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DIW Discussion Papers 1119 / 2011
This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic components and determine whether non-stationarity stems from international or national stochastic trends. ...
2011| Joscha Beckmann, Ansgar Belke, Frauke Dobnik
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DIW Discussion Papers 1116 / 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with d < 1, which implies mean reversion. The multivariate framework exploiting recent developments in fractional ...
2011| Guglielmo Maria Caporale, Luis A. Gil-Alana
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DIW Discussion Papers 1114 / 2011
By estimating a staggered price model over the period 1980q1-2010q2, this paper documents that, after the euro changeover, Italian retailers have increased the number of price adjustments, which has translated into a higher inflation rate, with a detrimental effect on the competitiveness of the Italian economy.
2011| Guglielmo Maria Caporale, Alessandro Girardi, Marco Ventura
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DIW Discussion Papers 1106 / 2011
In the debate on global imbalances, the euro area countries did not receive much attention so far. While the current account is on balance for the entire area, divergences between individual member states have increased since the introduction of the common currency. In this paper, the imbalances are traced to catching up and competitiveness factors using paneleconometric techniques. In line with the ...
2011| Ansgar Belke, Christian Dreger
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DIW Discussion Papers 1103 / 2011
We use a neoclassical production function to analyze the effects of knowledge spillovers via entrepreneurship on economic performance of 337 German districts. To take the spatial dependence structure of the data into account, we estimate a spatial Durbin model. We highlight the importance of the choice of the appropriate weight matrix. We find positive knowledge spillover effects via entrepreneurship ...
2011| Katharina Pijnenburg, Konstantin A. Kholodilin
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DIW Discussion Papers 1081 / 2010
For many analysts, the Chinese economy is spurred by a bubble in the housing market, probably driven by the fiscal stimulus package and massive credit expansion, with pos-sible adverse effects to the real economy. To get insights into the size of the bubble, the house price evolution is investigated by panel cointegration techniques. Evidence is based on a dataset for 35 major cities. Cointegration ...
2010| Christian Dreger, Yanqun Zhang
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DIW Discussion Papers 1080 / 2010
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory-depletion risk being their main concern, ...
2010| Guglielmo Maria Caporale, Alessandro Girardi, Paolo Paesani
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DIW Discussion Papers 1078 / 2010
We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to altering risk pricing. We find that at the beginning of EMU, the government debt level and the general investors' ...
2010| Kerstin Bernoth, Burcu Erdogan
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DIW Discussion Papers 1077 / 2010
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and investigate their characteristics depending on the specific day of the week. The results indicate that the four ...
2010| Guglielmo Maria Caporale, Luis A. Gil-Alana
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DIW Discussion Papers 1070 / 2010
This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the stochastic properties of the two series are such that cointegration cannot hold between them, as mean reversion ...
2010| Guglielmo Maria Caporale, Luis A. Gil-Alana