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Will the Monetary Pillar Stay? A Few Lessons from the UK

PAESANI, Paolo - Department of Economics, European University Institute - 2003

The ECB formulates its policy relying on two-pillars: the monetary pillar and alternative models of inflation. The two-pillars strategy has been seriously criticized and there is a chance that it will be reconsidered at some point in the future. This paper elaborates on this possibility,...

Persistent link: https://www.econbiz.de/10005744268

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

standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration analysis on …This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and … 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

Structural Vector Autoregressions with Nonnormal Residuals

Lanne, Markku; Luetkepohl, Helmut - Department of Economics, European University Institute - 2005

In structural vector autoregressive (SVAR) models identifying restrictions for shocks and impulse responses are usually derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all shocks and impulse responses. In this paper it is...

Persistent link: https://www.econbiz.de/10005744255

Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis

Lanne, Markku; Luetkepohl, Helmut - Department of Economics, European University Institute - 2008

The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bivariate...

Persistent link: https://www.econbiz.de/10005744277