The authors examine the link between consumption and disaggregate wealth in Canada. They use a vector-error-correction model in which permanent and transitory shocks are identified using the restrictions implied by cointegration proposed by King, Plosser, Stock, and Watson (1991) and Gonzalo and Granger (1995). This procedure allows the authors to identify the reaction of consumption to both ty...

VAR analysis is a widespread method of quantitatively analyzing macro-economic issues. In this paper we examine the use of "hybrid" VAR models that retain the short-run features of a VAR but are designed to reproduce selected characteristics of calibrated models that are frequently used for the simulation of policy actions. The calibrated model we use is the McKibbin Sachs Global (MSG2) model o...

We show that under indeterminacy aggregate demand shocks are able to explain not only aspects of actual fluctuations that standard RBC models predict fairly well, but also aspects of actual fluctuations that standard RBCmodels cannot explain, such as the hump-shaped, trend reverting impulse responses to transitory shocks found in US output (Cogley and Nason, AER, 1995); the large forecastable m...

This paper investigates the dispersions in days worked and wages by adapting a novel semi-parametric specification that minimizes assumptions about life-cycle labor income dynamics. Data for Italy shows substantial increase inequality after age 50 males over time span from 1985 to 2012, which is remarkably driven variations rather than wages. Results show this determined permanent changes numbe...

VAR analysis is a widespread method of quantitatively analyzing macro-economic issues. In this paper we examine the use of "hybrid" VAR models that retain the short-run features of a VAR but are designed to reproduce selected characteristics of calibrated models that are frequently used for the simulation of policy actions. The calibrated model we use is the McKibbin Sachs Global (MSG2) model o...

 The oil price shocks are an important source that affect on TOT in both oil exporting and importing countries. Hence, this paper compares the effects of real oil price shock on TOT in both oil importing and exporting countries, using Panel Data technique and during 1980-2010. To the best of our knowledge, we applied the nonlinear approach in order to assess the asymmetric impact of the oil pri...

Economic agents in the transition economies are subject to tight credit constraints, which are more pronounced during bad state of nature. Thus, adverse shocks to commodity prices in the world market can force them to reduce savings by a larger amount than they would otherwise have. Empirical analysis using a dynamic panel model and data from 21 transition economies confirm that most of the det...

Empirically, earnings at the start or end of spells are lower and more volatile than in interior histories, reflecting mainly effects working less full year. Ignoring these properties leads to a mismeasurement permanent transitory shock variances induces large widely documented divergence estimates those based on fitting moments levels growth rates. Accounting for enables accurate analysis usin...

This paper uses several methods to study the interrelationship among Divisia monetary aggregates, prices, and income, allowing for nonstationary, nonlinearities, asymmetries, and time-varying relationships among the series. We propose a multivariate regime switching unobserved components model to obtain transitory and permanent components for each series, allowing for potential recurrent and st...