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Prudent Monetary Policy and Cautious Prediction of the Output Gap

Ploeg, Frederick van der - Department of Economics, European University Institute - 2007

Using the results of risk-adjusted linear-quadratic-Gaussian optimal control with perfect and imperfect observation of the economy, we obtain prudent Taylor rules for monetary policies and also allow for imperfect information and cautious Kalman filters. A prudent central bank adjusts the...

Persistent link: https://www.econbiz.de/10005816445

Granger-causal analysis of VARMA-GARCH models

Wozniak, Tomasz - Department of Economics, European University Institute - 2012

Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their volatility. I investigate Granger causality in conditional mean and...

Persistent link: https://www.econbiz.de/10010862110

Bayesian Testing of Granger Causality in Markov-Switching VARs

Droumaguet, Matthieu; Wozniak, Tomasz - Department of Economics, European University Institute - 2012

Recent economic developments have shown the importance of spillover and contagion effects in financial markets as well as in macroeconomic reality. Such effects are not limited to relations between the levels of variables but also impact on the volatility and the distributions. We propose a...

Persistent link: https://www.econbiz.de/10009653955

Forecasting Levels of log Variables in Vector Autoregressions

Bardsen, Gunnar; Luetkepohl, Helmut - Department of Economics, European University Institute - 2009

Sometimes forecasts of the original variable are of interest although a variable appears in logarithms (logs) in a system of time series. In that case converting the forecast for the log of the variable to a naive forecast of the original variable by simply applying the exponential...

Persistent link: https://www.econbiz.de/10005004542

Generalized Least Squares Estimation for Cointegration Parameters Under Conditional Heteroskedasticity

Herwartz, Helmut; Luetkepohl, Helmut - Department of Economics, European University Institute - 2009

model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be efficient. On the …

Persistent link: https://www.econbiz.de/10008558921

How the Removal of Deposit Rate Ceilings Has Changed Monetary Transmission in the US: Theory and Evidence

Mertens, Karel - Department of Economics, European University Institute - 2006

A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...

Persistent link: https://www.econbiz.de/10005557697

Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano - Department of Economics, European University Institute - 2008

This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and … standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration analysis on … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …

Persistent link: https://www.econbiz.de/10005557701

Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative

BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut - Department of Economics, European University Institute - 2004

Johansen's reduced rank maximum likelihood (ML) estimator for cointegration parameters in vector error correction … estimator can indeed be an attractive alternative to ML estimation of cointegration parameters. …

Persistent link: https://www.econbiz.de/10005557721

Luetkepohl, Helmut - Department of Economics, European University Institute - 2005

Structural vector autoregressive (VAR) models are in frequent use for impulse response analysis. If cointegrated variables are involved, the corresponding vector error correction models offer a convenient framework for imposing structural long-run and short-run restrictions. Occasionally it is...

Persistent link: https://www.econbiz.de/10005557733

A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated

BANERJEE, Anindya; MIZEN, Paul - Department of Economics, European University Institute - 2003

the non-stationary characteristics of the data, using polynomial cointegration. We show that the closed-form solution has …

Persistent link: https://www.econbiz.de/10005744250