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This paper investigates the relationship between the price of oil and real output in the United States in the context of a Markov regime switching, identified, structural GARCH-in-Mean VAR model with copulas. We use the copula method to investigate the nonlinear dependence structure, as well as (upper and lower) tail dependence, between the price of oil and real output growth, and Markov regime switching to account for changing oil price dynamics over the sample period. We find an asymmetric negative dependence structure between oil price and output growth shocks and that oil price uncertainty has a negative and statistically significant effect on real output growth. [ABSTRACT FROM AUTHOR]

We assess the relative importance of fiscal and monetary policy shocks in explaining macroeconomic fluctuations in the United States. Using a Bayesian structural vector autoregressive model, we identify fiscal and monetary policy shocks based on a penalty function approach. We find that monetary policy shocks are relatively more important than fiscal policy shocks in explaining key macroeconomic variations and especially inflation variations. Our results provide evidence in support of a monetarist explanation of US business cycles. [ABSTRACT FROM AUTHOR]

We investigate whether the United States economy responds negatively to oil price uncertainty and whether oil price shocks exert asymmetric effects on economic activity. In doing so, we use monthly data and modify the (Elder and Serletis J Money Credit Bank 42, 1138–1159, 2010) bivariate structural GARCH-in-Mean VAR to accommodate the interaction between oil price uncertainty and the climate risk factors recently constructed by Faccini et al. (2021). We find evidence that oil price uncertainty has a negative and statistically significant effect on the growth rate only when it intereacts with the Faccini et al. (2021) international summits textual factor. [ABSTRACT FROM AUTHOR]

We construct recurrence plots (RPs) and conduct recurrence quantification analysis (RQA) to investigate the dynamic properties of the new Center for Financial Stability (CFS) Divisia monetary aggregates for the United States. In this study, we use the latest vintage of Divisia aggregates, maintained within CFS. We use monthly data, from January 1967 to December 2020, which is a sample period that includes the extreme economic events of the 2007–2009 global financial crisis. We then make comparisons between narrow and broad Divisia money measures and find evidence of a nonlinear but reserved possible chaotic explanation of their origin. The application of RPs to broad Divisia monetary aggregates encompasses an additional drift structure around the global financial crisis in 2008. Applying the moving window RQA to the growth rates of narrow and broad Divisia monetary aggregates, we identify periods of changes in data-generating processes and associate such changes to monetary policy regimes and financial innovations that occurred during those times. [ABSTRACT FROM AUTHOR]

This paper investigates the effects of monetary policy shocks and uncertainty about monetary policy on key macroeconomic variables and interest rate spreads — the term spread and credit spread. We use monthly data for the United States and a multivariate structural GARCH-in-Mean VAR model to estimate the effects on the growth rate of real output, the inflation rate, term spread, credit spread, and the policy rate. We find statistically significant effects on all economic and financial variables. [ABSTRACT FROM AUTHOR]

We investigate interfuel substitution in the United States using the minflex Laurent demand system and a century of data (from 1919 to 2012). We relax the assumption of constant parameters in the demand system, and also relax the homoskedasticity assumption, instead assuming that the covariance matrix of the errors is time-varying. Our results are consistent with theoretical regularity and indicate that the Morishima elasticities of substitution are always positive for all pairs of the energy goods (suggesting substitutability), but exhibit large swings across two regimes, generally being higher in the high demand volatility regime before the 1950s. [ABSTRACT FROM AUTHOR]

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. [ABSTRACT FROM AUTHOR]

We investigate whether the United States economy responds negatively to oil price uncertainty and whether oil price shocks exert asymmetric effects on economic activity. In doing so, we relax the assumption in the existing literature that the data are governed by a single process, modifying the Elder and Serletis (2010) bivariate structural GARCH‐in‐Mean VAR to accommodate Markov regime switching in order to account for changing oil price dynamics over the sample period. We find evidence of asymmetries, against those macroeconomic theories that predict symmetries in the relationship between real aggregate economic activity and the real price of oil. [ABSTRACT FROM AUTHOR]

