| 1. |
- Hatemi-J, Abdulnasser
(författare)
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Fiscal policy in Sweden: effects of EMU criteria convergence
- 2002
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Ingår i: Economic Modelling. - 0264-9993 .- 1873-6122. ; 19:1, s. 121-136
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the sustainability of Swedish fiscal policy performed during the period 1963-2000. The main emphasis is on assessing the effects of changes in fiscal policy, such as changes in taxes or public spending. On the basis of Johansen's VAR and the augmented Granger causality tests, the results show that taxes and spending are causally related in the long-run and the homogeneity condition is supported empirically. The effect of EMU criteria convergence on fiscal policy is also investigated empirically. The 'Pantula principle' is applied to determine the form of deterministic trend component. Special attention is given to the lag-choosing process. The policy implication of our findings is that Sweden is not in violation of its intertemporal budget constraint. (C) 2002 Elsevier Science B.V. All rights reserved.
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| 2. |
- Afsar, Atahan, et al.
(författare)
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A behavioral hybrid New Keynesian model : Quantifying the importance of belief formation frictions
- 2024
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Ingår i: Economic Modelling. - : Elsevier. - 1873-6122 .- 0264-9993. ; 132
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Tidskriftsartikel (refereegranskat)abstract
- Recent evidence points towards significant belief formation frictions and forecast sluggishness. In this paper, we build a bounded rationality New Keynesian model, estimated to match the degree of forecast sluggishness present in the data. We find that bounded rationality induces enough myopia and intrinsic persistence, diminishing the influence of consumption habits and price indexation. Additionally, the bounded rationality model generates impulse response dynamics to monetary policy shocks that resemble those observed in empirical estimations. This study highlights the significance of bounded rationality in capturing real-world dynamics and provides valuable insights into the role of belief formation frictions in macroeconomic modeling.
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| 3. |
- Andrén, Daniela, 1968-
(författare)
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Romanians, Hungarians and their wages, in transition, in Romania
- 2012
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Ingår i: Economic Modelling. - : Elsevier BV. - 0264-9993 .- 1873-6122. ; 29:6, s. 2673-2685
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Tidskriftsartikel (refereegranskat)abstract
- Legally binding treaties or memorandums have been used over time to regulate the issue of national borders of many European countries. As a result, relatively large groups of people have become ethnic minorities in other countries. They may conserve their ethnic identities, and therefore their children may accumulate ethnic human capital (e.g., language, culture, and religion) in addition to the general human capital of the country. Therefore, they can get access to an appropriate occupation linked by tradition or other factors to their ethnic group. This paper uses estimates from a selection model with an endogenous switch among three broad types of occupational groups to analyze the composition of the wage gap between Romanians and ethnic Hungarians in Romania before and during the transition from a planned to a market economy. The results suggest that the institutional settings of the controlled economy allowed Romanians to work in occupations that gave them the best returns, while the changes during the transition years allowed ethnic Hungarians to work in occupations that gave them the best returns.
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| 4. |
- Badunenko, Oleg, et al.
(författare)
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Allocative Efficiency Measurement Revisited : Do We Really Need Input Prices?
- 2008
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Ingår i: Economic Modelling. - : Elsevier. - 0264-9993 .- 1873-6122. ; 25:5, s. 1093-1109
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Tidskriftsartikel (refereegranskat)abstract
- The traditional approach to measuring allocative efficiency exploits input prices, which are rarely known at the firm level. This paper proves allocative efficiency can be measured as a profit-oriented distance to the frontier in a profit-technical efficiency space. This new approach does not require information on input prices. To validate the new approach, we perform a Monte-Carlo experiment providing evidence that the estimates of allocative efficiency employing the new and the traditional approach are highly correlated. Finally, as an illustration, we apply the new approach to a sample of about 900 enterprises from the chemical manufacturing industry in Germany.
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| 5. |
- Baum, Christopher F., et al.
(författare)
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Uncertainty Determinants of Corporate Liquidity
- 2008
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Ingår i: Economic Modelling. - : Elsevier. - 0264-9993 .- 1873-6122. ; 25:5, s. 833-849
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the link between the optimal level of non-financial firms' liquid assets and uncertainty. We develop a partial equilibrium model of precautionary demand for liquid assets showing that firms alter their liquidity ratio in response to changes in either macroeconomic or idiosyncratic uncertainty. We test this hypothesis using a panel of non-financial US firms drawn from the COMPUSTAT quarterly database covering the period 1993–2002. The results indicate that firms increase their liquidity ratios when macroeconomic uncertainty or idiosyncratic uncertainty increases.
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| 6. |
- Beechey, Meredith, 1973-, et al.
