S. & Gil-Alana, Luis A. & Adekoya, Oluwasegun B. & Vo, Xuan Vinh, 2021. "How fearful are commodities and US stocks in response to global fear? Persistence and cointegration analyses," Resources Policy, Elsevier, vol. 74(C).
    113. Monge, Manuel & Poza, Carlos & Borgia, Sofía, 2022. "A proposal of a suspicion of tax fraud indicator based on Google trends to foresee Spanish tax revenues," International Economics, Elsevier, vol. 169(C), pages 1-12.
    114. Chien-Chiang Lee & Chun-Ping Chang, 2007. "Mean reversion of inflation rates in 19 OECD countries: Evidence from panel Lm unit root tests with structural breaks," Economics Bulletin, AccessEcon, vol. 3(23), pages 1-15.
    115. Luis Gil-Alana & Trilochan Tripathy, 2014. "Mean Reversion in Agricultural Commodity Prices in India," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(4), pages 385-398, November.
    116. Hélène Chevrou-Séverac, 2002. "Convergence monétaire européenne, PPA et PINC," Économie et Prévision, Programme National Persée, vol. 155(4), pages 79-94.
    117. Guglielmo Maria Caporale & Luis A. Gil-Alana & Pablo Vicente Trejo, 2021. "Unemployment Persistence in Europe: Evidence from the 27 EU Countries," CESifo Working Paper Series 9392, CESifo.
    118. Yaya, OlaOluwa S & Ling, Pui Kiew & Furuoka, Fumitaka & Ezeoke, Chinyere Mary Rose & Jacob, Ray Ikechukwu, 2018. "Can Western African countries catch up with Nigeria? Evidence from Smooth Nonlinearity method in Fractional Unit root framework," MPRA Paper 90517, University Library of Munich, Germany.
    119. Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale & Hector Carcel, 2015. "Exchange Rate Dynamics and Monetary Unions in Africa: A Fractional Integration and Cointegration Analysis," NCID Working Papers 11/2015, Navarra Center for International Development, University of Navarra.
    120. Chaker Aloui, 2015. "Volatility forecasting and risk management in some MENA stock markets: a nonlinear framework," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 5(2), pages 160-192.
    121. Goodness C. Aye & Hector Carcel & Luis A. Gil-Alana & Rangan Gupta, 2017. "Does Gold Act as a Hedge against Inflation in the UK? Evidence from a Fractional Cointegration Approach Over 1257 to 2016," Working Papers 201753, University of Pretoria, Department of Economics.
    122. Fredrik Andersson, 2014. "Exchange rates dynamics revisited: a panel data test of the fractional integration order," Empirical Economics, Springer, vol. 47(2), pages 389-409, September.
    123. Matei Demetrescu, 2009. "Panel unit root testing and the martingale difference hypothesis for German stocks," Economics Bulletin, AccessEcon, vol. 29(3), pages 1749-1759.
    124. Cuestas, Juan C. & Gil-Alana, Luis A. & Staehr, Karsten, 2011. "A further investigation of unemployment persistence in European transition economies," Journal of Comparative Economics, Elsevier, vol. 39(4), pages 514-532.
    125. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Poza, Carlos, 2020. "High and low prices and the range in the European stock markets: A long-memory approach," Research in International Business and Finance, Elsevier, vol. 52(C).
    126. Luis Alberiko Gil-Alaña & Borja Balprad & Guglielmo Maria Caporale, 2015. "African Growth, Non-Linearities and Strong Dependence: An Empirical Study," NCID Working Papers 12/2015, Navarra Center for International Development, University of Navarra.
    127. Denisard Alves & Regina Celia Cati & Vera Lucia Fava, 2001. "Purchasing power parity in Brazil: a test for fractional cointegration," Applied Economics, Taylor & Francis Journals, vol. 33(9), pages 1175-1185.
    128. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "The Long Memory of Order Flow in the Foreign Exchange Spot Market," Papers 1504.04354, arXiv.org, revised Oct 2015.
    129. Gil-Alana, Luis A. & Mudida, Robert & Carcel, Hector, 2017. "Shocks affecting electricity prices in Kenya, a fractional integration study," Energy, Elsevier, vol. 124(C), pages 521-530.
    130. Monge, Manuel & Romero Rojo, María Fátima & Gil-Alana, Luis Alberiko, 2023. "The impact of geopolitical risk on the behavior of oil prices and freight rates," Energy, Elsevier, vol. 269(C).
    131. Cleomar Gomes da Silva & Flávio Vilela Vieira, 2014. "BRICS countries: real interest rates and long memory," Economics Bulletin, AccessEcon, vol. 34(1), pages 409-419.
    132. Monge, Manuel & Lazcano, Ana & Parada, José Luis, 2023. "Growth vs value investing: Persistence and time trend before and after COVID-19," Research in International Business and Finance, Elsevier, vol. 65(C).
    133. Jesús Tomás Monge Moreno & Manuel Monge, 2023. "Consumer Sentiment in the United States and the Impact of Mental Disorders on Consumer Behavior—Time Trends and Persistence Analysis," Mathematics, MDPI, vol. 11(13), pages 1-10, July.
    134. Juan Carlos Cuestas & Luis A. Gil-Alana, 2009. "Unemployment hysteresis, structural changes, non-linearities and fractional integration in Central and Eastern Europe," NBS Discussion Papers in Economics 2009/6, Economics, Nottingham Business School, Nottingham Trent University.
    135. Giorgio Canarella & Luis A. Gil‐Alana & Rangan Gupta & Stephen M. Miller, 2022. "The behaviour of real interest rates: New evidence from a 'suprasecular' perspective," International Finance, Wiley Blackwell, vol. 25(1), pages 46-64, April.
    136. Steven Clark & T. Coggin, 2011. "Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks," Empirical Economics, Springer, vol. 40(2), pages 373-391, April.

