| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4832
|
| DP4832 Liquidity Risk, Leverage and Long-Run IPO Returns |
| B Espen Eckbo; Øyvind Norli
|
| 发表日期 | 2005-01-23
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | The Paper presents a model in which the exogenous money supply causes changes in the inflation rate and the output growth rate. While inflation and growth rate changes occur simultaneously, the inflation acts as a tax on the return to human capital and in this sense induces the growth rate decrease. Shifts in the model?s credit sector productivity cause shifts in the income velocity of money that can break the otherwise stable relation between money, inflation, and output growth. Applied to two accession countries, Hungary and Poland, a VAR system is estimated for each that incorporates endogenously determined multiple structural breaks. Results indicate Granger causality positively from money to inflation and negatively from inflation to growth for both Hungary and Poland, as suggested by the model, although there is some feedback to money for Poland. Three structural breaks are found for each country that are linked to changes in velocity trends, and to the breaks found in the other country. |
| 主题 | International Macroeconomics
|
| 关键词 | Granger causality
Var
Transition
inflation
Growth
Velocity
Structural breaks
|
| URL | https://cepr.org/publications/dp4832
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533741
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推荐引用方式
GB/T 7714 |
B Espen Eckbo,Øyvind Norli. DP4832 Liquidity Risk, Leverage and Long-Run IPO Returns. 2005.
|
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