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Nonlinear dynamics of interest rate and inflation (replication data)
According to several empirical studies US inflation and nominal interest rates as well as the real interest rate can be described as unit root processes. These results imply... -
Codependence in cointegrated autoregressive models (replication data)
This paper investigates codependent cycles, i.e., transitory components that react to common stimuli in a similar, although not necessarily synchronous fashion. Unlike previous... -
Money demand function estimation by nonlinear cointegration (replication data)
Conventionally, the money demand function is estimated using a regression of the logarithm of money demand on either the interest rate or the logarithm of the interest rate.... -
Panel cointegration tests of the Fisher effect (replication data)
Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a... -
MODELLING LARGE OPEN ECONOMIES WITH INTERNATIONAL LINKAGES: THE USA AND EURO ...
Empirical modelling of the linkages between the euro area and the USA requires an open economy framework. The methodology proposed in this paper achieves identification of a... -
Econometric Regime Shifts and the US Subprime Bubble (replication data)
Using aggregate quarterly data for the period 1975:Q1-2010:Q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly... -
Simple Identification and Specification of Cointegrated Varma Models (replica...
We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the... -
The Environmental Kuznets Curve, Cointegration and Nonlinearity (replication ...
This paper clarifies some conceptual shortcomings of the empirical environmental Kuznets curve (EKC) literature that arise because of the hitherto inadequate application of unit... -
Determination of Long-run and Short-run Dynamics in EC-VARMA Models via Canon...
This article studies a simple, coherent approach for identifying and estimating error-correcting vector autoregressive moving average (EC-VARMA) models. Canonical correlation... -
Error Correction Testing in Panels with Common Stochastic Trends (replication...
This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test... -
Structural FECM: Cointegration in large‐scale structural FAVAR models (replic...
Starting from the dynamic factor model for nonstationary data we derive the factor-augmented error correction model (FECM) and its moving-average representation. The latter is... -
Real exchange rate persistence and the excess return puzzle: The case of Swit...
The PPP puzzle refers to the wide swings of nominal exchange rates around their long-run equilibrium values whereas the excess return puzzle represents the persistent deviation... -
Revisiting the Drivers of Natural Gas Prices: Replication Data and Code
The dataset contains the data necessary for replicating the analysis of Brown and Yucel in their paper "What Drives Natural Gas Prices?" The dataset also includes the expanded...