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Codependent VAR Models and the Pseudo-Structural Form

Trenkler, Carsten; Weber, Enzo - 2012

This paper investigates whether codependence restrictions can be uniquely imposed on VAR and VEC models via the so …

Persistent link: https://www.econbiz.de/10011441812

Inference in VARs with Conditional Heteroskedasticity of Unknown Form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - 2014

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional … heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance … parameter estimators and address bootstrap inference as well. Our results are important for correct inference on VAR statistics …

Persistent link: https://www.econbiz.de/10011441857

Monetary policy and exchange rate interactions in a small open economy

Bjørnland, Hilde C. - 2005

This paper analyses the transmission mechanisms of monetary policy in a small open economy like Norway through structural VARs, paying particular attention to the interdependence between the monetary policy stance and exchange rate movements in the inflation-targeting period. Previous studies of...

Persistent link: https://www.econbiz.de/10010284259

Identifying the interdependence between US monetary policy and the stock market

Bjørnland, Hilde C.; Leitemo, Kai - 2005

We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution … shocks are orthogonal to the information set in the VAR model and can be interpreted as non-fundamental shocks. We attribute …

Persistent link: https://www.econbiz.de/10010284471

Monetary policy and the illusionary exchange rate puzzle

Bjørnland, Hilde C. - 2005

Dornbusch’s exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with overshooting. This puzzling result has developed into a “styled...

Persistent link: https://www.econbiz.de/10010284488

Monetary Policy and the Illusionary Exchange Rate Puzzle

Bjørnland, Hilde C. - 2005

Dornbusch's exchange rate overshooting hypothesis is a central building block in international macroeconomics. Yet, empirical studies of monetary policy have typically found exchange rate effects that are inconsistent with overshooting. This puzzling result has developed into a "styled facts" to...