Results 1 - 10 of 1,721

A Simple Estimator of Cointegrating Vectors in Higher Order Cointegrated Systems

by James H. Stock, Mark W. Watson - ECONOMETRICA , 1993
"... Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions. T ..."
Abstract - Cited by 524 (3 self) - Add to MetaCart
. These and previously proposed estimators of cointegrating vectors are used to study long-run U.S. money (Ml) demand. Ml demand is found to be stable over 1900-1989; the 95 % confidence intervals for the income elasticity and interest rate semielasticity are (.88,1.06) and (-.13,-.08), respectively. Estimates based

The Determinants of Credit Spread Changes.

by Pierre Collin-Dufresne , Robert S Goldstein , J Spencer Martin , Gurdip Bakshi , Greg Bauer , Dave Brown , Francesca Carrieri , Peter Christoffersen , Susan Christoffersen , Greg Duffee , Darrell Duffie , Vihang Errunza , Gifford Fong , Mike Gallmeyer , Laurent Gauthier , Rick Green , John Griffin , Jean Helwege , Kris Jacobs , Chris Jones , Andrew Karolyi , Dilip Madan , David Mauer , Erwan Morellec , Federico Nardari , N R Prabhala , Tony Sanders , Sergei Sarkissian , Bill Schwert , Ken Singleton , Chester Spatt , René Stulz - Journal of Finance , 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract - Cited by 422 (2 self) - Add to MetaCart
proxy is constructed from at-and out-of-the money puts, and at-and in-the-money calls with the shortest maturity on the nearby S&P 500 futures contract. We first compute implied volatilities for each strike K using the standard Black and Scholes (1973) model. We then fit the linear

The Demand for M3 in the Euro Area

by Günter Coenen, Juan-Luis Vega, Günter Coenen , 1999
"... In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long- and the short-term nominal interest rates, (ii) the long-term real ..."
Abstract - Cited by 68 (2 self) - Add to MetaCart
In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long- and the short-term nominal interest rates, (ii) the long-term real

Estimating European Demand Money

by Bernd Hayo, Bernd Hayo , 1999
"... European Monetary Union will come into existence in 1999. This raises questions related to the monetary policy targets that will be adopted by the European Central Bank (ECB). For both likely candidates, targeting a money aggregate or an inflation target, the existence of a stable money demand funct ..."
Abstract - Cited by 15 (3 self) - Add to MetaCart
functions can be found. The robustness of the results is further evaluated using alternative country groups. Moreover, the estimated models appear to be stable over a period of 20 quarters. This raises the hopes that the ECB will face a stable money demand and be able - at least for a certain time - to use

The Demand for Money in Austria

by Bernd Hayo - Empirical Economics , 2000
"... I am grateful to Robert MacCulloch, Haris Psaradakis and two anonymous referees for helpful comments, and to Helene Schuberth for making some data series available. All remaining errors are my own. The Demand for Money in Austria In this paper, the demand for real money M1, M2 and M3 is estimated fo ..."
Abstract - Cited by 2 (0 self) - Add to MetaCart
for Austria. The modelling takes place within the framework of a small vector autoregression. To estimate the demand for money, two-equation error-correction models are constructed, which contain the short-run dynamics and the long-run economic equilibrium. It is found that a stable money demand exists

2000 The Demand for Money in Austria

by Bernd Hayo, Zentrum Für Europäische Integrationsforschung, Bernd Hayo
"... I am grateful to Robert MacCulloch, Haris Psaradakis and two anonymous referees for helpful comments, and to Helene Schuberth for making some data series available. All remaining shortcomings are my own. The Demand for Money in Austria In this paper, the demand for real money M1, M2, and M3 is estim ..."
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is estimated for Austria. The modelling takes place within the framework of a small vector autoregression. To estimate the demand for money, two-equation error-correction models are constructed, which contain the short-run dynamics and the long-run economic equilibrium. It is found that a stable money demand

How does a brain build a cognitive code

by Stephen Grossberg - Psychological Review , 1980
"... This article indicates how competition between afferent data and learned feedback expectancies can stabilize a developing code by buffering committed populations of detectors against continual erosion by new environmental demands. Tille gating phenomena that result lead to dynamically maintained cri ..."
Abstract - Cited by 253 (94 self) - Add to MetaCart
This article indicates how competition between afferent data and learned feedback expectancies can stabilize a developing code by buffering committed populations of detectors against continual erosion by new environmental demands. Tille gating phenomena that result lead to dynamically maintained

Is European Money Demand Still Stable?

by Kai Carstensen , 2004
"... ..."
Abstract - Cited by 5 (0 self) - Add to MetaCart
Abstract not found

A stable demand for money despite financial crisis: the case of Venezuela

by Hilde C Bjørnland - Applied Economics , 2005
"... The demand for broad money in Venezuela is investigated over a period of financial crisis and substantial exchange rate fluctuations. The analysis shows that there exist a long-run relationship between real money, real income, inflation, the exchange rate and an interest rate differential, that rem ..."
Abstract - Cited by 3 (0 self) - Add to MetaCart
, that remains stable over major policy changes and large shocks. The long-run properties emphasize that both inflation and exchange rate depreciations have negative effects on real money demand, whereas a higher interest rate differential has positive effects. The long-run relationship is finally embedded in a

Walking the tightrope: Responsive yet stable traffic engineering

by Srikanth Kandula, Dina Katabi, Bruce Davie, Anna Charny - In Proc. ACM SIGCOMM , 2005
"... Current intra-domain Traffic Engineering (TE) relies on offline methods, which use long term average traffic demands. It cannot react to realtime traffic changes caused by BGP reroutes, diurnal traffic variations, attacks, or flash crowds. Further, current TE deals with network failures by pre-compu ..."
Abstract - Cited by 158 (3 self) - Add to MetaCart
information, they balance load in the whole network without oscillations. We model TeXCP, prove the stability of the model, and show that it is easy to implement. Our extensive simulations show that, for the same traffic demands, a network using TeXCP supports the same utilization and failure resilience as a
Results 1 - 10 of 1,721