  33. Kirchgassner, Gebhard & Wolters, Jurgen, 1993. "Does the DM Dominate the Euro Market? An Empirical Investigation," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 773-778, November.

    Cited by:

    1. Yan Qian & Zijun Wang, 2021. "A model selection approach to jointly testing for structural breaks and cointegration with application to the Eurocurrency interest rates market," Empirical Economics, Springer, vol. 61(2), pages 799-825, August.
    2. J. James Reade & Ulrich Volz, 2011. "When You Got Nothing, You Got Nothing to Lose – Regional Monetary Integration and Policy Independence," Chapters, in: Ulrich Volz (ed.), Regional Integration, Economic Development and Global Governance, chapter 12, Edward Elgar Publishing.
    3. Feld, Lars P. & Köhler, Ekkehard A., 2015. "Is Switzerland an interest rate island after all? Time series and non-linear switching regime evidence," Freiburg Discussion Papers on Constitutional Economics 15/08, Walter Eucken Institut e.V..
    4. Ralf Brüggemann & Helmut Lütkepohl & Massimiliano Marcellino, 2008. "Forecasting euro area variables with German pre-EMU data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(6), pages 465-481.
    5. Jerome Henry & Jens Weidmann, 2005. "The French-German Interest Rate Differential Since German," International Finance 0503009, University Library of Munich, Germany.
    6. Hassapis, Christis & Pittis, Nikitas & Prodromidis, Kyprianos, 1999. "Unit roots and Granger causality in the EMS interest rates: the German Dominance Hypothesis revisited," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 47-73, January.
    7. Herwartz, Helmut & Roestel, Jan, 2017. "Mundell’s trilemma: Policy trade-offs within the middle ground," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 1-13.
    8. Marco Barassi & Guglielmo Caporale & Stephen Hall, 2005. "A Sequential Test for Structural Breaks in the Causal Linkages Between the G7 Short-Term Interest Rates," Open Economies Review, Springer, vol. 16(2), pages 107-133, April.
    9. Philipp Matros & Enzo Weber, 2014. "Non-stationary Interest Rate Differentials and the Role of Monetary Policy," International Economic Journal, Taylor & Francis Journals, vol. 28(3), pages 497-512, September.
    10. Brada, Josef C. & Kutan, Ali M., 2001. "Balkan and Mediterranean candidates for European Union membership: The convergence of their monetary policy with that of the European Central Bank," ZEI Working Papers B 21-2001, University of Bonn, ZEI - Center for European Integration Studies.
    11. C. Bruneau & E. Jondeau, 1997. "Long-run causality, with an application to international links between long-term interest rates," THEMA Working Papers 97-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    12. Barassi, Marco R. & Caporale, Guglielmo Maria & Hall, Stephen G., 2005. "Interest rate linkages: a Kalman filter approach to detecting structural change," Economic Modelling, Elsevier, vol. 22(2), pages 253-284, March.
    13. A M Spiru, 2007. "Inflation convergence in the new EU member states," Working Papers 590260, Lancaster University Management School, Economics Department.
    14. Chan, Tze-Haw, 2012. "Assessing the international parity conditions and transmission mechanism for Malaysia-China," MPRA Paper 38930, University Library of Munich, Germany.
    15. Brada, Josef C. & Kutan, Ali M. & Zhou, Su, 2005. "Real and monetary convergence between the European Union's core and recent member countries: A rolling cointegration approach," Journal of Banking & Finance, Elsevier, vol. 29(1), pages 249-270, January.
    16. Mario Cerrato & Alexander Kadow & Ronald MacDonald, 2010. "Does the euro dominate Central and Eastern European money markets?," Working Papers 2010_21, Business School - Economics, University of Glasgow.
    17. Garcia-de-Andoain, Carlos & Kremer, Manfred, 2018. "Beyond spreads: measuring sovereign market stress in the euro area," Working Paper Series 2185, European Central Bank.
    18. Baum, Christopher F. & Barkoulas, John, 2006. "Dynamics of Intra-EMS Interest Rate Linkages," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 469-482, March.
    19. Chan, Tze-Haw & Khong, Wye Leong Roy & Baharumshah, Ahmad Zubaidi, 2003. "Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity," MPRA Paper 2209, University Library of Munich, Germany, revised 2003.
    20. Reade, J. James & Volz, Ulrich, 2011. "Leader of the pack? German monetary dominance in Europe prior to EMU," Economic Modelling, Elsevier, vol. 28(1), pages 239-250.
    21. Chan, Tze-Haw, 2008. "International Parities among China and Her Major Trading Partners in Asia Pacific," MPRA Paper 15504, University Library of Munich, Germany, revised 06 Apr 2009.
    22. Brada, Josef C. & Kutan, Ali M. & Zhou, Su, 2002. "Real and monetary convergence within the European Union and between the European Union and candidate countries: A rolling cointegration approach," ZEI Working Papers B 05-2002, University of Bonn, ZEI - Center for European Integration Studies.
    23. Ralf Brueggemann & Helmut Luetkepohl, 2005. "Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe," Economics Working Papers ECO2005/08, European University Institute.
    24. Chan, Tze-Haw, 2002. "Dynamic financial linkages among the Asia Pacific economies: an empirical assessment of real interest parity condition," MPRA Paper 34642, University Library of Munich, Germany.
    25. Brada, Josef C. & Kutan, Ali M., 2001. "The convergence of monetary policy between candidate countries and the European Union," Economic Systems, Elsevier, vol. 25(3), pages 215-231, September.
    26. Müller, Claudia & Buscher, Herbert S., 1999. "The impact of monetary instruments on shock absorption in EU-Countries," ZEW Discussion Papers 99-15, ZEW - Leibniz Centre for European Economic Research.
    27. Laopodis, Nikiforos T., 2004. "European and international asymmetry in the volatility transmission mechanism: the "German Dominance Hypothesis" revisited," Journal of Economics and Business, Elsevier, vol. 56(2), pages 75-97.
    28. Wang, Zijun & Yang, Jian & Li, Qi, 2007. "Interest rate linkages in the Eurocurrency market: Contemporaneous and out-of-sample Granger causality tests," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 86-103, February.
    29. Nicholas Sarantis & Chris Stewart, 2000. "The ERM Effect, Conflict and Inflation in the European Union," International Review of Applied Economics, Taylor & Francis Journals, vol. 14(1), pages 25-43.
    30. Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
    31. G. Geoffrey Booth & Cetin Ciner, 2005. "German dominance in the European Monetary System: a reprise using robust Wald tests," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 463-466.
    32. Fujen Daniel Hsiao & Yan Hu, 2014. "International Evidence of Spillover Effects of Deposit Rates: A Multivariate Garch Model," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(1), pages 31-44.
    33. Kremer, Manfred, 1999. "Die Kapitalmarktzinsen in Deutschland und den USA: Wie eng ist der Zinsverbund? Eine Anwendung der multivariaten Kointegrationsanalyse," Discussion Paper Series 1: Economic Studies 1999,02, Deutsche Bundesbank.
    34. Łukasz Goczek & Dagmara Mycielska, 2016. "Euro Dominance Hypothesis and Monetary Policy Independence the Czech Perspective," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(6), pages 655-670.