We test the long-run neutrality of money proposition for the United States paying attention to the integration and cointegration properties of the variables. We use quarterly data (over the period from 1967:1 to 2014:1) and the new Center for Financial Stability Divisia monetary aggregates. We make a comparison among the narrower monetary aggregates, M1, M2M, MZM, M2, and ALL, and the broad monetary aggregates, M4+, M4-, and M3, and show that there is no statistically significant evidence against long-run monetary neutrality, consistent with both monetarist and Keynesian macroeconomic theory. [ABSTRACT FROM AUTHOR]

We use the longest span data that have ever been studied before (from 1870 to 2014) to investigate the relationship between the price of oil and the level of economic activity in the United States. In the context of a bivariate (identified) structural generalized autoregressive conditional heteroscedasticity (GARCH)-in-Mean VAR in real output growth and the change in the real price of oil, we find that uncertainty about oil prices has had a negative and significant effect on real output. We also find that the responses of real output growth to positive and negative shocks are not very informative of whether they are symmetric or asymmetric, and that accounting for oil price uncertainty tends to amplify the negative dynamic response of real output growth to unfavorable (positive) oil price shocks. [ABSTRACT FROM AUTHOR]

This paper explores for spillovers from monetary policy in the United States to a number of advanced countries, namely Canada, Denmark, the Eurozone, Japan, Sweden, Switzerland, and the United Kingdom. We use monthly data, from January 1997 to December 2017, and a bivariate structural GARCH-in-Mean VAR to investigate the effects of positive and negative U.S. monetary policy shocks, and also whether monetary policy uncertainty in the United States has had statistically significant spillover effects on each of the other advanced countries. Our evidence suggests that positive (negative) U.S. monetary policy shocks increase (reduce) the policy rate in each of the other countries, and that monetary policy uncertainty in the United States has a negative and statistically significant effect on the monetary policy rate of each of the other countries. [ABSTRACT FROM AUTHOR]

The article discusses a flexible demand system for the demand for money in the United States. The article presents a general theoretical model, which elaborates on the specification of monetary services aggregator functions, and outlines the theory of consistent multistage optimization. The article also focuses on the specification of a dynamic demand system, which aside from the dynamics is based on the indirect translog aggregator function. The article cites the work of Anderson and Blundell, who developed an unrestricted dynamic formulation to accommodate short-run disequilibrium situations, by including lagged endogenous and exogenous variables as regressors.

This paper employs linear and nonlinear causality tests to examine (for the first time) the dynamic relation between broker-dealer leverage and the stock market in the United States, using quarterly data since 1967. We find significant linear causality from the stock market to broker-dealer leverage and a nonlinear feedback from broker-dealer leverage to the stock market, supporting the view that the macro economy is highly nonlinear. This bidirectional causality shows that a stock market crash might happen long before a fall in fundamental asset values. [ABSTRACT FROM AUTHOR]

The fiscal theory of the price level represents a significant departure from the quantity theory of money, as it implies that active (non-Ricardian) fiscal policy provides the nominal anchor and determines the price level. In this paper we take a first pass at integrating discussion of financial frictions and the fiscal theory of the price level. We first present empirical evidence in support of non-Ricardian fiscal policy, and then discuss the fiscal theory of the price level in a world with financial frictions. After illustrating how the financial friction influences the price level, we provide a theoretical explanation to our empirical findings. We also argue that the financial friction, which is related to fiscal policy, provides an additional instrument tool to the fiscal authority and an advantage over the monetary authority in choosing the equilibrium. [ABSTRACT FROM AUTHOR]

We investigate whether the United States economy responds asymmetrically to positive and negative money supply shocks of different magnitude, using a test recently introduced by Kilian and Vigfusson (Quant Econ 2:419-453, ) based on impulse response functions. We use quarterly data, over the period from 1967:1 to 2014:1, and the new CFS Divisia monetary aggregates, making a comparison among the narrower monetary aggregates, M1, M2M, MZM, M2, and ALL, and the broad monetary aggregates, M4+, M4-, and M3. We show that there is no statistically significant evidence of asymmetry in the response of the U.S. economy to positive and negative money supply shocks of different magnitude. [ABSTRACT FROM AUTHOR]

