Journal ArticleDOI
Estimating private savings behaviour in Greece
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In this article, the authors investigated the long and short run determinants of aggregate private savings in Greece employing data over the period 1961-2000 and found a long run saving function sensitive to fertility changes, old dependency ratio, real interest rate, liquidity and public finances.Abstract:
This paper investigates the long‐ and short‐run determinants of aggregate private savings in Greece employing data over the period 1961‐2000. The long‐run savings function is estimated based on an extended life‐cycle hypothesis taking into account the economic and demographic developments during this period. A long‐run saving function sensitive to fertility changes, old dependency ratio, real interest rate, liquidity and public finances is found to exist and the importance of short‐run deviations is presented using vector error‐correction model estimation. The empirical evidence suggests the existence of a stable long‐run savings function in Greece both in the long‐ and short‐run periods and the policy implications of such a relationship are presented.read more
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Determinants of Islamic and conventional deposits in the Malaysian banking system
TL;DR: In this paper, the impact of selected economic variables on deposits level in the Islamic and conventional banking systems in Malaysia was investigated by using advanced time series econometrics, which are conducted within the vector autoregression framework.
Journal ArticleDOI
An empirical study on banks profitability in the KSA: A co-integration approach
TL;DR: In this article, the cointegration and causal relationship between return of assets (ROA) and return of equity (ROE) of Saudi banks was investigated and the empirical results have found strong evidence that the variables are co-integrated.
Journal ArticleDOI
Do bank-specific factors drive bank deposits in Ghana?
TL;DR: The results show that profitability, bank size, and liquidity are significant determinants of bank deposit, and an increase in banks’ capital adequacy level does not essentially translate into deposit.
Journal ArticleDOI
What is the Investment Loss due to Uncertainty
TL;DR: In this paper, the authors investigate the effect of uncertainty on investment and find that smaller firms are affected more compared to larger ones in terms of their investment performance in the years of crisis.
Journal ArticleDOI
Determinants of household saving: Cointegrated evidence from Pakistan (1975–2011)
Aisha Ismail,Kashif Rashid +1 more
TL;DR: In this article, the long run relationship between household saving and various socioeconomic and demographic variables was analyzed by applying Johansen cointegration analysis, and the convergence of the model towards equilibrium was also estimated.
References
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Journal ArticleDOI
Co-integration and Error Correction: Representation, Estimation and Testing
TL;DR: The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples.
Journal ArticleDOI
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
David A. Dickey,Wayne A. Fuller +1 more
TL;DR: In this article, the limit distributions of the estimator of p and of the regression t test are derived under the assumption that p = ± 1, where p is a fixed constant and t is a sequence of independent normal random variables.
Journal ArticleDOI
Testing for a Unit Root in Time Series Regression
TL;DR: In this article, the authors proposed new tests for detecting the presence of a unit root in quite general time series models, which accommodate models with a fitted drift and a time trend so that they may be used to discriminate between unit root nonstationarity and stationarity about a deterministic trend.
Journal ArticleDOI
Statistical analysis of cointegration vectors
TL;DR: In this paper, the authors consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors, and derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimensions.
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