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DIW Discussion Papers 598 / 2006
This paper suggests a novel approach to pre-selection of the component series of the diffusion index based on their individual forecasting performance. It is shown that this targeted selection allows substantially improving the forecasting ability compared to the diffusion index models that are based on the largest available dataset.
2006| Boriss Siliverstovs, Konstantin A. Kholodilin
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DIW Discussion Papers 596 / 2006
This paper presents a detailed investigation of the wealth effect for 16 industrial countries using the recently proposed technique that exploits the sluggishness of consumption growth. I argue that, compared to the widespread cointegration-based methodology, the approach I apply has better theoretical foundations and is more immune to parameter instability. Empirically, this new technique implies ...
2006| Jiri Slacalek
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DIW Discussion Papers 595 / 2006
This study develops a time series model of Turkish migration to Germany for the period 1963-2004 using the cointegration technique. A single cointegrating relation between the migration flow variable and the relative income ratio between Germany and Turkey, the unemployment rates in Germany and Turkey, and the trade variable, that captures intensity of bilateral economic cooperation, is found. By including ...
2006| Sule Akkoyunlu, Boriss Siliverstovs
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DIW Discussion Papers 581 / 2006
In this paper, the framework of the aggregated Beveridge curve is used to investigate the effectiveness of the job matching process using German regional labour market data. For a fixed matching technology, the Beveridge curve postulates a negative relationship between the unemployment rate and the rate of vacancies, which is efficiently estimated using spatial econometric techniques. The eigenfunction ...
2006| Reinhold Kosfeld, Christian Dreger, Hans-Friedrich Eckey
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DIW Discussion Papers 572 / 2006
We investigate hysteresis and persistence behaviour in the course of unemployment in EU countries and US states by means of first and second generation panel unit root tests. While the former tests assume independent cross sections, the latter control for dependencies. The first generation tests indicate, that unemployment is persistent, but nevertheless stationary. Second generation tests reveal mixed ...
2006| Christian Dreger, Hans-Eggert Reimers
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DIW Discussion Papers 571 / 2006
We investigate the relevance of the Carroll's sticky information model of inflation expectations for four major European economies (France, Germany, Italy and the United Kingdom). Using survey data on household and expert inflation expectations we argue that the model adequately captures the dynamics of household inflation expectations. We estimate two alternative parametrizations of the sticky information ...
2006| Jörg Döpke, Jonas Dovern, Ulrich Fritsche, Jiri Slacalek
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DIW Discussion Papers 561 / 2006
Monetary growth in the euro area has exceeded its target level especially since 2001. Likewise, recent empirical studies did not find evidence in favour of a stable long run relationship between the variables entering the money demand function. Instead the equation appears to be increasingly unstable if more recent data are included. Since the link between money balances and macroeconomic variables ...
2006| Christian Dreger, Jürgen Wolters
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DIW Discussion Papers 554 / 2006
The appropriately selected leading indicators can substantially improve the forecasting of the peaks and troughs of the business cycle. Using the novel methodology of the dynamic bi-factor model with Markov switching and the data for the three largest European economies (France, Germany, and UK) we construct a composite leading indicator (CLI) and a composite coincident indicator (CCI) as well as corresponding ...
2006| Konstantin A. Kholodilin
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DIW Discussion Papers 522 / 2005
In this paper we perform a comparative study of the forecasting properties of the alternative leading indicators for Germany using the growth rates of German real GDP. We use the post-unification data which cover years from 1991 through 2004. We detect a structural break in the growth rates that occurs in the first half of 2001. Our results suggest that the forecasting ability of the leading indicators ...
2005| Konstantin A. Kholodilin, Boriss Siliverstovs
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DIW Discussion Papers 521 / 2005
New-Keynesian macroeconomic models typically assume that any long-run trade-off between inflation and unemployment is ruled out. While this appears to be a reasonable characterization of the US economy, it is less clear that the natural rate hypothesis necessarily holds in a European country like Germany where hysteretic effects may invalidate it. Inspired by the framework developed by Farmer (2000) ...
2005| Jan Gottschalk, Ulrich Fritsche