In this paper we investigate the relationship between leverage and the level of economic activity in the United States, using quarterly data over the period 1951–2012. We address the question for five different measures of leverage—household leverage, nonfinancial firm leverage, commercial bank leverage, broker–dealer leverage, and shadow bank leverage—making a distinction between traditional banks and shadow banks, the latter being a consequence of financial innovation and deregulation in the financial services industry over the past 30 years. We investigate whether the relationship between leverage and the level of economic activity is nonlinear and asymmetric using slope-based tests as well as tests of the null hypothesis of symmetric impulse responses. Our results inform policymakers about the important distinction between traditional banks and the market-based financial intermediaries that have been at the center of the global financial crisis of 2007–2009. They also inform about the macroeconomic effects of the deleveraging process that began in 2008, as well as about the need for countercyclical macroprudential policies to reduce the procyclicality of the financial system. [ABSTRACT FROM AUTHOR]

In this paper we provide an update regarding the effects of money growth variability on real economic activity in the United States using monthly data and the new CFS Divisia monetary aggregates, extending the work in Serletis and Shahmoradi (Macroecon Dyn 10:652-666 ) and Serletis and Rahman (Open Econ Rev 20:607-630 , Macroecon Dyn 17:1638-1658 ). We present evidence that increased uncertainty about the growth rate of the CFS Divisia M1, M2M, and M4+ monetary aggregates is associated with a lower average growth rate of real economic activity in the United States. We also argue that optimal monetary aggregation, as suggested over thirty years ago by Barnett (J Money Credit Bank 14:687-710 ), will further improve our understanding of how money affects the economy. [ABSTRACT FROM AUTHOR]

In this paper we investigate the relationship between money growth uncertainty and the level of economic activity in the United States. We pay explicit attention to the Divisia monetary aggregates. In doing so, we use the new vintage of the data [called MSI (monetary services indices) by the St. Louis Fed], together with the simple sum monetary aggregates, over the period from 1967:1 to 2011:3. In the context of a bivariate VARMA, GARCH-in-mean, asymmetric BEKK model, we show that increased Divisia money growth volatility (irrespective of the level of aggregation and the method of calculation) is associated with a lower average growth rate of real economic activity. However, there are no effects of simple-sum money growth volatility on real economic activity, except with the Sum M1 and perhaps Sum M2M aggregates. We conclude that monetary policies that focus on the Divisia monetary aggregates and target their growth rates will contribute to higher overall economic growth. [ABSTRACT FROM AUTHOR]

We estimate a bivariate GARCH-in-Mean VAR with a BEKK variance specification, to investigate whether oil price volatility affects real economic activity. We use the same data set of thirty seven, aggregate and disaggregate, industrial production indices used by Herrera et al. (2011) as a proxy for real output and a post-1973 data sample. We check the robustness of our results by using two proxies for the price of oil, the West Texas Intermediate (WTI) oil price and the Refiners' Acquisition Cost (RAC) of crude oil, and by testing for both nominal and real effects. We find significant evidence of nonlinearities for both aggregate and disaggregate indices. Our research highlights the importance of nominal prices and extreme events such as the Great Recession in the transmission of nonlinearities. Our results show that nonlinear impacts of the price of oil on the aggregate economy vary according to time period even within the post-1974 data. Since 2000, oil price volatility is up markedly, but the number of industries it impacts is down when compared with the full sample. This is in keeping with what one would expect, based on trend improvements in GDP per unit of energy use. However, for those series, where oil price volatility is significant, the impact of oil volatility is substantially higher than in the full sample; this runs contrary to what one might expect from the observed GDP per unit of energy use improvements. [ABSTRACT FROM AUTHOR]