  34. Gebhard Kirchgässer & Jürgen Wolters, 1991. "Die Abhängigkeit der schweizerischen von der europäischen und amerikanischen Zinsentwicklung. Empirische Ergebnisse für die achtziger Jahre," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 631-646, September.

    Cited by:

    1. Feld, Lars P. & Köhler, Ekkehard A., 2015. "Is Switzerland an interest rate island after all? Time series and non-linear switching regime evidence," Freiburg Discussion Papers on Constitutional Economics 15/08, Walter Eucken Institut e.V..

  35. Kirchgassner, Gebhard & Wolters, Jurgen, 1987. "U.S.-European Interest Rate Linkage: A Time Series Analysis for West Germany, Switzerland, and the United States," The Review of Economics and Statistics, MIT Press, vol. 69(4), pages 675-684, November.

    Cited by:

    1. Noor Azryani Auzairy & Chee Yong Thing, 2016. "Lending Interest Rates’ Relationships of Malaysia and Other Countries," EuroEconomica, Danubius University of Galati, issue 3(12), pages 127-137, JUNE.
    2. C. Bruneau & E. Jondeau, 1997. "Long-run causality, with an application to international links between long-term interest rates," THEMA Working Papers 97-26, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    3. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, August.
    4. Noor Azryani Auzairy & Chee Yong Thing, 2016. "Lending Interest Rates’ Relationships of Malaysia and Other Countries," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(3), pages 127-137, JUNE.
    5. Bremnes, Helge & Gjerde, Oystein & Saettem, Frode, 1997. "A multivariate cointegration analysis of interest rates in the Eurocurrency market," Journal of International Money and Finance, Elsevier, vol. 16(5), pages 767-778, September.
    6. Yang, Jian, 2005. "International bond market linkages: a structural VAR analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(1), pages 39-54, January.
    7. Clemens J. M. Kool & John A. Tatom, 1988. "International linkages in the term structure of interest rates," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 30-43.
    8. Abakah, Emmanuel Joel Aikins & Addo, Emmanuel & Gil-Alana, Luis A. & Tiwari, Aviral Kumar, 2021. "Re-examination of international bond market dependence: Evidence from a pair copula approach," International Review of Financial Analysis, Elsevier, vol. 74(C).
    9. Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2013. "Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds," Hannover Economic Papers (HEP) dp-517, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    10. Gerd Hansen, 1996. "The domestic term structure and international interest rate linkages: A cointegration analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 132(4), pages 675-689, December.
    11. Selover, David D. & Round, David K., 1996. "Business cycle transmission and interdependence between Japan and Australia," Journal of Asian Economics, Elsevier, vol. 7(4), pages 569-602.
    12. Fujen Daniel Hsiao & Yan Hu, 2014. "International Evidence of Spillover Effects of Deposit Rates: A Multivariate Garch Model," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(1), pages 31-44.
    13. Kremer, Manfred, 1999. "Die Kapitalmarktzinsen in Deutschland und den USA: Wie eng ist der Zinsverbund? Eine Anwendung der multivariaten Kointegrationsanalyse," Discussion Paper Series 1: Economic Studies 1999,02, Deutsche Bundesbank.

  36. Wolters, Jurgen, 1980. "Business cycle stabilization policies in a small econometric model of the FRG," European Economic Review, Elsevier, vol. 14(1), pages 9-43.

    Cited by:

    1. Strohsal, Till & Proaño, Christian R. & Wolters, Jürgen, 2015. "Characterizing the Financial Cycle: Evidence from a Frequency Domain Analysis," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113143, Verein für Socialpolitik / German Economic Association.

Chapters

  1. Gebhard Kirchgässner & Jürgen Wolters, 2007. "Univariate Stationary Processes," Springer Books, in: Introduction to Modern Time Series Analysis, chapter 2, pages 27-91, Springer.

    Cited by:

    1. Moahmed Hassan, Hisham & Haleeb, Amin, 2020. "Modelling GDP for Sudan using ARIMA," MPRA Paper 101207, University Library of Munich, Germany.
    2. Juan Laborda & Sonia Ruano & Ignacio Zamanillo, 2023. "Multi-Country and Multi-Horizon GDP Forecasting Using Temporal Fusion Transformers," Mathematics, MDPI, vol. 11(12), pages 1-26, June.

  2. Gebhard Kirchgässner & Jürgen Wolters, 2007. "Vector Autoregressive Processes," Springer Books, in: Introduction to Modern Time Series Analysis, chapter 4, pages 125-151, Springer.

    Cited by:

    1. Aurelie Charles & Damiano Sguotti, 2021. "Sustainable Earnings: How Can Herd-behaviour on Financial Accumulation Feed into a Resilient Economic System?," LIS Working papers 811, LIS Cross-National Data Center in Luxembourg.

  3. Uwe Hassler & Jürgen Wolters, 2006. "Autoregressive Distributed Lag Models and Cointegration," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 5, pages 57-72, Springer.
    See citations under working paper version above.
  4. Jürgen Wolters & Uwe Hassler, 2006. "Unit Root Testing," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56, Springer.
    See citations under working paper version above.
  5. Gebhard Kirchgässner & Jürgen Wolters, 1993. "Uncovered Interest Parity Condition between the United States and Europe under Different Exchange Rate Regimes," Palgrave Macmillan Books, in: Stephen F. Frowen (ed.), Monetary Theory and Monetary Policy, chapter 10, pages 264-297, Palgrave Macmillan.

    Cited by:

    1. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
    2. Dieter Nautz & Jürgen Wolters, 1999. "The response of long-term interest rates to news about monetary policy actions: Empirical evidence for the U.S. and Germany," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 135(3), pages 397-412, September.

Books

  1. Gebhard Kirchgässner & Jürgen Wolters, 2007. "Introduction to Modern Time Series Analysis," Springer Books, Springer, number 978-3-540-73291-4, January.

