OLong-run Money Demand in OECD Countries – Cross-Member Cointegration

This paper examines the long-run money demand function for 11 OECD countries from 1983 to 2006 using panel data and including wealth. The distinction between common factors and idiosyncratic components using principal component analysis allows to detect cross-member cointegration and to distinguish between international and national developments as drivers of the long-run relation between money and its determinants. Indeed, cointegration between the common factors of the underlying variables, i.e. cross-member cointegration, indicates that the long-run relationship is mainly driven by international stochastic trends. Furthermore, it is found that the impact of income on money demand is positive, while it is negative for the interest rate and stock prices. The estimated (semi-)elasticities of money are larger for the common factors than for the original variables, except the income elasticity. Finally, the results of a panel-based error-correction model suggest that money demand converges to an international cross-member equilibrium relation of the common factors.Money demand; wealth effects; panel unit roots; vector error-correction models

Cross-section Dependence and the Monetary Exchange Rate Mode – A Panel Analysis

This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic components and determine whether non-stationarity stems from international or national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and fundamentals which is driven by those common international trends. In addition, the estimated coefficients of income and money are in line with the suggestions of the monetary model.Monetary exchange rate model; common factors; panel data; cointegration; vector error-correction models

Cross-Section Dependence and the Monetary Exchange Rate Model: A Panel Analysis

This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic components and determine whether non-stationarity stems from international or national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and fundamentals which is driven by those common international trends. In addition, the estimated coefficients of income and money are in line with the suggestions of the monetary model.Monetary exchange rate model, common factors, panel data, cointegration, vector error-correction models

Energy Consumption and Economic Growth: New Insights into The Cointegration Relationship

This paper examines the long-run relationship between energy consumption and real GDP, including energy prices, for 25 OECD countries from 1981 to 2007. The distinction between common factors and idiosyncratic components using principal component analysis allows to distinguish between developments on an international and a national level as drivers of the long-run relationship. Indeed, cointegration between the common components of the underlying variables indicates that international developments dominate the long-run relationship between energy consumption and real GDP. Furthermore, the results suggest that energy consumption is price-inelastic. Causality tests indicate the presence of a bi-directional causal relationship between energy consumption and economic growth

Cross-Section Dependence and the Monetary Exchange Rate Model: A Panel Analysis

This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic components and determine whether non-stationarity stems from international or national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and fundamentals which is driven by those common international trends. In addition, the estimated coefficients of income and money are in line with the suggestions of the monetary model

Energy Consumption and Economic Growth - New Insights into the Cointegration Relationship

This paper examines the long-run relationship between energy consumption and real GDP, including energy prices, for 25 OECD countries from 1981 to 2007. The distinction between common factors and idiosyncratic components using principal component analysis allows to distinguish between developments on an international and a national level as drivers of the long-run relationship. Indeed, cointegration between the common components of the underlying variables indicates that international developments dominate the long-run relationship between energy consumption and real GDP. Furthermore, the results suggest that energy consumption is price-inelastic. Causality tests indicate the presence of a bi-directional causal relationship between energy consumption and economic growth.Dieses Papier untersucht unter Einbeziehung von Energiepreisen die langfristige Beziehung zwischen Energieverbrauch und realen BIP für 25 OECD Länder von 1981 bis 2007. Durch die Unterscheidung von gemeinsamen und idiosynkratischen Komponenten mit Hilfe einer Faktoranalyse kann zwischen Entwicklungen auf internationaler und nationaler Ebene als Treiber der Langfristbeziehung differenziert werden. In der Tat deutet Kointegration zwischen den gemeinsamen Faktoren der zugrundeliegenden Variablen darauf hin, dass internationale Entwicklungen die langfristige Beziehung zwischen Energieverbrauch und realem BIP dominieren. Des Weiteren suggerieren die ökonometrischen Ergebnisse, dass der Energieverbrauch relativ preisunelastisch ist. Kausalitätstests ergeben eine bidirektionale kausale Beziehung zwischen Energieverbrauch und Wirtschaftswachstum

A Service of zbw Cross-section dependence and the monetary exchange rate model: A panel analysis Cross-section Dependence and the Monetary Exchange Rate Model A Panel Analysis Cross-section Dependence and the Monetary Exchange Rate Model -A Panel Analysis

Standard-Nutzungsbedingungen: Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract. This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic components and determine whether non-stationarity stems from international or national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and fundamentals which is driven by those common international trends. In addition, the estimated coefficients of income and money are in line with the suggestions of the monetary model. JEL-Classification: C32, C23, F31, F41 Terms of use: Documents i

Energy Consumption and Economic Growth: New Insights into The Cointegration Relationship

This paper examines the long-run relationship between energy consumption and real GDP, including energy prices, for 25 OECD countries from 1981 to 2007. The distinction between common factors and idiosyncratic components using principal component analysis allows to distinguish between developments on an international and a national level as drivers of the long-run relationship. Indeed, cointegration between the common components of the underlying variables indicates that international developments dominate the long-run relationship between energy consumption and real GDP. Furthermore, the results suggest that energy consumption is price-inelastic. Causality tests indicate the presence of a bi-directional causal relationship between energy consumption and economic growth

Cross-section Dependence and the Monetary Exchange Rate Mode – A Panel Analysis

This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic components and determine whether non-stationarity stems from international or national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and fundamentals which is driven by those common international trends. In addition, the estimated coefficients of income and money are in line with the suggestions of the monetary model.Die traditionelle monetäre Wechselkurstheorie untersucht den Zusammenhang zwischen Ungleichgewichten auf dem Geldmarkt und der Entwicklung von Wechselkursen. Die vorliegende Panelstudie analysiert diesen Ansatz basierend auf Quartalsdaten von 1973 bis 2007 für 19 OECD-Länder. Im ersten Schritt wird durch die Anwendung einer Faktorenanalyse zwischen gemeinsamen und idiosynkratischen Faktoren unterschieden. Ökonomisch gesehen erlaubt dies eine Antwort auf die Frage, ob die Nichtstationarität der betrachteten Daten auf globale oder nationale stochastische Trends zurückzuführen ist. Die Ergebnisse zeigen, dass eine Langfristbeziehung zwischen Fundamentalfaktoren und Wechselkursen besteht, die hauptsächlich auf gemeinsame internationale Trends zurückzuführen ist. Darüber hinaus entsprechen die Koeffizienten für Einkommen und Geldmengen den theoretischen Implikationen des monetären Modells. Die Ergebnisse sind aus zwei Gründen von hoher Relevanz: Zunächst haben frühere Panelstudien, die den monetären Ansatz analysieren, Anhängigkeiten zwischen Ländern überwiegend vernachlässigt. Außerdem wird deutlich, dass eine internationale Koordination von Währungs-oder Geldpolitik durchaus erfolgreich sein kann, da Wechselkurse oftmals symmetrischen Schocks ausgesetzt sind

Energy consumption and economic growth: New insights into the cointegration relationship

This paper examines the long-run relationship between energy consumption and real GDP, including energy prices, for 25 OECD countries from 1981 to 2007. The distinction between common factors and idiosyncratic components using principal component analysis allows to distinguish between developments on an international and a national level as drivers of the long-run relationship. Indeed, cointegration between the common components of the underlying variables indicates that international developments dominate the long-run relationship between energy consumption and real GDP. Furthermore, the results suggest that energy consumption is price-inelastic. Causality tests indicate the presence of a bi-directional causal relationship between energy consumption and economic growth.Energy consumption Panel unit roots Panel cointegration Vector error-correction models Granger causality