In this paper we investigate the issue of whether a floating currency is the right exchange rate regime for Canada or whether Canada should consider a currency union with the United States. In the context of the framework recently proposed by James L. Swofford, we use a semi-nonparametric flexible functional form-the asymptotically ideal model (AIM), introduced by William A. Barnett and A. Jonas-and pay explicit attention to the theoretical regularity conditions of neoclassical microeconomic theory, following the suggestions of William A. Barnett and William A. Barnett and Meenakshi Pasupathy. Our results indicate that U.S. dollar deposits are complements to domestic (Canadian) monetary assets, suggesting that Canada should continue the current exchange rate regime, allowing the exchange rate to float freely with no intervention in the foreign exchange market by the Bank of Canada. [ABSTRACT FROM AUTHOR]

In this paper we extend the work in Serletis and Shahmoradi (Macroecon Dyn 10:652–666, ) by investigating the effects of money growth uncertainty on real economic activity, in the context of a multivariate framework in which a structural vector autoregression is modified to accommodate multivariate GARCH-in-Mean errors, as in Elder (J Money, Credit Bank 36:912–928, ). The model uses a recursive identification scheme, takes into account the possible interaction between conditional means and variances, isolates the effects of money growth volatility on output growth, and is able to explicitly model heteroskedasticity. We use quarterly data for the United States over the period from 1959:1 to 2005:4, provide a comparison among simple-sum, Divisia, and currency equivalent monetary aggregation procedures at each of the four levels of monetary aggregation—M1, M2, M3, and MZM—and find evidence that money growth volatility has significant negative effects on output growth. Issues of structural stability are addressed and sub-sample analysis is performed. Moreover, the robustness of the results to alternative identification schemes, alternative measures of the level of economic activity, and to the use of monthly observations is also investigated. [ABSTRACT FROM AUTHOR]

This article employs linear Granger causality tests and the nonlinear causality test of Baek and Brock (1992) and Hiemstra and Jones (1994), as recently modified by Diks and Panchenko (2005b), to re-examine the dynamic relation between daily Eurodollar and US certificate of deposit interest rates during the period 4 January 1971 to 15 July 2005. Although we find significant linear causality only from the US certificate of deposit interest rates to the Eurodollar interest rates, we find significant bidirectional nonlinear causality between Eurodollar and US certificate of deposit interest rates. [ABSTRACT FROM AUTHOR]

This paper provides estimates of bank efficiency and productivity in the United States, over the period from 1998 to 2005, using (for the first time) the globally flexible Fourier cost functional form, as originally proposed by Gallant (1982), and estimated subject to global theoretical regularity conditions, using procedures suggested by Gallant and Golub (1984). We find that failure to incorporate monotonicity and curvature into the estimation results in mismeasured magnitudes of cost efficiency and misleading rankings of individual banks in terms of cost efficiency. We also find that the largest two subgroups (with assets greater than 1 billion in 1998 dollars) are less efficient than the other subgroups and that the largest four bank subgroups (with assets greater than $ 400 million) experienced significant productivity gains and the smallest eight subgroups experienced insignificant productivity gains or even productivity losses. Copyright © 2008 John Wiley & Sons, Ltd. [ABSTRACT FROM AUTHOR]

Purpose — The purpose of this paper is to investigate productivity growth and technical progress bias in the USA. Design/methodologylapproach — Following the work of Kohli in 1978 and Diewert and Wales in 1992, the paper estimates output supply and input demand functions in the context of a normalized quadratic (NQ) variable profit function using US data (over a period from 1960 to 2002) on six goods: output, exports, imports, labour, reproducible capital, and fixed capital. Findings — Results show that the NQ variable profit function with linear splines works very well and the technique for determining structural breaks is effective. Estimates show that the US productivity rate in the last decade recovered in a stepwise manner, rather than jumped overnight in 1996 (as some previous studies have suggested), and that the US productivity revival after 1995 has been volatile and fragile. Originality/value — This paper highlights productivity trends in the USA. [ABSTRACT FROM AUTHOR]

In this paper we use autoregressive conditional heteroscedasticity-type models to investigate the determinants of returns and volatility in the New York Mercantile Exchange Henry Hub natural gas futures contract market. Using daily data for the period that natural gas has been traded on the exchange, we find significant evidence of seasonal and open interest effects in both, returns and volatility. [ABSTRACT FROM AUTHOR]

