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MODELLING ECONOMIC FLUCTUATIONS IN SUBSAHARAN AFRICA:A VECTOR AUTOREGRESSIVE APPROACH
NWAOBI, DR. GODWIN CHUKWUDUM - EconWPA - 2004
trends in output, consumption and investment) to provide new evidence on this question(using subsaharan africa as a case …
Persistent link: https://www.econbiz.de/10005412719
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Micro Takes Over Macro
Gani, M - EconWPA - 2004
input- output table. There is no further need for a separate macroeconomics. …
Persistent link: https://www.econbiz.de/10005412698
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Structural Factor-Augmented VAR (SFAVAR) and the Effects of Monetary Policy
Belviso, Francesco; Milani, Fabio - EconWPA - 2005
policy shock; they can avoid the use of a single variable to proxy theoretical constructs, such as the output gap; they allow …
Persistent link: https://www.econbiz.de/10005076826
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Reduced-Rank Identification of Structural Shocks in VARs
Gorodnichenko, Yuriy - EconWPA - 2005
This paper integrates imposing a factor structure on residuals in vector autoregressions (VARs) into structural VAR analysis. Identification, estimation and testing procedures are discussed. The paper applies this approach to the well-known problem of studying the effects of monetary policy in...
Persistent link: https://www.econbiz.de/10005126128
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Business cycles asymmetry and monetary policy: a further investigatio= n=20 using MRSTAR models
DUFRENOT, Gilles; Val=E9rie MIGNON; PEGUIN-FEISSOLE, Anne - EconWPA - 2003
This paper investigates the asymmetric effects of monetary shocks when the=20 impact of monetary policy on real activity works through state-dependent=20 variables. We use a nonlinear model, the multiple regime smooth transition=20 autoregressive model, that allows the effects of shocks to vary...
Persistent link: https://www.econbiz.de/10005126142
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A Framework for Forecasting the Components of the Consumer Price
Aron, Janine; Muellbauer, John; Pretorius, Coen - EconWPA - 2004
Inflation is a far from homogeneous phenomenon, but this fact is ignored in most work on consumer price inflation. Using a novel methodology grounded in theory, the ten sub-components of the consumer price index (excluding mortgage interest rates, or CPIX) for South Africa are modeled separately...
Persistent link: https://www.econbiz.de/10005062419
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The Liquidity Effect: Testing Identification Conditions Under Time-Varying Conditional Volatility
Normandin, Michel; Phaneuf, Louis - EconWPA - 1996
In the recent SVAR literature, the liquidity effect has been studied by imposing a variety of identifying restrictions required under the assumption that the SVAR fundamental disturbances are homoscedastic. Using typical SVAR processes, we first show that this assumption is not supported by the...
Persistent link: https://www.econbiz.de/10005408006
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A Structural Model of the Inflation Process in South Africa
Aron, Janine; Muellbauer, John; Smit, Benjamin - EconWPA - 2004
We build a 4-equation model of the inflation process in South Africa (which has recently adopted inflation targeting), including the exchange rate, consumer prices, producer price, and import prices. This provides useful information on the speed and extent of exchange rate pass- through, and...
Persistent link: https://www.econbiz.de/10005556034
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Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited
Hill, Jonathan B. - EconWPA - 2004
to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to … forecast) output, when causation occurs, and how (through which causal chains). Our tests are based on new recursive parametric … money growth fails to cause output one month ahead continues into the third quarter of 2003, a significant causal lag may …
Persistent link: https://www.econbiz.de/10005119144
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Linkages between Stock Prices and Exchange Rates in the EU and the United States
Stavarek, Daniel - EconWPA - 2004
This paper investigates the nature of the causal relationship between stock prices and effective exchange rates in four old EU-member countries (Austria, France, Germany, and the UK), four new EU-member countries (Czech Republic, Hungary, Poland, and Slovakia) and in the USA. Both the long-run...
Persistent link: https://www.econbiz.de/10005134673