künftigen Perioden, allerdings mit abnehmendem Effekt.
Eigenschaften von
AR(p)-Prozessen
Für AR(p)-Prozesse höherer Ordnung (p > 1) lassen sich bei Stationarität vergleichs-
weise komplexere Ausdrücke [...] üblicherweise als ARMA(p, q)-Prozess abgekürzt wird. Er besitzt die
Form
(16) yt = + 1yt – 1 + 2yt – 2 + ... + pyt – p + t + 1t – 1 + 2t – 2 + ... + qt – q.
ARMA(p,q)-Prozesse haben die [...] (9) und im Fall
1 = 0 gerade (14) und (15).
Eigenschaften von
ARMA(p,q)-Prozessen
Bei ARMA(p,q)-Prozessen höherer Ordnung (p > 1, q > 1) ergeben sich vergleichsweise un-
übersichtlichere Ausdrücke
peak in
December and no visible peak in the summer months for both countries
(Fischer et al. 2004, see p. 54). More recent data for Sweden, however, exhibit
noticeable seasonal movements in the summer months [...] US domestic money, inflation and output.
Journal of Monetary Economics, 53(2), 183–197.
Anderson, P.S. (1977). Currency in use and in hoards. New England Economic
Review, Federal Reserve Bank of Boston [...] (pp. 148–199). Frankfurt am Main, Germany: Deutsche Bundesbank.
Bagnall, J., Bounie, D., Huynh, K.P., Kosse, A., Schmidt, T., Schuh, S., Stix, H.
(2016). Consumer cash usage: A cross-country comparison
deposits has traditionally been offered in Italy.
3
1 2 3 4 5 6
alt Mm p y w i i
whereby m denotes the stock of money, p the price level, y and w the level of trans-
actions and wealth, respectively [...] 0.08
0.10
0.12
1991 1993 1995 1997 1999 2001 2003 2005 2007
Interest rate measure (in p.p.)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
1991 1993 1995 1997 1999 2001 2003 2005 [...] ) I(0) variables vector xt :
0
1
p
t i t i t t t
i
y y x D (1)
Table 1: Results of Unit Root Tests
Variables ADF KPSS
(D,X) t-Statistic p-value* LM-Statistic critical value
level
45 (2), S. 265–282.
[16] Beltran, Daniel O.; Kretchmer, Maxwell; Marquez,
Jaime; Thomas, Charles P. (2013): “Foreign Holdings
of U.S. Treasuries and U.S. Treasury Yields.” In:
Journal of International
show that the P-DOLS estimator performs
best across a large set of experiments. They confirm evidence of Kao & Chiang (2001).
Therefore, we prefer and present the results of the P-DOLS methodology [...] Spiegel Online, 5 May.
Pedroni, P (2001), Purchasing power parity tests in cointegrated panels; Review of Economics
and Statistics 83, 727-731.
Pedroni, P (2004), Panel cointegration: Asymptotic [...] July.
Sands, P (2016), Making it harder for the bad guys: the case for eliminating high denomination
notes, M-RCBG Associate Working Paper Series No 52, February.
Sands, P, B Weisman, H Campbell
Konstante
Wahrscheinlichkeit
Abh. = 0 Abh. = 1 Ges. Abh. = 0 Abh. = 1 Ges.
P(Abh=1)≤C 88 4 92 93 77 170
P(Abh=1)>C 5 73 78 0 0 0
gesamt 93 77 170 93 77 170
korrekt 88 73 161 93 0 93
% korrekt [...] das Probit-Verfahren folgendermaßen darstellen:
2
'
0,51Pr( 1| , ) ( ', )
2
X ß
u
i i iP Y X e du Xβ β
π
−
−∞
= = = = Φ∫ ,
Pi repräsentiert die Wahrscheinlichkeit, dass ein bestimmtes [...] räge, Nr.80.
McFadden, D. (1973): Conditional Logit Analysis of Qualitative Choice Behaviour, in
P. Zarembka (Hg.), Frontiers in Econometrics, Academic Press.
Stock, J.H. und M.W. Watson (2002), Forecasting
to a misinterpretation of currency developments.
Acknowledgement
I am grateful to B. Fischer, P. Köhler and an anonymous referee for helpful comments.
References
Banco de España, 1996. Determinantes [...] Boeschoten, W.C., 1992. Currency Use and Payments Patterns. Kluwer Academic Publishers, Dordrecht.
Köhler, P., Fischer, B., Seitz, F., 2004. The demand for euro area currencies: past, present, future. ECB Working
k
W o r k i n g P a p e r 6 4
Th e Fe d e r a l D e s i g n o f a C e n t r a l
B a n k i n a M o n e t a r y U n i o n :
T h e C a s e o f t h e E u r o p e a n
S y s t e [...]
* Corresponding address: CentER, Tilburg University, P.O. Box 90153, 5000 LE Tilburg, The Netherlands.
Email: s.c.w.eijffinger@kub.nl, phone: +31 13 4662411 [...] two weeks to every month. President Duisenberg stated
in that respect the following (see ECB, 2001, p. 3): “Finally, I would like to inform you that the
Governing Council has decided that, as from today
08
Q
3
10
Q
1
11
Q
3
13
Q
1
14
Q
3
16
Q
1
17
Q
3
PW-P[Regime 0] PW-P[Regime 1] PW-P[Regime 2]
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
81
Q
3
83
Q
1
84 [...] 3
10
Q
1
11
Q
3
13
Q
1
14
Q
3
16
Q
1
17
Q
3
PsmoW-P[Regime 0] PsmoW-P[Regime 1] PsmoW-P[Regime 2]
ECB Working Paper Series No 2310 / August 2019 15
page
Table [...] well as
others where the link to activity is more indirect (Baltic Dry Index, Brent oil price, S&P global stock
price index). He finds that the indicators are most helpful during periods of large
levels of significance (�2(3)¼ 1.85, p-value¼ 0.60).12
In contrast, the null of weak exogeneity of il has to be
rejected at all levels of significance (�2(1)¼ 21.41,
p-value¼ 0.00). Table 3 summarizes [...] bonds over
other asset classes by pension funds and life insurance
corporations’ (ECB, 2005, p. 23). As a result of these
changes and anticipatory effects of the proposed
legislation, there [...] conclude that, ‘there are hints
of some instability in the last years.’ Kozicki and
Sellon (2005, p. 29) suggest ‘that the key factor
behind the conundrum is a large reduction in the term
premium’
definiert
2
( ) , wobei
( )
=
sd pU
mean p
(2)
mean(p) für die durchschnittliche Punktzahl aller Mannschaften am Vorspieltag und sd(p)
entsprechend für die Standardabweichung [...] German Bundesliga, Universität Zürich, Working Paper No. 41, May
2006.
Cairns, J., N. Jennet und P.J. Sloane, (1986), The Economics of Professional Team Sports: A
survey of theory and evidence. Journal [...] Demand in Sport:
The case of English soccer, The Statistician 51, S. 229-241.
Garcia, J. und P. Rodriguez (2002), The Determinants of Football Match Attendance
Revisited: Empirical evidence from
Fall of Reserve Position Doc-
trine. ECB Working Paper, No. 372, June 2004b.
Buttiglioni, L.P./Del Giovane, P./Tristani, O.: Monetary Policy Actions and the Term Structure of Inte-
rest Rates: A Cro [...] (UK) 2001, S. 13 - 24.
King, M.: No Money, no Inflation — the Role of Money in the Economy. In: Mizen P.(Hrsg.): Central
Banking. Monetary Theory and Pratice — Essays in Honour of Charles Goodhart. Bd
gap alone.2 The P* model may be summarized by
Svensson's equations (2.3), (5.2) and (5.3) (all variables except the interest rate
are in logs):
�t � �1ÿ ��p��tÿ1 � ��p�p�tÿ1 ÿ �p�ptÿ1 ÿ p�tÿ1� � �t �2:3� [...] than the output gap'.
3. On p. 70f. Svensson rewrites (2.3) to incorporate the real money gap instead of the price gap
(pÿ p�). The real money gap is �mÿ p��mÿ p�� � p� ÿ p, i.e. it is the negative of [...] paper `Does the P* Model Provide any Rationale for Monetary Targeting?' ± in
contrast to him ± in the affirmative. We argue that a strategy of monetary targeting
can be rationalized within the P* framework
endowed with "money" (i.e. m=1) with
probability p. Consequently, the probability of someone
not having money at his disposal (i.e. m=0) is 1–p. If
we define Vm to be the payoff of an agent with [...]
i
t
=
0
+
x
x
t
+ E
t t+1
+
t
i (3)
0 1 2
m
t t t t t( m p ) y i= + + (4)
Equation (1) is the IS relation with x the output gap,
i the nominal [...] operator and the per-period utility depends
positively on consumption c and real balances m =
M/P. The way money affects the consumption path
crucially depends on the assumption made about ucm,
and P.N. Ireland (2012), Quantitative Easing: Interest Rates and Money in the
Measurement of Monetary Policy, Boston College Working Papers in Economics No. 801,
September.
Berger, H. and P. Österholm [...] and P. Gogas (2014), Divisia Monetary Aggregates, the Great Rations and Classical
Money Demand Functions, Journal of Money, Credit and Banking, 46, pp. 229-241.
Serletis, A., Istiak, K. and P. Gogas [...] Domestic Money, Inflation and Output, Journal of Monetary
Economics, 53, pp. 183-197.
Alessandri P. & H. Mumtaz (2014), Financial Indicators and Density Forecasts for US Output and
Inflation, Banca
of Money, Banking and Financial Markets, 7. A.,
Pearson Addison Wesley, Boston et al.
Pollard, P.S. (2003): A Look Inside Two Central Banks: The European Central Bank and
the Federal Reserve, Federal
inflationäres Umfeld zurück, das die Anleger vor einem langfristigen Engagement zurückschrecken ließ (P. De Grauwe: Economics
of Monetary Union, 5. Auflage, Oxford 2003, S. 31f.). Auf Grund des großen Vertrauens
D.: Fiat Money. In: Newman, P./Milgate, M./Eat-
well, J. (Hrsg.): The New Palgrave Dictionary of Mo-
ney & Finance 2. Basingstoke 1992, S. 20 - 22.
Lewis, M.K./Mizen, P.D.: Monetary Economics. Oxford
on
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