Similar Search Results

Prices, Wages and Fertility in Pre-Industrial England

Klemp, Marc P. B. - Økonomisk Institut, Københavns Universitet - 2011

A two-sector Malthusian model is formulated in terms of a cointegrated vector autoregressive (CVAR) model on error correction form. The model allows for both agricultural product wages and relative prices to affect fertility. The model is estimated using new data for the pre-industrial period in...

Persistent link: https://www.econbiz.de/10009225748

Understanding Unemployment Hysteresis: A system-based econometric approach to changing equilibria and slow adjustment

Møller, Niels Framroze - Økonomisk Institut, Københavns Universitet - 2013

What explains the persistence of unemployment? The literature on hysteresis, which is based on unit root testing in autoregressive models, consists of a vast number of univariate studies, i.e. that analyze unemployment series in isolation, but few multivariate analyses that focus on the sources...

Persistent link: https://www.econbiz.de/10010690214

Optimal hedging with the cointegrated vector autoregressive model

Gatarek, Lukasz; Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2014

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …

Persistent link: https://www.econbiz.de/10010937269

Times Series: Cointegration

Johansen, Søren - Økonomisk Institut, Københavns Universitet - 2014

An overview of results for the cointegrated VAR model for nonstationary I(1) variables is given. The emphasis is on the analysis of the model and the tools for asymptotic inference. These include: formulation of criteria on the parameters, for the process to be nonstationary and I(1),...

Persistent link: https://www.econbiz.de/10010940436

On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations

Johansen, Søren; Swensen, Anders Rygh - Økonomisk Institut, Københavns Universitet - 2009

Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give a...

Persistent link: https://www.econbiz.de/10004999759

Changing Monetary Transmission Mechanisms within the EU.

Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1997

This paper presents a comparative analysis of monetary transmission mechanisms and changes in them after the "second ERM" in March 1983. The empirical model investigates the determination of money, income, prices and interest rates in Germany, Denmark, and Italy based on the cointegrated VAR...

Persistent link: https://www.econbiz.de/10005749822

US Monetary Police 1988-2004: An Empirical Analysis

Christensen, Anders Møller; Nielsen, Heino Bohn - Økonomisk Institut, Københavns Universitet - 2005

investigated with cointegration techniques. We find a stable long-term relationship between the Federal funds rate, unemployment …

Persistent link: https://www.econbiz.de/10005750013

An I(2) Cointegration Analysis of Small-Country Import Price Determination

Kongsted, Hans Christian - Økonomisk Institut, Københavns Universitet - 1998

This paper develops a procedure for testing hypotheses on the full set of cointegration parameters of the I(2) model …

Persistent link: https://www.econbiz.de/10005225473

Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model

Johansen, Søren; Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 1992

In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is …

Persistent link: https://www.econbiz.de/10005225480

Analyzing I(2) Systems by Transformed Vector Autoregressions

Kongsted, Hans Christian; Nielsen, Heino Bohn - Økonomisk Institut, Københavns Universitet - 2002

We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the...

Persistent link: https://www.econbiz.de/10005225482