Liquidity and inflation effects on consumers' expenditure

Hendry, David F.; Ungern‐Sternberg, Thomas von

doi:10.1017/cbo9780511984082.013

Cited by 168 publications

(90 citation statements)

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“…(See Davidson, Hendry, Srba and Yeo (1978) and Hendry (1981) for the UK; Berg et al (1995), Kanis et al (1993), and Barot (1995) for Sweden. This makes it all the more important to have an econometric model that increases our understanding of the determinants of house prices and of the effects on house prices from both fiscal and monetary policies.…”

Section: Introductionmentioning

confidence: 99%

House Prices and Housing Investment in Sweden and the UK: Econometric Analysis for the Period 1970–1998

Barot

Yang

2002

Rev Urban & Reg Develop

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We estimate quarterly dynamic housing demand and investment supply models for Sweden and the UK for the sample period 1970-1998, using an Error Correction Method (ECM). To facilitate comparisons of results between Sweden and the UK we model both countries identically with approximately almost the similar type of exogenous variables. The long-run income elasticities for Sweden and the UK are constrained to be 1.0, respectively. The long-run semi-elasticity for interest rates are 2.1 and 0.9 for Sweden and the UK. The speed of adjustment on the demand side is 0.12 and 0.23, while on the supply side it is 0.06 and 0.48 for Sweden and the UK, respectively. Granger causality tests indicate that income Granger causes house prices for Sweden, while for the UK there is also feedback from house prices to income. House prices Granger cause financial wealth for Sweden, while for the UK it is vice-versa. House prices cause household debt for Sweden, while for the UK there is a feedback from debt. Interest rates Granger cause house prices for the UK and Sweden. In both countries Tobin's q Granger cause housing investment. Generally, the diagnostic tests indicate that the model specifications were satisfactory to the unknown data generating process.

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Section: Introductionmentioning

confidence: 99%

House Prices and Housing Investment in Sweden and the UK: Econometric Analysis for the Period 1970–1998

Barot

Yang

2002

Rev Urban & Reg Develop

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“…[as given by Hendry and Von Ungern-Sternberg (1981), with Yl = 1], where Yi denotes the desired quantity at time t. Furthermore, to the extent that it is possible, we also test (3.3) or (4.1) against the unrestricted form Yt := PYt-l + Jl'x r + 8'x r -1 + u..…”

Section: Resultsmentioning

confidence: 99%

“…As a first and rough attempt at dynamics necessitated by data limitations, we (like many analyses involving annual data) use a first-order autoregressive [AR(l)] specification to take account of serial correlations in the residuals of the data. Nevertheless, because the AR(l) specification coincides with a special form of error-correction mechanism suggested by Hendry and Von Ungern-Sternberg (1981), such a dynamic adjustment process can be seen as a starting point of our search, hence providing natural alternatives for performing diagnostic checks once the choices of appropriate representations have been narrowed.…”

Section: A Data-exploration Strategymentioning

confidence: 99%

A Combined Structural and Flexible Functional Approach for Modeling Energy Substitution

Mountain

Hsiao

1989

Journal of the American Statistical Association

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In theory, a flexible functional form can approximate an arbitrary elasticity of substitution; however, when faced with an actual finite data set, a parsimonious parametric functional form that imposes more structural restrictions may yield a more accurate approximation about underlying substitution. Therefore, for uncovering the underlying degree of input substitution a dataexploration strategy is suggested that combines the parametric family of a system of quadratic log-ratio demand equations and conventional flexible functional forms. This allows testing for more restrictive hypotheses about substitution. These issues are examined in the context of interfuel substitution at the two-digit SIC level for manufacturing industries in Ontario and Quebec, Canada. A basic tenet of the approach of this article is that although letting data speak for itself is preferred, economic theory should be used wherever possible, and a simple model is preferable to complicated models unless the evidence suggests otherwise. Given the variations of technologies, managerial behavior, and speed of adjustment across manufacturing sectors, the existence of a single optimal model is questioned. In fact, out of 39 industries examined, suitable models are found for 30 industries. Out of the 30, 18 can be modeled by the relatively more restricted quadratic log-ratio specifications and 12 by the more general flexible functional forms. By using a combined structural and flexible functional approach, this article obtains more precise estimates of the elasticities of substitution and models more likely to satisfy monotonicity and concavity conditions than those obtained by considering the conventional search procedures within a flexible functional approach. It is also interesting to note that, unlike previous studies of interfuel substitution, some industries display biased technological changes, and some appear to possess a dynamic adjustment process consistent with an error-correction mechanism composed of both derivative and proportional control mechanisms.

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“…Note that c is n Â 1, but subject to r restrictions from b 0 c ¼ 0, and l is r Â 1, leaving n unrestricted intercepts in total in (9). Consequently, c, a and l are assumed to be variation free, although in principle, l could depend on c as in (10): see Hendry and von Ungern-Sternberg (1981). Then ðs; CÞ are not variation free, as seems reasonable when c, a, b and l are the 'deep' parameters: for a more extensive analysis, see Clements and Hendry, (1996a).…”

Section: Article In Pressmentioning

confidence: 99%

Robustifying forecasts from equilibrium-correction systems

Hendry

2006

Journal of Econometrics

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Cointegration analysis has led to equilibrium-correction econometric systems being ubiquitous. But in a non-stationary world subject to structural breaks, where model and mechanism differ, equilibrium-correction models are a risky device from which to forecast. Equilibrium shifts entail systematic forecast failure, as forecasts will tend to move in the opposite direction to data. We explain the empirical success of second-differenced devices and of model transformations based on additional differencing as reducing forecast-error biases, at some cost in increased forecast-error variances. The analysis is illustrated by an empirical application to narrow money holdings in the UK. r 2005 Elsevier B.V. All rights reserved. JEL classification: E41; C52

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Liquidity and inflation effects on consumers' expenditure

Cited by 168 publications

References 0 publications

House Prices and Housing Investment in Sweden and the UK: Econometric Analysis for the Period 1970–1998

House Prices and Housing Investment in Sweden and the UK: Econometric Analysis for the Period 1970–1998

A Combined Structural and Flexible Functional Approach for Modeling Energy Substitution

Robustifying forecasts from equilibrium-correction systems

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