This paper investigates the basic stylised facts of natural gas price movements using data for the period that natural gas has been traded on an organised exchange and the methodology suggested by Kydland and Prescott (1990). Our results indicate that natural gas prices are procyclical and lag the cycle of industrial production. Moreover, natural gas prices are positively contemporaneously correlated with United States consumer prices and lead the cycle of consumer prices, raising the possibility that natural gas prices might be a useful guide for US monetary policy, like crude oil prices are, possibly serving as an important indicator variable. [ABSTRACT FROM AUTHOR]

This paper uses tools from dynamical systems theory to investigate the properties of US money and velocity series. Comparisons are made between simple-sum, Divisia and currency equivalent aggregates (of M1, M2, M3, and L), using the Anderson et al. monthly data (from January 1960 to June 1996). [ABSTRACT FROM AUTHOR]

Presents evidence which concerns shared stochastic trends in North American natural gas markets. Methodology utilized in the research; Use of the Engle and Granger approach for estimating bivariate cointegrating relationships; Results of the research.

Examines the empirical evidence for random walk type behavior in energy futures prices in the United States. What market efficiency requires; Observation of the New York Mercantile Exchange (NYMEX); Tests for unit roots.

Examines the causal relationship between exports and gross national product (GNP) in the industrial countries over the period 1950-1985. Background information concerning exports and GNP causality; Data used in the study; Integration and cointegration; Testing for Granger causality; Conclusions.

Examines the basic nominal stylized facts of business cycles in the United States, using monthly data from 1960 to 1994. Comparisons among simple sum and Divisia aggregates using the Thonrton and Yue series of Divisia monetary aggregates; Robustness of the results to relevant nonstochastic transformations.

Recent developments in the field of econometrics--in particular, cointegration theory that permits more sophisticated examination of the relationship between nonstationary time-series, are used to analyse the long-run relationship between money and stock prices in the United States. Two recently developed techniques are used to test for cointegration: the Engle and Granger two-step approach as well as Johansen's maximum likelihood approach. It is found that money and stock prices do not cointegrate -- a result consistent with the efficient markets hypothesis. [ABSTRACT FROM AUTHOR]

With the development of the 'flexible functional forms', the issue of capital, labour, energy, and materials (KLEM) substitutability/complementarity has attracted a great deal of attention and has been the subject of many econometric studies. (e.g. Berndt and Christensen, 1973a, b, 1974; Berndt and Wood, 1975, 1979; Norsworthy and Malmquist, 1983). However, all of these studies directly apply data to static models implicitly assuming that the pattern of demand adjusts to a change in exogenous variables instantaneously. No attention has been paid to the dynamic structure of the models used, although many studies report results with serially correlated residuals suggesting that the underlying models are dynamically misspecified. This approach to dynamic specification, although standing in contrast to me theoretical approaches that maintain specific theories of dynamic adjustment, is intuitively appealing as it seems that no theoretical approach is likely to deal with the actual dynamics of a demand system, which are likely to be a complicated amalgam of effects, including adjustment costs, the formation of expectations and misinterpretation of real price changes. This paper applies the Anderson and Blundell (1982, 1983) approach to the analysis of the demand for factor inputs and attempts to establish the nature of the relationship between KLEM using annual US manufacturing data. This is achieved by estimating a sequence of nested dynamic specifications and by performing tests of the nested structures as well as an economic theory to establish the most restrictive specification acceptable to the data. [ABSTRACT FROM AUTHOR]

One of the current issues in the literature on the demand for money is whether the adjustment of actual to desired money holdings is in real or nominal terms. This paper tests the real against the nominal adjustment hypothesis using United States data. Comparisons are made among simple sum and Divisia aggregates (of Ml, M2, M3, and L) and with Spindt's monetary velocity (MQ) aggregate. The results strongly support the nominal adjustment hypothesis, but they do not reveal a single uniformly best monetary aggregate. [ABSTRACT FROM AUTHOR]