    Cited by:

    1. Christian Dreger & Jürgen Wolters, 2010. "M3 money demand and excess liquidity in the euro area," Public Choice, Springer, vol. 144(3), pages 459-472, September.
    2. Hain, Martin & Hess, Julian & Uhrig-Homburg, Marliese, 2018. "Relative value arbitrage in European commodity markets," Energy Economics, Elsevier, vol. 69(C), pages 140-154.
    3. Aurelie Charles & Damiano Sguotti, 2021. "Sustainable Earnings: How Can Herd-behaviour on Financial Accumulation Feed into a Resilient Economic System?," LIS Working papers 811, LIS Cross-National Data Center in Luxembourg.
    4. Bandyopadhyay, Kaushik Ranjan, 2009. "Does OPEC act as a Residual Producer?," MPRA Paper 25841, University Library of Munich, Germany, revised 2010.
    5. Vincenzo Del Giudice & Pierfrancesco De Paola & Paolo Bevilacqua & Alessio Pino & Francesco Paolo Del Giudice, 2020. "Abandoned Industrial Areas with Critical Environmental Pollution: Evaluation Model and Stigma Effect," Sustainability, MDPI, vol. 12(13), pages 1-34, June.
    6. Katharina Glass & Ulrich Fritsche, 2015. "Real-time Macroeconomic Data and Uncertainty," Macroeconomics and Finance Series 201406, University of Hamburg, Department of Socioeconomics.
    7. Gebhard Kirchgässner & Jürgen Wolters, 2009. "The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank," CREMA Working Paper Series 2009-30, Center for Research in Economics, Management and the Arts (CREMA).
    8. Fabio Ashtar Telarico, 2023. "Опростяване И Усъвършенстване [Simplifying and Improving]," Post-Print hal-03989969, HAL.
    9. Vdovychenko, Artem & Zubritskiy, Artur, 2014. "The Ukrainian case of fiscal devaluation in small open economies," MPRA Paper 69329, University Library of Munich, Germany.
    10. Bandyopadhyay, Kaushik Ranjan, 2008. "Implication of Fuel Price Deregulation on Fuel Demand and CO2 Emission: A Case Study of Car Ownership and Utilisation in India," MPRA Paper 25641, University Library of Munich, Germany, revised 2009.
    11. Gonçalves, Rui & Ribeiro, Vitor Miguel & Pereira, Fernando Lobo, 2023. "Variable Split Convolutional Attention: A novel Deep Learning model applied to the household electric power consumption," Energy, Elsevier, vol. 274(C).
    12. Miguel Ángel Mendoza González, 2020. "Sensibilidad y asimetrías ante choques de ingreso en el consumo privado de México, 1995-2017. (Sensitivity and asymmetries of income shocks in Mexico's private consumption, 1995-2017)," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 21-58, May.
    13. Warsono Warsono & Edwin Russels & Wamiliana Wamiliana & Widiarti Widiarti & Mustofa Usman, 2019. "Vector Autoregressive with Exogenous Variable Model and its Application in Modeling and Forecasting Energy Data: Case Study of PTBA and HRUM Energy," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 390-398.
    14. Marius DINCÄ‚ & Roxana Maria GIDINCEANU (DRAGOMIR), 2012. "The Analysis Of The Management Of Romanian Investment Funds Using Econometric Methods," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 6(6(18)/ Su), pages 132-143.
    15. Hassler Uwe & Werkmann Verena, 2014. "Multiple Comparisons and Joint Significance in Panel Unit Root Testing with Evidence on International Interest Rate Linkage," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 234(1), pages 23-43, February.
    16. Till Strohsal & Christian R. Proaño & Jürgen Wolters, 2017. "Assessing the Cross-Country Interaction of Financial Cycles: Evidence from a Multivariate Spectral Analysis of the US and the UK," IMK Working Paper 182-2017, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    17. Enzo Weber & Jürgen Wolters, 2013. "Risk and Policy Shocks on the US Term Structure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(1), pages 101-119, February.
    18. Steinhübel, Linda & Prehn, Sören & Brümmer, Bernhard & Pies, Ingo & Will, Matthias Georg, 2017. "The impact of index funds on grain futures markets revisited," 2017 International Congress, August 28-September 1, 2017, Parma, Italy 261428, European Association of Agricultural Economists.
    19. Dreger, Christian & Wolters, Jürgen, 2014. "Money demand and the role of monetary indicators in forecasting euro area inflation," International Journal of Forecasting, Elsevier, vol. 30(2), pages 303-312.
