Suchergebnisse

Using data obtained from the OECD's monthly economic indicators, we convert measures of stock performance to real deutschmark units and present evidence on the number of common stochastic trends in ten European Union stock markets. Moreover, we measure the degree of convergence of these stock markets using the time‐varying parameter (Kalman filter) methodology suggested by Haldane and Hall (Economic Journal (1991), Vol. 101, No. 406, pp. 436–443).

We address the importance of emerging market economies for the global economy by testing for volatility spillovers between the United States and a number of emerging market economies. We use the methodology recently introduced by Diebold and Yilmaz and daily data, over the period from December 8, 2011, to March 21, 2018, on exchange-traded funds (ETFs), retrieved from Yahoo! Finance, for seven emerging market countries—China, Colombia, Greece, Mexico, Russia, South Africa, and South Korea. We find statistically significant volatility spillovers from emerging market economies to the United States, meaning that the growth prospects of emerging market economies are becoming extremely relevant for global economic growth.JEL classification: E32, F20, F42

We use long low‐frequency data on prices and interest rates for Canada, Italy, Norway, Sweden, the UK and the USA to investigate empirical relationships previously taken to support the Gibson paradox and the Fisher effect. Using recent advances in applied econometrics, we reject the existence of a long‐run relationship between the price level and the nominal interest rate and between the inflation rate and the nominal interest rate.

We estimate the dynamic Fourier expenditure system to obtain consistent estimates of short‐run and long‐run Morishima elasticities of substitution for Canadian liquid assets. We argue that the variability of the estimated elasticities and evidence of less than perfect substitution between monetary assets interferes with the successful use of simple‐sum aggregates and traditional log‐linear money‐demand functions. Calibrations semi‐non‐paramétriques de la substitution pour des actifs monétaires canadiens. Les auteurs calibrent le système dynamique de dépenses à la Fourier pour obtenir des estimations cohérentes des élasticités de substitution à la Morishima à court et à long termes pour des actifs monétaires canadiens. Ils suggèrent que la variabilité des élasticités estimées et la constatation que la substitution n'est pas parfaite entre les actifs monétaires rendent difficile un usage heureux des agrégats de simple somme et des fonctions log‐linéaires de demande de monnaie.