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Referierte Aufsätze Web of Science
In this paper a structural macroeconometric model for the Euro area is presented. In contrast to the multi-country modelling approach, the model relies on aggregate data on the supra-national level. Due to non-stationarity, all equations are estimated in error correction form. The cointegrating relations are derived jointly with the short-run dynamics, avoiding the finite sample bias of the two-step ...
In:
Journal of Policy Modeling
29 (2007), 1, S. 1-13
| Massimiliano Marcellino, Christian Dreger
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Referierte Aufsätze Web of Science
The macroeconomic impact of the French work-sharing reform of 2000 (a reduction of standard working hours in combination with wage subsidies) is analysed. Using avector error correction model (VECM) for several labour market variables, as well as inflation and output, out-of-sample forecasts for 2000/2001 are produced. A comparison of these forecasts - which serve as a benchmark simulation without ...
In:
Applied Economics
38 (2006), 17, S. 2053-2068
| Camille Logeay, Sven Schreiber
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Referierte Aufsätze Web of Science
This letter provides a textbook example of an econometric analysis of the integration between two commodity markets and the subsequent price convergence or absence thereof. Price relations between spot markets are analysed for natural gas in Europe. The European market for natural gas is currently undergoing a liberalization process with the aim of creating a single, unified market. Time-varying coefficient ...
In:
Applied Economics Letters
13 (2006), 11, S. 727-732
| Anne Neumann, Boriss Siliverstovs, Christian von Hirschhausen
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Referierte Aufsätze Web of Science
Recent studies suggest that US and other developed economies have become considerably stabilized in terms of volatility since the mid-1980s (Stock and Watson, 2002). This study models the structural break in volatility using a dynamic factor model with two state variables: one capturing cyclical fluctuations and another reflecting volatility decline. The new model confirms a one-time volatility reduction ...
In:
Applied Economics Letters
13 (2006), 7, S. 417-422
| Konstantin A. Kholodilin, Vincent Wenxiong Yao
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Referierte Aufsätze Web of Science
The present study tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, the study exploits the fact that the flows of disposable income and consumption expenditure on the one hand, and the stock of consumers' wealth, which can be considered as cumulative past discrepancies between ...
In:
Applied Economics
38 (2006), 7, S. 819-833
| Boriss Siliverstovs
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Referierte Aufsätze Web of Science
This paper investigates regional convergence of labour productivity and income per capita in the period 1992-2000 for the unified Germany using spatial econometric techniques. Up to now only first-order spatial models have been employed in investigating convergence across regions and countries. An exploratory data analysis reveals, however, that the fundamental variables of the convergence equation ...
In:
Regional Studies
40 (2006), 7, S. 755-767
| Reinhold Kosfeld, Hans-Friedrich Eckey, Christian Dreger
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Referierte Aufsätze Web of Science
This study examines the export-led growth hypothesis using annual time series data from Chile. It addresses the problem of specification bias under which previous studies have suffered and focuses on the impact of manufactured and primary exports on the economic growth. In order to investigate if and how manufactured and primary exports affect economic growth via increases in productivity, the study ...
In:
Applied Economics Letters
13 (2006), 5, S. 319-324
| Boriss Siliverstovs, Dierk Herzer
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Referierte Aufsätze Web of Science
We analyse the effectiveness of fiscal policy rules for business cycle stabilisation in a monetary union using a quarterly macro-econometric model of Germany. The simulations compare a deficit target and an expenditure target under a range of supply, demand and fiscal shocks. Their effects are evaluated by their impact on prices and output. The analysis demonstrates that in general the deficit target ...
In:
Journal of Policy Modeling
28 (2006), 4, S. 357-369
| Tilman Brück, Rudolf Zwiener
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Referierte Aufsätze Web of Science
This paper applies Verdoorn's and Okun's law to derive efficient estimates of the employment and unemployment threshold in the Unified Germany. The analysis is built on a disaggregated dataset of regional labour markets, where spatial dependencies are taken into account. Especially, a spatial SUR model is proposed utilising the eigenfunction decomposition approach suggested by Griffith (1996, 2000). ...
In:
Papers in Regional Science
85 (2006), 4, S. 523-542
| Reinhold Kosfeld, Christian Dreger
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Referierte Aufsätze Web of Science
This paper analyzes the determinants of German exports to the euro area, which is the biggest market for German products. Three conditional error-correction models based on regionally disaggregated data are developed. One specification includes EMU industrial production and a real external value based on consumer prices, the other two use different EMU investment aggregates, the orresponding real external ...
In:
Empirical Economics
31 (2006), 4, S. 871-882
| Sabine Stephan