    20. Pastory Dickson & Emmanuel Munishi, 2022. "Volatility shocks in energy commodities: The influence of COVID-19," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 11(2), pages 214-227, March.
    21. Mevlud Islami, 2008. "Interdependence Between Foreign Exchange Markets and Stock Markets in Selected European Countries," Schumpeter Discussion Papers sdp08007, Universitätsbibliothek Wuppertal, University Library.
    22. Gab‐Je Jo, 2011. "Analysis Of International Reserve Hoarding In Korea," Pacific Economic Review, Wiley Blackwell, vol. 16(2), pages 154-167, May.
    23. Mehrotra, Shiv N. & Kant, Shashi, 2009. "Use of composite forest commodity price indices for cointegration analysis," Journal of Forest Economics, Elsevier, vol. 15(4), pages 237-260, December.
    24. Erik Heilmann & Janosch Henze & Heike Wetzel, 2021. "Machine learning in energy forecasts with an application to high frequency electricity consumption data," MAGKS Papers on Economics 202135, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    25. Lena Draeger, 2011. "Inflation perceptions and expectations in Sweden - are media reports the 'missing link'?," KOF Working papers 11-273, KOF Swiss Economic Institute, ETH Zurich.
    26. Mustofa Usman & M. Komarudin & Munti Sarida & Wamiliana Wamiliana & Edwin Russel & Mahatma Kufepaksi & Iskandar Ali Alam & Faiz A.M. Elfaki, 2022. "Analysis of Some Variable Energy Companies by Using VAR(p)-GARCH(r,s) Model : Study From Energy Companies of Qatar over the Years 2015 2022," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 178-191, September.
    27. Md. Abu HASAN, 2017. "Efficiency and Volatility of the Stock Market in Bangladesh: A Macroeconometric Analysis," Turkish Economic Review, KSP Journals, vol. 4(2), pages 239-249, June.
    28. Milena Lipovina-Božović, 2013. "A Comparison Of The Var Model And The Pc Factor Model In Forecasting Inflation In Montenegro," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 58(198), pages 115-136, July - Se.
    29. Moahmed Hassan, Hisham & Haleeb, Amin, 2020. "Modelling GDP for Sudan using ARIMA," MPRA Paper 101207, University Library of Munich, Germany.
    30. FERROUHI, El Mehdi & EZZAHID, Elhadj, 2013. "Trading mechanisms, return’s volatility and efficiency in the Casablanca Stock Exchange," MPRA Paper 77322, University Library of Munich, Germany.
    31. Parley Ruogu Yang, 2020. "Using the yield curve to forecast economic growth," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1057-1080, November.
    32. Luca Di Persio, 2015. "Autoregressive approaches to import-export time series I: basic techniques," Papers 1506.02940, arXiv.org.
    33. Azad, Abul Kalam & Choudhury, Nayeema Nusrat & Wadood, Syed Naimul, 2022. "Impact of Agricultural Credit on Agricultural Production: Evidence from Bangladesh," MPRA Paper 118990, University Library of Munich, Germany, revised 2021.
    34. Orkun ÇELİK & Deniz ERER & Elif ERER, 2018. "2008 Küresel Krizinin Bireysel Emeklilik Fonları Oynaklığı Üzerindeki Etkisi: Türkiye Örneği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 26(35).
    35. Mladenović Jelena & Lepojević Vinko & Janković-Milić Vesna, 2016. "Modelling and Prognosis of the Export of the Republic of Serbia by Using Seasonal Holt-Winters and Arima Method," Economic Themes, Sciendo, vol. 54(2), pages 233-260, June.
    36. Juan Laborda & Sonia Ruano & Ignacio Zamanillo, 2023. "Multi-Country and Multi-Horizon GDP Forecasting Using Temporal Fusion Transformers," Mathematics, MDPI, vol. 11(12), pages 1-26, June.
    37. Mustofa Usman & Luvita Loves & Edwin Russel & Muslim Ansori & Warsono Warsono & Widiarti Widiarti & Wamiliana Wamiliana, 2022. "Analysis of Some Energy and Economics Variables by Using VECMX Model in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 91-102, March.
    38. Tüzemen Samet & Barış-Tüzemen Özge & Çelik Ali Kemal, 2021. "The relationship between information and communication technologies and female labour force participation in Turkey," Economics and Business Review, Sciendo, vol. 7(4), pages 121-145, December.
    39. Richter, Sylvia & Heyde, Frank & Horsch, Andreas & Wünsche, Andreas, 2021. "Determinants of project bond prices – Insights into infrastructure and energy capital markets," Energy Economics, Elsevier, vol. 97(C).
