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  1. Characterizing growth instability
    new evidence on unit roots and structural breaks in long run time series
    Autor*in: Russo, Emanuele; Foster-McGregor, Neil; Verspagen, Bart
    Erschienen: 2019
    Verlag:  Maastricht Economic and Social Research Institute on Innovation and Technology (UNU-MERIT), Maastricht, The Netherlands

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    keine Fernleihe
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working paper series / United Nations University, UNU-MERIT ; #2019, 026
    Schlagworte: Long-run growth; structural breaks; unit roots
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  2. Permissioned distributed ledgers and the governance of money
    Autor*in: Auer, Raphael A.; Monnet, Cyril; Shin, Hyun Song
    Erschienen: [2021]
    Verlag:  Universität Bern, Faculty of Business, Economics and Social Sciences, Department of Economics, Bern, Switzerland

    We explore the economics and optimal design of "permissioned" distributed ledger technology (DLT) in a credit economy. Designated validators verify transactions and update the ledger at a cost that is derived from a supermajority voting rule, thus... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 182
    Fernleihe:
    keine Fernleihe

     

    We explore the economics and optimal design of "permissioned" distributed ledger technology (DLT) in a credit economy. Designated validators verify transactions and update the ledger at a cost that is derived from a supermajority voting rule, thus giving rise to a public good provision game. Without giving proper incentives to validators, however, their records cannot be trusted because they cannot commit to verifying trades and they can accept bribes to incorrectly validate histories. Both frictions challenge the integrity of the ledger on which credit transactions rely. In this context, we examine the conditions under which the process of permissioned validation supports decentralized exchange as an equilibrium, and analyze the optimal design of the trade and validation mechanisms. We solve for the optimal fees, number of validators, supermajority threshold and transaction size. A stronger consensus mechanism requires higher rents be paid to validators. Our results suggest that a centralized ledger is likely to be superior, unless weaknesses in the rule of law and contract enforcement necessitate a decentralized ledger.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/242852
    Schriftenreihe: Discussion papers / Universität Bern, Faculty of Business, Economics and Social Sciences, Department of Economics ; 21, 01 (January, 2021)
    Schlagworte: digital currencies; money; distributed ledger; blockchain; coordination game; global game; consensus; market design; Money demand; unit roots; cointegration; structural VARs; natural rate of interest
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  3. International Migration to Germany : Estimation of a Time-Series Model and Inference in Panel Cointegration.
    Autor*in: Trübswetter, Parvati; Siliverstovs, Boriss; Brücker, Herbert
    Erschienen: 2003
    Verlag:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  4. International migration to germany
    estimation of a time series model and inference in panel cointegration
    Autor*in: Brücker, Herbert; Siliverstovs, Boriss; Trübswetter, Parvati
    Erschienen: 2003
    Verlag:  DIW, Berlin

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  5. Money-multiplier shocks
    Autor*in: Benati, Luca; Ireland, Peter N.
    Erschienen: 01 Aug 2017
    Verlag:  Boston College, Chestnut Hill, MA, USA

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Boston College working papers in economics ; number 933
    Schlagworte: Money multiplier; money demand; Lucas critique; structural VARs; unit roots; cointegration; long-run restrictions
    Umfang: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  6. A new approach to estimating the natural rate of interest
    Autor*in: Benati, Luca
    Erschienen: [2021]
    Verlag:  Universität Bern, Faculty of Business, Economics and Social Sciences, Department of Economics, Bern, Switzerland

    Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 182
    Fernleihe:
    keine Fernleihe

     

    Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994) proposal to estimate the permanent component of GNP by exploiting the informational content of consumption. Under monetary regimes (such as inflation-targeting) making inflation I(0), the easiest way to implement the proposed approach is to () project the monetary policy rate onto M1 velocity-thus obtaining an estimate of the nominal natural rate-and then () subtract from this inflation's sample average (or target), thus obtaining the real natural rate. More complex implementations based on structural VARs produce very similar estimates. Compared to existing approaches, the one proposed herein presents two key advantages: (1) under regimes making inflation I(0), M1 velocity is equal, up to a linear transformation, to the real natural rate, so that the natural rate is, in fact, observed; and (2) based on a high-frequency estimate of nominal GDP, the natural rate can be computed at the monthy or even weekly frequency. In the U.S., Euro area, and Canada the natural rate dropped sharply in the months following the collapse of Lehman Brothers. Likewise, the 1929 stock market crash was followed in the U.S. by a dramatic decrease in the natural rate.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/242859
    Schriftenreihe: Discussion papers / Universität Bern, Faculty of Business, Economics and Social Sciences, Department of Economics ; 21, 08 (May, 2021)
    Schlagworte: Natural rate of interest; money velocity; structural VARs; unit roots; cointegration
    Umfang: 1 Online-Ressource (circa 77 Seiten), Illustrationen
  7. Symbolic stationarization of dynamic equilibrium models
    Autor*in: Canova, Fabio; Paulsen, Kenneth Sæterhagen
    Erschienen: [2021]
    Verlag:  Norges Bank, Oslo

    Dynamic equilibrium models are specifted to track time series with unit root-like behavior. Thus, unit roots are typically introduced and the optimality conditions adjusted. This step requires tedious algebra and often leads to algebraic mistakes,... mehr

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    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 673
    Fernleihe:
    keine Fernleihe

     

    Dynamic equilibrium models are specifted to track time series with unit root-like behavior. Thus, unit roots are typically introduced and the optimality conditions adjusted. This step requires tedious algebra and often leads to algebraic mistakes, especially in models with several unit roots. We propose a symbolic algorithm that simpliftes the step of rendering non-stationary models stationary. It is easy to implement and works when trends are stochastic or deterministic, exogenous or endogenous. Three examples illustrate the mechanics and the properties of the approach. A comparison with existing methods is provided.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9788283792171
    Weitere Identifier:
    hdl: 11250/2835495
    hdl: 10419/264937
    Schriftenreihe: Working paper / Norges Bank ; 2021, 18
    Schlagworte: DSGE models; unit roots; endogenous growth; symbolic computation
    Umfang: 1 Online-Ressource (circa 77 Seiten), Illustrationen
  8. Assessing the sustainability of external imbalances in the European Union
    Autor*in: Afonso, António; Huart, Florence; Jalles, João Tovar; Stanek, Piotr
    Erschienen: [2017]
    Verlag:  ISEG - School of Economics and Management, Department of Economics, University of Lisbon, Lisbon

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Working papers / ISEG, Lisbon School of Economics & Management, Department of Economics ; WP 2017, 10 DE/UECE
    Schlagworte: current account; exports; imports; net foreign assets; unit roots; structuralbreaks; cointegration; error-correction; cross-sectional dependence
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  9. A new approach to estimating the natural rate of interest
    Autor*in: Benati, Luca
    Erschienen: [2022]
    Verlag:  Universität Bern, Faculty of Business, Economics and Social Sciences, Department of Economics, Bern, Switzerland

    Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 182
    Fernleihe:
    keine Fernleihe

     

    Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994a) proposal to estimate the permanent component of GNP by exploiting the informational content of consumption. Under monetary regimes (such as inflation-targeting) making inflation I(0), the easiest way to implement the proposed approach is to (i) project the monetary policy rate onto M1 velocity-thus obtaining an estimate of the nominal natural rate-and then (ii) subtract from this inflation's sample average (or target), thus obtaining the real natural rate. More complex implementations based on structural VARs produce very similar estimates. Compared to existing approaches, the one proposed herein presents two key advantages: (1) under regimes making inflation I(0), M1 velocity is equal, up to a linear transformation, to the real natural rate, so that the natural rate is, in fact, observed; and (2) based on a high-frequency estimate of nominal GDP, the natural rate can be computed at the monthy or even weekly frequency. In the U.S., Euro area, and Canada the natural rate dropped sharply in the months following the collapse of Lehman Brothers. Likewise, the 1929 stock market crash was followed in the U.S. by a dramatic decrease in the natural rate.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/266515
    Schriftenreihe: Discussion papers / Universität Bern, Faculty of Business, Economics and Social Sciences, Department of Economics ; 22, 10 (August, 2022)
    Schlagworte: Natural rate of interest; money velocity; structural VARs; unit roots; cointegration
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen