Article history: Received 10 October 2009 Available online 26 May 2010 In this article we investigate the relation between population and real wages in the Italian economy during the period 1320–1870. The main result is that the positive check is strong and statistically significant but the other equilibrating mechanism in the Malthusian model – the preventive check – based on the positive rela...

We specify a class of non-linear and non-Gaussian models for which we estimate and forecast the conditional distributions with daily frequency. We use these forecasts to calculate VaR measures for three different equity markets (US, GB and Japan). These forecasts are evaluated on the basis of different statistical performance measures as well as on the basis of their economic costs that go alon...

Relying on a present value model with time-varying expected returns, and incorporating a quite general class of processes to model bubble-like stock price deviations from the long-run equilibrium, we provide empirical evidence on the U.S. log dividend–price ratio over the 1871:1–2001:9 period, as well as for several sub-periods. The application of a momentum threshold autoregressive technique d...

This paper proposes a factor augmented autoregressive distributed lag (FADL) framework for analyzing the dynamic effects of common and idiosyncratic shocks. We first estimate the common shocks from a large panel of data with a strong factor structure. Impulse responses are then obtained from an autoregression, augmented with a distributed lag of the estimated common shocks. The approach has thr...

We propose a new method to determine the cointegration rank in the error correction model of Engle and Granger (1987). To this end, we first estimate the cointegration vectors in terms of a residual-based principal component analysis. Then the cointegration rank, together with the lag order, is determined by a penalized goodness-of-fit measure. We have shown that the estimated cointegration vec...

This paper provides closed-form likelihood approximations for multivariate jump-diffusion processes widely used in finance. For a fixed order of approximation, the maximum-likelihood estimator (MLE) computed from this approximate likelihood achieves the asymptotic efficiency of the true yet uncomputable MLE as the sampling interval shrinks. This method is used to uncover the realignment probabi...

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 longand the short-term nominal interest rates, (ii) the long-term real interest rate, and (iii) a long-run demand for broad money M3. There is evidence that the determina...

This paper presents empirical evidence on the behaviour of interbank lending in Germany after a monetary policy impulse. Our VAR analysis shows that following a monetary contraction, the banking system as a whole attracts additional funds from foreign banks. Whereas small cooperative and savings banks do not seem to directly access the interbank market themselves, they do so indirectly through ...

This paper develops two very simple tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, unit specific time trends, cross-sectional dependence and an unknown structural break in both the intercept and slope of the cointegrated regression, which may be located at different dates for different un...