    40. Radulović Marija & Kostić Milan, 2021. "Are EU Members’ Economies an “Engine” of the EU Candidates’ Economies?," Folia Oeconomica Stetinensia, Sciendo, vol. 21(2), pages 97-117, December.
    41. Melville Saayman & Andrea Saayman, 2012. "Shopping Tourism or Tourists Shopping? A Case Study of South Africa's African Tourism Market," Tourism Economics, , vol. 18(6), pages 1313-1329, December.
    42. Qingjiang Yao & Zhaoxi Liu & Lowndes F. Stephens, 2020. "Exploring the dynamics in the environmental discourse: the longitudinal interaction among public opinion, presidential opinion, media coverage, policymaking in 3 decades and an integrated model of med," Environment Systems and Decisions, Springer, vol. 40(1), pages 14-28, March.
    43. Gebhard Kirchgässner, 2009. "The Lost Popularity Function: Are Unemployment and Inflation no longer Relevant for the Bahaviour of German Voters?," CESifo Working Paper Series 2882, CESifo.
    44. Mevlud Islami & Paul Welfens, 2013. "Financial market integration, stock markets and exchange rate dynamics in Eastern Europe," International Economics and Economic Policy, Springer, vol. 10(1), pages 47-79, March.
    45. Christian Dreger & Jürgen Wolters, 2016. "On the empirical relevance of the Lucas critique: the case of euro area money demand," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 61-82, February.
    46. Md. Abu HASAN & Anita ZAMAN, 2017. "Volatility Nexus Between Stock Market And Macroeconomic Variables In Bangladesh: An Extended Garch Approach," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 64(2), pages 233-243, June.
    47. Abir HASSAN & Mahbubul Md. ALAM & Azmaine FAEIQUE, 2023. "Forecasting Monthly Inflation in Bangladesh: A Seasonal Autoregressive Moving Average (SARIMA) Approach," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(2), pages 25-43.
    48. Gupta, Suman & Das, Debojyoti & Hasim, Haslifah & Tiwari, Aviral Kumar, 2018. "The dynamic relationship between stock returns and trading volume revisited: A MODWT-VAR approach," Finance Research Letters, Elsevier, vol. 27(C), pages 91-98.
    49. Dreger, Christian & Wolters, Jürgen, 2011. "Money and inflation in the euro area during the financial crisis," Discussion Papers 300, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    50. Maparu, Tuhin Subhra & Mazumder, Tarak Nath, 2017. "Transport infrastructure, economic development and urbanization in India (1990–2011): Is there any causal relationship?," Transportation Research Part A: Policy and Practice, Elsevier, vol. 100(C), pages 319-336.
    51. Artem Vdovychenko & Artur Zubrytskyi, 2015. "Opportunities for fiscal devaluation in small open economies: the case of Ukraine," Post-Communist Economies, Taylor & Francis Journals, vol. 27(1), pages 23-40, March.
    52. Lukasz Marc, 2014. "The Causal Links between Aid and Government Expenditures," Tinbergen Institute Discussion Papers 14-012/V, Tinbergen Institute.
    53. Armand Viljoen & Andrea Saayman & Melville Saayman, 2019. "Determinants influencing inbound arrivals to Africa," Tourism Economics, , vol. 25(6), pages 856-883, September.
    54. Strohsal, Till & Proaño Acosta, Christian & Wolters, Jürgen, 2015. "How do financial cycles interact? Evidence from the US and the UK," SFB 649 Discussion Papers 2015-024, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    55. Hassler Uwe & Wolters Jürgen, 2009. "Hysteresis in Unemployment Rates? A Comparison between Germany and the US," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 229(2-3), pages 119-129, April.
    56. Warsono Warsono & Edwin Russel & Almira Rizka Putri & Wamiliana Wamiliana & Widiarti Widiarti & Mustofa Usman, 2020. "Dynamic Modeling Using Vector Error-correction Model: Studying the Relationship among Data Share Price of Energy PGAS Malaysia, AKRA, Indonesia, and PTT PCL-Thailand," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 360-373.
    57. Schepp, Zoltán & Abaligeti, Gallusz & Németh, Kristóf, 2018. "Időben változó Taylor-szabály a hazai monetáris politika jellemzésére [A time-varying parameter Taylor rule for Hungarian monetary policy]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 24-43.
    58. Luca Di Persio & Chiara Segala, 2015. "Autoregressive approaches to import--export time series II: a concrete case study," Papers 1506.01984, arXiv.org.
