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Explaining Cointegration Analysis: Part II

Juselius, Katarina; Hendry, David F. - Økonomisk Institut, Københavns Universitet - 2000

We describe the concept of cointegration, its implications in modelling and forecasting, and discuss inference procedures appropriate in integrated-cointegrated vector autoregressive processes (VARs). Particular attention is paid to the properties of VARs, to the modelling of deterministic...

Persistent link: https://www.econbiz.de/10005749705

Inflation, Money Growth, and I(2) Analysis

Juselius, Katarina - Økonomisk Institut, Københavns Universitet - 2004

The paper discusses the dynamics of inflation and money growth in a stochastic framework, allowing for double unit roots in the nominal variables. It gives some examples of typical I(2) ’symptoms’ in empirical I(1) models and provides both a nontechnical and a technical discussion of the...

Persistent link: https://www.econbiz.de/10005543472

UK Money Demand 1873-2001: A Cointegrated VAR Analysis with Additive Data Corrections

Nielsen, Heino Bohn - Økonomisk Institut, Københavns Universitet - 2004

This paper performs a system cointegration analysis of UK money demand based on real money, real income, the opportunity cost of holding money, and inflation for the period 1873 - 2001. As a novelty we account for the effect of the world wars by estimating additive data corrections, allowing...

Persistent link: https://www.econbiz.de/10005749704

A Priori Inequality Restrictions and Bound Analysis in VAR Models

Franchi, Massimo - Økonomisk Institut, Københavns Universitet - 2004

The aim of this paper is to use inequality restrictions on the parameters of a structural model to find bounds on impulse response functions which are valid for any structural representation satisfying those restrictions. Economic theories specify signs and bounds of the coefficients which are...

Persistent link: https://www.econbiz.de/10005749523

Recursive Estimation in Cointegrated VAR-Models

Hansen, Henrik; Johansen, Søren - Økonomisk Institut, Københavns Universitet - 1992

Some methods for the evaluation of parameter constancy in cointegrated vector autoregressive (VAR) models are discussed …. Two different ways of re-estimating the VAR-model are proposed; one in which all parameters are estimated recursively … the cointegrated VAR-model. All results are illustrated using a model for the term structure of interest rates on US …

Persistent link: https://www.econbiz.de/10005749668

Inflation Dynamics and Real Marginal Costs: New Evidence from U.S. Manufacturing Industries

Petrella, Ivan; Santoro, Emiliano - Økonomisk Institut, Københavns Universitet - 2011

This paper deals with the analysis of price-setting in U.S. manufacturing industries. Recent studies have heavily criticized the ability of the New Keynesian Phillips curve (NKPC) to fit aggregate inflation [see, e.g., Rudd and Whelan, 2006, Can Rational Expectations Sticky-Price Models Explain...

Persistent link: https://www.econbiz.de/10010612963

International Parity Relationships between Germany and the United States: A Joint Modelling Approach

Juselius, Katarina; MacDonald, Ronald - Økonomisk Institut, Københavns Universitet - 2000

This paper examines the interrelations between the purchasing power parity, uncovered interest parity, the term structure of interest rates and the Fisher real interest rate parity using cointegration analysis. Dynamic adjustment and feed-back effects are estimated jointly in a full system of...

Persistent link: https://www.econbiz.de/10005225484

Keynesian-Monetarist Dynamics and the Corridor

: Christian Groth - Økonomisk Institut, Københavns Universitet - 1993

The idea that for small disturbances the full employment equilibrium is stable while for large disturbances it is unstable was coined by Leijonhufvud in the notion of a "corridor". We discuss the existence of a corridor in the standard Keynesian-Monetarist textbook macro-model. It turns out that...

Persistent link: https://www.econbiz.de/10005749571

Micro Evidence on the Adjustment of Sticky-Price Goods: It's How Often, not How Much

Goette, Lorenz; Minsch, Rudolf; Tyran, Jean-Robert - Økonomisk Institut, Københavns Universitet - 2005

We use a unique panel data set to analyze price setting in restaurants in Switzerland 1977-93, for items known to have sticky prices. The macroeconomic environment during this time period allows us to examine how firms adjust prices at low (0%) and fairly high (7%) inflation. Our results...

Persistent link: https://www.econbiz.de/10005749613

Determinacy, Stock Market Dynamics and Monetary Policy Inertia

Pfajfar, Damjan; Santoro, Emiliano - Økonomisk Institut, Københavns Universitet - 2008

This note deals with the stability properties of an economy where the central bank is concerned with stock market developments. We introduce a Taylor rule reacting to stock price growth rates along with inflation and output gap in a New-Keynesian setup. We explore the performance of this rule...

Persistent link: https://www.econbiz.de/10005543471