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Money demand in the euro area, the US and the UK : assessing the role of nonlin...
Jawadi, Fredj; Sousa, Ricardo M.This paper estimates money demand equations for the euro area, the US and the UK using three different econometric methodologies: (i) a linear model based on a dynamic ordinary least squares (DOLS); (ii) a nonlinear technique based on a quantile regression framework; and (iii) a nonlinear model relying on a smooth-transition regression. The linear model shows that the elasticity of money demand with respect to ...
Modelling money demand : further evidence from an international comparison
Jawadi, Fredj; Sousa, Ricardo M.This paper aims at estimating money demand for the euro area, the US and the UK using a dynamic ordinary least squares estimator (DOLS). Our findings show that: (i) wealth effects on money demand are important in the euro area and the UK; (ii) the impact of changes in the interest rate on real money holdings is negative and small; (iii) goods are a reasonable alternative to money; and (iv) international currenc...
Consumption and wealth in the US, the UK and the Euro Area : a nonlinear invest...
Jawadi, Fredj; Sousa, Ricardo M.This paper assesses the importance of nonlinearity in estimating the wealth effects on consumption for the US, the UK and the Euro area. We look at the impact of both (i) aggregate wealth and (ii) disaggregate wealth, namely, by comparing financial wealth effects with housing wealth effects. We also assess the magnitude of the response of consumption using both a linear model and two nonlinear approaches (a qua...
Structural breaks and nonlinearity in US and UK public debt
Jawadi, Fredj; Sousa, Ricardo M.This paper investigates the short-term dynamics for public debts in the US and the UK over more than four decades. We check for structural changes in the data and assess nonlinearity and switching-regime hypotheses using several linearity tests. Our findings point to multiple structural breaks due to economic downturns, oil shocks, and financial and political instability. We also identify different regimes for ...
Monetary policy rules in the BRICS : how important is nonlinearity?
Jawadi, Fredj; Mallick, Sushanta K.; Sousa, Ricardo M.Given limited research on monetary policy rules in emerging markets, this paper estimates monetary policy rules for five key emerging market economies: Brazil, Russia, India, China and South Africa (BRICS) analysing whether the monetary authority reacts to changes in financial markets, in monetary conditions, in the foreign exchange sector and in the commodity price. To get a deeper understanding of the central...
Fiscal policy in the BRICs
Jawadi, Fredj; Mallick, Sushanta K.; Sousa, Ricardo M.This paper assesses the macroeconomic impact of fiscal policy shocks for four key emerging market economies - Brazil, Russia, India and China (BRICs) – using a Bayesian Structural Vector Auto-Regressive (BSVAR) approach, a Sign-Restrictions Vector Auto-Regressive framework and a Panel Vector Auto-Regressive (PVAR) model. To get a deeper understanding of the government’s behaviour, we also estimate fiscal policy...
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