    59. Nairobi Nairobi & Ambya Ambya & Edwin Russel & Sipa Paujiah & D. N. Pratama & Wamiliana Wamiliana & Mustofa Usman, 2022. "Analysis of Data Inflation Energy and Gasoline Price by Vector Autoregressive Model," International Journal of Energy Economics and Policy, Econjournals, vol. 12(2), pages 120-126, March.
    60. Milioti, Christina P. & Karlaftis, Matthew G., 2014. "Estimating multimodal public transport mode shares in Athens, Greece," Journal of Transport Geography, Elsevier, vol. 34(C), pages 88-95.
    61. Emmanuel E. Okoro & Lawrence U. Okoye & Ikechukwu S. Okafor & Tamunotonjo Obomanu & Ngozi Adeleye, 2021. "Impact of Production Sharing Contract Price Sliding Royalty: The case of Nigeria s Deepwater Operation," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 261-268.
    62. Sato, Sumie & Fukushige, Mototsugu, 2011. "The North Korean economy: Escape from import-led growth," Journal of Asian Economics, Elsevier, vol. 22(1), pages 76-83, February.
    63. Belke, Ansgar & Gokus, Christian, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers 243, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    64. Ed Whalen & Manfred Hauben & Andrew Bate, 2018. "Time Series Disturbance Detection for Hypothesis-Free Signal Detection in Longitudinal Observational Databases," Drug Safety, Springer, vol. 41(6), pages 565-577, June.
    65. Gebhard Kirchgässner & Silika Prohl, 2008. "Sustainability of Swiss Fiscal Policy," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(I), pages 57-83, March.
    66. Mevlud Islami, 2008. "Interdependence Between Foreign Exchange Markets and Stock Markets in Selected European Countries," EIIW Discussion paper disbei160, Universitätsbibliothek Wuppertal, University Library.
    67. Hassler, Uwe, 2014. "Persistence under temporal aggregation and differencing," Economics Letters, Elsevier, vol. 124(2), pages 318-322.
    68. Roberto Mota Navarro & Francois Leyvraz & Hern'an Larralde, 2023. "Dynamical properties of volume at the spread in the Bitcoin/USD market," Papers 2304.01907, arXiv.org, revised May 2023.
    69. Bluhm, Marcel, 2015. "Investigating the monetary policy of central banks with assessment indicators," European Journal of Political Economy, Elsevier, vol. 38(C), pages 181-196.
    70. Hernandez-Villafuerte, Karla Vanessa, 2010. "The relationship between spatial price transmission and geographical distance: the case of Brazil," 116th Seminar, October 27-30, 2010, Parma, Italy 95030, European Association of Agricultural Economists.
    71. Tu, Chengyi, 2014. "Cointegration-based financial networks study in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 245-254.
    72. Artur Sikora, 2021. "The minimum wage in Poland and its connection to unemployment: Evaluating causality," Zeszyty Naukowe Małopolskiej Wyższej Szkoły Ekonomicznej w Tarnowie / The Malopolska School of Economics in Tarnow Research Papers Collection, Malopolska School of Economics in Tarnow, vol. 50(2), pages 65-77, June.
    73. Lars P. Feld, 2017. "In memoriam: Gebhard Kirchgässner (April 15, 1948–April 1, 2017)," Public Choice, Springer, vol. 172(3), pages 305-310, September.
    74. Safwat Alaa & Salah Ashraf & Elsherif Marwa, 2021. "The Impact of Foreign Direct Investment on the Economic Growth of Egypt (1980-2018)," International Journal of Economics and Financial Issues, Econjournals, vol. 11(5), pages 74-85.
    75. Jan Jakub Szczygielski & Chimwemwe Chipeta, 2023. "Properties of returns and variance and the implications for time series modelling: Evidence from South Africa," Modern Finance, Modern Finance Institute, vol. 1(1), pages 35-55.
    76. Michal Řičař, 2014. "Macroeconomic Modelling of a Firm's Default," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2014(1), pages 27-40.
    77. Ma, Tao & Zhou, Zhou & Abdulhai, Baher, 2015. "Nonlinear multivariate time–space threshold vector error correction model for short term traffic state prediction," Transportation Research Part B: Methodological, Elsevier, vol. 76(C), pages 27-47.
    78. Fabio Ashtar Telarico, 2022. "Simplify and Improve: Revisiting Bulgaria's Revenue Forecasting Models," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 6, pages 633-654.
    79. Tolcha, Tassew Dufera & Bråthen, Svein & Holmgren, Johan, 2020. "Air transport demand and economic development in sub-Saharan Africa: Direction of causality," Journal of Transport Geography, Elsevier, vol. 86(C).

