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Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …
Persistent link: https://www.econbiz.de/10011266593
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Can Stock Price Fundamentals Properly be Captured?: Using Markov Switching in Heteroskedasticity Models to Test Identification Schemes
Velinov, Anton - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
tested by means of a Markov switching in heteroskedasticity model. It is found that for two of the five models considered …
Persistent link: https://www.econbiz.de/10010729194
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Identifying Structural Vector Autoregressions via Changes in Volatility
Lütkepohl, Helmut - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
identification. The present study focusses on the latter device. Some possible setups for identification via heteroskedasticity are …
Persistent link: https://www.econbiz.de/10011128872
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Are There Bubbles in Stock Prices?: Testing for Fundamental Shocks
Velinov, Anton; Chen, Wenjuan - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
means of a Markov switching-SVAR (MS-SVAR) model in heteroskedasticity. Using data from France, Germany, Italy, Japan, the …
Persistent link: https://www.econbiz.de/10011266592
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The Impact of Real Oil Price on Real Effective Exchange Rate: The Case of Azerbaijan
Hasanov, Fakhri - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
Using quarterly data from 2000-2007 and applying Error Correction Model and Johansen Co-integration Approaches I estimate the impact of real oil price on the real exchange rate of Azerbaijani manat. Estimation outputs derived from these approaches are very close to each other and indicate that...
Persistent link: https://www.econbiz.de/10008490410
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Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997-Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns...
Persistent link: https://www.econbiz.de/10010786995
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Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market
Lütkepohl, Helmut; Netsunajev, Aleksei - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a … standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance … used conventional identification schemes in this context are rejected by the data if heteroskedasticity is allowed for …
Persistent link: https://www.econbiz.de/10011128876
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The Dynamics of Global Crude Oil Production
Zaklan, Aleksandar; Zachmann, Georg; Neumann, Anne - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
We analyze the dynamic effect of prices and price volatility on current oil production, both on the level of country groups and the major individual producer countries. A comprehensive dataset at monthly frequency allows us to include a rich lag structure while controlling for key global and...
Persistent link: https://www.econbiz.de/10008693468
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Innovative Energy Technologies and Climate Policy in Germany
Schumacher, Katja; Sands, Ronald D. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2005
Due to the size and structure of its economy, Germany is one of the largest carbon emitters in the European Union. However, Germany is facing a major renewal and restructuring process in electricity generation. Within the next two decades, up to 50% of current electricity generation capacity may...
Persistent link: https://www.econbiz.de/10004963860
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A Simple Model of an Oil Based Global Savings Glut: The "China Factor" and the OPEC Cartel
Belke, Ansgar; Gros, Daniel - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
The purpose of this contribution is to illustrate the mechanism by which higher oil prices might lead to lower interest rates in the context of a simple model that takes into account the global external savings equilibrium. The simple model has interesting implications for how one views the huge...
Persistent link: https://www.econbiz.de/10005068691