(författare)
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Time-varying inflation persistence in the Euro area
- 2009
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Ingår i: Economic Modelling. - : Elsevier. - 0264-9993 .- 1873-6122. ; 26:2, s. 532-535
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates how inflation persistence in the Euro area has evolved between 1991 and 2006. Employing an ARMA(1,11) model with time-varying autoregressive parameter, we find that inflation persistence has fallen markedly since the third stage of the EMU began in January 1999 and inflation no longer exhibits unit-root behaviour.
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| 7. |
- Buncic, Daniel
(författare)
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Econometric issues in the estimation of the natural rate of interest
- 2024
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Ingår i: Economic Modelling. - 0264-9993 .- 1873-6122. ; 132
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Tidskriftsartikel (refereegranskat)abstract
- The natural rate of interest is a key benchmark steady-state rate of return that is used by central banks to measure the stance of monetary policy. Asset managers rely on estimates of the natural rate to make long-term investment decisions for their clients. This paper outlines a number of important econometric issues in the estimation of the natural rate of interest from a widely used structural model. Using a simulation experiment as well as empirical data for the U.S., I show that one of the key parameters of the structural model is overestimated and leads to a spuriously amplified downward trend in the natural rate. The paper shows how the overestimation can be remedied and provides alternative estimates of the natural rate. Various other issues are discussed that policy makers should be aware of when utilizing this model’s natural rate estimates for policy decision.
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| 8. |
- Cross, Jamie, et al.
(författare)
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Forecasting structural change and fat-tailed events in Australian macroeconomic variables
- 2016
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Ingår i: Economic Modelling. - : Elsevier. - 0264-9993 .- 1873-6122. ; 58, s. 34-51
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Tidskriftsartikel (refereegranskat)abstract
- The 2007/08 Global Financial Crisis has re-stimulated interest in modeling structural changes and fat tail events. In this paper, we investigate whether incorporating time variation and fat-tails into a suit of popular univariate and multivariate Gaussian distributed models can improve the forecast performance of key Australian macroeconomic variables: real GDP growth, CPI inflation and a short-term interest rate. The forecast period is from 1992Q1 to 2014Q4, thus replicating the central banks forecasting responsibilities since adopting inflation targeting. We show that time varying parameters and stochastic volatility with Student's-t error distribution are important modeling features of the data. More specifically, a vector autoregression with the proposed features provides the best interest and inflation forecasts over the entire sample. Remarkably, the full sample results show that a simple rolling window autoregressive model with Student's-t errors provides the most accurate GDP forecasts.
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| 9. |
- Eriksson, Clas, 1961-
(författare)
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Phasing out a polluting input in a growth model with directed technological change
- 2018
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Ingår i: Economic Modelling. - : Elsevier B.V.. - 0264-9993 .- 1873-6122. ; 68, s. 461-474
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Tidskriftsartikel (refereegranskat)abstract
- This paper explores the potential conflict between economic growth and the environment, and the optimal long-run environmental policy. It formulates a growth model with directed technological change and focuses on the case with low elasticity of substitution between clean and dirty inputs in production. New technology is substituted for the polluting input, which results in a gradual decline in pollution along the optimal long-run growth path. In contrast to some recent work, the era of pollution and environmental policy is here not just a transitory phase in economic development. This result means that the government's continuous efforts to reconcile economic growth and the environment will always be needed. The socially optimal policy includes a perpetual subsidy to ‘green’ research. The tax rate of pollution is monotonously increasing, while the pollution tax payments constitute a constant share of income. These policies result in a quite modest growth drag.
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| 10. |
- Falk, Martin, et al.
(författare)
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Sensitivity of winter tourism to temperature increases over the last decades
- 2018
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Ingår i: Economic Modelling. - : Elsevier. - 0264-9993 .- 1873-6122. ; 71, s. 174-183
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Tidskriftsartikel (refereegranskat)abstract
- This paper provides new evidence on the impact of temperatures on tourism demand in the winter season. The analysis is based on time series data spanning from 1960 to 2015 for the South Tyrolean mountains in Italy. Since 1960, winter temperatures have increased by 0.4 degrees Celsius per decade, on average. A nonlinear autoregressive distributed lag (ARDL) model is employed for the estimations. This model allows two separate coefficients to impact tourism demand, following temperature changes (decreases or increases). Results reveal that an increase in winter temperatures by one degree Celsius leads to a decline in the number of accommodation guests (arrivals) by eight per cent, while temperature decreases have no effect on the number of arrivals. However, sensitivity to temperature increases has been declining since the early 1990s, probably due to the widespread usage of snowmaking facilities. The number of these facilities has increased by almost 10 per cent per year on average over the same period. In recent years (1986-2015), and as a consequence of these measures, temperature increases no longer have an effect on winter tourism demand. Conversely, decreases in temperatures lead to small increases in arrivals (by four per cent increase due to a one degree Celsius decrease).
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