  2. Heilemann, Ullrich & Wolters, Jürgen (ed.), 1998. "Gesamtwirtschaftliche Modelle in der Bundesrepublik Deutschland: Erfahrungen und Perspektiven," RWI Schriften, RWI - Leibniz-Institut für Wirtschaftsforschung, volume 61, number 61.

    Cited by:

    1. Wiemers, Jürgen, 2000. "Die Modellierung des Staatssektors in makroökonometrischen Modellen," IWH Discussion Papers 119/2000, Halle Institute for Economic Research (IWH).
    2. Peichl, Andreas, 2005. "Die Evaluation von Steuerreformen durch Simulationsmodelle," FiFo Discussion Papers - Finanzwissenschaftliche Diskussionsbeiträge 05-1, University of Cologne, FiFo Institute for Public Economics.
    3. Christian Dreger & Florian Zinsmeister, 2007. "Das IMM: ein makroökonometrisches Mehrländermodell," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 76(4), pages 35-46.
    4. Heilemann, Ullrich, 2002. "Increasing the transparency of macroeconometric forecasts: a report from the trenches," International Journal of Forecasting, Elsevier, vol. 18(1), pages 85-105.
    5. Buscher, Herbert S. & Buslei, Hermann & Goggelmann, Klaus & Koschel, Henrike & Schmidt, Tobias F. N. & Steiner, Viktor & Winker, Peter, 2001. "Empirical macro models under test. A comparative simulation study of the employment effects of a revenue neutral cut in social security contributions," Economic Modelling, Elsevier, vol. 18(3), pages 455-474, August.
    6. Buscher, Herbert S. & Buslei, Hermann & Göggelmann, Klaus & Koschel, Henrike & Schmidt, Tobias F. N. & Steiner, Viktor & Winker, Peter, 2000. "Empirical Macromodels Under Test," Discussion Papers 575, Institut fuer Volkswirtschaftslehre und Statistik, Abteilung fuer Volkswirtschaftslehre.
    7. Heilemann, Ullrich, 1999. "Forecasting with macroeconometric models: A report from the trenches," Technical Reports 1999,47, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.