This paper presents an econometric model that combines macroeconomic time series data with historical series relating to political instability in Israel during the Intifada period, in order to provide a conservative estimate of the extent to which variations in economic performance over time have a political explanation. Political instability is found to have a substantial effect on the cyclica...

The primary purpose of this paper is to construct and estimate an econometric model for the Jonsei-to-Purchase price ratio (JPR), and to draw implications for the development in the Korean housing market. In particular, we are interested in: a) identifying regimes across which the ratio shows markedly different dynamic behavior; and b) drawing implications from the model for the recent increase...

The few existing empirical studies of U.S.-Japan trade agreements have relied primarily on descriptive statistics or univariate time series methods. We conduct a more powerful test by evaluating agreements in the context of well-specified econometric models. Consistent with trade theory, import demand is modeled as a cointegrating relationship with income and relative price variables, where a t...

This paper allows for the effect of taxation in the econometric model for the analysis of exploration and production policies of "price taking suppliers" recently proposed in Pesaran( 1990). The tax system in the UKCS is neither neutral nor stable, therefore the separation of the "deep" parameters in the model from the tax parameters is an issue of crucial importance. The inclusion of taxation ...

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We use a general equilibrium model to address the question whether a regulatory emission standard or an emission tax yields higher societal welfare for any given target on aggregate emission. The key feature of the model is that the plants are heterogeneous in productivity and monopolistically competitive in the production of dirty-goods whose by-product is emission. We …nd that the standard yi...

This paper reviews the state-of-the-art of macro stress-testing methodologies. Substantial progress has been made both in the econometric analysis of financial soundness indicators and in the simulation of value-at-risk measures to assess system-wide vulnerabilities. However, a number of methodological challenges still remain concerning the correlation of market and credit risks over time and a...

where wt+n = [xt+1, x ′ t+2, . . . , x ′ t+n] ′ for a positive integers n. The conditional expectation is taken with respect to the distribution of the vector ηt+n =[εt+1, ε ′ t+2, . . . , ε ′ t+n] ′, given wt+n is generated by the recursion (A.1). β ∈ B is a vector of parameters. In our application, f is the vector of nominal discount bond prices, g is the vector of corresponding pricing kerne...

JEL codes: L51, L96 I examine the effects of FCC regulation on the innovation and introduction of advanced telecommunications services in the U.S. An interim of lighter regulation provides an “experiment” to test the regulatory regime’s impact on innovation. The econometric model comprises an arrival process (for service innovation) followed by a duration process (for regulatory delay). The num...

Given the increase in world economic integration we wish to examine whether there is a case for coordinating monetary policy across some of the major economies. In late 1998 and early 1999, US monetary policy responded to global economic conditions and interest rates were cut in response to the crisis in Asia. But Europe could have also played an important role in helping to boost world demand ...