Evidence and Implications of Regime Shifts: Time-Varying Effects of the United States and Japanese Economies on House Prices in Hawaii

2013 ◽  
Vol 41 (3) ◽  
pp. 449-480 ◽  
Author(s):  
John Krainer ◽  
James A. Wilcox
Keyword(s):  
United States ◽  
House Prices ◽  
The United States ◽  
Regime Shifts ◽  
Time Varying

scholarly journals House prices and credit risk: Evidence from the United States

2015 ◽  
Vol 51 ◽  
pp. 123-135 ◽  
Author(s):  
Mohammad Tajik ◽  
Saeideh Aliakbari ◽  
Thaana Ghalia ◽  
Sepideh Kaffash
Keyword(s):  
United States ◽  
Credit Risk ◽  
House Prices ◽  
The United States

scholarly journals Time‐varying survival effects for squamous cell carcinomas at oropharyngeal and nonoropharyngeal head and neck sites in the United States, 1973‐2015

Cancer ◽  
2020 ◽  
Vol 126 (23) ◽  
pp. 5137-5146
Author(s):  
Andrew F. Brouwer ◽  
Kevin He ◽  
Steven B. Chinn ◽  
Alison M. Mondul ◽  
Christina H. Chapman ◽  
...  
Keyword(s):  
United States ◽  
Head And Neck ◽  
Squamous Cell ◽  
The United States ◽  
Squamous Cell Carcinomas ◽  
Time Varying

scholarly journals The Time-Varying Effect of Monetary Policy on Asset Prices

2020 ◽  
Vol 102 (4) ◽  
pp. 690-704 ◽  
Author(s):  
Pascal Paul
Keyword(s):  
Monetary Policy ◽  
Asset Prices ◽  
House Prices ◽  
The United States ◽  
Model Parameters ◽  
Time Varying ◽  
Real Economy ◽  
Monetary Policy Shocks ◽  
Vector Autoregressive ◽  
Policy Shocks

This paper studies how monetary policy jointly affects asset prices and the real economy in the United States. I develop an estimator that uses high-frequency surprises as a proxy for the structural monetary policy shocks. This is achieved by integrating the surprises into a vector autoregressive model as an exogenous variable. I use current short-term rate surprises because these are least affected by an information effect. When allowing for time-varying model parameters, I find that compared to the response of output, the reaction of stock and house prices to monetary policy shocks was particularly low before the 2007–2009 financial crisis.

THE DEMAND FOR LIQUID ASSETS: EVIDENCE FROM THE MINFLEX LAURENT DEMAND SYSTEM WITH CONDITIONALLY HETEROSKEDASTIC ERRORS

2018 ◽  
Vol 23 (07) ◽  
pp. 2941-2958
Author(s):  
Dongfeng Chang ◽  
Apostolos Serletis
Keyword(s):  
United States ◽  
Covariance Matrix ◽  
Financial Econometrics ◽  
The United States ◽  
Demand System ◽  
Demand Systems ◽  
Time Varying ◽  
Conditional Covariance ◽  
Demand For Money ◽  
Monetary Assets

We investigate the demand for money and the degree of substitutability among monetary assets in the United States using the generalized Leontief and the Minflex Laurent (ML) models as suggested by Serletis and Shahmoradi (2007). In doing so, we merge the demand systems literature with the recent financial econometrics literature, relaxing the homoskedasticity assumption and instead assuming that the covariance matrix of the errors of flexible demand systems is time-varying. We also pay explicit attention to theoretical regularity, treating the curvature property as a maintained hypothesis. Our findings indicate that only the curvature constrained ML model with a Baba, Engle, Kraft, and Kroner (BEKK) specification for the conditional covariance matrix is able to generate inference consistent with theoretical regularity.

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